N-CSR 1 filing836.htm PRIMARY DOCUMENT

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:

January 31



Date of reporting period:

January  31, 2022




Item 1.

Reports to Stockholders




Fidelity® Tax-Free Bond Fund



Annual Report

January 31, 2022

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 and Management Fees


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

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

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. © 2022 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 COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, 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. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.

Extreme events such as the COVID-19 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 continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, 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 January 31, 2022 Past 1 year Past 5 years Past 10 years 
Fidelity® Tax-Free Bond Fund (1.16)% 3.97% 3.70% 

$25,000 Over 10 Years

Let's say hypothetically that $25,000 was invested in Fidelity® Tax-Free Bond Fund on January 31, 2012.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg 3+ Year Non-AMT Municipal Bond Index performed over the same period.


Period Ending Values
$35,961Fidelity® Tax-Free Bond Fund
$35,125Bloomberg 3+ Year Non-AMT Municipal Bond Index


Effective August 24, 2021, all Bloomberg Barclays Indices were re-branded as Bloomberg Indices.

Management's Discussion of Fund Performance

Market Recap:  Tax-exempt municipal bonds declined modestly for the 12 months ending January 31, 2022, as expectations for higher policy interest rates, failure to pass the income-tax increases included in the Build Back Better legislation, and the perceived richness of municipals relative to Treasury bonds caused shareholder flows to turn negative in the final month of the period. The Bloomberg Municipal Bond Index returned -1.89% for the 12 months. In 2021, the muni market benefited from an improved fiscal outlook for many municipal issuers, economic optimism partly due to COVID-19 vaccination programs and strong demand for tax-exempt munis amid expectations for higher tax rates on upper-income tax brackets. In February 2021, the municipal market returned -1.59%, reflecting investor concerns that stimulus-induced inflation could diminish real bond returns over time. Munis then gained from March through July 2021, propelled by better-than-expected tax revenue from many state and local governments and reduced inflation expectations. Munis lost slight ground in August and September, then rose in the fourth quarter, partly driven by newfound clarity regarding infrastructure investment due to the passage of the Infrastructure Investment and Jobs Act (IIJA), which earmarked $550 for new infrastructure spending and limited new tax-exempt bond issuance. Then, in January 2022, the muni market experienced rate volatility and shareholder outflows that more than erased its 2021 gain, as munis returned -2.74% for the month. Muni credit fundamentals remained solid overall for the 12 months and, for most issuers, the risk of credit-rating downgrades appeared low.

Comments from Co-Portfolio Managers Cormac Cullen, Michael Maka and Elizah McLaughlin:  For the fiscal year, the fund returned -1.16%, outperforming, net of fees, the -2.08% result of the benchmark, the Bloomberg 3+ Year Municipal Bond Index. We continued to focus on longer-term objectives and sought to generate attractive tax-exempt income and competitive risk-adjusted returns over time. Versus the benchmark, overweighted exposure to bonds issued by Illinois and the Metropolitan Pier and Exposition Authority, contributed. These securities were among the muni market's best performers, boosted by strong demand for higher-yielding investment-grade securities and improving credit fundamentals. Overweighting lower-rated investment-grade bonds in the health care and higher education segments also helped as bonds in each segment rallied the past 12 months and produced better total returns than the benchmark. They benefited from the comparatively high income they produced and better-than-average price performance as credit spreads tightened. Differences in the way fund holdings and benchmark components were priced contributed to the fund's relative result as well. Conversely, yield-curve positioning slightly detracted. The fund held more exposure to shorter-term bonds than the benchmark, and these bonds lagged longer-term securities as the yield curve flattened.

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 States as of January 31, 2022

 % of fund's net assets 
Illinois 15.7 
New York 8.3 
Florida 6.6 
Texas 6.1 
New Jersey 5.6 

Top Five Sectors as of January 31, 2022

 % of fund's net assets 
General Obligations 27.8 
Health Care 20.9 
Transportation 17.7 
Special Tax 7.3 
Education 7.2 

Quality Diversification (% of fund's net assets)

As of January 31, 2022 
   AAA 4.4% 
   AA,A 74.7% 
   BBB 16.0% 
   BB and Below 2.3% 
   Not Rated 2.2% 
   Short-Term Investments and Net Other Assets 0.4% 


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

Schedule of Investments January 31, 2022

Showing Percentage of Net Assets

Municipal Bonds - 99.7%   
 Principal Amount Value 
Alabama - 1.6%   
Auburn Univ. Gen. Fee Rev. Series 2018 A, 5% 6/1/43 1,800,000 2,122,238 
Homewood Edl. Bldg. Auth. Rev. Series 2019 A:   
4% 12/1/33 $285,000 $320,911 
4% 12/1/35 930,000 1,039,026 
4% 12/1/37 1,250,000 1,391,972 
4% 12/1/38 240,000 266,792 
4% 12/1/39 1,700,000 1,887,206 
4% 12/1/41 4,070,000 4,505,145 
4% 12/1/44 2,400,000 2,640,177 
4% 12/1/49 560,000 612,039 
Lower Alabama Gas District Bonds (No. 2 Proj.) Series 2020, 4%, tender 12/1/25 (a) 24,380,000 26,417,268 
Montgomery Med. Clinic Facilities Series 2015:   
5% 3/1/26 60,000 67,337 
5% 3/1/27 115,000 128,540 
5% 3/1/28 125,000 139,217 
5% 3/1/29 105,000 116,561 
5% 3/1/30 125,000 138,413 
5% 3/1/36 2,450,000 2,698,643 
Southeast Energy Auth. Rev. Bonds:   
(Proj. No. 2) Series 2021 B1:   
4% 6/1/29 1,335,000 1,512,009 
4% 6/1/30 1,010,000 1,151,920 
4% 6/1/31 875,000 1,005,559 
Bonds (Proj. No. 2) Series 2021 B1, 4%, tender 12/1/31 (a) 21,345,000 24,419,835 
TOTAL ALABAMA  72,580,808 
Alaska - 0.2%   
Alaska Gen. Oblig. Series 2016 A, 5% 8/1/31 4,340,000 4,862,754 
Alaska Int'l. Arpts. Revs. Series 2016 B:   
5% 10/1/31 1,685,000 1,892,390 
5% 10/1/33 2,200,000 2,470,777 
TOTAL ALASKA  9,225,921 
Arizona - 2.4%   
Arizona Board of Regents Ctfs. of Prtn. (Univ. of Arizona Univ. Revs.) Series 2018 B:   
5% 6/1/26 1,100,000 1,266,205 
5% 6/1/27 500,000 588,033 
5% 6/1/29 1,725,000 2,069,497 
5% 6/1/30 1,470,000 1,757,171 
Arizona Health Facilities Auth. Rev. (Banner Health Sys. Proj.) Series 2007 B, 3 month U.S. LIBOR + 0.810% 0.954%, tender 1/1/37 (a)(b) 1,000,000 986,746 
Arizona Indl. Dev. Auth. Hosp. Rev. Series 2021 A:   
4% 2/1/38 1,500,000 1,737,366 
4% 2/1/39 1,500,000 1,734,446 
Arizona Indl. Dev. Auth. Lease Rev. Series 2020 A:   
4% 9/1/37 410,000 471,913 
4% 9/1/38 445,000 510,850 
4% 9/1/39 400,000 456,491 
4% 9/1/40 435,000 494,859 
4% 9/1/46 1,000,000 1,118,554 
5% 9/1/31 195,000 243,008 
5% 9/1/32 300,000 373,342 
5% 9/1/33 415,000 515,852 
5% 9/1/34 350,000 433,613 
Arizona Indl. Dev. Auth. Rev. (Provident Group-Eastern Michigan Univ. Parking Proj.) Series 2018:   
5% 5/1/37 1,090,000 1,134,373 
5% 5/1/43 1,000,000 1,031,456 
Arizona State Univ. Revs. Series 2021 C:   
5% 7/1/32 1,220,000 1,560,590 
5% 7/1/34 1,250,000 1,594,026 
5% 7/1/35 1,000,000 1,273,337 
Glendale Gen. Oblig. Series 2017, 5% 7/1/24 3,475,000 3,805,992 
Glendale Indl. Dev. Auth. (Terraces of Phoenix Proj.) Series 2018 A:   
5% 7/1/38 155,000 163,266 
5% 7/1/48 200,000 208,554 
Maricopa County Indl. Dev. Auth. (Creighton Univ. Proj.) Series 2020, 5% 7/1/47 2,000,000 2,394,184 
Maricopa County Indl. Dev. Auth. Sr. Living Facilities Series 2016:   
5.75% 1/1/36 (c) 1,735,000 1,659,698 
6% 1/1/48 (c) 3,485,000 3,267,779 
Maricopa County Unified School District #48 Scottsdale Series 2017 B:   
5% 7/1/29 1,150,000 1,358,268 
5% 7/1/30 1,500,000 1,767,380 
5% 7/1/31 800,000 942,603 
5% 7/1/32 3,250,000 3,831,173 
Phoenix Civic Impt. Board Arpt. Rev.:   
Series 2015 A, 5% 7/1/45 3,170,000 3,528,175 
Series 2017 B:   
5% 7/1/30 4,000,000 4,724,540 
5% 7/1/34 2,000,000 2,365,251 
5% 7/1/35 2,000,000 2,363,083 
Series 2019 A, 5% 7/1/44 5,615,000 6,706,776 
Phoenix Civic Impt. Corp. Series 2019 A:   
5% 7/1/30 1,100,000 1,324,347 
5% 7/1/32 355,000 425,397 
5% 7/1/36 595,000 710,603 
5% 7/1/37 520,000 620,662 
5% 7/1/38 830,000 982,821 
5% 7/1/45 7,200,000 8,407,492 
Phoenix Civic Impt. Corp. District Rev. (Plaza Expansion Proj.) Series 2005 B, 5.5% 7/1/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 5,000,000 7,062,604 
Phoenix Civic Impt. Corp. Wtr. Sys. Rev. Series 2020 A, 5% 7/1/44 8,430,000 10,335,497 
Phoenix IDA Student Hsg. Rev. (Downtown Phoenix Student Hsg. II LLC Arizona State Univ. Proj.) Series 2019 A:   
5% 7/1/49 1,125,000 1,291,260 
5% 7/1/54 3,530,000 4,038,973 
Pima County Swr. Sys. Rev. Series 2012 A, 5% 7/1/27 1,000,000 1,018,326 
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2020 A, 4% 1/1/45 5,800,000 6,661,017 
Salt Verde Finl. Corp. Sr. Gas Rev. Series 2007, 5.25% 12/1/23 2,500,000 2,675,422 
TOTAL ARIZONA  105,992,871 
California - 5.1%   
California Gen. Oblig.:   
Series 2004:   
5.25% 12/1/33 35,000 35,140 
5.5% 4/1/30 5,000 5,021 
Series 2017, 5% 11/1/29 6,225,000 7,414,133 
Series 2020:   
4% 11/1/37 8,715,000 10,061,792 
4% 11/1/38 8,000,000 9,204,676 
4% 11/1/39 3,500,000 4,020,996 
4% 11/1/40 2,500,000 2,860,728 
Series 2021:   
5% 9/1/31 17,210,000 22,212,062 
5% 9/1/32 6,055,000 7,803,006 
California Hsg. Fin. Agcy. Series 2021 1, 3.5% 11/20/35 1,818,019 1,975,827 
California Muni. Fin. Auth. Student Hsg. (CHF-Davis I, LLC - West Village Student Hsg. Proj.) Series 2018:   
5% 5/15/35 2,140,000 2,518,693 
5% 5/15/38 3,000,000 3,512,303 
5% 5/15/43 4,000,000 4,644,845 
California Pub. Fin. Auth. Univ. Hsg. Rev.:   
(Claremont Colleges Proj.) Series 2017 A, 5% 7/1/27 (c) 340,000 301,886 
(NCCD - Claremont Properties LLC - Claremont Colleges Proj.) Series 2017 A, 5% 7/1/47 (c) 280,000 238,604 
California Pub. Works Board Lease Rev.:   
(Coalinga State Hosp. Proj.) Series 2013 E, 5% 6/1/26 5,265,000 5,543,788 
(Various Cap. Projs.) Series 2022 C:   
5% 8/1/29 (d) 1,250,000 1,484,649 
5% 8/1/32 (d) 2,320,000 2,833,266 
California Statewide Cmntys. Dev. Auth. Series 2016:   
5% 5/15/25 1,000,000 1,122,410 
5% 5/15/26 1,000,000 1,154,648 
5% 5/15/27 1,000,000 1,153,744 
5% 5/15/28 1,000,000 1,151,937 
5% 5/15/32 1,250,000 1,429,807 
5% 5/15/33 1,500,000 1,714,434 
5% 5/15/40 1,000,000 1,136,718 
California Statewide Cmntys. Dev. Auth. Rev. Series 2015, 5% 2/1/45 2,275,000 2,345,057 
Carlsbad Unified School District Series 2009 B, 6% 5/1/34 (Pre-Refunded to 5/1/24 @ 100) 1,450,000 1,607,694 
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2017 A1:   
5% 6/1/22 (Escrowed to Maturity) 1,555,000 1,578,425 
5% 6/1/23 (Escrowed to Maturity) 1,780,000 1,878,644 
5% 6/1/24 (Escrowed to Maturity) 1,000,000 1,087,865 
Los Angeles Dept. of Wtr. & Pwr. Rev.:   
Series 2021 B, 5% 7/1/51 14,995,000 18,372,009 
Series 2021 C, 5% 7/1/51 19,000,000 23,495,144 
Mount Diablo Unified School District Series 2022 B:   
4% 8/1/29 (d) 1,905,000 2,184,822 
4% 8/1/32 (d) 1,165,000 1,355,483 
4% 8/1/33 (d) 1,510,000 1,756,016 
Poway Unified School District:   
(District #2007-1 School Facilities Proj.) Series 2008 A, 0% 8/1/32 1,300,000 1,031,275 
Series B:   
0% 8/1/33 4,350,000 3,361,592 
0% 8/1/37 8,000,000 5,502,117 
0% 8/1/38 4,225,000 2,806,228 
0% 8/1/39 7,220,000 4,645,740 
0% 8/1/41 4,900,000 2,939,306 
Poway Unified School District Pub. Fing. Series 2015 A:   
5% 9/1/27 1,050,000 1,160,215 
5% 9/1/30 1,370,000 1,515,647 
Riverside Swr. Rev. Series 2015 A:   
5% 8/1/30 2,880,000 3,236,335 
5% 8/1/31 1,630,000 1,831,081 
Sacramento City Fing. Auth. Rev. Series A, 0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,600,000 1,458,175 
Sacramento County Arpt. Sys. Rev. Series 2016 B, 5% 7/1/41 1,770,000 2,032,099 
San Diego Cmnty. College District Series 2011, 0% 8/1/35 3,000,000 2,239,637 
San Diego Unified School District:   
Series 2008 C:   
0% 7/1/34 1,300,000 982,635 
0% 7/1/37 5,105,000 3,523,474 
Series 2008 E, 0% 7/1/47 (e) 2,600,000 2,489,751 
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.:   
Series 2019 B, 5% 5/1/49 2,930,000 3,497,007 
Series 2022 B, 5% 5/1/52 (d) 15,830,000 19,573,972 
San Jose Fing. Auth. Lease Rev. (Civic Ctr. Proj.) Series 2013 A:   
5% 6/1/24 (Pre-Refunded to 6/1/23 @ 100) 1,000,000 1,055,418 
5% 6/1/27 (Pre-Refunded to 6/1/23 @ 100) 1,000,000 1,055,418 
San Marcos Unified School District Series 2010 B, 0% 8/1/47 3,700,000 1,795,806 
Santa Rosa Wastewtr. Rev. Series 2002 B, 0% 9/1/25 (AMBAC Insured) 1,700,000 1,608,937 
Tobacco Securitization Auth. Southern California Tobacco Settlement Series 2019 A1:   
5% 6/1/27 1,000,000 1,183,218 
5% 6/1/28 1,510,000 1,823,330 
5% 6/1/29 1,000,000 1,229,280 
Univ. of California Revs. Series 2017 AV, 5% 5/15/36 1,610,000 1,886,208 
Washington Township Health Care District Gen. Oblig. Series 2013 B, 5.5% 8/1/38 2,000,000 2,198,684 
Yuba City Unified School District Series A, 0% 9/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,000,000 994,444 
TOTAL CALIFORNIA  229,853,301 
Colorado - 0.5%   
Arkansas River Pwr. Auth. Rev. Series 2018 A:   
5% 10/1/38 1,450,000 1,669,687 
5% 10/1/43 5,810,000 6,639,949 
Colorado Health Facilities Auth.:   
(Parkview Episcopal Med. Ctr., Co. Proj.) Series 2017:   
5% 9/1/23 270,000 286,565 
5% 9/1/24 225,000 246,084 
5% 9/1/25 260,000 292,540 
5% 9/1/28 2,200,000 2,583,305 
(Parkview Med. Ctr., Inc. Proj.) Series 2016, 5% 9/1/46 3,700,000 4,156,078 
Series 2019 A, 4% 11/1/39 2,980,000 3,381,481 
Series 2019 A2, 4% 8/1/49 2,900,000 3,157,145 
Colorado Hsg. & Fin. Auth. Series 2019 H, 4.25% 11/1/49 1,020,000 1,102,637 
TOTAL COLORADO  23,515,471 
Connecticut - 2.6%   
Connecticut Gen. Oblig.:   
Series 2015 B, 5% 6/15/32 1,550,000 1,727,462 
Series 2016 E:   
5% 10/15/26 2,030,000 2,371,431 
5% 10/15/29 2,930,000 3,387,996 
Series 2018 F:   
5% 9/15/27 1,000,000 1,192,438 
5% 9/15/28 4,500,000 5,467,853 
Series 2020 A:   
4% 1/15/33 8,435,000 9,762,775 
4% 1/15/34 7,005,000 8,081,898 
5% 1/15/40 2,765,000 3,383,687 
Connecticut Health & Edl. Facilities Auth. Rev.:   
(Sacred Heart Univ., CT. Proj.) Series 2017 I-1:   
5% 7/1/34 1,050,000 1,215,678 
5% 7/1/35 1,200,000 1,388,077 
5% 7/1/36 400,000 462,375 
5% 7/1/37 1,555,000 1,795,805 
5% 7/1/42 3,780,000 4,341,029 
Bonds Series 2020 B:   
5%, tender 1/1/25 (a) 4,450,000 4,909,307 
5%, tender 1/1/27 (a) 4,710,000 5,462,077 
Series 2016 K, 4% 7/1/46 4,465,000 4,805,369 
Series 2017 B, 5% 7/1/29 8,655,000 10,773,809 
Series 2019 A:   
5% 7/1/34 (c) 1,325,000 1,378,407 
5% 7/1/49 (c) 2,040,000 2,082,173 
Series 2020 A, 4% 7/1/39 3,000,000 3,388,861 
Series 2020 C, 4% 7/1/45 4,220,000 4,711,446 
Series 2020 K:   
5% 7/1/37 1,000,000 1,220,854 
5% 7/1/38 1,500,000 1,827,956 
5% 7/1/39 1,550,000 1,886,215 
5% 7/1/44 (c) 1,295,000 1,508,069 
Series 2022 M, 4% 7/1/37 (d) 3,500,000 3,894,607 
Series G, 5% 7/1/50 (c) 1,100,000 1,272,517 
Series K1:   
5% 7/1/31 1,500,000 1,735,027 
5% 7/1/35 1,280,000 1,472,097 
Series N:   
4% 7/1/39 1,235,000 1,333,937 
4% 7/1/49 1,475,000 1,570,721 
5% 7/1/32 550,000 643,015 
5% 7/1/33 500,000 583,954 
5% 7/1/34 250,000 291,549 
Connecticut Hsg. Fin. Auth. Series 2019 B1, 4% 5/15/49 1,395,000 1,512,052 
Connecticut State Revolving Fund Gen. Rev. Series 2017 A:   
5% 5/1/33 3,125,000 3,663,161 
5% 5/1/35 2,325,000 2,719,001 
Hbr. Point Infrastructure Impt. District Series 2017:   
5% 4/1/30 (c) 2,430,000 2,775,635 
5% 4/1/39 (c) 3,125,000 3,523,775 
New Haven Gen. Oblig. Series 2016 A, 5% 8/15/25 (Assured Guaranty Muni. Corp. Insured) 570,000 643,307 
Univ. of Connecticut Gen. Oblig. Series 2019 A:   
5% 11/1/25 1,020,000 1,157,947 
5% 11/1/26 1,735,000 2,023,101 
TOTAL CONNECTICUT  119,348,450 
Delaware - 0.3%   
Delaware Trans. Auth. (U.S. 301 Proj.) Series 2015, 5% 6/1/55 13,000,000 14,348,503 
District Of Columbia - 1.1%   
District of Columbia Gen. Oblig.:   
Series 2017 A, 5% 6/1/33 2,300,000 2,706,239 
Series 2021 D:   
5% 2/1/41 4,500,000 5,645,120 
5% 2/1/46 8,500,000 10,551,594 
District of Columbia Hosp. Rev. Series 2015:   
5% 7/15/29 4,000,000 4,526,772 
5% 7/15/30 6,495,000 7,345,011 
Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev. (Dulles Metrorail and Cap. Impt. Projs.) Series 2019 A:   
5% 10/1/33 1,250,000 1,507,460 
5% 10/1/34 2,000,000 2,413,667 
5% 10/1/36 2,000,000 2,405,085 
Metropolitan Washington DC Arpts. Auth. Sys. Rev. Series 2019 B, 5% 10/1/25 2,310,000 2,607,534 
Washington Convention & Sports Auth. Series 2018 A, 5% 10/1/22 2,040,000 2,099,215 
Washington D.C. Metropolitan Transit Auth. Rev. Series 2017 B, 5% 7/1/33 4,545,000 5,319,095 
TOTAL DISTRICT OF COLUMBIA  47,126,792 
Florida - 6.6%   
Brevard County School Board Ctfs. of Prtn.:   
Series 2014, 5% 7/1/27 1,700,000 1,853,388 
Series 2015 C, 5% 7/1/27 1,455,000 1,631,778 
Broward County School Board Ctfs. of Prtn.:   
(Broward County School District Proj.) Series 2016 A, 5% 7/1/28 1,595,000 1,841,511 
Series 2012 A, 5% 7/1/24 4,345,000 4,426,828 
Series 2015 A:   
5% 7/1/24 940,000 1,025,757 
5% 7/1/26 3,635,000 4,093,512 
Series 2016, 5% 7/1/32 1,020,000 1,162,604 
Cap. Projs. Fin. Auth. Student Hsg. Rev. (Cap. Projs. Ln. Prog. - Florida Univs.) Series 2020 A, 5% 10/1/29 1,650,000 1,954,975 
Central Florida Expressway Auth. Sr. Lien Rev. Series 2021:   
4% 7/1/34 (Assured Guaranty Muni. Corp. Insured) 4,250,000 5,021,046 
4% 7/1/35 (Assured Guaranty Muni. Corp. Insured) 4,120,000 4,844,551 
4% 7/1/37 (Assured Guaranty Muni. Corp. Insured) 4,575,000 5,347,989 
4% 7/1/38 (Assured Guaranty Muni. Corp. Insured) 2,860,000 3,323,060 
4% 7/1/39 (Assured Guaranty Muni. Corp. Insured) 2,305,000 2,663,272 
Duval County School Board Ctfs. of Prtn. Series 2015 B, 5% 7/1/29 6,380,000 7,109,882 
Escambia County Health Facilities Auth. Health Facilities Rev. Series 2020 A, 4% 8/15/45 2,390,000 2,592,079 
Florida Higher Edl. Facilities Fing. Auth.:   
(St. Leo Univ. Proj.) Series 2019, 5% 3/1/49 4,800,000 5,354,268 
Series 2019, 5% 10/1/27 650,000 757,388 
Florida Hsg. Fin. Corp. Rev. Series 2019 1, 4% 7/1/50 4,095,000 4,387,294 
Florida Mid-Bay Bridge Auth. Rev.:   
Series 2015 A, 5% 10/1/35 2,600,000 2,878,103 
Series 2015 C, 5% 10/1/35 2,000,000 2,199,031 
Florida Muni. Pwr. Agcy. Rev.:   
(Pwr. Supply Proj.) Series 2017 A, 5% 10/1/28 400,000 485,063 
(Requirements Pwr. Supply Proj.) Series 2016 A:   
5% 10/1/30 985,000 1,141,261 
5% 10/1/31 1,075,000 1,243,436 
(St. Lucie Proj.) Series 2012 A, 5% 10/1/26 1,125,000 1,157,862 
Series 2015 B, 5% 10/1/29 1,250,000 1,409,569 
Gainesville Utils. Sys. Rev. Series 2017 A:   
5% 10/1/30 2,810,000 3,340,689 
5% 10/1/35 5,000,000 5,905,560 
Halifax Hosp. Med. Ctr. Rev. Series 2015:   
4% 6/1/27 585,000 630,790 
5% 6/1/24 835,000 906,956 
5% 6/1/28 655,000 728,113 
Hillsborough County Aviation Auth. Rev. Series 2018 F, 5% 10/1/48 2,500,000 2,970,906 
Hillsborough County School Board Ctfs. of Prtn. Series 2015 A, 5% 7/1/26 8,000,000 8,940,703 
Indian River County School Board Ctfs. of Prtn. Series 2014, 5% 7/1/24 2,600,000 2,822,908 
Jacksonville Health Care Facilities (Baptist Med. Ctr. Proj.) Series 2017:   
5% 8/15/26 2,000,000 2,312,686 
5% 8/15/34 2,750,000 3,198,155 
Jacksonville Sales Tax Rev. Series 2012, 5% 10/1/25 2,250,000 2,317,300 
Lake County School Board Ctfs. of Prtn. Series 2014 A, 5% 6/1/29 (Pre-Refunded to 6/1/24 @ 100) 1,500,000 1,635,065 
Miami Beach Health Facilities Auth. Hosp. Rev. Series 2014 A, 5% 11/15/39 1,530,000 1,684,563 
Miami-Dade County Aviation Rev.:   
Series 2014 A, 5% 10/1/37 8,500,000 9,223,844 
Series 2014 B, 5% 10/1/34 2,225,000 2,414,477 
Series 2016 A, 5% 10/1/41 8,500,000 9,814,975 
Series 2020 A:   
4% 10/1/35 1,600,000 1,836,960 
4% 10/1/41 1,200,000 1,359,546 
5% 10/1/31 2,140,000 2,667,078 
Miami-Dade County Expressway Auth.:   
Series 2010 A, 5% 7/1/40 3,300,000 3,318,874 
Series 2014 A:   
5% 7/1/25 1,430,000 1,560,101 
5% 7/1/27 1,000,000 1,087,729 
5% 7/1/28 2,225,000 2,419,641 
5% 7/1/29 1,010,000 1,097,850 
5% 7/1/44 18,800,000 20,257,998 
Series 2014 B, 5% 7/1/30 2,500,000 2,716,827 
Miami-Dade County Gen. Oblig. (Bldg. Better Cmntys. Prog.) Series 2016 A:   
5% 7/1/27 9,895,000 11,755,000 
5% 7/1/28 10,385,000 12,615,341 
Miami-Dade County School Board Ctfs. of Prtn.:   
Series 2014 D, 5% 11/1/25 6,655,000 7,337,300 
Series 2015 A, 5% 5/1/29 12,370,000 13,741,409 
Series 2015 B, 5% 5/1/27 2,980,000 3,320,425 
Series 2016 A, 5% 5/1/32 10,000,000 11,343,906 
Series 2016 B, 5% 8/1/26 4,505,000 5,197,787 
Miami-Dade County Transit Sales Surtax Rev. Series 2012, 5% 7/1/22 765,000 778,955 
Orange County School Board Ctfs. of Prtn. Series 2015 C, 5% 8/1/28 (Pre-Refunded to 8/1/25 @ 100) 5,000,000 5,647,910 
Palm Beach County School Board Ctfs. of Prtn.:   
Series 2015 D:   
5% 8/1/28 1,980,000 2,224,258 
5% 8/1/29 6,765,000 7,594,617 
Series 2018 A, 5% 8/1/24 760,000 832,697 
Pinellas County Idr (Drs. Kiran & Pallavi Patel 2017 Foundation for Global Understanding, Inc. Proj.) Series 2019:   
5% 7/1/29 200,000 221,359 
5% 7/1/39 400,000 451,114 
Saint Lucie County School Board Ctfs. of Prtn. Series 2013 A, 5% 7/1/26 2,515,000 2,653,657 
South Florida Wtr. Mgmt. District Ctfs. of Prtn. Series 2015:   
5% 10/1/27 500,000 572,349 
5% 10/1/28 4,000,000 4,568,336 
5% 10/1/30 2,000,000 2,273,751 
5% 10/1/32 3,310,000 3,760,194 
South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017:   
5% 8/15/29 1,480,000 1,747,638 
5% 8/15/32 3,920,000 4,612,950 
5% 8/15/35 705,000 828,401 
5% 8/15/37 5,000,000 5,875,183 
5% 8/15/42 3,400,000 3,987,269 
5% 8/15/47 5,200,000 6,044,450 
Tallahassee Health Facilities Rev.:   
(Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A:   
5% 12/1/29 1,425,000 1,603,316 
5% 12/1/36 1,100,000 1,231,552 
Series 2015 A, 5% 12/1/40 1,000,000 1,105,743 
Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2012 A, 5% 9/1/25 900,000 922,314 
Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A:   
5% 10/15/44 760,000 901,124 
5% 10/15/49 1,420,000 1,673,129 
Volusia County School Board Ctfs. of Prtn.:   
(Florida Master Lease Prog.) Series 2016 A:   
5% 8/1/30 (Build America Mutual Assurance Insured) 1,160,000 1,314,226 
5% 8/1/31 (Build America Mutual Assurance Insured) 2,215,000 2,504,896 
(Master Lease Prog.) Series 2014 B, 5% 8/1/22 810,000 828,166 
TOTAL FLORIDA  299,146,523 
Georgia - 3.9%   
Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/36 1,520,000 1,866,733 
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Vogtle Proj.) Series 2013 1st, 2.925%, tender 3/12/24 (a) 9,600,000 9,980,702 
Coweta County Dev. Auth. Rev. (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5% 7/1/44 6,440,000 7,764,995 
DeKalb County Wtr. & Swr. Rev. Series 2011 A, 5.25% 10/1/36 1,000,000 1,012,330 
DeKalb Private Hosp. Auth. Rev. Series 2019 B, 5% 7/1/35 1,360,000 1,671,753 
Fulton County Dev. Auth. Rev.:   
Series 2019 C, 5% 7/1/38 1,230,000 1,506,249 
Series 2019:   
4% 6/15/49 1,180,000 1,319,802 
5% 6/15/52 4,315,000 5,164,770 
Fulton County Wtr. & Swr. Rev. Series 2013, 5% 1/1/32 10,000,000 10,362,724 
Georgia Muni. Elec. Auth. Pwr. Rev.:   
Series 2019 A:   
4% 1/1/49 6,100,000 6,662,855 
5% 1/1/30 415,000 496,997 
5% 1/1/32 935,000 1,117,810 
5% 1/1/34 1,920,000 2,297,427 
5% 1/1/35 925,000 1,105,383 
5% 1/1/36 1,140,000 1,362,005 
5% 1/1/37 1,115,000 1,331,563 
5% 1/1/38 1,150,000 1,371,251 
5% 1/1/44 2,990,000 3,553,730 
Series GG, 5% 1/1/23 1,600,000 1,662,057 
Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.) Series S, 5% 10/1/24 1,575,000 1,615,762 
Hosp. Auth. of Savannah Auth. Rev. Series 2019 A:   
4% 7/1/35 4,895,000 5,499,515 
4% 7/1/39 2,500,000 2,796,125 
4% 7/1/43 2,615,000 2,905,638 
Main Street Natural Gas, Inc. Bonds:   
Series 2018 C, 4%, tender 12/1/23 (a) 24,120,000 25,296,183 
Series 2019 B, 4%, tender 12/2/24 (a) 6,040,000 6,478,185 
Series 2021 A, 4%, tender 9/1/27 (a) 23,000,000 25,764,287 
Series 2021 C, 4%, tender 12/1/28 (a) 21,585,000 24,077,996 
Private Colleges & Univs. Auth. Rev.:   
(The Savannah College of Art & Design Projs.) Series 2021:   
4% 4/1/38 530,000 604,722 
4% 4/1/40 1,400,000 1,592,015 
5% 4/1/36 1,125,000 1,398,132 
(The Savannah College of Art and Design Projs.) Series 2014:   
5% 4/1/28 (Pre-Refunded to 4/1/24 @ 100) 2,560,000 2,775,319 
5% 4/1/44 (Pre-Refunded to 4/1/24 @ 100) 9,105,000 9,870,813 
Series 2020 B:   
5% 9/1/31 1,125,000 1,410,069 
5% 9/1/33 2,500,000 3,127,740 
TOTAL GEORGIA  176,823,637 
Hawaii - 0.2%   
Hawaii Gen. Oblig.:   
Series 2017 FK, 5% 5/1/33 4,200,000 4,923,288 
Series 2020 C:   
4% 7/1/37 1,100,000 1,277,898 
4% 7/1/38 1,250,000 1,444,195 
TOTAL HAWAII  7,645,381 
Idaho - 0.3%   
Idaho Health Facilities Auth. Rev. Series 2015 ID:   
5% 12/1/24 500,000 553,241 
5.5% 12/1/26 1,200,000 1,363,828 
5.5% 12/1/27 3,250,000 3,686,865 
Idaho Hsg. & Fin. Assoc. Single Family Mtg.:   
(Idaho St Garvee Proj.) Series 2017 A:   
5% 7/15/22 1,850,000 1,887,567 
5% 7/15/23 880,000 932,305 
5% 7/15/24 705,000 770,438 
5% 7/15/25 705,000 793,032 
5% 7/15/26 500,000 577,866 
5% 7/15/27 1,765,000 2,090,525 
Series 2019 A, 4% 1/1/50 485,000 521,060 
TOTAL IDAHO  13,176,727 
Illinois - 15.7%   
Chicago Board of Ed.:   
Series 2011 A:   
5% 12/1/41 1,865,000 1,868,153 
5.25% 12/1/41 1,510,000 1,512,689 
5.5% 12/1/39 2,700,000 2,705,051 
Series 2012 A, 5% 12/1/42 2,815,000 2,882,256 
Series 2015 C, 5.25% 12/1/39 800,000 861,117 
Series 2016 B, 6.5% 12/1/46 400,000 474,967 
Series 2017 A, 7% 12/1/46 (c) 1,400,000 1,735,406 
Series 2017 C:   
5% 12/1/22 1,370,000 1,418,098 
5% 12/1/23 2,730,000 2,912,703 
5% 12/1/24 1,840,000 2,014,894 
5% 12/1/25 2,830,000 3,163,494 
5% 12/1/26 500,000 568,920 
Series 2017 D:   
5% 12/1/24 1,805,000 1,976,568 
5% 12/1/31 1,955,000 2,221,484 
Series 2017 H, 5% 12/1/36 440,000 495,806 
Series 2018 A:   
5% 12/1/24 1,590,000 1,741,132 
5% 12/1/29 4,445,000 5,162,231 
5% 12/1/31 850,000 978,963 
Series 2018 C, 5% 12/1/46 8,695,000 9,772,923 
Series 2019 A:   
5% 12/1/25 2,500,000 2,794,606 
5% 12/1/26 2,100,000 2,389,465 
5% 12/1/29 3,095,000 3,654,212 
5% 12/1/30 4,045,000 4,732,506 
5% 12/1/32 1,700,000 1,979,087 
Chicago Gen. Oblig. Series 2020 A:   
5% 1/1/26 1,660,000 1,854,598 
5% 1/1/27 7,650,000 8,707,699 
5% 1/1/29 3,860,000 4,517,334 
5% 1/1/30 7,450,000 8,814,596 
Chicago Midway Arpt. Rev. Series 2016 B:   
4% 1/1/35 815,000 888,296 
5% 1/1/36 4,500,000 5,114,336 
5% 1/1/37 5,300,000 6,024,156 
5% 1/1/41 6,000,000 6,805,453 
5% 1/1/46 8,470,000 9,593,084 
Chicago O'Hare Int'l. Arpt. Rev.:   
Series 2013 D, 5% 1/1/27 5,175,000 5,361,192 
Series 2016 B, 5% 1/1/34 2,835,000 3,226,178 
Series 2016 C:   
5% 1/1/32 4,750,000 5,404,476 
5% 1/1/33 1,305,000 1,484,321 
5% 1/1/34 1,510,000 1,718,352 
Series 2016 D, 5% 1/1/52 7,075,000 8,167,076 
Series 2017 B:   
5% 1/1/34 1,515,000 1,760,811 
5% 1/1/35 2,540,000 2,951,862 
5% 1/1/36 1,650,000 1,918,079 
5% 1/1/37 6,400,000 7,444,036 
5% 1/1/38 2,250,000 2,611,749 
5% 1/1/39 5,000,000 5,803,870 
Series 2018 B:   
5% 1/1/48 1,115,000 1,314,240 
5% 1/1/53 1,125,000 1,323,534 
Chicago Transit Auth.:   
Series 2014, 5.25% 12/1/49 12,000,000 13,216,163 
Series 2017, 5% 12/1/46 1,900,000 2,180,919 
Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017:   
5% 6/1/22 980,000 994,299 
5% 6/1/23 880,000 926,958 
5% 6/1/24 1,495,000 1,623,832 
5% 6/1/25 745,000 833,313 
5% 6/1/26 1,595,000 1,831,650 
Chicago Wtr. Rev. Series 2017, 5.25% 11/1/33 (Assured Guaranty Muni. Corp. Insured) 445,000 448,804 
Cook County Forest Preservation District Series 2012 C, 5% 12/15/22 1,230,000 1,249,778 
Cook County Gen. Oblig.:   
Series 2012 C:   
5% 11/15/23 4,375,000 4,508,762 
5% 11/15/24 3,500,000 3,615,529 
5% 11/15/25 (Assured Guaranty Muni. Corp. Insured) 5,800,000 5,993,316 
Series 2016 A, 5% 11/15/29 6,110,000 7,088,568 
Grundy & Will Counties Cmnty. School Gen. Oblig. Series 2018, 5% 2/1/29 675,000 783,743 
Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev. Series 1991 A, 0% 7/15/23 (Escrowed to Maturity) 5,600,000 5,511,430 
Illinois Fin. Auth. Academic Facilities (Provident Group UIUC Properties LLC Univ. of Illinois at Urbana-Champaign Proj.) Series 2019 A:   
5% 10/1/31 200,000 243,341 
5% 10/1/32 290,000 352,000 
5% 10/1/33 500,000 605,858 
5% 10/1/35 300,000 362,710 
5% 10/1/36 300,000 362,353 
5% 10/1/37 350,000 422,047 
5% 10/1/38 375,000 451,434 
5% 10/1/39 645,000 774,947 
Illinois Fin. Auth. Rev.:   
(Bradley Univ. Proj.) Series 2017 C, 5% 8/1/31 2,360,000 2,706,117 
(Depaul Univ. Proj.) Series 2016 A:   
4% 10/1/31 1,480,000 1,633,896 
5% 10/1/33 1,500,000 1,727,884 
(Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A:   
5% 7/15/25 795,000 894,270 
5% 7/15/27 1,300,000 1,539,764 
5% 7/15/30 1,490,000 1,776,004 
(OSF Healthcare Sys.) Series 2018 A:   
4.125% 5/15/47 11,085,000 12,315,676 
5% 5/15/43 10,000,000 11,833,947 
(Presence Health Proj.) Series 2016 C:   
5% 2/15/26 1,425,000 1,627,439 
5% 2/15/29 3,455,000 4,043,458 
5% 2/15/36 2,390,000 2,776,888 
(Rosalind Franklin Univ. Research Bldg. Proj.) Series 2017 C, 5% 8/1/49 490,000 550,511 
(Rush Univ. Med. Ctr. Proj.) Series 2015 A, 5% 11/15/34 1,200,000 1,323,849 
Bonds Series 2017 B, 5%, tender 12/15/22 (a) 3,045,000 3,157,910 
Series 2012 A, 5% 5/15/23 (Pre-Refunded to 5/15/22 @ 100) 700,000 709,086 
Series 2012, 5% 9/1/22 (Escrowed to Maturity) 800,000 820,451 
Series 2013:   
5% 11/15/24 1,115,000 1,151,984 
5% 11/15/27 400,000 412,946 
Series 2015 A:   
5% 11/15/31 3,500,000 3,931,970 
5% 11/15/45 9,750,000 10,892,407 
Series 2015 B, 5% 11/15/23 1,845,000 1,973,198 
Series 2015 C:   
5% 8/15/35 3,340,000 3,719,236 
5% 8/15/44 15,400,000 17,098,141 
Series 2016 A:   
5% 7/1/33 1,850,000 2,108,644 
5% 7/1/34 1,000,000 1,139,808 
5% 8/15/34 (Pre-Refunded to 8/15/26 @ 100) 1,800,000 2,079,970 
5% 7/1/36 1,530,000 1,743,905 
5.25% 8/15/29 (Pre-Refunded to 8/15/26 @ 100) 1,015,000 1,183,974 
Series 2016 B:   
5% 8/15/30 3,000,000 3,495,107 
5% 8/15/33 4,585,000 5,332,031 
5% 8/15/34 2,415,000 2,805,935 
Series 2016 C:   
3.75% 2/15/34 725,000 792,455 
4% 2/15/36 3,085,000 3,388,808 
4% 2/15/41 9,155,000 10,001,354 
4% 2/15/41 (Pre-Refunded to 2/15/27 @ 100) 420,000 470,017 
5% 2/15/24 325,000 350,497 
5% 2/15/30 13,250,000 15,485,703 
5% 2/15/31 2,080,000 2,427,664 
5% 2/15/41 3,475,000 4,024,768 
Series 2016:   
4% 2/15/41 (Pre-Refunded to 2/15/27 @ 100) 20,000 22,382 
5% 12/1/29 1,030,000 1,178,160 
5% 12/1/46 2,660,000 3,005,659 
Series 2017 A, 5% 8/1/47 430,000 483,359 
Series 2017:   
5% 1/1/28 3,075,000 3,597,728 
5% 7/1/28 2,745,000 3,210,208 
5% 7/1/33 3,365,000 3,904,039 
5% 7/1/34 2,765,000 3,203,670 
5% 7/1/35 2,290,000 2,649,792 
Series 2018 A:   
4.25% 1/1/44 1,895,000 2,110,405 
5% 1/1/44 11,470,000 13,331,423 
Series 2019:   
4% 9/1/37 400,000 442,358 
4% 9/1/39 1,000,000 1,100,081 
5% 9/1/30 190,000 230,949 
5% 9/1/38 900,000 1,068,831 
Illinois Gen. Oblig.:   
Series 2006, 5.5% 1/1/31 1,945,000 2,431,088 
Series 2012 A:   
4% 1/1/23 1,220,000 1,223,292 
5% 1/1/33 1,700,000 1,705,237 
Series 2012:   
5% 3/1/23 1,500,000 1,505,384 
5% 8/1/23 1,675,000 1,771,763 
5% 3/1/36 1,000,000 1,002,948 
Series 2013 A, 5% 4/1/35 900,000 935,872 
Series 2013:   
5% 7/1/22 320,000 325,682 
5.5% 7/1/38 2,000,000 2,113,216 
Series 2014:   
5% 2/1/23 1,880,000 1,955,666 
5% 4/1/24 3,945,000 4,257,413 
5% 2/1/25 2,245,000 2,411,355 
5% 2/1/27 1,225,000 1,312,840 
5% 4/1/28 580,000 623,917 
5% 5/1/28 3,325,000 3,583,444 
5% 5/1/32 1,400,000 1,503,750 
5% 5/1/33 1,600,000 1,717,815 
5.25% 2/1/29 3,000,000 3,226,034 
5.25% 2/1/30 2,700,000 2,898,862 
5.25% 2/1/31 1,305,000 1,401,983 
Series 2016:   
5% 2/1/23 880,000 915,418 
5% 6/1/25 4,465,000 4,967,166 
5% 2/1/26 1,000,000 1,126,448 
5% 6/1/26 610,000 691,226 
5% 2/1/27 3,745,000 4,291,432 
5% 2/1/28 3,495,000 3,977,000 
5% 2/1/29 3,285,000 3,738,904 
Series 2017 A:   
5% 12/1/23 1,100,000 1,175,272 
5% 12/1/26 3,350,000 3,828,727 
Series 2017 D, 5% 11/1/25 16,310,000 18,295,095 
Series 2018 A:   
5% 10/1/26 1,500,000 1,709,676 
5% 10/1/28 3,500,000 4,104,269 
Series 2019 B:   
5% 9/1/22 3,050,000 3,124,801 
5% 9/1/23 3,105,000 3,292,867 
5% 9/1/24 3,105,000 3,390,761 
Series 2021 A:   
5% 3/1/32 105,000 126,915 
5% 3/1/35 750,000 903,633 
5% 3/1/36 600,000 722,113 
5% 3/1/37 750,000 900,893 
5% 3/1/46 3,000,000 3,538,137 
Illinois Hsg. Dev. Auth. Series 2021, 3% 4/1/51 7,490,000 7,853,493 
Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Series 2019, 2.9% 7/1/35 4,869,707 4,939,804 
Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A:   
5% 2/1/23 1,075,000 1,119,473 
5% 2/1/29 10,000,000 11,226,337 
5% 2/1/31 1,890,000 2,121,089 
Illinois Toll Hwy. Auth. Toll Hwy. Rev.:   
Series 2015 A, 5% 1/1/37 4,445,000 4,959,804 
Series 2016 A:   
5% 12/1/31 945,000 1,068,800 
5% 12/1/32 6,700,000 7,550,525 
Series 2019 A, 5% 1/1/44 1,125,000 1,367,701 
Series 2021 A, 5% 1/1/46 3,000,000 3,702,714 
Series A:   
5% 1/1/37 1,250,000 1,555,915 
5% 1/1/41 2,010,000 2,483,697 
5% 1/1/45 30,470,000 37,211,914 
Kane & DeKalb Counties Cmnty. Unit School District #302 Series 2004, 0% 2/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 5,025,000 5,025,000 
Kane, McHenry, Cook & DeKalb Counties Unit School District #300:   
Series 2015:   
5% 1/1/27 1,500,000 1,663,462 
5% 1/1/28 2,780,000 3,081,259 
Series 2017, 5% 1/1/29 1,030,000 1,221,839 
Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2016, 5% 2/1/33 10,875,000 12,302,812 
McHenry & Kane Counties Cmnty. Consolidated School District #158 Series 2004, 0% 1/1/24 (Assured Guaranty Muni. Corp. Insured) 1,600,000 1,558,083 
McHenry County Cmnty. School District #200 Series 2006 B:   
0% 1/15/24 2,295,000 2,226,634 
0% 1/15/24 (Escrowed to Maturity) 1,965,000 1,923,021 
0% 1/15/25 4,440,000 4,213,828 
0% 1/15/26 3,335,000 3,090,930 
Metropolitan Pier & Exposition:   
(McCormick Place Expansion Proj.):   
Series 2010 B1:   
0% 6/15/43 (Assured Guaranty Muni. Corp. Insured) 32,700,000 17,160,868 
0% 6/15/45 (Assured Guaranty Muni. Corp. Insured) 12,145,000 5,890,964 
0% 6/15/47 (Assured Guaranty Muni. Corp. Insured) 10,605,000 4,775,129 
Series 2012 B, 0% 12/15/51 5,900,000 2,078,718 
Series 2017 B:   
5% 12/15/28 2,000,000 2,329,298 
5% 12/15/32 900,000 1,033,879 
Series 2020 A, 5% 6/15/50 23,245,000 26,390,518 
Series 2022 A, 4% 12/15/42 (d) 5,725,000 6,192,244 
Railsplitter Tobacco Settlement Auth. Rev. Series 2017:   
5% 6/1/23 1,250,000 1,317,044 
5% 6/1/24 1,635,000 1,776,685 
Univ. of Illinois Rev.:   
Series 2013:   
6% 10/1/42 1,935,000 2,078,972 
6.25% 10/1/38 1,900,000 2,050,800 
Series 2018 A, 5% 4/1/29 3,940,000 4,727,991 
Will County Cmnty. Unit School District #365-U Series 2007 B, 0% 11/1/26 (Assured Guaranty Muni. Corp. Insured) 3,175,000 2,937,528 
TOTAL ILLINOIS  709,131,615 
Indiana - 1.3%   
Beech Grove School Bldg. Corp. Series 1996, 5.625% 7/5/24 (Escrowed to Maturity) 940,000 996,172 
Indiana Fin. Auth. Hosp. Rev. (Parkview Health Sys. Proj.) Series 2017 A:   
5% 11/1/24 1,000,000 1,101,381 
5% 11/1/28 450,000 545,307 
5% 11/1/29 1,400,000 1,726,956 
5% 11/1/30 315,000 394,982 
Indiana Fin. Auth. Rev.:   
(Butler Univ. Proj.) Series 2019, 4% 2/1/44 2,595,000 2,882,104 
Series 2015 A, 5.25% 2/1/32 2,940,000 3,323,394 
Series 2015, 5% 3/1/36 4,500,000 4,983,557 
Series 2016:   
5% 9/1/27 1,850,000 2,127,479 
5% 9/1/31 1,835,000 2,091,921 
Indiana Fin. Auth. Wastewtr. Util. Rev.:   
(CWA Auth. Proj.):   
Series 2012 A, 5% 10/1/37 1,700,000 1,747,729 
Series 2014 A:   
5% 10/1/25 1,200,000 1,324,345 
5% 10/1/26 1,750,000 1,927,930 
(CWA Auth. Proj.) Series 2014 A, 5% 10/1/27 1,750,000 1,926,472 
(CWA Auth. Proj.) Series 2015 A, 5% 10/1/29 2,295,000 2,526,430 
Indiana Hsg. & Cmnty. Dev. Auth.:   
(Glasswater Creek of Whitestown Proj.) Series 2020, 5.375% 10/1/40 (c) 1,760,000 1,784,683 
Series 2021 B, 3% 7/1/50 1,240,000 1,298,284 
Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 2017 A:   
5% 1/1/32 4,000,000 4,771,448 
5% 1/1/34 2,000,000 2,381,343 
Indianapolis Local Pub. Impt. (Courthouse and Jail Proj.) Series 2019 A, 5% 2/1/49 3,275,000 3,858,257 
Indianapolis Wtr. Sys. Rev. Series 2018 A, 5% 10/1/32 3,000,000 3,650,848 
Saint Joseph County Econ. Dev. Auth. Rev. (St. Mary's College Proj.):   
Series 2019:   
4% 4/1/39 1,000,000 1,088,285 
4% 4/1/46 2,240,000 2,408,357 
5% 4/1/40 2,240,000 2,621,658 
Series 2020:   
4% 4/1/37 1,660,000 1,812,057 
5% 4/1/29 1,030,000 1,225,305 
TOTAL INDIANA  56,526,684 
Iowa - 0.3%   
Iowa Fin. Auth. Rev.:   
Series 2018 B, 5% 2/15/48 2,500,000 2,959,424 
Series A:   
5% 5/15/43 820,000 889,558 
5% 5/15/48 945,000 1,024,206 
Tobacco Settlement Auth. Tobacco Settlement Rev.:   
Series 2021 A2, 4% 6/1/49 2,800,000 3,066,907 
Series 2021 B1, 4% 6/1/49 3,605,000 3,923,948 
TOTAL IOWA  11,864,043 
Kansas - 0.2%   
Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A:   
5% 9/1/40 4,200,000 4,702,191 
5% 9/1/45 5,125,000 5,711,242 
TOTAL KANSAS  10,413,433 
Kentucky - 3.1%   
Ashland Med. Ctr. Rev.:   
(Ashland Hosp. Corp. d/b/a King's Daughters Med. Ctr. Proj.) Series 2016 A, 5% 2/1/40 1,200,000 1,336,711 
Series 2019:   
5% 2/1/28 50,000 59,181 
5% 2/1/32 65,000 77,675 
Boyle County Edl. Facilities Rev. Series 2017, 5% 6/1/37 1,680,000 1,940,949 
Kenton County Arpt. Board Arpt. Rev.:   
Series 2016:   
5% 1/1/24 800,000 860,158 
5% 1/1/27 1,500,000 1,706,351 
5% 1/1/33 1,300,000 1,479,699 
Series 2019, 5% 1/1/44 2,245,000 2,659,907 
Kentucky Econ. Dev. Fin. Auth.:   
Series 2019 A1:   
5% 8/1/33 1,000,000 1,206,006 
5% 8/1/44 1,000,000 1,175,929 
Series 2019 A2, 5% 8/1/49 2,500,000 2,919,982 
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev.:   
Series 2015 A:   
5% 6/1/25 50,000 55,598 
5% 6/1/26 55,000 61,131 
5% 6/1/27 55,000 60,972 
5% 6/1/28 60,000 66,321 
5% 6/1/29 65,000 71,665 
5% 6/1/30 65,000 71,519 
Series 2017 B:   
5% 8/15/32 2,680,000 3,125,950 
5% 8/15/33 1,325,000 1,543,202 
5% 8/15/35 1,500,000 1,743,591 
Kentucky State Property & Buildings Commission Rev.:   
(Proj. No. 119) Series 2018:   
5% 5/1/27 2,255,000 2,658,282 
5% 5/1/29 1,865,000 2,228,607 
5% 5/1/30 1,250,000 1,488,286 
5% 5/1/31 535,000 639,652 
5% 5/1/32 280,000 334,602 
5% 5/1/33 630,000 752,584 
5% 5/1/34 720,000 859,607 
5% 5/1/35 425,000 502,688 
5% 5/1/36 360,000 425,486 
Series 2016 B, 5% 11/1/26 11,900,000 13,876,027 
Series A:   
4% 11/1/38 635,000 716,237 
5% 11/1/27 5,245,000 6,262,871 
5% 11/1/28 6,415,000 7,778,212 
5% 11/1/29 3,840,000 4,635,898 
5% 11/1/30 2,150,000 2,586,249 
Kentucky, Inc. Pub. Energy Bonds Series A, 4%, tender 6/1/26 (a) 31,480,000 34,290,113 
Louisville & Jefferson County:   
Bonds:   
Series 2020 B, 5%, tender 10/1/23 (a) 4,200,000 4,488,659 
Series 2020 C, 5%, tender 10/1/26 (a) 1,440,000 1,660,008 
Series 2020 D, 5%, tender 10/1/29 (a) 1,730,000 2,126,588 
Series 2013 A:   
5.5% 10/1/33 1,275,000 1,364,126 
5.75% 10/1/38 3,105,000 3,332,116 
Series 2016 A:   
5% 10/1/31 6,400,000 7,359,152 
5% 10/1/32 7,745,000 8,894,457 
5% 10/1/33 4,400,000 5,046,626 
Series 2020 A:   
4% 10/1/40 1,155,000 1,288,864 
5% 10/1/37 2,875,000 3,487,229 
TOTAL KENTUCKY  141,305,723 
Louisiana - 0.2%   
Louisiana Pub. Facilities Auth. Hosp. Rev. (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2017 A, 5% 7/1/47 1,700,000 1,950,642 
Louisiana Pub. Facilities Auth. Rev. (Tulane Univ. of Louisiana Proj.) Series 2016 A:   
5% 12/15/25 445,000 505,606 
5% 12/15/27 2,000,000 2,325,626 
5% 12/15/29 1,200,000 1,391,597 
Tobacco Settlement Fing. Corp. Series 2013 A, 5% 5/15/23 2,500,000 2,633,913 
TOTAL LOUISIANA  8,807,384 
Maine - 0.9%   
Maine Health & Higher Edl. Facilities Auth. Rev.:   
Series 2013, 5% 7/1/33 (Pre-Refunded to 7/1/23 @ 100) 1,000,000 1,058,335 
Series 2016 A:   
4% 7/1/41 1,185,000 1,276,388 
4% 7/1/46 1,765,000 1,890,317 
5% 7/1/41 480,000 541,004 
5% 7/1/46 330,000 369,857 
Series 2018 A:   
5% 7/1/30 1,185,000 1,409,488 
5% 7/1/31 1,100,000 1,309,119 
5% 7/1/34 2,000,000 2,381,027 
5% 7/1/35 2,745,000 3,268,148 
5% 7/1/36 3,250,000 3,870,633 
5% 7/1/37 3,000,000 3,573,014 
5% 7/1/38 2,275,000 2,704,117 
5% 7/1/43 4,500,000 5,303,718 
Series 2018, 5% 7/1/48 4,235,000 4,957,352 
Maine Tpk. Auth. Tpk. Rev.:   
Series 2015, 5% 7/1/37 1,700,000 1,895,084 
Series 2018:   
5% 7/1/33 700,000 836,319 
5% 7/1/34 1,000,000 1,193,852 
5% 7/1/35 1,100,000 1,311,842 
5% 7/1/36 2,000,000 2,383,262 
TOTAL MAINE  41,532,876 
Maryland - 1.4%   
City of Westminster Series 2016, 5% 11/1/31 1,975,000 2,247,213 
Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.:   
Series 2019 B, 4% 9/1/49 2,235,000 2,388,023 
Series 2019 C, 3.5% 3/1/50 2,130,000 2,249,815 
Maryland Dept. of Trans. Consolidated Trans. Rev.:   
Series 2022 A:   
5% 12/1/24 (d) 915,000 1,010,036 
5% 12/1/27 (d) 1,625,000 1,939,412 
Series 2022 B:   
5% 12/1/23 (d) 1,055,000 1,096,227 
5% 12/1/26 (d) 1,745,000 1,967,187 
Maryland Gen. Oblig.:   
Series 2021 2A, 5% 8/1/28 10,480,000 12,804,172 
Series 2022 2D:   
3% 8/1/27 (d) 5,510,000 5,927,559 
4% 8/1/29 (d) 3,000,000 3,476,282 
Maryland Health & Higher Edl. Facilities Auth. Rev.:   
(Medstar Health, Inc. Proj.) Series 2017 A, 5% 5/15/45 1,655,000 1,934,352 
Series 2015, 5% 7/1/40 2,000,000 2,208,235 
Series 2016 A:   
4% 7/1/42 780,000 835,470 
5% 7/1/35 2,055,000 2,342,515 
5% 7/1/38 1,125,000 1,278,321 
Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2020:   
4% 7/1/45 4,095,000 4,619,113 
4% 7/1/50 11,620,000 13,033,152 
Washington Metropolitan Area Transit Auth. Series 2021 A, 5% 7/15/41 2,750,000 3,465,851 
TOTAL MARYLAND  64,822,935 
Massachusetts - 2.8%   
Massachusetts Commonwealth Trans. Fund Rev. Series 2021 A, 5% 6/1/51 5,475,000 6,639,058 
Massachusetts Dev. Fin. Agcy. Rev.:   
(Lesley Univ. Proj.) Series 2016, 5% 7/1/39 1,015,000 1,159,822 
(Univ. of Massachusetts Health Cr., Inc. Proj.) Series 2017 L, 4% 7/1/44 10,000,000 10,887,173 
(Wentworth Institute of Technology Proj.) Series 2017:   
5% 10/1/30 1,165,000 1,322,738 
5% 10/1/33 1,355,000 1,533,468 
Series 2015 D, 5% 7/1/44 2,575,000 2,860,173 
Series 2016 A, 5% 1/1/47 7,000,000 7,802,514 
Series 2019, 5% 9/1/59 13,125,000 15,535,872 
Series 2020 A:   
4% 7/1/45 10,370,000 11,315,750 
5% 10/15/26 5,360,000 6,258,845 
Series A, 4% 6/1/49 6,745,000 7,487,235 
Series BB1, 5% 10/1/46 4,230,000 4,896,910 
Series J2, 5% 7/1/53 2,500,000 2,927,793 
Series M:   
4% 10/1/50 10,565,000 11,487,178 
5% 10/1/45 7,960,000 9,421,790 
Massachusetts Gen. Oblig.:   
Series 2017 A, 5% 4/1/36 1,280,000 1,506,904 
Series 2019 C, 5% 5/1/49 3,725,000 4,481,930 
Series E:   
5% 11/1/45 3,850,000 4,742,383 
5% 11/1/50 13,120,000 16,068,838 
TOTAL MASSACHUSETTS  128,336,374 
Michigan - 1.8%   
Detroit Downtown Dev. Auth. Tax Series A, 5% 7/1/37 (Assured Guaranty Muni. Corp. Insured) 1,035,000 1,117,569 
Detroit Gen. Oblig. Series 2021 A, 5% 4/1/46 1,950,000 2,274,178 
Great Lakes Wtr. Auth. Sew Disp. Sys. Series 2018 A:   
5% 7/1/43 1,500,000 1,773,847 
5% 7/1/48 6,500,000 7,638,492 
Jackson County Series 2019:   
4% 5/1/32 (Build America Mutual Assurance Insured) 2,170,000 2,482,406 
4% 5/1/33 (Build America Mutual Assurance Insured) 2,235,000 2,555,701 
Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016:   
5% 5/15/28 1,445,000 1,660,071 
5% 5/15/28 (Pre-Refunded to 5/15/26 @ 100) 10,000 11,526 
Michigan Bldg. Auth. Rev. (Facilities Prog.) Series 2015 I, 5% 4/15/28 2,000,000 2,263,043 
Michigan Fin. Auth. Rev.:   
(Charter County of Wayne Criminal Justice Ctr. Proj.) Series 2018, 5% 11/1/43 1,845,000 2,191,775 
(Trinity Health Proj.) Series 2017, 5% 12/1/42 1,035,000 1,205,403 
Series 2012:   
5% 11/15/36 1,300,000 1,341,030 
5% 11/15/42 2,950,000 3,041,922 
Series 2013, 5% 8/15/29 3,865,000 4,105,558 
Series 2015 MI, 5% 12/1/25 3,000,000 3,367,103 
Series 2016:   
5% 11/15/32 4,815,000 5,545,275 
5% 11/15/41 1,085,000 1,236,685 
Series 2019 A, 5% 11/15/48 1,645,000 1,962,504 
Series 2020 A, 4% 6/1/49 2,190,000 2,403,263 
Michigan Hosp. Fin. Auth. Rev. Series 2008 C:   
5% 12/1/32 305,000 358,520 
5% 12/1/32 (Pre-Refunded to 12/1/27 @ 100) 40,000 47,809 
Portage Pub. Schools Series 2016:   
5% 11/1/33 1,000,000 1,143,664 
5% 11/1/36 1,250,000 1,424,046 
5% 11/1/37 1,000,000 1,137,472 
Warren Consolidated School District Series 2016:   
5% 5/1/28 4,100,000 4,723,740 
5% 5/1/29 4,230,000 4,862,173 
Wayne County Arpt. Auth. Rev.:   
Series 2015 D:   
5% 12/1/30 1,300,000 1,468,774 
5% 12/1/31 2,300,000 2,594,019 
5% 12/1/40 (Assured Guaranty Muni. Corp. Insured) 3,000,000 3,372,780 
Series 2015 G:   
5% 12/1/31 1,500,000 1,691,751 
5% 12/1/32 1,500,000 1,691,751 
5% 12/1/33 2,000,000 2,255,669 
Series 2015, 5% 12/1/29 1,600,000 1,807,721 
Series 2017 A:   
5% 12/1/28 600,000 707,075 
5% 12/1/29 550,000 647,414 
5% 12/1/30 700,000 823,517 
5% 12/1/33 350,000 416,275 
5% 12/1/37 500,000 593,042 
5% 12/1/37 270,000 316,308 
Series 2017 C, 5% 12/1/28 1,100,000 1,309,740 
TOTAL MICHIGAN  81,570,611 
Minnesota - 1.4%   
Duluth Econ. Dev. Auth. Health Care Facilities Rev. Series 2018 A:   
5% 2/15/48 7,080,000 8,199,305 
5% 2/15/58 11,845,000 13,636,921 
Maple Grove Health Care Sys. Rev.:   
Series 2015, 5% 9/1/27 1,285,000 1,435,950 
Series 2017:   
4% 5/1/22 500,000 504,224 
5% 5/1/23 500,000 524,999 
5% 5/1/24 1,200,000 1,298,913 
Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2017 A:   
5% 11/15/24 1,780,000 1,967,373 
5% 11/15/25 1,365,000 1,551,786 
Minnesota Gen. Oblig. Series 2019 A, 5% 8/1/29 6,140,000 7,666,208 
Minnesota Higher Ed. Facilities Auth. Rev. Series 2018 A:   
5% 10/1/29 1,000,000 1,188,619 
5% 10/1/32 715,000 841,869 
5% 10/1/33 875,000 1,029,889 
5% 10/1/45 1,035,000 1,196,548 
Minnesota Hsg. Fin. Agcy.:   
Series B, 4% 8/1/41 1,345,000 1,545,358 
Series D:   
4% 8/1/38 2,400,000 2,770,192 
4% 8/1/40 2,600,000 2,991,570 
4% 8/1/41 1,705,000 1,958,986 
4% 8/1/43 1,930,000 2,206,418 
Saint Cloud Health Care Rev. Series 2019:   
4% 5/1/49 3,460,000 3,829,471 
5% 5/1/48 4,325,000 5,132,164 
Shakopee Sr. Hsg. Rev. Bonds Series 2018, 5.85%, tender 11/1/25 (a)(c) 3,335,000 3,525,065 
TOTAL MINNESOTA  65,001,828 
Mississippi - 0.1%   
Mississippi Home Corp. Series 2021 B:   
3% 6/1/51 3,215,000 3,372,015 
5% 6/1/28 745,000 892,424 
TOTAL MISSISSIPPI  4,264,439 
Missouri - 0.8%   
Cape Girardeau County Indl. Dev. Auth.:   
(South Eastern Health Proj.) Series 2017 A, 5% 3/1/27 30,000 34,591 
(Southeast Hosp. Proj.) Series 2017 A, 5% 3/1/29 1,470,000 1,684,638 
Kansas City San. Swr. Sys. Rev. Series 2018 B:   
5% 1/1/26 240,000 274,588 
5% 1/1/28 500,000 600,167 
5% 1/1/33 475,000 566,931 
Kansas City Spl. Oblig. (Downtown Streetcar Proj.) Series 2014 A:   
5% 9/1/22 500,000 501,967 
5% 9/1/23 400,000 401,541 
Kansas City Wtr. Rev. Series 2020 A, 4% 12/1/39 1,260,000 1,473,500 
Missouri Health & Edl. Facilities Rev.:   
Series 2015 B:   
3.125% 2/1/27 400,000 420,616 
3.25% 2/1/28 400,000 421,376 
4% 2/1/40 400,000 427,942 
5% 2/1/34 3,115,000 3,423,047 
5% 2/1/36 1,200,000 1,313,567 
5% 2/1/45 1,900,000 2,061,774 
Series 2019 A:   
4% 10/1/48 2,150,000 2,375,194 
5% 10/1/46 4,225,000 5,026,944 
Missouri Hsg. Dev. Commission Single Family Mtg. Rev. Series 2019, 4% 5/1/50 600,000 643,892 
Saint Louis Arpt. Rev.:   
Series 2019 A:   
5% 7/1/44 1,400,000 1,672,073 
5% 7/1/49 1,150,000 1,365,142 
Series A, 5.25% 7/1/26 (Assured Guaranty Muni. Corp. Insured) 3,000,000 3,488,671 
Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev. Series 2018 A, 5.125% 9/1/48 2,660,000 2,924,131 
The Indl. Dev. Auth. of Hannibal (Hannibal Reg'l. Healthcare Sys. Proj.) Series 2017:   
5% 10/1/42 3,425,000 3,955,430 
5% 10/1/47 2,125,000 2,438,293 
TOTAL MISSOURI  37,496,015 
Montana - 0.0%   
Montana Board Hsg. Single Family Series 2019 B, 4% 6/1/50 325,000 352,169 
Nebraska - 0.8%   
Central Plains Energy Proj. Gas Supply Bonds Series 2019, 4%, tender 8/1/25 (a) 14,295,000 15,540,276 
Douglas County Neb Edl. Facilities Rev. (Creighton Univ. Proj.) Series 2017, 4% 7/1/33 775,000 861,972 
Lincoln Elec. Sys. Rev. Series 2018:   
5% 9/1/31 2,000,000 2,334,586 
5% 9/1/32 3,735,000 4,355,864 
5% 9/1/33 2,240,000 2,609,971 
Nebraska Invt. Fin. Auth. Single Family Hsg. Rev. Series 2020 A, 3.5% 9/1/50 1,480,000 1,573,283 
Nebraska Pub. Pwr. District Rev.:   
Series 2016 A:   
5% 1/1/32 1,670,000 1,892,861 
5% 1/1/34 1,000,000 1,135,083 
Series 2016 B, 5% 1/1/32 5,000,000 5,667,250 
TOTAL NEBRASKA  35,971,146 
Nevada - 1.1%   
Carson City Hosp. Rev. (Carson Tahoe Hosp. Proj.) Series 2017:   
5% 9/1/37 2,705,000 3,117,528 
5% 9/1/42 6,665,000 7,685,247 
Clark County Arpt. Rev. Series 2019 A:   
5% 7/1/24 2,750,000 2,998,128 
5% 7/1/25 2,170,000 2,432,876 
5% 7/1/26 1,345,000 1,548,509 
Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig.:   
Series 2012 B, 5% 6/1/42 3,260,000 3,305,149 
Series 2016 A:   
5% 6/1/35 4,150,000 4,754,456 
5% 6/1/36 6,000,000 6,871,199 
Series 2016 B:   
5% 6/1/34 7,495,000 8,590,054 
5% 6/1/36 2,700,000 3,092,039 
Nevada Hsg. Division Single Family Mtg. Rev. Series 2019 B, 4% 10/1/49 995,000 1,064,743 
Tahoe-Douglas Visitors Auth. Series 2020, 5% 7/1/51 3,000,000 3,336,245 
TOTAL NEVADA  48,796,173 
New Hampshire - 1.0%   
Nat'l. Finnance Auth. Series 2020 1, 4.125% 1/20/34 5,060,825 5,670,703 
New Hampshire Health & Ed. Facilities Auth.:   
(Concord Hosp.) Series 2017, 5% 10/1/42 2,000,000 2,309,505 
(Dartmouth-Hitchcock Oblgtd Grp Proj.):   
Series 2018 A:   
5% 8/1/31 1,300,000 1,542,273 
5% 8/1/32 250,000 296,564 
5% 8/1/34 3,000,000 3,566,095 
5% 8/1/36 2,000,000 2,375,808 
5% 8/1/37 2,400,000 2,851,265 
Series 2018, 5% 8/1/35 2,750,000 3,265,795 
(Partners Healthcare Sys., Inc. Proj.) Series 2017, 5% 7/1/41 2,100,000 2,466,543 
Series 2017:   
5% 7/1/36 1,200,000 1,368,574 
5% 7/1/44 1,895,000 2,141,653 
New Hampshire Health & Ed. Facilities Auth. Rev.:   
Series 2012:   
4% 7/1/23 1,000,000 1,012,015 
4% 7/1/32 900,000 906,663 
Series 2016:   
4% 10/1/38 1,165,000 1,250,062 
5% 10/1/28 3,000,000 3,448,147 
5% 10/1/32 5,160,000 5,861,225 
5% 10/1/38 3,765,000 4,256,894 
TOTAL NEW HAMPSHIRE  44,589,784 
New Jersey - 5.6%   
New Jersey Econ. Dev. Auth.:   
(White Horse HMT Urban Renewal LLC Proj.) Series 2020, 5% 1/1/40 (c) 855,000 846,979 
Series A, 5% 11/1/36 5,185,000 6,167,387 
Series QQQ:   
4% 6/15/34 800,000 898,449 
4% 6/15/36 1,100,000 1,228,230 
4% 6/15/39 1,000,000 1,109,342 
4% 6/15/41 1,000,000 1,105,082 
4% 6/15/46 1,500,000 1,639,195 
4% 6/15/50 2,000,000 2,171,161 
5% 6/15/31 1,100,000 1,349,867 
5% 6/15/33 200,000 243,689 
New Jersey Econ. Dev. Auth. Rev.:   
(Black Horse EHT Urban Renewal LLC Proj.) Series 2019 A, 5% 10/1/39 (c) 750,000 750,895 
(New Jersey Gen. Oblig. Proj.):   
Series 2015 XX, 5% 6/15/25 6,215,000 6,940,248 
Series 2017 B, 5% 11/1/24 10,000,000 11,000,864 
(Provident Montclair Proj.) Series 2017:   
5% 6/1/27 (Assured Guaranty Muni. Corp. Insured) 40,000 47,087 
5% 6/1/28 (Assured Guaranty Muni. Corp. Insured) 60,000 70,314 
5% 6/1/29 (Assured Guaranty Muni. Corp. Insured) 45,000 52,529 
Series 2013:   
5% 3/1/23 7,040,000 7,345,523 
5% 3/1/24 6,200,000 6,458,282 
5% 3/1/25 700,000 728,875 
Series 2014 PP, 5% 6/15/26 6,000,000 6,520,664 
Series 2015 XX:   
5% 6/15/22 1,525,000 1,549,017 
5% 6/15/23 1,000,000 1,053,597 
5% 6/15/26 15,000,000 16,726,509 
Series 2016 AAA:   
5% 6/15/41 2,510,000 2,849,572 
5.5% 6/15/30 (Pre-Refunded to 12/15/26 @ 100) 4,995,000 5,950,286 
Series 2016 BBB, 5% 6/15/22 3,120,000 3,169,136 
Series LLL, 4% 6/15/49 2,810,000 3,051,401 
Series MMM, 4% 6/15/36 800,000 890,908 
New Jersey Edl. Facility Series 2016 A, 5% 7/1/29 2,625,000 3,005,225 
New Jersey Gen. Oblig. Series 2020 A:   
4% 6/1/30 2,830,000 3,250,926 
4% 6/1/31 1,065,000 1,235,589 
4% 6/1/32 715,000 837,868 
5% 6/1/29 3,180,000 3,843,568 
New Jersey Health Care Facilities Fing. Auth. Rev.:   
Series 2016 A:   
5% 7/1/22 155,000 157,834 
5% 7/1/23 550,000 581,283 
5% 7/1/24 460,000 501,620 
5% 7/1/25 1,055,000 1,185,060 
5% 7/1/25 495,000 556,023 
5% 7/1/26 155,000 178,884 
5% 7/1/27 (Pre-Refunded to 7/1/26 @ 100) 235,000 271,211 
5% 7/1/28 (Pre-Refunded to 7/1/26 @ 100) 685,000 790,550 
5% 7/1/28 (Pre-Refunded to 7/1/27 @ 100) 35,000 40,393 
5% 7/1/30 1,000,000 1,153,624 
Series 2016:   
4% 7/1/48 1,800,000 1,937,159 
5% 7/1/41 2,190,000 2,476,253 
New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev. Series 2019 A:   
5% 12/1/23 1,005,000 1,076,488 
5% 12/1/24 580,000 639,537 
5% 12/1/25 1,065,000 1,203,264 
New Jersey Tpk. Auth. Tpk. Rev. Series 2021 A:   
4% 1/1/42 4,290,000 4,917,052 
4% 1/1/51 5,000,000 5,637,106 
New Jersey Trans. Trust Fund Auth.:   
(Trans. Prog.) Series 2019 AA, 5.25% 6/15/43 16,055,000 18,947,581 
Series 2005 B, 5.25% 12/15/22 (AMBAC Insured) 400,000 414,841 
Series 2010 A, 0% 12/15/27 7,395,000 6,508,203 
Series 2014 AA, 5% 6/15/24 15,000,000 16,297,983 
Series 2014 BB2, 5% 6/15/34 5,690,000 6,946,532 
Series 2016 A:   
5% 6/15/27 945,000 1,085,228 
5% 6/15/28 3,225,000 3,689,711 
5% 6/15/29 3,550,000 4,058,038 
Series 2016 A2, 5% 6/15/23 2,495,000 2,636,112 
Series 2018 A:   
5% 12/15/32 3,205,000 3,773,110 
5% 12/15/34 1,000,000 1,174,316 
Series 2021 A:   
4% 6/15/38 (d) 540,000 598,107 
5% 6/15/32 3,560,000 4,372,803 
5% 6/15/33 1,000,000 1,223,911 
Series 2022 A:   
4% 6/15/41 (d) 4,900,000 5,381,319 
4% 6/15/42 (d) 3,290,000 3,601,567 
Series 2022 AA:   
5% 6/15/29 (d) 8,000,000 9,535,857 
5% 6/15/35 (d) 625,000 766,337 
5% 6/15/36 (d) 7,325,000 8,934,326 
Series A:   
4% 12/15/39 1,000,000 1,104,616 
4.25% 12/15/38 2,485,000 2,763,611 
Series AA:   
4% 6/15/38 2,815,000 3,129,302 
4% 6/15/45 6,000,000 6,573,808 
5% 6/15/25 2,380,000 2,657,730 
5% 6/15/29 1,340,000 1,362,055 
5% 6/15/37 3,000,000 3,621,270 
5% 6/15/50 3,345,000 3,949,676 
TOTAL NEW JERSEY  252,499,555 
New Mexico - 0.1%   
New Mexico Mtg. Fin. Auth. Series 2019 D, 3.75% 1/1/50 1,335,000 1,424,126 
Santa Fe Retirement Fac.:   
Series 2019 A:   
2.25% 5/15/24 115,000 115,059 
5% 5/15/34 230,000 255,921 
5% 5/15/39 170,000 188,061 
5% 5/15/44 180,000 197,968 
5% 5/15/49 355,000 389,380 
Series 2019 B1, 2.625% 5/15/25 190,000 190,148 
TOTAL NEW MEXICO  2,760,663 
New York - 8.3%   
Dorm. Auth. New York Univ. Rev.:   
(Memorial Sloan-Kettring Cancer Ctr.) Series 2017 1, 5% 7/1/42 1,555,000 1,814,586 
Series 2016 A:   
5% 7/1/23 30,000 31,719 
5% 7/1/25 70,000 78,380 
5% 7/1/32 2,500,000 2,902,981 
Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A:   
5% 2/15/33 3,595,000 4,176,951 
5% 2/15/39 10,000,000 11,514,243 
5% 2/15/42 9,860,000 11,296,818 
Long Island Pwr. Auth. Elec. Sys. Rev. Series 2017:   
5% 9/1/33 500,000 593,338 
5% 9/1/35 2,000,000 2,367,470 
5% 9/1/36 1,135,000 1,341,541 
MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56 17,050,000 17,929,783 
New York City Edl. Construction Fund Series 2021 B, 5% 4/1/46 4,770,000 5,793,888 
New York City Gen. Oblig.:   
Series 2015 C, 5% 8/1/27 1,600,000 1,777,795 
Series 2016 C and D, 5% 8/1/28 1,500,000 1,712,578 
Series 2016 E, 5% 8/1/28 2,550,000 2,956,616 
Series 2021 A1:   
5% 8/1/28 5,880,000 7,098,843 
5% 8/1/29 6,405,000 7,899,933 
Series 2022 A1, 5% 8/1/47 53,135,000 64,828,983 
Series C, 5% 8/1/26 1,715,000 1,981,164 
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.:   
Series 2012 EE, 5.25% 6/15/30 6,300,000 6,412,626 
Series 2020 GG1, 5% 6/15/50 2,730,000 3,296,213 
New York City Transitional Fin. Auth. Bldg. Aid Rev. Series S1, 5% 7/15/27 2,000,000 2,040,151 
New York City Transitional Fin. Auth. Rev.:   
Series 2015 E1, 5% 2/1/41 1,615,000 1,782,391 
Series 2016 A, 5% 5/1/40 1,950,000 2,215,493 
Series 2017 B, 5% 8/1/40 2,000,000 2,285,990 
Series 2019 B1, 5% 8/1/34 2,000,000 2,416,763 
Series E, 5% 2/1/43 4,155,000 4,786,919 
New York Convention Ctr. Dev. Corp. Rev. Series 2015:   
5% 11/15/28 7,205,000 8,133,889 
5% 11/15/29 5,000,000 5,640,674 
New York Dorm. Auth. Mental Health Svcs. Facilities Impt. Rev. Series 2012 A, 5% 5/15/23 2,000,000 2,024,458 
New York Dorm. Auth. Sales Tax Rev.:   
Series 2016 A:   
5% 3/15/31 4,400,000 5,088,027 
5% 3/15/32 1,945,000 2,246,315 
5% 3/15/34 3,200,000 3,686,466 
Series 2018 C, 5% 3/15/38 8,285,000 9,864,429 
New York Metropolitan Trans. Auth. Rev.:   
Series 2012 D, 5% 11/15/25 9,500,000 9,795,207 
Series 2014 B, 5.25% 11/15/44 2,215,000 2,384,324 
Series 2016 C1, 5% 11/15/56 2,000,000 2,244,287 
Series 2017 C-2:   
0% 11/15/29 2,275,000 1,906,223 
0% 11/15/33 5,600,000 4,141,506 
Series 2017 D, 5% 11/15/30 5,000,000 5,808,000 
Series 2020 D:   
4% 11/15/46 33,385,000 35,868,567 
4% 11/15/47 2,335,000 2,504,755 
New York State Dorm. Auth. Series 2021 E:   
4% 3/15/45 12,820,000 14,509,098 
4% 3/15/47 8,900,000 10,039,934 
New York State Urban Dev. Corp.:   
Series 2020 C, 5% 3/15/47 4,600,000 5,571,842 
Series 2020 E:   
4% 3/15/44 24,275,000 27,029,666 
4% 3/15/45 19,700,000 21,879,076 
New York Urban Dev. Corp. Rev.:   
(New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/34 3,700,000 4,324,731 
Gen. Oblig. (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/32 3,130,000 3,666,902 
Series 2017 C, 5% 3/15/31 2,375,000 2,815,110 
Oneida County Local Dev. Corp. Rev. (Mohawk Valley Health Sys. Proj.) Series 2019 A:   
4% 12/1/32 (Assured Guaranty Muni. Corp. Insured) 1,000,000 1,134,930 
5% 12/1/25 (Assured Guaranty Muni. Corp. Insured) 630,000 672,978 
5% 12/1/30 (Assured Guaranty Muni. Corp. Insured) 1,500,000 1,838,250 
Suffolk County Econ. Dev. Corp. Rev. Series 2021:   
5.125% 11/1/41 (c) 600,000 601,840 
5.375% 11/1/54 (c) 1,020,000 1,023,086 
Triborough Bridge & Tunnel Auth. Series 2021 A1, 5% 5/15/51 4,300,000 5,300,747 
TOTAL NEW YORK  375,079,473 
New York And New Jersey - 0.1%   
Port Auth. of New York & New Jersey Series 194, 5.25% 10/15/55 3,365,000 3,800,086 
North Carolina - 1.4%   
Charlotte Ctfs. of Prtn. (Convention Facility Projs.) Series 2019 A, 5% 6/1/46 2,380,000 2,906,481 
Charlotte Int'l. Arpt. Rev.:   
Series 2017 A:   
5% 7/1/35 2,000,000 2,363,083 
5% 7/1/42 2,875,000 3,385,487 
Series 2017 C:   
4% 7/1/36 1,500,000 1,674,362 
4% 7/1/37 1,500,000 1,676,882 
5% 7/1/29 2,575,000 3,039,192 
Nash Health Care Sys. Health Care Facilities Rev. Series 2012, 5% 11/1/41 1,730,000 1,743,083 
New Hanover County Hosp. Rev. Series 2017:   
5% 10/1/27 (Escrowed to Maturity) 220,000 261,549 
5% 10/1/29 (Pre-Refunded to 10/1/27 @ 100) 3,500,000 4,161,001 
5% 10/1/42 (Pre-Refunded to 10/1/27 @ 100) 1,820,000 2,163,720 
North Carolina Med. Care Commission Health Care Facilities Rev.:   
Series 2019 A:   
5% 12/1/29 1,390,000 1,668,001 
5% 12/1/30 1,440,000 1,721,782 
5% 12/1/32 1,095,000 1,305,236 
5% 12/1/33 800,000 953,253 
Series 2021 A:   
4% 3/1/36 900,000 971,058 
4% 3/1/51 1,895,000 1,984,658 
North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev.:   
Series 2015 A, 5% 1/1/28 3,500,000 3,976,434 
Series 2015 C, 5% 1/1/29 8,000,000 9,088,934 
North Carolina Tpk. Auth. Triangle Expressway Sys. Series 2019:   
4% 1/1/55 3,225,000 3,524,019 
5% 1/1/43 4,500,000 5,336,137 
5% 1/1/44 5,610,000 6,637,782 
5% 1/1/49 2,000,000 2,351,256 
TOTAL NORTH CAROLINA  62,893,390 
Ohio - 2.4%   
Akron Bath Copley Hosp. District Rev. Series 2016, 5.25% 11/15/46 4,200,000 4,808,047 
Allen County Hosp. Facilities Rev. Bonds (Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) 1,600,000 1,618,182 
American Muni. Pwr., Inc. (Solar Electricity Prepayment Proj.) Series 2019 A:   
5% 2/15/38 1,500,000 1,790,097 
5% 2/15/39 1,000,000 1,195,565 
5% 2/15/44 3,150,000 3,737,811 
American Muni. Pwr., Inc. Rev.:   
(Greenup Hydroelectric Proj.):   
Series 2016 A, 5% 2/15/41 4,000,000 4,486,199 
Series 2016, 5% 2/15/46 1,280,000 1,432,936 
(Prairie State Energy Campus Proj.) Series 2015, 5% 2/15/28 5,900,000 6,325,700 
Series 2012 B, 5% 2/15/42 705,000 706,205 
Buckeye Tobacco Settlement Fing. Auth. Series 2020 A2:   
5% 6/1/27 2,250,000 2,656,450 
5% 6/1/29 4,100,000 5,015,281 
5% 6/1/34 1,210,000 1,482,811 
Cleveland Arpt. Sys. Rev. Series 2016 A:   
5% 1/1/26 (Assured Guaranty Muni. Corp. Insured) 500,000 552,666 
5% 1/1/27 (Assured Guaranty Muni. Corp. Insured) 2,175,000 2,405,417 
5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) 1,000,000 1,105,030 
Cleveland Income Tax Rev. Series 2018 A:   
5% 10/1/35 2,000,000 2,392,453 
5% 10/1/37 1,250,000 1,493,629 
5% 10/1/38 1,500,000 1,789,857 
Columbus City School District Series 2016 A, 5% 12/1/32 1,000,000 1,146,105 
Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013:   
5% 6/15/25 70,000 72,482 
5% 6/15/26 75,000 77,511 
5% 6/15/27 80,000 82,531 
5% 6/15/28 85,000 87,522 
5.25% 6/15/43 5,000,000 5,144,416 
Franklin County Rev. (Trinity Health Proj.) Series 2017, 5% 12/1/47 8,235,000 9,541,657 
Hamilton County Convention Facilities Auth. Rev. Series 2014, 5% 12/1/26 1,900,000 2,021,196 
Lake County Hosp. Facilities Rev. Series 2015:   
5% 8/15/26 (Pre-Refunded to 8/15/25 @ 100) 1,170,000 1,318,920 
5% 8/15/27 (Pre-Refunded to 8/15/25 @ 100) 65,000 73,273 
Lancaster Port Auth. Gas Rev. Bonds Series 2019, 5%, tender 2/1/25 (a) 11,070,000 12,232,339 
Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013:   
5% 2/15/27 170,000 175,972 
5% 2/15/44 1,900,000 1,954,187 
5% 2/15/48 4,400,000 4,520,471 
Ohio Gen. Oblig. Series 2018 A, 5% 6/15/37 3,470,000 3,946,506 
Ohio Higher Edl. Facility Commission Rev. Series 2019, 4% 10/1/44 1,775,000 1,936,305 
Ohio Hosp. Facilities Rev. Series 2017 A, 5% 1/1/31 2,500,000 2,992,882 
Ohio Hosp. Rev. Series 2020 A, 4% 1/15/50 825,000 908,409 
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 475,000 514,131 
Ohio Tpk. Commission Tpk. Rev. (Infrastructure Proj.) Series 2005 A, 0% 2/15/42 5,800,000 3,189,993 
Scioto County Hosp. Facilities Rev.:   
Series 2016, 5% 2/15/29 1,265,000 1,431,930 
Series 2019, 5% 2/15/29 3,080,000 3,487,628 
Univ. of Akron Gen. Receipts Series 2019 A:   
4% 1/1/28 3,700,000 4,196,354 
5% 1/1/30 1,800,000 2,222,620 
Wood County Hosp. Facilities Rev. (Wood County Hosp. Proj.) Series 2012:   
5% 12/1/32 (Pre-Refunded to 12/1/22 @ 100) 280,000 290,250 
5% 12/1/32 (Pre-Refunded to 12/1/22 @ 100) 140,000 145,125 
5% 12/1/42 (Pre-Refunded to 12/1/22 @ 100) 355,000 367,996 
5% 12/1/42 (Pre-Refunded to 12/1/22 @ 100) 175,000 181,406 
TOTAL OHIO  109,254,453 
Oklahoma - 0.3%   
Grand River Dam Auth. Rev. Series 2014 A, 5% 6/1/39 7,000,000 7,591,415 
Oklahoma City Pub. Property Auth. Hotel Tax Rev. Series 2015:   
5% 10/1/24 1,105,000 1,215,510 
5% 10/1/32 1,100,000 1,242,947 
Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B:   
5% 8/15/27 30,000 34,958 
5% 8/15/28 30,000 35,612 
5% 8/15/29 10,000 11,872 
Oklahoma Dev. Fin. Auth. Rev. (Oklahoma City Univ. Proj.) Series 2019, 5% 8/1/44 1,685,000 1,907,345 
TOTAL OKLAHOMA  12,039,659 
Oregon - 0.9%   
Oregon Bus. Dev. Commission Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23 (a) 18,000,000 18,363,233 
Oregon State Hsg. & Cmnty. Svcs. Dept. Series 2019 A, 4% 7/1/50 5,590,000 5,984,563 
Polk Marion & Benton School District # 13J Series B, 0% 12/15/38 2,115,000 1,357,523 
Washington, Multnomah & Yamhill County School District #1J Series 2017:   
5% 6/15/33 1,080,000 1,274,290 
5% 6/15/35 3,135,000 3,690,123 
5% 6/15/36 3,000,000 3,532,911 
5% 6/15/37 4,000,000 4,703,778 
5% 6/15/38 3,000,000 3,522,764 
TOTAL OREGON  42,429,185 
Pennsylvania - 5.2%   
Allegheny County Arpt. Auth. Rev. Series 2021 B:   
5% 1/1/51 5,665,000 6,793,667 
5% 1/1/56 12,495,000 14,975,711 
Allegheny County Hosp. Dev. Auth. Rev. Series 2019 A, 4% 7/15/36 2,500,000 2,822,186 
Allegheny County Indl. Dev. Auth. Rev. Series 2021:   
3.5% 12/1/31 1,370,000 1,266,186 
4% 12/1/41 2,260,000 2,027,584 
4.25% 12/1/50 2,515,000 2,228,443 
Bucks County Indl. Dev. Auth. Hosp. Rev. Series 2021:   
5% 7/1/37 1,470,000 1,779,284 
5% 7/1/39 2,930,000 3,533,946 
Cap. Region Wtr. Wtr. Rev. Series 2018:   
5% 7/15/26 1,000,000 1,150,127 
5% 7/15/38 1,000,000 1,198,447 
Centre County Pennsylvania Hosp. Auth. Rev. (Mount Nittany Med. Ctr. Proj.) Series 2018 A, 5% 11/15/24 1,000,000 1,103,523 
Coatesville Area School District Series 2017:   
5% 8/1/22 (Assured Guaranty Muni. Corp. Insured) 235,000 240,080 
5% 8/1/22 (Escrowed to Maturity) 25,000 25,558 
5% 8/1/23 (Assured Guaranty Muni. Corp. Insured) 450,000 476,632 
Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A, 5% 6/1/29 1,330,000 1,530,353 
Delaware County Auth. Rev. Series 2017, 5% 7/1/26 1,180,000 1,270,856 
Doylestown Hosp. Auth. Hosp. Rev. Series 2016 A, 5% 7/1/46 830,000 914,042 
Lancaster County Hosp. Auth. Health Ctr. Rev. Series 2021, 5% 11/1/51 3,295,000 3,927,233 
Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A:   
4% 7/1/37 2,000,000 2,239,194 
4% 7/1/38 2,180,000 2,433,499 
4% 7/1/39 2,500,000 2,783,481 
5% 7/1/44 2,500,000 2,997,213 
Lehigh County Indl. Dev. Auth. Poll. Cont. Rev. Bonds:   
(PPL Elec. Utils. Corp. Proj.) Series 2016 A, 1.8%, tender 9/1/22 (a) 2,450,000 2,464,414 
Series B, 1.8%, tender 8/15/22 (a) 3,255,000 3,272,990 
Monroeville Fin. Auth. UPMC Rev. Series 2012, 5% 2/15/26 1,700,000 1,935,762 
Montgomery County Higher Ed. & Health Auth. Rev.:   
Series 2014 A, 5% 10/1/23 2,355,000 2,488,254 
Series 2016 A:   
5% 10/1/28 40,000 45,108 
5% 10/1/29 45,000 50,585 
5% 10/1/30 4,350,000 4,877,051 
5% 10/1/32 140,000 156,561 
5% 10/1/36 4,655,000 5,193,572 
5% 10/1/40 2,545,000 2,830,607 
Series 2019, 4% 9/1/44 5,165,000 5,693,168 
Montgomery County Indl. Dev. Auth. Series 2015 A, 5.25% 1/15/36 3,005,000 3,348,354 
Northampton County Gen. Purp. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2018 A, 4% 8/15/48 7,240,000 7,955,444 
Pennsylvania Ctfs. Prtn. Series 2018 A:   
5% 7/1/35 750,000 882,240 
5% 7/1/36 1,000,000 1,174,197 
5% 7/1/37 800,000 939,388 
5% 7/1/38 750,000 879,018 
5% 7/1/43 2,000,000 2,324,221 
Pennsylvania Higher Edl. Facilities Auth. Rev.:   
(Drexel Univ. Proj.) Series 2016, 5% 5/1/35 1,585,000 1,790,471 
Series 2016:   
5% 5/1/29 1,000,000 1,135,205 
5% 5/1/31 1,000,000 1,131,688 
Pennsylvania Pub. School Bldg. Auth. School Rev. (The School District of The City of Harrisburg Proj.) Series 2016 A:   
5% 12/1/29 4,865,000 5,685,161 
5% 12/1/29 (Pre-Refunded to 12/1/26 @ 100) 765,000 894,329 
Pennsylvania State Univ. Series 2020 A, 4% 9/1/50 4,100,000 4,615,995 
Pennsylvania Tpk. Commission Tpk. Rev. Series 2021 A, 4% 12/1/50 18,000,000 20,104,013 
Philadelphia Arpt. Rev. Series 2017 A:   
5% 7/1/28 500,000 587,315 
5% 7/1/29 500,000 587,291 
5% 7/1/30 550,000 646,182 
5% 7/1/31 600,000 704,927 
5% 7/1/32 550,000 646,363 
5% 7/1/33 600,000 705,245 
5% 7/1/42 2,390,000 2,802,169 
5% 7/1/47 2,000,000 2,342,747 
Philadelphia Auth. for Indl. Dev. Series 2017, 5% 11/1/47 11,090,000 12,395,692 
Philadelphia Gas Works Rev.:   
Series 16 A, 4% 8/1/45 (Assured Guaranty Muni. Corp. Insured) 2,315,000 2,610,180 
Series 2015:   
5% 8/1/26 1,000,000 1,125,919 
5% 8/1/27 1,000,000 1,125,188 
5% 8/1/28 2,000,000 2,250,375 
Philadelphia Gen. Oblig.:   
Series 2019 A:   
5% 8/1/23 1,740,000 1,847,544 
5% 8/1/25 4,665,000 5,260,946 
Series 2019 B:   
5% 2/1/33 1,600,000 1,966,202 
5% 2/1/36 1,485,000 1,809,455 
5% 2/1/37 1,915,000 2,328,007 
Philadelphia School District:   
Series 2016 F, 5% 9/1/29 3,475,000 3,997,871 
Series 2018 A:   
5% 9/1/34 1,450,000 1,738,580 
5% 9/1/35 1,000,000 1,196,466 
Series 2018 B, 5% 9/1/43 1,395,000 1,653,044 
Series 2019 A:   
4% 9/1/35 2,305,000 2,614,127 
4% 9/1/36 2,000,000 2,264,502 
5% 9/1/31 1,165,000 1,429,015 
5% 9/1/33 2,060,000 2,530,860 
5% 9/1/33 6,870,000 8,412,992 
Pittsburgh & Allegheny County Parking Sys. Series 2017:   
5% 12/15/35 1,125,000 1,329,579 
5% 12/15/37 500,000 590,618 
Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev. Series 2019 B, 5% 9/1/32 (Assured Guaranty Muni. Corp. Insured) 2,000,000 2,589,748 
Pocono Mountains Indl. Park Auth. (St. Luke's Hosp. - Monroe Proj.) Series 2015 A, 5% 8/15/40 1,795,000 1,968,539 
Southcentral Pennsylvania Gen. Auth. Rev. Series 2019 A:   
4% 6/1/44 1,490,000 1,666,342 
4% 6/1/49 3,545,000 3,927,545 
5% 6/1/44 2,595,000 3,119,386 
5% 6/1/49 4,145,000 4,952,572 
State Pub. School Bldg. Auth. Lease Rev. (The School District of Philadelphia Proj.) Series 2015 A, 5% 6/1/26 735,000 821,362 
Union County Hosp. Auth. Rev. Series 2018 B:   
5% 8/1/33 1,000,000 1,129,745 
5% 8/1/38 3,205,000 3,624,352 
5% 8/1/48 2,850,000 3,221,859 
TOTAL PENNSYLVANIA  236,105,892 
Rhode Island - 0.4%   
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev.:   
Series 2016 B:   
5% 9/1/31 4,875,000 5,435,160 
5% 9/1/36 185,000 204,531 
Series 2016, 5% 5/15/39 3,285,000 3,646,953 
Rhode Island Hsg. & Mtg. Fin. Corp.:   
Series 2019 70, 4% 10/1/49 1,155,000 1,232,964 
Series 2021 74, 3% 4/1/49 5,390,000 5,644,139 
TOTAL RHODE ISLAND  16,163,747 
South Carolina - 2.9%   
Charleston County Arpt. District Series 2019:   
5% 7/1/43 1,600,000 1,911,103 
5% 7/1/48 12,000,000 14,350,614 
Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015, 5% 12/1/24 4,535,000 5,000,521 
South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50 1,615,000 1,749,375 
South Carolina Jobs-Econ. Dev. Auth. Series 2019 C, 5% 7/1/32 4,320,000 5,209,583 
South Carolina Pub. Svc. Auth. Rev.:   
Series 2013 E, 5.5% 12/1/53 14,160,000 15,623,766 
Series 2014 A:   
5% 12/1/49 16,565,000 18,470,995 
5.5% 12/1/54 14,400,000 16,207,144 
Series 2015 A, 5% 12/1/50 2,045,000 2,355,404 
Series 2015 E, 5.25% 12/1/55 3,265,000 3,849,593 
Series 2016 B:   
5% 12/1/35 3,630,000 4,223,180 
5% 12/1/36 5,445,000 6,327,693 
Series 2016 C:   
5% 12/1/22 500,000 518,133 
5% 12/1/23 840,000 900,864 
5% 12/1/24 515,000 569,382 
5% 12/1/25 600,000 682,700 
5% 12/1/26 1,000,000 1,168,547 
5% 12/1/27 1,600,000 1,864,491 
South Carolina Trans. Infrastructure Bank Rev. Series 2015 A, 5% 10/1/23 1,430,000 1,528,044 
Spartanburg County Reg'l. Health Series 2017 A:   
4% 4/15/43 9,915,000 10,976,379 
4% 4/15/48 6,915,000 7,582,555 
5% 4/15/48 9,380,000 10,960,214 
TOTAL SOUTH CAROLINA  132,030,280 
South Dakota - 0.2%   
South Dakota Health & Edl. Facilities Auth. Rev.:   
Series 2014 B, 5% 11/1/44 5,000,000 5,451,527 
Series 2017:   
5% 7/1/30 850,000 996,692 
5% 7/1/35 725,000 848,071 
TOTAL SOUTH DAKOTA  7,296,290 
Tennessee - 0.8%   
Chattanooga Health Ed. & Hsg. Facility Board Rev.:   
Series 2019 A1, 4% 8/1/44 1,800,000 1,966,808 
Series 2019 A2:   
5% 8/1/37 860,000 1,028,220 
5% 8/1/44 1,190,000 1,399,355 
Greeneville Health & Edl. Facilities Board Series 2018 A:   
5% 7/1/23 500,000 528,876 
5% 7/1/24 1,000,000 1,056,150 
5% 7/1/25 1,000,000 1,055,423 
Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev. (Lipscomb Univ. Proj.) Series 2019 A:   
4% 10/1/49 2,590,000 2,730,417 
5.25% 10/1/58 7,775,000 8,917,984 
Shelby County Health Edl. & Hsg. Facilities Board Rev. (Methodist Le Bonheur Health Proj.) Series 2017 A:   
5% 5/1/22 705,000 712,961 
5% 5/1/23 1,600,000 1,683,077 
5% 5/1/25 1,300,000 1,452,906 
5% 5/1/27 1,230,000 1,445,889 
5% 5/1/29 1,240,000 1,445,378 
5% 5/1/30 2,395,000 2,789,059 
5% 5/1/31 1,260,000 1,465,937 
Tennessee Energy Acquisition Corp. Bonds (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (a) 6,645,000 6,848,673 
TOTAL TENNESSEE  36,527,113 
Texas - 6.1%   
Austin Wtr. & Wastewtr. Sys. Rev. Series 2016, 5% 11/15/37 4,010,000 4,650,224 
Central Reg'l. Mobility Auth.:   
Series 2015 A:   
5% 1/1/40 (Pre-Refunded to 7/1/25 @ 100) 2,000,000 2,251,560 
5% 1/1/45 (Pre-Refunded to 7/1/25 @ 100) 1,000,000 1,125,780 
Series 2020 A, 5% 1/1/49 3,940,000 4,653,650 
Series 2020 B, 5% 1/1/45 1,750,000 2,075,201 
Corpus Christi Util. Sys. Rev. Series 2012, 5% 7/15/23 3,400,000 3,464,184 
Cypress-Fairbanks Independent School District Series 2016, 5% 2/15/27 1,885,000 2,158,380 
Dallas Area Rapid Transit Sales Tax Rev.:   
Series 2016 A, 5% 12/1/33 (Pre-Refunded to 12/1/25 @ 100) 1,625,000 1,852,905 
Series 2020 A, 5% 12/1/45 1,435,000 1,758,025 
Dallas Fort Worth Int'l. Arpt. Rev.:   
Series 2020 B:   
4% 11/1/34 3,410,000 3,947,272 
4% 11/1/35 3,030,000 3,503,329 
Series 2021 B, 5% 11/1/43 5,860,000 7,141,603 
Dallas Independent School District Bonds:   
Series 2016, 5%, tender 2/15/22 (a) 30,000 30,052 
Series B6, 5%, tender 2/15/22 (a) 775,000 776,330 
Garland Elec. Util. Sys. Rev. Series 2021 A:   
4% 3/1/46 1,800,000 2,043,322 
4% 3/1/51 2,250,000 2,533,678 
Grand Parkway Trans. Corp.:   
Series 2018 A:   
5% 10/1/36 5,000,000 6,038,119 
5% 10/1/37 10,000,000 12,079,288 
5% 10/1/43 5,500,000 6,608,722 
Series 2020 C, 4% 10/1/49 2,900,000 3,220,199 
Harris County Toll Road Rev. (Harris County Toll Road Auth. Proj.) Series 2018 A, 5% 8/15/33 2,000,000 2,400,620 
Houston Arpt. Sys. Rev. Series 2018 D:   
5% 7/1/29 1,900,000 2,284,744 
5% 7/1/30 2,500,000 3,003,746 
5% 7/1/31 2,250,000 2,710,966 
5% 7/1/32 2,000,000 2,406,475 
5% 7/1/39 7,080,000 8,386,269 
Houston Gen. Oblig. Series 2017 A, 5% 3/1/29 1,080,000 1,261,827 
Houston Util. Sys. Rev.:   
Series 2014 C, 5% 5/15/28 1,485,000 1,611,789 
Series 2016 B, 5% 11/15/33 1,400,000 1,624,222 
Irving Hosp. Auth. Hosp. Rev. Series 2017 A:   
5% 10/15/33 1,055,000 1,187,095 
5% 10/15/34 1,670,000 1,879,850 
5% 10/15/35 1,215,000 1,365,488 
5% 10/15/44 835,000 940,301 
Lower Colorado River Auth. Rev.:   
(LCRA Transmission Svcs. Corp. Proj.) Series 2018:   
5% 5/15/33 4,510,000 5,392,657 
5% 5/15/35 2,125,000 2,537,895 
Series 2015 B:   
5% 5/15/30 4,500,000 5,027,145 
5% 5/15/31 7,200,000 8,036,040 
Series 2015 D:   
5% 5/15/27 1,500,000 1,678,801 
5% 5/15/29 2,150,000 2,401,858 
New Hope Cultural Ed. Facilities Fin. Corp. (Childrens Med. Ctr. of Dallas) Series 2017 A:   
5% 8/15/28 1,500,000 1,770,382 
5% 8/15/47 1,205,000 1,399,997 
Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/29 2,100,000 2,373,650 
North Texas Tollway Auth. Rev.:   
(Sr. Lien Proj.) Series 2017 A:   
5% 1/1/30 1,425,000 1,611,102 
5% 1/1/34 1,000,000 1,160,190 
5% 1/1/35 1,300,000 1,508,247 
5% 1/1/36 1,200,000 1,391,612 
5% 1/1/37 4,705,000 5,453,865 
(Sub Lien Proj.) Series 2017 B:   
5% 1/1/30 265,000 299,285 
5% 1/1/31 370,000 417,570 
5% 1/1/33 1,500,000 1,738,745 
Series 2008 I, 6.2% 1/1/42 (Pre-Refunded to 1/1/25 @ 100) 1,700,000 1,945,938 
Series 2014:   
5% 1/1/23 575,000 597,841 
5% 1/1/23 (Escrowed to Maturity) 375,000 389,896 
5% 1/1/24 1,680,000 1,805,998 
5% 1/1/24 (Escrowed to Maturity) 820,000 882,198 
Series 2015 A, 5% 1/1/32 1,550,000 1,706,242 
Series 2015 B, 5% 1/1/31 7,115,000 7,855,829 
Series 2016 A:   
5% 1/1/32 3,000,000 3,389,355 
5% 1/1/39 1,000,000 1,126,944 
Series 2017 A, 5% 1/1/43 4,100,000 4,856,335 
Series 2018, 0% 1/1/29 (Assured Guaranty Corp. Insured) 15,110,000 13,264,885 
San Antonio Elec. & Gas Sys. Rev.:   
Series 2012, 5.25% 2/1/25 1,600,000 1,790,538 
Series 2017:   
5% 2/1/32 1,250,000 1,476,259 
5% 2/1/34 1,500,000 1,767,181 
San Antonio Independent School District Series 2016, 5% 8/15/31 2,010,000 2,319,467 
San Antonio Wtr. Sys. Rev. Series 2012, 5% 5/15/26 2,560,000 2,593,570 
Southwest Higher Ed. Auth. Rev.:   
(Southern Methodist Univ. Proj.) Series 2016 A:   
5% 10/1/40 3,525,000 4,031,118 
5% 10/1/45 4,000,000 4,570,464 
(Southern Methodist Univ., TX. Proj.) Series 2017:   
5% 10/1/32 750,000 885,784 
5% 10/1/41 1,500,000 1,774,319 
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. Series 2015, 5% 9/1/30 5,000,000 5,432,595 
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.:   
Series 2016 A:   
5% 2/15/25 395,000 439,643 
5% 2/15/41 8,335,000 9,508,103 
Series 2018 B, 5% 7/1/43 1,400,000 1,665,237 
Texas Dept. of Hsg. & Cmnty. Affairs Multi-family Hsg. Rev. Series 2019, 2.95% 7/1/36 3,547,376 3,680,000 
Texas Dept. of Hsg. & Cmnty. Affairs Single Family Mtg. Rev.:   
Series 2019 A, 4% 3/1/50 3,410,000 3,699,914 
Series A, 3.5% 3/1/51 3,000,000 3,211,991 
Texas Gen. Oblig. Series 2016, 5% 4/1/41 3,120,000 3,547,052 
Texas Private Activity Bond Surface Trans. Corp. (LBJ Infrastructure Group LLC I-635 Managed Lanes Proj.) Series 2020 A:   
4% 12/31/36 2,035,000 2,288,139 
4% 6/30/37 3,000,000 3,370,287 
4% 12/31/37 4,000,000 4,493,716 
4% 12/31/38 2,250,000 2,520,872 
Texas State Univ. Sys. Fing. Rev.:   
Series 2017 A:   
5% 3/15/28 3,045,000 3,583,758 
5% 3/15/31 2,000,000 2,335,546 
Series 2019 A:   
4% 3/15/34 2,250,000 2,585,749 
4% 3/15/35 2,000,000 2,295,265 
Texas Wtr. Dev. Board Rev.:   
Series 2018 B, 5% 4/15/49 1,870,000 2,234,950 
Series 2020:   
5% 8/1/25 1,000,000 1,130,684 
5% 8/1/26 2,400,000 2,790,679 
Univ. of Houston Univ. Revs. Series 2017 A:   
5% 2/15/30 3,145,000 3,587,798 
5% 2/15/33 3,500,000 3,982,442 
Univ. of Texas Permanent Univ. Fund Rev. Series 2016 B, 5% 7/1/29 940,000 1,087,026 
TOTAL TEXAS  275,675,863 
Utah - 1.2%   
Salt Lake City Arpt. Rev.:   
Series 2017 B:   
5% 7/1/34 1,640,000 1,928,296 
5% 7/1/35 1,500,000 1,759,521 
5% 7/1/36 1,500,000 1,759,158 
5% 7/1/37 1,000,000 1,171,676 
5% 7/1/47 1,525,000 1,780,323 
Series 2018 B:   
5% 7/1/43 3,000,000 3,525,799 
5% 7/1/48 3,000,000 3,523,829 
Series 2021 B:   
5% 7/1/46 5,535,000 6,741,676 
5% 7/1/51 22,305,000 26,970,343 
Utah County Hosp. Rev. Series 2020 A, 5% 5/15/50 2,015,000 2,442,680 
TOTAL UTAH  51,603,301 
Vermont - 0.2%   
Vermont Edl. & Health Bldg. Fin. Agcy. Rev.:   
(Champlain College Proj.) Series 2016 A:   
5% 10/15/41 2,400,000 2,627,888 
5% 10/15/46 2,800,000 3,049,079 
(Middlebury College Proj.) Series 2020, 4% 11/1/50 4,500,000 5,034,737 
TOTAL VERMONT  10,711,704 
Virginia - 0.9%   
Chesapeake Gen. Oblig. Series 2020 A:   
5% 8/1/34 1,185,000 1,507,224 
5% 8/1/35 1,305,000 1,656,515 
Fredericksburg Econ. Dev. Auth. Rev. Series 2014, 5% 6/15/26 1,960,000 2,129,533 
Stafford County Econ. Dev. Auth. Hosp. Facilities Rev.:   
(Mary Washington Hosp. Proj.) Series 2016, 3% 6/15/29 370,000 386,100 
Series 2016:   
4% 6/15/37 345,000 370,351 
5% 6/15/28 1,000,000 1,144,494 
5% 6/15/33 225,000 253,954 
5% 6/15/36 1,000,000 1,126,000 
Virginia College Bldg. Auth. Edl. Facilities Rev.:   
(21St Century Collage and Equip. Programs) Series 2021 A, 4% 2/1/35 17,055,000 19,987,355 
Series 2015 A, 5% 1/1/40 (Pre-Refunded to 1/1/25 @ 100) 1,400,000 1,554,268 
Virginia Commonwealth Trans. Board Rev. (Virginia Gen. Oblig. Proj.) Series 2017 A:   
5% 5/15/32 475,000 566,789 
5% 5/15/33 2,000,000 2,384,033 
Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Series 2021 A1, 5% 8/1/27 5,000,000 5,960,259 
Winchester Econ. Dev. Auth. Series 2015, 5% 1/1/44 2,500,000 2,802,212 
TOTAL VIRGINIA  41,829,087 
Washington - 3.1%   
Chelan County Pub. Util. District #1 Columbia River-Rock Island Hydro-Elec. Sys. Rev. Series A, 0% 6/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,200,000 1,069,943 
Port of Seattle Rev. Series 2016:   
5% 2/1/25 1,250,000 1,388,902 
5% 2/1/28 2,000,000 2,278,413 
Tacoma Elec. Sys. Rev. Series 2017:   
5% 1/1/37 1,000,000 1,154,048 
5% 1/1/38 1,000,000 1,153,028 
Tobacco Settlement Auth. Rev. Series 2013, 5% 6/1/22 3,500,000 3,553,016 
Washington Gen. Oblig.:   
Series 2015 C:   
5% 2/1/33 1,500,000 1,659,199 
5% 2/1/34 2,400,000 2,653,225 
Series 2017 D, 5% 2/1/33 2,100,000 2,444,489 
Series 2018 D, 5% 8/1/33 5,450,000 6,433,339 
Series 2021 A, 5% 8/1/43 2,005,000 2,471,651 
Series 2021 C, 5% 2/1/43 29,830,000 37,090,201 
Series R-2017 A:   
5% 8/1/27 945,000 1,094,343 
5% 8/1/28 945,000 1,092,108 
5% 8/1/30 945,000 1,090,769 
Washington Health Care Facilities Auth. Rev.:   
(Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B:   
5% 7/1/29 405,000 482,686 
5% 7/1/31 860,000 1,018,839 
5% 7/1/34 2,645,000 3,116,582 
5% 7/1/35 2,350,000 2,763,366 
5% 7/1/36 2,250,000 2,642,432 
5% 7/1/42 9,220,000 10,808,036 
(Providence Health Systems Proj.):   
Series 2012 A, 5% 10/1/24 6,700,000 6,898,125 
Series 2018 B:   
5% 10/1/30 1,200,000 1,449,450 
5% 10/1/31 1,500,000 1,809,257 
5% 10/1/32 1,035,000 1,248,628 
5% 10/1/33 2,500,000 3,018,418 
(Virginia Mason Med. Ctr. Proj.) Series 2017:   
5% 8/15/29 2,250,000 2,596,053 
5% 8/15/30 1,000,000 1,150,203 
Series 2015, 5% 1/1/26 2,000,000 2,235,176 
Series 2017 B, 4% 8/15/41 7,250,000 8,027,734 
Series 2019 A1:   
5% 8/1/34 1,895,000 2,280,308 
5% 8/1/37 1,000,000 1,195,605 
Series 2019 A2:   
5% 8/1/35 2,855,000 3,427,139 
5% 8/1/39 1,120,000 1,331,756 
Series 2020, 5% 9/1/55 10,080,000 12,152,330 
Washington Higher Ed. Facilities Auth. Rev. (Whitworth Univ. Proj.) Series 2016 A:   
5% 10/1/34 1,600,000 1,807,873 
5% 10/1/35 1,000,000 1,129,144 
5% 10/1/40 1,625,000 1,826,436 
Washington Hsg. Fin. Commission Nonprofit Hsg. Rev. (Judson Park Proj.) Series 2018:   
4% 7/1/28 (c) 100,000 103,744 
5% 7/1/33 (c) 325,000 346,649 
5% 7/1/38 (c) 100,000 106,161 
5% 7/1/48 (c) 300,000 316,097 
TOTAL WASHINGTON  141,914,901 
West Virginia - 0.2%   
West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 A, 5% 1/1/33 1,840,000 2,171,186 
West Virginia Parkways Auth. Series 2021, 5% 6/1/47 6,000,000 7,418,331 
TOTAL WEST VIRGINIA  9,589,517 
Wisconsin - 1.7%   
Blue Ridge Healthcare Pub. Fin. Auth. Series 2020 A, 4% 1/1/45 1,500,000 1,664,399 
Pub. Fin. Auth. Sr Liv Rev. (Mary's Woods At Marylhurst, Inc. Proj.) Series 2017 A:   
5% 5/15/25 (c) 530,000 565,310 
5% 5/15/28 (c) 580,000 621,422 
5.25% 5/15/37 (c) 190,000 203,679 
5.25% 5/15/42 (c) 235,000 251,538 
5.25% 5/15/47 (c) 235,000 251,235 
5.25% 5/15/52 (c) 435,000 464,490 
Pub. Fin. Auth. Edl. Facilities Series 2018 A:   
5.25% 10/1/43 610,000 683,045 
5.25% 10/1/48 610,000 679,854 
Pub. Fin. Auth. Hosp. Rev. Series 2019 A, 5% 10/1/44 6,165,000 7,280,768 
Pub. Fin. Auth. Wisconsin Retirement Facility Rev. Series 2018:   
5% 10/1/43 (c) 515,000 557,166 
5% 10/1/48 (c) 660,000 711,887 
5% 10/1/53 (c) 1,710,000 1,841,347 
Roseman Univ. of Health:   
Series 2020, 5% 4/1/50 (c) 1,085,000 1,217,666 
Series 2021 A, 4.5% 6/1/56 (c) 12,925,000 12,483,481 
Series 2021 B, 6.5% 6/1/56 (c) 3,825,000 3,762,057 
Wisconsin Health & Edl. Facilities:   
Bonds Series 2018 B, 5%, tender 1/29/25 (a) 10,000,000 11,087,558 
Series 2014:   
4% 5/1/33 1,475,000 1,535,402 
5% 5/1/23 1,410,000 1,478,691 
5% 5/1/25 775,000 835,432 
Series 2015, 5% 12/15/44 10,000,000 10,970,668 
Series 2017 A:   
5% 9/1/30 (Pre-Refunded to 9/1/27 @ 100) 1,270,000 1,500,363 
5% 9/1/32 (Pre-Refunded to 9/1/27 @ 100) 1,100,000 1,299,527 
Series 2019 A:   
2.25% 11/1/26 1,055,000 1,058,635 
5% 11/1/39 4,210,000 4,618,242 
Series 2019 B1, 2.825% 11/1/28 1,190,000 1,189,993 
Series 2019 B2, 2.55% 11/1/27 760,000 762,231 
Wisconsin Health & Edl. Facilities Auth. Rev. Series 2012:   
5% 10/1/24 1,400,000 1,436,611 
5% 6/1/27 1,000,000 1,014,659 
5% 6/1/39 1,190,000 1,205,879 
Wisconsin St Gen. Fund Annual Appropriation Series 2019 A, 5% 5/1/29 3,000,000 3,543,175 
TOTAL WISCONSIN  76,776,410 
TOTAL MUNICIPAL BONDS   
(Cost $4,343,276,281)  4,506,548,186 
 Shares Value 
Money Market Funds - 1.6%   
Fidelity Tax-Free Cash Central Fund 0.08%(f)(g)   
(Cost $70,101,436) 70,087,422 70,108,427 
TOTAL INVESTMENT IN SECURITIES - 101.3%   
(Cost $4,413,377,717)  4,576,656,613 
NET OTHER ASSETS (LIABILITIES) - (1.3)%  (58,389,882) 
NET ASSETS - 100%  $4,518,266,731 

Legend

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

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

 (c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $52,080,426 or 1.2% of net assets.

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

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

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

 (g) Affiliated fund that is 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.

Affiliated Central Funds

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 Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Tax-Free Cash Central Fund 0.08% $144,334,000 $641,048,997 $715,282,000 $83,055 $439 $6,991 $70,108,427 7.2% 
Total $144,334,000 $641,048,997 $715,282,000 $83,055 $439 $6,991 $70,108,427  

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.

Investment Valuation

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

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Municipal Securities $4,506,548,186 $-- $4,506,548,186 $-- 
Money Market Funds 70,108,427 70,108,427 -- -- 
Total Investments in Securities: $4,576,656,613 $70,108,427 $4,506,548,186 $-- 

Other Information

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

General Obligations 27.8% 
Health Care 20.9% 
Transportation 17.7% 
Special Tax 7.3% 
Education 7.2% 
Electric Utilities 6.8% 
Others* (Individually Less Than 5%) 12.3% 
 100.0% 

* Includes net other assets

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


Financial Statements

Statement of Assets and Liabilities

  January 31, 2022 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $4,343,276,281) 		$4,506,548,186  
Fidelity Central Funds (cost $70,101,436) 70,108,427  
Total Investment in Securities (cost $4,413,377,717)  $4,576,656,613 
Cash  224,733 
Receivable for fund shares sold  3,478,049 
Dividends receivable  27 
Interest receivable  44,145,384 
Distributions receivable from Fidelity Central Funds  5,098 
Prepaid expenses  3,819 
Receivable from investment adviser for expense reductions  763,480 
Other receivables  217 
Total assets  4,625,277,420 
Liabilities   
Payable for investments purchased on a delayed delivery basis $85,218,124  
Payable for fund shares redeemed 14,981,243  
Distributions payable 4,982,315  
Accrued management fee 1,341,262  
Other affiliated payables 403,839  
Other payables and accrued expenses 83,906  
Total liabilities  107,010,689 
Net Assets  $4,518,266,731 
Net Assets consist of:   
Paid in capital  $4,354,393,479 
Total accumulated earnings (loss)  163,873,252 
Net Assets  $4,518,266,731 
Net Asset Value, offering price and redemption price per share ($4,518,266,731 ÷ 383,334,898 shares)  $11.79 

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


Statement of Operations

  Year ended January 31, 2022 
Investment Income   
Interest  $122,032,061 
Income from Fidelity Central Funds  79,798 
Total income  122,111,859 
Expenses   
Management fee $16,064,573  
Transfer agent fees 4,135,553  
Accounting fees and expenses 643,826  
Custodian fees and expenses 41,943  
Independent trustees' fees and expenses 13,760  
Registration fees 127,279  
Audit 62,837  
Legal 8,565  
Miscellaneous 19,559  
Total expenses before reductions 21,117,895  
Expense reductions (9,588,987)  
Total expenses after reductions  11,528,908 
Net investment income (loss)  110,582,951 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 14,006,789  
Fidelity Central Funds 439  
Capital gain distributions from Fidelity Central Funds 3,257  
Total net realized gain (loss)  14,010,485 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (182,621,879)  
Fidelity Central Funds 6,991  
Total change in net unrealized appreciation (depreciation)  (182,614,888) 
Net gain (loss)  (168,604,403) 
Net increase (decrease) in net assets resulting from operations  $(58,021,452) 

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


Statement of Changes in Net Assets

 Year ended January 31, 2022 Year ended January 31, 2021 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $110,582,951 $109,918,319 
Net realized gain (loss) 14,010,485 7,566,446 
Change in net unrealized appreciation (depreciation) (182,614,888) 22,377,211 
Net increase (decrease) in net assets resulting from operations (58,021,452) 139,861,976 
Distributions to shareholders (123,268,008) (121,502,501) 
Share transactions   
Proceeds from sales of shares 913,491,530 1,043,223,645 
Reinvestment of distributions 57,887,688 57,315,370 
Cost of shares redeemed (746,733,438) (1,102,822,650) 
Net increase (decrease) in net assets resulting from share transactions 224,645,780 (2,283,635) 
Total increase (decrease) in net assets 43,356,320 16,075,840 
Net Assets   
Beginning of period 4,474,910,411 4,458,834,571 
End of period $4,518,266,731 $4,474,910,411 
Other Information   
Shares   
Sold 74,806,481 87,410,198 
Issued in reinvestment of distributions 4,763,272 4,802,393 
Redeemed (61,459,051) (94,544,900) 
Net increase (decrease) 18,110,702 (2,332,309) 

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


Financial Highlights

Fidelity Tax-Free Bond Fund

      
Years ended January 31, 2022 2021 2020 2019 2018 
Selected Per–Share Data      
Net asset value, beginning of period $12.25 $12.13 $11.37 $11.39 $11.30 
Income from Investment Operations      
Net investment income (loss)A,B .291 .312 .337 .340 .352 
Net realized and unrealized gain (loss) (.427) .152 .772 .003 .139 
Total from investment operations (.136) .464 1.109 .343 .491 
Distributions from net investment income (.291) (.312) (.337) (.340) (.352) 
Distributions from net realized gain (.033) (.032) (.012) (.023) (.049) 
Total distributions (.324) (.344) (.349) (.363) (.401) 
Net asset value, end of period $11.79 $12.25 $12.13 $11.37 $11.39 
Total ReturnC (1.16)% 3.94% 9.87% 3.09% 4.38% 
Ratios to Average Net AssetsB,D,E      
Expenses before reductions .46% .46% .46% .46% .46% 
Expenses net of fee waivers, if any .25% .25% .25% .25% .25% 
Expenses net of all reductions .25% .25% .25% .25% .25% 
Net investment income (loss) 2.39% 2.62% 2.86% 3.02% 3.06% 
Supplemental Data      
Net assets, end of period (000 omitted) $4,518,267 $4,474,910 $4,458,835 $3,611,503 $3,777,700 
Portfolio turnover rateF 8% 19% 8% 23% 17% 

 A Calculated based on average shares outstanding during the period.

 B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.

 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 adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.

 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 January 31, 2022

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(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% 

 (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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

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

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2022 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of January 31, 2022, 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 daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. 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 market discount and excise tax regulations.

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

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

Gross unrealized appreciation $201,213,308 
Gross unrealized depreciation $(37,714,318) 
Net unrealized appreciation (depreciation) $163,498,990 
Tax Cost $4,413,157,623 

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

Undistributed long-term capital gain $550,807 
Net unrealized appreciation (depreciation) on securities and other investments $163,498,990 

The tax character of distributions paid was as follows:

 January 31, 2022 January 31, 2021 
Tax-exempt Income $110,516,107 $109,851,350 
Ordinary Income – 2,977,380 
Long-term Capital Gains 12,751,901 8,673,771 
Total $123,268,008 $ 121,502,501 

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

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

4. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Fidelity Tax-Free Bond Fund 778,258,027 355,927,322 

5. Fees and Other Transactions with Affiliates.

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

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

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

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

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

6. Committed Line of Credit.

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

 Amount 
Fidelity Tax-Free Bond Fund $7,843 

7. Expense Reductions.

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .25% of average net assets. This reimbursement will remain in place through May 31, 2023. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $9,528,446.

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 $2,148.

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $58,393.

8. Other.

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

9. 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 Tax-Free Bond Fund

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Fidelity Tax-Free Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of January 31, 2022, 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 January 31, 2022, 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 January 31, 2022, 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

March 15, 2022


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 286 funds. Mr. Chiel oversees 179 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. Michael E. Kenneally 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

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 Chairman (2018-2021) and 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

Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank’s institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization’s equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned 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 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 a member of the Board of McKesson Corporation (healthcare service, 2002-2021). In addition, 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), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-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); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (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.

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Deputy 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). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).

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 (August 1, 2021 to January 31, 2022).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

 Annualized Expense Ratio-A Beginning
Account Value
August 1, 2021 		Ending
Account Value
January 31, 2022 		Expenses Paid
During Period-B
August 1, 2021
to January 31, 2022 
Fidelity Tax-Free Bond Fund .25%    
Actual  $1,000.00 $968.70 $1.24 
Hypothetical-C  $1,000.00 $1,023.95 $1.28 

 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 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

 C 5% return per year before expenses

Distributions (Unaudited)

The Board of Trustees of Fidelity Tax-Free Bond Fund voted to pay on March 7, 2022, to shareholders of record at the opening of business on March 4, 2022, a distribution of $0.002 per share derived from capital gains realized from sales of portfolio securities.

The fund hereby designates as a capital gain dividend with respect to the taxable year ended January 31, 2022, $14,010,807, or, if subsequently determined to be different, the net capital gain of such year.

During fiscal year ended 2022, 100% of the fund's income dividends was free from federal income tax, and 0.00% of the fund's income dividends was subject to the federal alternative minimum tax.

The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Tax-Free Bond Fund

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

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

At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

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

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

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

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

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

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

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

The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to appropriate peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.

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

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

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


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2020.

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

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

The Board noted that the fund's total expense ratio ranked below the similar sales load structure group competitive median for 2020 and below the ASPG competitive median for 2020.

The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.25% through May 31, 2022.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.

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

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

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

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

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.

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

Economies of Scale.  The Board considered 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. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total "group assets" increase, and for higher group fee rates as total "group assets" decrease ("group assets" as defined in the management contract). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board also considered that Fidelity agreed to impose a temporary fee waiver in the form of additional breakpoints to the current breakpoint schedule. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as "group assets" increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.

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

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

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





Fidelity Investments

SFB-ANN-0422
1.769635.120

Fidelity® Series Large Cap Value Index Fund



Annual Report

January 31, 2022

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 and Management Fees


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

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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2022 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 COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, 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. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.

Extreme events such as the COVID-19 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 continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, 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 January 31, 2022 Past 1 year Past 5 years Life of fundA 
Fidelity® Series Large Cap Value Index Fund 23.41% 10.52% 10.10% 

 A From November 7, 2013

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® Series Large Cap Value Index Fund on November 7, 2013, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the Russell 1000® Value Index performed over the same period.


Period Ending Values
$22,099Fidelity® Series Large Cap Value Index Fund
$22,450Russell 1000® Value Index

Management's Discussion of Fund Performance

Market Recap:  The S&P 500® index gained 23.29% for the 12 months ending January 31, 2022. U.S. large-cap equities retreated to begin the new year after posting a strong result in 2021, driven by improved economic growth, strong corporate earnings, widespread COVID-19 vaccination, and accommodative fiscal and monetary stimulus. These tailwinds, among others, have supported the historic rebound for U.S. stocks since the early-2020 outbreak and spread of COVID-19. The uptrend was briefly interrupted in September, with the index returning -4.65% as sentiment turned broadly negative due to a host of factors. These included inflationary pressure from surging commodity prices, rising bond yields, supply constraint and disruption, and the delta variant of the coronavirus. Also, the U.S. Federal Reserve signaled it could soon begin to taper the bond purchases it has made since the onset of the pandemic. The S&P 500® reversed course in October, rising 7.01% on earnings strength, followed by a 4.48% advance in December, after studies suggested that the omicron variant resulted in fewer severe COVID-19 cases. Uncertainty then washed over the market in January, with stocks sliding (-5.17%) as investors digested the Fed’s accelerated plan to hike interest rates amid soaring inflation, growing geopolitical tension and persistent coronavirus concerns. The January pullback – the largest opening-month decline since 2009 – was most sharply felt in more-speculative stocks, while fundamentally sound equities held steadier for the 12 months.

Comments from the Geode Capital Management, LLC, passive equity index team:  For the fiscal year ending January 31, 2022, the fund gained 23.41%, roughly in line with the 23.37% advance of the benchmark Russell 1000® Value Index. By sector, financials gained 38% and contributed most. Energy, which gained roughly 78%, also helped, as did health care, which advanced approximately 16%. The industrials sector rose 18%, consumer staples gained about 21% and real estate advanced 34%. Other notable contributors included the consumer discretionary (+18%), materials (+22%), information technology (+9%), utilities (+15%) and communication services (+2%) sectors. Turning to individual stocks, the top contributor was Berkshire Hathaway (+37%), from the diversified financials category. In energy, Exxon Mobil (+79%) was helpful, and Bank of America (+58%) from the banks industry also contributed. Alphabet, within the media & entertainment segment, rose about 48%, and Pfizer, within the pharmaceuticals, biotechnology & life sciences group, gained 52% and boosted the fund. Conversely, the biggest individual detractor was Disney (-15%), from the media & entertainment segment, followed by Intel (-10%), which is in the semiconductors & semiconductor equipment category. Within software & services, Twilio returned roughly -43% and hurt. Other detractors were Teladoc Health (-71%), a stock in the health care equipment & services group, and T-Mobile (-14%), from the telecommunication services 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 Ten Stocks as of January 31, 2022

 % of fund's net assets 
Berkshire Hathaway, Inc. Class B 2.8 
Johnson & Johnson 2.2 
JPMorgan Chase & Co. 2.1 
UnitedHealth Group, Inc. 2.0 
Procter & Gamble Co. 1.9 
Bank of America Corp. 1.6 
Exxon Mobil Corp. 1.6 
Pfizer, Inc. 1.4 
Chevron Corp. 1.2 
The Walt Disney Co. 1.2 
 18.0 

Top Market Sectors as of January 31, 2022

 % of fund's net assets 
Financials 21.3 
Health Care 17.5 
Industrials 11.1 
Information Technology 9.7 
Consumer Staples 7.5 
Communication Services 7.4 
Energy 6.2 
Consumer Discretionary 5.4 
Utilities 5.1 
Real Estate 4.9 

Asset Allocation (% of fund's net assets)

As of January 31, 2022* 
   Stocks and Equity Futures 100.0% 


 * Foreign investments - 4.5%

Schedule of Investments January 31, 2022

Showing Percentage of Net Assets

Common Stocks - 99.8%   
 Shares Value 
COMMUNICATION SERVICES - 7.4%   
Diversified Telecommunication Services - 2.0%   
AT&T, Inc. 2,062,645 $52,597,448 
Lumen Technologies, Inc. 294,139 3,635,558 
Verizon Communications, Inc. 1,196,597 63,694,858 
  119,927,864 
Entertainment - 1.8%   
Activision Blizzard, Inc. 222,938 17,614,331 
Electronic Arts, Inc. 81,829 10,855,435 
Live Nation Entertainment, Inc. (a) 24,544 2,687,813 
Madison Square Garden Sports Corp. (a)(b) 3,341 554,840 
Take-Two Interactive Software, Inc. (a) 26,407 4,313,319 
The Walt Disney Co. (a) 497,556 71,135,581 
World Wrestling Entertainment, Inc. Class A (b) 1,685 84,149 
Zynga, Inc. (a) 155,487 1,410,267 
  108,655,735 
Interactive Media & Services - 1.3%   
Alphabet, Inc.:   
Class A (a) 12,072 32,667,677 
Class C (a) 11,264 30,570,158 
IAC (a) 22,045 3,010,024 
TripAdvisor, Inc. (a)(b) 11,117 301,827 
Twitter, Inc. (a) 201,421 7,555,302 
Vimeo, Inc. (a) 3,368 49,341 
  74,154,329 
Media - 2.0%   
Altice U.S.A., Inc. Class A (a) 18,188 262,271 
Cable One, Inc. 734 1,133,832 
Charter Communications, Inc. Class A (a) 1,908 1,132,093 
Comcast Corp. Class A 1,316,934 65,833,531 
Discovery Communications, Inc.:   
Class A (a) 47,721 1,331,893 
Class C (non-vtg.) (a) 90,922 2,486,717 
DISH Network Corp. Class A (a) 71,650 2,249,810 
Fox Corp.:   
Class A 91,902 3,732,140 
Class B 43,382 1,612,943 
Interpublic Group of Companies, Inc. 113,041 4,017,477 
Liberty Broadband Corp.:   
Class A (a) 6,667 975,715 
Class C (a) 40,776 6,051,566 
Liberty Media Corp.:   
Liberty Formula One Group Series C (a) 57,356 3,454,552 
Liberty Media Class A (a) 6,692 366,722 
Liberty SiriusXM Series A (a) 26,818 1,240,333 
Liberty SiriusXM Series C (a) 46,056 2,142,986 
Loyalty Ventures, Inc. (a) 5,723 167,741 
News Corp.:   
Class A 112,676 2,505,914 
Class B 34,797 773,885 
Nexstar Broadcasting Group, Inc. Class A 10,587 1,750,878 
Omnicom Group, Inc. 60,733 4,576,839 
Sirius XM Holdings, Inc. (b) 254,357 1,617,711 
The New York Times Co. Class A 47,605 1,905,628 
ViacomCBS, Inc.:   
Class A (b) 2,381 87,097 
Class B 168,160 5,624,952 
  117,035,226 
Wireless Telecommunication Services - 0.3%   
T-Mobile U.S., Inc. (a) 170,094 18,399,068 
TOTAL COMMUNICATION SERVICES  438,172,222 
CONSUMER DISCRETIONARY - 5.4%   
Auto Components - 0.3%   
Aptiv PLC (a) 63,604 8,687,034 
BorgWarner, Inc. 69,066 3,028,544 
Gentex Corp. 68,246 2,142,924 
Lear Corp. 17,307 2,895,807 
QuantumScape Corp. Class A (a)(b) 20,196 337,071 
  17,091,380 
Automobiles - 0.8%   
Ford Motor Co. 1,129,600 22,930,880 
General Motors Co. (a) 396,909 20,929,012 
Harley-Davidson, Inc. (b) 44,206 1,528,201 
Rivian Automotive, Inc. (b) 30,911 2,032,089 
Thor Industries, Inc. (b) 9,080 858,877 
  48,279,059 
Distributors - 0.2%   
Genuine Parts Co. 40,171 5,351,982 
LKQ Corp. 78,447 4,305,956 
  9,657,938 
Diversified Consumer Services - 0.1%   
Bright Horizons Family Solutions, Inc. (a) 3,509 450,591 
Chegg, Inc. (a) 9,828 260,147 
Frontdoor, Inc. (a) 7,768 281,978 
Grand Canyon Education, Inc. (a) 11,399 953,868 
H&R Block, Inc. (b) 9,921 226,794 
Mister Car Wash, Inc. (b) 4,275 73,530 
Service Corp. International 46,266 2,855,538 
Terminix Global Holdings, Inc. (a) 34,984 1,509,210 
  6,611,656 
Hotels, Restaurants & Leisure - 1.6%   
ARAMARK Holdings Corp. (b) 66,078 2,265,815 
Boyd Gaming Corp. 18,584 1,105,005 
Caesars Entertainment, Inc. (a) 22,304 1,698,227 
Carnival Corp. (a)(b) 245,712 4,867,555 
Darden Restaurants, Inc. 12,049 1,685,294 
Domino's Pizza, Inc. 3,350 1,523,078 
Hilton Worldwide Holdings, Inc. (a) 26,082 3,784,759 
Hyatt Hotels Corp. Class A (a) 14,283 1,308,466 
Marriott Vacations Worldwide Corp. 12,009 1,950,021 
McDonald's Corp. 177,264 45,991,145 
MGM Resorts International 112,528 4,807,196 
Norwegian Cruise Line Holdings Ltd. (a)(b) 106,503 2,218,457 
Penn National Gaming, Inc. (a) 44,497 2,029,508 
Planet Fitness, Inc. (a) 7,473 662,407 
Royal Caribbean Cruises Ltd. (a)(b) 63,217 4,918,915 
Six Flags Entertainment Corp. (a) 13,751 543,027 
Travel+Leisure Co. 8,199 465,703 
Wyndham Hotels & Resorts, Inc. 9,736 817,337 
Yum China Holdings, Inc. 113,938 5,488,393 
Yum! Brands, Inc. 77,484 9,698,672 
  97,828,980 
Household Durables - 0.6%   
D.R. Horton, Inc. 55,625 4,962,863 
Garmin Ltd. 43,667 5,433,048 
Leggett & Platt, Inc. 38,379 1,529,403 
Lennar Corp.:   
Class A 77,271 7,426,516 
Class B 4,412 356,181 
Mohawk Industries, Inc. (a) 15,848 2,501,924 
Newell Brands, Inc. 109,682 2,545,719 
NVR, Inc. (a) 303 1,614,148 
PulteGroup, Inc. 51,571 2,717,276 
Toll Brothers, Inc. 19,012 1,121,138 
TopBuild Corp. (a)(b) 1,640 381,546 
Whirlpool Corp. 17,143 3,603,287 
  34,193,049 
Internet & Direct Marketing Retail - 0.0%   
Doordash, Inc. (a) 5,057 573,919 
Qurate Retail, Inc. Series A 104,092 731,767 
Wayfair LLC Class A (a)(b) 9,784 1,525,521 
  2,831,207 
Leisure Products - 0.1%   
Brunswick Corp. 19,356 1,757,331 
Hasbro, Inc. 36,886 3,411,217 
Hayward Holdings, Inc. (b) 14,335 282,256 
Polaris, Inc. 5,021 565,314 
  6,016,118 
Multiline Retail - 0.6%   
Dollar General Corp. 38,529 8,032,526 
Dollar Tree, Inc. (a) 64,237 8,429,179 
Kohl's Corp. 43,100 2,573,501 
Nordstrom, Inc. (a)(b) 4,877 109,733 
Ollie's Bargain Outlet Holdings, Inc. (a)(b) 18,762 899,450 
Target Corp. 77,727 17,133,363 
  37,177,752 
Specialty Retail - 0.8%   
Advance Auto Parts, Inc. 18,159 4,203,990 
AutoNation, Inc. (a) 11,939 1,301,351 
AutoZone, Inc. (a) 4,749 9,433,176 
Bath & Body Works, Inc. 29,786 1,670,101 
Best Buy Co., Inc. 54,557 5,416,419 
Burlington Stores, Inc. (a) 1,112 263,466 
CarMax, Inc. (a)(b) 42,996 4,779,865 
Dick's Sporting Goods, Inc. (b) 18,127 2,091,856 
Foot Locker, Inc. 25,933 1,158,686 
Gap, Inc. 57,893 1,046,127 
Leslie's, Inc. (a)(b) 4,412 91,902 
Lithia Motors, Inc. Class A (sub. vtg.) 7,710 2,252,322 
O'Reilly Automotive, Inc. (a) 13,358 8,706,077 
Penske Automotive Group, Inc. 8,862 900,645 
Petco Health & Wellness Co., Inc. (b) 14,977 280,819 
Victoria's Secret & Co. (a) 9,131 509,784 
Vroom, Inc. (a)(b) 24,946 200,067 
Williams-Sonoma, Inc. 5,106 819,717 
  45,126,370 
Textiles, Apparel & Luxury Goods - 0.3%   
Capri Holdings Ltd. (a) 42,592 2,558,501 
Carter's, Inc. 11,910 1,109,059 
Columbia Sportswear Co. 10,575 982,100 
Deckers Outdoor Corp. (a) 6,824 2,185,250 
Hanesbrands, Inc. 40,126 646,029 
PVH Corp. 20,479 1,945,710 
Ralph Lauren Corp. 13,798 1,529,370 
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) 33,777 1,418,634 
Tapestry, Inc. 72,448 2,749,402 
Under Armour, Inc.:   
Class A (sub. vtg.) (a) 54,275 1,021,998 
Class C (non-vtg.) (a) 59,047 944,162 
VF Corp. 33,355 2,175,080 
  19,265,295 
TOTAL CONSUMER DISCRETIONARY  324,078,804 
CONSUMER STAPLES - 7.5%   
Beverages - 0.9%   
Brown-Forman Corp.:   
Class A 6,431 402,838 
Class B (non-vtg.) 26,837 1,809,619 
Constellation Brands, Inc. Class A (sub. vtg.) 45,039 10,708,022 
Keurig Dr. Pepper, Inc. 201,614 7,651,251 
Molson Coors Beverage Co. Class B 51,477 2,453,394 
Monster Beverage Corp. (a) 7,694 667,224 
PepsiCo, Inc. 67,824 11,768,820 
The Coca-Cola Co. 329,621 20,110,177 
  55,571,345 
Food & Staples Retailing - 1.5%   
Albertsons Companies, Inc. (b) 44,844 1,262,359 
Casey's General Stores, Inc. 10,631 1,996,608 
Costco Wholesale Corp. 8,298 4,191,569 
Grocery Outlet Holding Corp. (a)(b) 25,122 637,596 
Kroger Co. 213,324 9,298,793 
U.S. Foods Holding Corp. (a) 63,698 2,245,991 
Walgreens Boots Alliance, Inc. 207,042 10,302,410 
Walmart, Inc. 414,228 57,913,217 
  87,848,543 
Food Products - 1.8%   
Archer Daniels Midland Co. 160,646 12,048,450 
Beyond Meat, Inc. (a)(b) 1,997 130,065 
Bunge Ltd. 39,628 3,917,624 
Campbell Soup Co. (b) 56,273 2,482,765 
Conagra Brands, Inc. 135,124 4,696,910 
Darling Ingredients, Inc. (a)(b) 44,130 2,814,170 
Flowers Foods, Inc. 54,111 1,522,142 
General Mills, Inc. 176,136 12,097,020 
Hormel Foods Corp. (b) 81,582 3,872,698 
Ingredion, Inc. 19,344 1,831,877 
Kellogg Co. 40,376 2,543,688 
Lamb Weston Holdings, Inc. 29,644 1,903,441 
McCormick & Co., Inc. (non-vtg.) 71,973 7,219,612 
Mondelez International, Inc. 402,624 26,987,887 
Pilgrim's Pride Corp. (a) 8,106 226,725 
Post Holdings, Inc. (a) 17,014 1,800,421 
Seaboard Corp. 73 278,859 
The Hain Celestial Group, Inc. (a)(b) 26,246 958,766 
The Hershey Co. 5,985 1,179,464 
The J.M. Smucker Co. 30,256 4,253,388 
The Kraft Heinz Co. 200,403 7,174,427 
Tyson Foods, Inc. Class A 82,852 7,530,418 
  107,470,817 
Household Products - 2.3%   
Church & Dwight Co., Inc. 67,027 6,880,322 
Colgate-Palmolive Co. 113,286 9,340,431 
Kimberly-Clark Corp. 48,355 6,656,066 
Procter & Gamble Co. 694,941 111,503,283 
Reynolds Consumer Products, Inc. (b) 15,697 475,148 
Spectrum Brands Holdings, Inc. 12,040 1,076,135 
The Clorox Co. 6,745 1,132,216 
  137,063,601 
Personal Products - 0.0%   
Coty, Inc. Class A (a) 97,897 830,167 
Herbalife Nutrition Ltd. (a)(b) 24,495 1,041,282 
Olaplex Holdings, Inc. 18,827 411,182 
  2,282,631 
Tobacco - 1.0%   
Altria Group, Inc. 237,380 12,077,894 
Philip Morris International, Inc. 449,636 46,245,063 
  58,322,957 
TOTAL CONSUMER STAPLES  448,559,894 
ENERGY - 6.2%   
Energy Equipment & Services - 0.5%   
Baker Hughes Co. Class A 212,617 5,834,210 
Halliburton Co. 242,077 7,441,447 
NOV, Inc. 112,379 1,845,263 
Schlumberger Ltd. 403,795 15,776,271 
  30,897,191 
Oil, Gas & Consumable Fuels - 5.7%   
Antero Midstream GP LP (b) 96,163 956,822 
APA Corp. 104,550 3,472,106 
Chevron Corp. 558,632 73,365,141 
ConocoPhillips Co. 380,980 33,762,448 
Continental Resources, Inc. (b) 16,780 871,553 
Coterra Energy, Inc. 192,877 4,224,006 
Devon Energy Corp. 194,487 9,835,208 
Diamondback Energy, Inc. 27,402 3,457,036 
DT Midstream, Inc. 27,876 1,441,189 
EOG Resources, Inc. 148,309 16,533,487 
EQT Corp. 87,832 1,866,430 
Exxon Mobil Corp. 1,222,869 92,889,129 
Hess Corp. 74,564 6,881,512 
HollyFrontier Corp. 43,201 1,518,947 
Kinder Morgan, Inc. 561,599 9,749,359 
Marathon Oil Corp. 223,354 4,348,702 
Marathon Petroleum Corp. 177,421 12,729,957 
Occidental Petroleum Corp. 212,855 8,018,248 
ONEOK, Inc. 127,980 7,765,826 
Phillips 66 Co. 126,338 10,712,199 
Pioneer Natural Resources Co. 34,497 7,551,048 
Targa Resources Corp. 64,977 3,838,841 
The Williams Companies, Inc. 350,736 10,501,036 
Valero Energy Corp. 117,803 9,774,115 
  336,064,345 
TOTAL ENERGY  366,961,536 
FINANCIALS - 21.3%   
Banks - 8.4%   
Bank of America Corp. 2,079,657 95,955,374 
Bank of Hawaii Corp. (b) 11,440 984,641 
Bank OZK 35,042 1,641,718 
BOK Financial Corp. (b) 8,670 889,109 
Citigroup, Inc. 572,882 37,306,076 
Citizens Financial Group, Inc. 100,848 5,190,647 
Comerica, Inc. 37,788 3,505,971 
Commerce Bancshares, Inc. 32,214 2,219,867 
Cullen/Frost Bankers, Inc. (b) 16,465 2,321,730 
East West Bancorp, Inc. 40,689 3,513,088 
Fifth Third Bancorp 196,589 8,773,767 
First Citizens Bancshares, Inc. 3,504 2,729,896 
First Hawaiian, Inc. 36,981 1,048,411 
First Horizon National Corp. 154,446 2,642,571 
First Republic Bank 51,370 8,917,318 
FNB Corp., Pennsylvania 98,794 1,276,418 
Huntington Bancshares, Inc. 414,204 6,237,912 
JPMorgan Chase & Co. 847,869 125,993,333 
KeyCorp 267,644 6,707,159 
M&T Bank Corp. 37,000 6,267,060 
PacWest Bancorp 33,473 1,554,151 
Peoples United Financial, Inc. 122,603 2,376,046 
Pinnacle Financial Partners, Inc. 21,430 2,072,495 
PNC Financial Services Group, Inc. 122,495 25,232,745 
Popular, Inc. 22,844 2,036,999 
Prosperity Bancshares, Inc. 25,764 1,887,213 
Regions Financial Corp. 277,308 6,361,446 
Signature Bank 17,106 5,211,001 
Sterling Bancorp 50,617 1,330,721 
SVB Financial Group (a) 16,328 9,533,919 
Synovus Financial Corp. 38,775 1,929,444 
Truist Financial Corp. 387,762 24,359,209 
U.S. Bancorp 387,525 22,550,080 
Umpqua Holdings Corp. 62,357 1,264,600 
Webster Financial Corp. 27,894 1,584,658 
Wells Fargo & Co. 1,154,997 62,138,839 
Western Alliance Bancorp. 13,800 1,368,822 
Wintrust Financial Corp. 16,352 1,603,641 
Zions Bancorp NA 44,435 3,013,582 
  501,531,677 
Capital Markets - 4.9%   
Affiliated Managers Group, Inc. 11,695 1,709,926 
Ameriprise Financial, Inc. 14,231 4,330,636 
Ares Management Corp. 4,966 395,890 
Bank of New York Mellon Corp. 218,324 12,937,880 
BlackRock, Inc. Class A 41,275 33,966,849 
Carlyle Group LP 46,804 2,389,344 
Cboe Global Markets, Inc. 30,669 3,635,197 
Charles Schwab Corp. 434,285 38,086,795 
CME Group, Inc. 103,497 23,752,562 
Evercore, Inc. Class A 10,960 1,368,027 
FactSet Research Systems, Inc. 1,524 642,960 
Franklin Resources, Inc. 83,392 2,666,042 
Goldman Sachs Group, Inc. 88,847 31,512,254 
Interactive Brokers Group, Inc. (b) 23,174 1,580,235 
Intercontinental Exchange, Inc. 160,529 20,332,603 
Invesco Ltd. 96,195 2,179,779 
Janus Henderson Group PLC (b) 48,781 1,800,019 
Jefferies Financial Group, Inc. 63,103 2,312,094 
KKR & Co. LP 160,484 11,420,041 
Lazard Ltd. Class A 28,768 1,255,436 
Moody's Corp. 2,431 833,833 
Morgan Stanley 386,626 39,644,630 
Morningstar, Inc. 634 182,218 
MSCI, Inc. 6,733 3,609,696 
NASDAQ, Inc. 33,562 6,014,646 
Northern Trust Corp. 59,220 6,907,421 
Raymond James Financial, Inc. 50,542 5,350,882 
S&P Global, Inc. 20,298 8,428,136 
SEI Investments Co. 30,826 1,806,712 
State Street Corp. 105,299 9,950,756 
Stifel Financial Corp. 29,417 2,203,333 
T. Rowe Price Group, Inc. 43,487 6,715,697 
Tradeweb Markets, Inc. Class A 30,263 2,565,395 
Virtu Financial, Inc. Class A 25,224 780,178 
  293,268,102 
Consumer Finance - 0.8%   
Ally Financial, Inc. 99,848 4,764,747 
American Express Co. 66,047 11,876,572 
Capital One Financial Corp. 121,984 17,898,712 
Credit Acceptance Corp. (a)(b) 2,157 1,163,831 
Discover Financial Services 38,024 4,401,278 
OneMain Holdings, Inc. 32,412 1,674,404 
SLM Corp. 84,360 1,547,162 
Synchrony Financial 128,054 5,453,820 
  48,780,526 
Diversified Financial Services - 2.9%   
Apollo Global Management, Inc. 38,297 2,680,790 
Berkshire Hathaway, Inc. Class B (a) 529,653 165,791,975 
Equitable Holdings, Inc. 104,541 3,516,759 
Voya Financial, Inc. (b) 31,813 2,162,011 
  174,151,535 
Insurance - 4.0%   
AFLAC, Inc. 188,580 11,846,596 
Alleghany Corp. (a) 3,410 2,264,240 
Allstate Corp. 82,518 9,957,447 
American Financial Group, Inc. 19,547 2,546,583 
American International Group, Inc. 239,741 13,845,043 
Aon PLC 25,921 7,165,601 
Arch Capital Group Ltd. (a) 81,586 3,779,064 
Arthur J. Gallagher & Co. 59,093 9,333,148 
Assurant, Inc. 16,385 2,498,876 
Assured Guaranty Ltd. 19,382 1,032,867 
Axis Capital Holdings Ltd. 22,356 1,273,845 
Brighthouse Financial, Inc. (a) 22,936 1,248,865 
Brown & Brown, Inc. 63,680 4,220,710 
Chubb Ltd. 123,790 24,421,291 
Cincinnati Financial Corp. 43,205 5,090,845 
CNA Financial Corp. 7,984 366,545 
Erie Indemnity Co. Class A 2,233 411,095 
Everest Re Group Ltd. 8,663 2,455,094 
Fidelity National Financial, Inc. 78,657 3,960,380 
First American Financial Corp. 30,708 2,288,053 
Globe Life, Inc. 28,873 2,953,708 
GoHealth, Inc. (a)(b) 2,021 5,578 
Hanover Insurance Group, Inc. 10,304 1,421,540 
Hartford Financial Services Group, Inc. 98,049 7,046,782 
Kemper Corp. (b) 17,273 1,036,035 
Lemonade, Inc. (a)(b) 9,893 315,883 
Lincoln National Corp. 43,982 3,077,860 
Loews Corp. 61,631 3,676,905 
Markel Corp. (a) 3,247 4,002,707 
Marsh & McLennan Companies, Inc. 129,363 19,875,331 
Mercury General Corp. (b) 7,693 420,499 
MetLife, Inc. 205,503 13,781,031 
Old Republic International Corp. 80,742 2,069,417 
Primerica, Inc. 11,301 1,744,196 
Principal Financial Group, Inc. 75,521 5,517,564 
Progressive Corp. 168,637 18,324,096 
Prudential Financial, Inc. 109,164 12,179,427 
Reinsurance Group of America, Inc. 19,566 2,246,764 
RenaissanceRe Holdings Ltd. 7,341 1,153,785 
The Travelers Companies, Inc. 70,933 11,787,646 
Unum Group 58,832 1,493,156 
W.R. Berkley Corp. 39,803 3,363,354 
White Mountains Insurance Group Ltd. 843 877,529 
Willis Towers Watson PLC 35,798 8,375,300 
  236,752,281 
Mortgage Real Estate Investment Trusts - 0.2%   
AGNC Investment Corp. 151,224 2,251,725 
Annaly Capital Management, Inc. 402,901 3,182,918 
New Residential Investment Corp. 124,958 1,330,803 
Starwood Property Trust, Inc. 83,487 2,066,303 
  8,831,749 
Thrifts & Mortgage Finance - 0.1%   
MGIC Investment Corp. 93,625 1,421,228 
New York Community Bancorp, Inc. 130,316 1,519,485 
TFS Financial Corp. 14,226 247,248 
UWM Holdings Corp. Class A (b) 13,444 69,505 
  3,257,466 
TOTAL FINANCIALS  1,266,573,336 
HEALTH CARE - 17.5%   
Biotechnology - 1.4%   
Amgen, Inc. 29,028 6,593,420 
Biogen, Inc. (a) 42,203 9,537,878 
BioMarin Pharmaceutical, Inc. (a)(b) 52,605 4,662,381 
Exact Sciences Corp. (a)(b) 3,700 282,532 
Exelixis, Inc. (a) 12,877 233,074 
Gilead Sciences, Inc. 362,471 24,894,508 
Horizon Therapeutics PLC (a) 51,184 4,777,003 
Incyte Corp. (a) 7,688 571,449 
Ionis Pharmaceuticals, Inc. (a) 3,258 103,604 
Iovance Biotherapeutics, Inc. (a) 29,949 498,651 
Mirati Therapeutics, Inc. (a)(b) 2,008 239,554 
Natera, Inc. (a)(b) 1,650 116,573 
Regeneron Pharmaceuticals, Inc. (a) 25,840 15,725,966 
Repligen Corp. (a) 917 181,878 
Sage Therapeutics, Inc. (a) 14,773 582,352 
Seagen, Inc. (a) 4,105 552,164 
Ultragenyx Pharmaceutical, Inc. (a)(b) 4,816 336,783 
United Therapeutics Corp. (a) 12,723 2,568,392 
Vertex Pharmaceuticals, Inc. (a) 44,075 10,712,429 
  83,170,591 
Health Care Equipment & Supplies - 3.0%   
Abbott Laboratories 250,776 31,963,909 
Baxter International, Inc. 145,089 12,396,404 
Becton, Dickinson & Co. 82,395 20,939,865 
Boston Scientific Corp. (a) 409,525 17,568,623 
Dentsply Sirona, Inc. 62,670 3,347,831 
Envista Holdings Corp. (a) 46,401 2,006,379 
Figs, Inc. Class A (a)(b) 21,366 480,308 
Globus Medical, Inc. (a) 21,464 1,432,293 
Hologic, Inc. (a) 72,366 5,082,988 
ICU Medical, Inc. (a) 5,751 1,227,033 
Integra LifeSciences Holdings Corp. (a) 20,867 1,350,930 
Masimo Corp. (a) 3,958 870,245 
Medtronic PLC 387,684 40,121,417 
Quidel Corp. (a)(b) 10,576 1,093,135 
ResMed, Inc. 4,141 946,633 
STERIS PLC 21,243 4,766,929 
Stryker Corp. 57,679 14,307,276 
Tandem Diabetes Care, Inc. (a) 1,073 126,732 
Teleflex, Inc. 11,095 3,441,558 
The Cooper Companies, Inc. 13,960 5,560,268 
Zimmer Biomet Holdings, Inc. 60,223 7,408,633 
  176,439,389 
Health Care Providers & Services - 4.8%   
Acadia Healthcare Co., Inc. (a) 25,531 1,344,207 
agilon health, Inc. (a)(b) 3,079 51,050 
Amedisys, Inc. (a) 1,067 144,152 
AmerisourceBergen Corp. 42,836 5,834,263 
Anthem, Inc. 70,718 31,185,931 
Cardinal Health, Inc. 33,301 1,717,333 
Centene Corp. (a) 166,949 12,981,954 
Chemed Corp. 3,197 1,499,105 
Cigna Corp. 93,959 21,653,791 
CVS Health Corp. 380,052 40,479,339 
DaVita HealthCare Partners, Inc. (a) 5,764 624,645 
Encompass Health Corp. 11,985 743,549 
Henry Schein, Inc. (a) 40,029 3,014,184 
Humana, Inc. 37,224 14,610,420 
Laboratory Corp. of America Holdings (a) 27,816 7,548,150 
McKesson Corp. 37,771 9,696,571 
Molina Healthcare, Inc. (a) 14,104 4,096,930 
Oak Street Health, Inc. (a)(b) 2,759 47,951 
Premier, Inc. 35,127 1,342,554 
Quest Diagnostics, Inc. 35,166 4,748,113 
Signify Health, Inc. (b) 18,501 246,618 
UnitedHealth Group, Inc. 252,908 119,516,734 
Universal Health Services, Inc. Class B 20,498 2,665,970 
  285,793,514 
Health Care Technology - 0.2%   
Cerner Corp. 85,292 7,778,630 
Certara, Inc. (a) 13,095 350,029 
Change Healthcare, Inc. (a) 72,210 1,421,093 
Definitive Healthcare Corp. (b) 2,045 44,745 
Teladoc Health, Inc. (a)(b) 43,580 3,343,022 
  12,937,519 
Life Sciences Tools & Services - 2.2%   
Adaptive Biotechnologies Corp. (a) 3,498 61,005 
Agilent Technologies, Inc. 9,140 1,273,385 
Bio-Rad Laboratories, Inc. Class A (a) 6,117 3,668,548 
Charles River Laboratories International, Inc. (a) 907 299,092 
Danaher Corp. 173,562 49,602,284 
IQVIA Holdings, Inc. (a) 27,840 6,818,016 
PerkinElmer, Inc. 36,376 6,262,856 
QIAGEN NV (a) 65,444 3,238,824 
Syneos Health, Inc. (a) 25,549 2,313,717 
Thermo Fisher Scientific, Inc. 103,238 60,012,249 
Waters Corp. (a) 1,224 391,827 
  133,941,803 
Pharmaceuticals - 5.9%   
Bristol-Myers Squibb Co. 645,028 41,855,867 
Catalent, Inc. (a) 37,538 3,901,324 
Elanco Animal Health, Inc. (a) 128,372 3,342,807 
Eli Lilly & Co. 51,399 12,612,801 
Jazz Pharmaceuticals PLC (a) 17,278 2,400,087 
Johnson & Johnson 760,825 131,082,539 
Merck & Co., Inc. 731,542 59,606,042 
Nektar Therapeutics (a)(b) 51,649 574,337 
Organon & Co. 73,150 2,334,217 
Perrigo Co. PLC 38,558 1,467,903 
Pfizer, Inc. 1,612,017 84,937,176 
Royalty Pharma PLC 38,305 1,532,583 
Viatris, Inc. 348,580 5,218,243 
Zoetis, Inc. Class A 7,140 1,426,501 
  352,292,427 
TOTAL HEALTH CARE  1,044,575,243 
INDUSTRIALS - 11.1%   
Aerospace & Defense - 2.3%   
BWX Technologies, Inc. 6,572 292,520 
Curtiss-Wright Corp. 11,271 1,496,676 
General Dynamics Corp. 71,802 15,229,204 
HEICO Corp. (b) 8,847 1,206,642 
HEICO Corp. Class A 15,302 1,678,629 
Hexcel Corp. (b) 24,129 1,258,810 
Howmet Aerospace, Inc. 103,331 3,212,561 
Huntington Ingalls Industries, Inc. 11,360 2,126,592 
L3Harris Technologies, Inc. 56,456 11,815,676 
Lockheed Martin Corp. 9,010 3,506,061 
Mercury Systems, Inc. (a) 16,103 916,583 
Northrop Grumman Corp. 39,181 14,493,052 
Raytheon Technologies Corp. 432,241 38,983,816 
Spirit AeroSystems Holdings, Inc. Class A 21,318 934,368 
Textron, Inc. 63,540 4,324,532 
The Boeing Co. (a) 154,630 30,963,111 
TransDigm Group, Inc. (a) 10,617 6,542,089 
Virgin Galactic Holdings, Inc. (a)(b) 4,223 38,852 
  139,019,774 
Air Freight & Logistics - 0.3%   
C.H. Robinson Worldwide, Inc. 29,884 3,127,361 
Expeditors International of Washington, Inc. 13,163 1,506,900 
FedEx Corp. 39,990 9,831,941 
GXO Logistics, Inc. (a) 4,000 324,840 
  14,791,042 
Airlines - 0.3%   
Alaska Air Group, Inc. (a) 35,187 1,926,136 
American Airlines Group, Inc. (a)(b) 184,133 3,032,671 
Copa Holdings SA Class A (a) 9,065 757,653 
JetBlue Airways Corp. (a) 91,418 1,337,445 
Southwest Airlines Co. (a) 170,415 7,627,775 
United Airlines Holdings, Inc. (a) 93,238 3,998,045 
  18,679,725 
Building Products - 0.9%   
A.O. Smith Corp. 38,161 2,916,264 
Allegion PLC 6,174 757,735 
Armstrong World Industries, Inc. 7,071 700,170 
Builders FirstSource, Inc. (a) 54,633 3,714,498 
Carlisle Companies, Inc. 9,143 2,042,912 
Carrier Global Corp. 133,469 6,363,802 
Fortune Brands Home & Security, Inc. 29,071 2,737,616 
Johnson Controls International PLC 206,591 15,012,968 
Lennox International, Inc. 9,513 2,698,077 
Masco Corp. 70,176 4,444,246 
Owens Corning 28,905 2,563,874 
The AZEK Co., Inc. (a) 14,627 483,130 
Trane Technologies PLC 35,328 6,115,277 
  50,550,569 
Commercial Services & Supplies - 0.5%   
ADT, Inc. 45,670 346,635 
Cintas Corp. 1,583 619,792 
Clean Harbors, Inc. (a) 14,618 1,352,896 
Driven Brands Holdings, Inc. 15,532 438,779 
MSA Safety, Inc. (b) 7,515 1,032,561 
Republic Services, Inc. 60,608 7,737,217 
Rollins, Inc. 4,586 141,478 
Stericycle, Inc. (a)(b) 26,394 1,550,384 
Waste Management, Inc. 102,470 15,415,587 
  28,635,329 
Construction & Engineering - 0.2%   
AECOM 39,308 2,717,362 
MasTec, Inc. (a) 16,205 1,395,737 
Quanta Services, Inc. 40,799 4,190,873 
Valmont Industries, Inc. 6,022 1,308,159 
  9,612,131 
Electrical Equipment - 1.0%   
Acuity Brands, Inc. 9,978 1,911,086 
AMETEK, Inc. 66,509 9,096,436 
ChargePoint Holdings, Inc. Class A (a)(b) 64,374 891,580 
Eaton Corp. PLC 114,929 18,208,201 
Emerson Electric Co. 172,219 15,835,537 
Fluence Energy, Inc. (b) 5,799 108,441 
Hubbell, Inc. Class B 15,610 2,923,597 
nVent Electric PLC 48,047 1,661,946 
Regal Rexnord Corp. 15,364 2,434,887 
Rockwell Automation, Inc. 13,161 3,806,424 
Sensata Technologies, Inc. PLC (a)(b) 44,856 2,572,940 
Shoals Technologies Group, Inc. (b) 30,031 506,323 
Sunrun, Inc. (a) 58,432 1,515,142 
  61,472,540 
Industrial Conglomerates - 1.7%   
3M Co. 142,624 23,678,436 
General Electric Co. 315,322 29,791,623 
Honeywell International, Inc. 157,305 32,165,726 
Roper Technologies, Inc. 30,262 13,229,336 
  98,865,121 
Machinery - 1.9%   
AGCO Corp. 16,234 1,902,625 
Allison Transmission Holdings, Inc. 7,221 274,326 
Caterpillar, Inc. 21,561 4,345,835 
Colfax Corp. (a) 33,776 1,388,869 
Crane Co. (b) 14,234 1,473,361 
Cummins, Inc. 41,400 9,144,432 
Donaldson Co., Inc. 31,254 1,739,598 
Dover Corp. 41,388 7,032,235 
Flowserve Corp. 37,554 1,225,011 
Fortive Corp. 94,236 6,647,407 
Gates Industrial Corp. PLC (a) 27,479 425,100 
Graco, Inc. 18,383 1,333,870 
IDEX Corp. 21,895 4,717,059 
Illinois Tool Works, Inc. 9,361 2,189,725 
Ingersoll Rand, Inc. 116,956 6,574,097 
ITT, Inc. 24,844 2,283,660 
Middleby Corp. (a) 11,107 2,057,016 
Nordson Corp. 13,874 3,226,260 
Oshkosh Corp. 19,702 2,242,285 
Otis Worldwide Corp. 122,735 10,485,251 
PACCAR, Inc. 98,299 9,140,824 
Parker Hannifin Corp. 30,951 9,595,120 
Pentair PLC 47,668 3,036,452 
Snap-On, Inc. 15,393 3,205,592 
Stanley Black & Decker, Inc. 46,560 8,131,704 
Timken Co. 18,542 1,238,606 
Toro Co. 1,659 160,226 
Westinghouse Air Brake Tech Co. 51,690 4,595,241 
Woodward, Inc. 16,563 1,826,402 
Xylem, Inc. 17,618 1,850,242 
  113,488,431 
Marine - 0.0%   
Kirby Corp. (a) 17,141 1,117,250 
Professional Services - 0.7%   
CACI International, Inc. Class A (a) 6,708 1,659,962 
Clarivate Analytics PLC (a)(b) 125,382 2,063,788 
CoStar Group, Inc. (a) 25,323 1,776,662 
Dun & Bradstreet Holdings, Inc. (a) 46,046 923,683 
Equifax, Inc. 21,599 5,178,576 
FTI Consulting, Inc. (a) 9,683 1,411,878 
IHS Markit Ltd. 107,708 12,579,217 
Jacobs Engineering Group, Inc. 37,272 4,852,069 
LegalZoom.com, Inc. (b) 2,258 35,857 
Leidos Holdings, Inc. 40,709 3,641,420 
Manpower, Inc. 15,672 1,643,523 
Nielsen Holdings PLC 103,110 1,944,655 
Robert Half International, Inc. 3,856 436,731 
Science Applications International Corp. 16,714 1,371,049 
TransUnion Holding Co., Inc. 17,507 1,805,322 
Verisk Analytics, Inc. 16,620 3,259,681 
  44,584,073 
Road & Rail - 1.1%   
AMERCO 2,582 1,572,309 
CSX Corp. 638,194 21,838,999 
J.B. Hunt Transport Services, Inc. 2,723 524,286 
Knight-Swift Transportation Holdings, Inc. Class A 46,358 2,622,936 
Landstar System, Inc. 1,246 199,360 
Norfolk Southern Corp. 70,103 19,067,315 
Old Dominion Freight Lines, Inc. 2,324 701,685 
Ryder System, Inc. 15,016 1,099,021 
Schneider National, Inc. Class B 14,964 383,078 
TuSimple Holdings, Inc. (a)(b) 33,703 632,268 
Uber Technologies, Inc. (a) 67,093 2,509,278 
Union Pacific Corp. 68,314 16,706,189 
XPO Logistics, Inc. (a) 4,001 264,746 
  68,121,470 
Trading Companies & Distributors - 0.2%   
Air Lease Corp. Class A (b) 30,918 1,230,846 
Core & Main, Inc. (b) 7,907 190,163 
Fastenal Co. 18,669 1,058,159 
MSC Industrial Direct Co., Inc. Class A 12,908 1,053,809 
SiteOne Landscape Supply, Inc. (a) 6,073 1,093,869 
United Rentals, Inc. (a) 13,622 4,360,675 
Univar, Inc. (a) 48,307 1,280,136 
W.W. Grainger, Inc. 2,248 1,113,007 
Watsco, Inc. 9,418 2,661,150 
  14,041,814 
TOTAL INDUSTRIALS  662,979,269 
INFORMATION TECHNOLOGY - 9.7%   
Communications Equipment - 1.6%   
Arista Networks, Inc. (a) 7,344 912,933 
Ciena Corp. (a) 44,462 2,948,275 
Cisco Systems, Inc. 1,220,300 67,934,101 
F5, Inc. (a) 17,372 3,606,775 
Juniper Networks, Inc. 93,550 3,257,411 
Lumentum Holdings, Inc. (a) 20,912 2,122,150 
Motorola Solutions, Inc. 47,945 11,120,363 
Ubiquiti, Inc. 215 62,359 
ViaSat, Inc. (a) 19,998 880,312 
  92,844,679 
Electronic Equipment & Components - 0.6%   
Amphenol Corp. Class A 48,686 3,874,919 
Arrow Electronics, Inc. (a) 19,979 2,477,396 
Avnet, Inc. 28,541 1,151,915 
Coherent, Inc. (a) 723 186,881 
Corning, Inc. 145,330 6,109,673 
IPG Photonics Corp. (a) 9,697 1,497,896 
Jabil, Inc. 8,772 539,390 
Keysight Technologies, Inc. (a) 30,002 5,064,938 
Littelfuse, Inc. 6,906 1,864,413 
National Instruments Corp. 38,268 1,577,407 
TD SYNNEX Corp. 12,023 1,257,245 
Teledyne Technologies, Inc. (a) 13,251 5,584,369 
Trimble, Inc. (a) 72,232 5,212,261 
Vontier Corp. 22,331 627,724 
  37,026,427 
IT Services - 2.7%   
Accenture PLC Class A 35,994 12,726,759 
Akamai Technologies, Inc. (a) 46,367 5,311,340 
Alliance Data Systems Corp. 14,311 988,031 
Amdocs Ltd. 37,301 2,830,773 
Automatic Data Processing, Inc. 9,827 2,026,033 
Broadridge Financial Solutions, Inc. 3,075 489,602 
Cloudflare, Inc. (a) 4,257 410,375 
Cognizant Technology Solutions Corp. Class A 152,021 12,985,634 
Concentrix Corp. 12,146 2,441,225 
DXC Technology Co. (a) 72,406 2,177,972 
Euronet Worldwide, Inc. (a) 4,271 571,844 
Fastly, Inc. Class A (a)(b) 30,401 871,293 
Fidelity National Information Services, Inc. 175,650 21,063,948 
Fiserv, Inc. (a) 160,942 17,011,569 
FleetCor Technologies, Inc. (a) 17,664 4,208,625 
Genpact Ltd. 50,166 2,495,759 
Global Payments, Inc. 83,193 12,468,967 
GoDaddy, Inc. (a) 43,479 3,291,795 
IBM Corp. 258,043 34,466,804 
Jack Henry & Associates, Inc. 15,737 2,640,826 
Kyndryl Holdings, Inc. (a) 64,513 1,088,979 
Paychex, Inc. 11,910 1,402,522 
Paysafe Ltd. (a)(b) 200,365 727,325 
Snowflake Computing, Inc. (a) 3,375 931,163 
SolarWinds, Inc. (b) 10,171 138,326 
StoneCo Ltd. Class A (a)(b) 4,499 70,094 
The Western Union Co. 87,017 1,645,491 
Thoughtworks Holding, Inc. (b) 8,088 173,245 
Twilio, Inc. Class A (a) 34,545 7,120,415 
VeriSign, Inc. (a) 28,054 6,092,768 
WEX, Inc. (a) 4,225 680,141 
  161,549,643 
Semiconductors & Semiconductor Equipment - 2.7%   
Analog Devices, Inc. 93,219 15,285,119 
Azenta, Inc. 3,723 313,998 
Cirrus Logic, Inc. (a) 16,431 1,469,589 
First Solar, Inc. (a)(b) 30,564 2,395,606 
GlobalFoundries, Inc. (b) 7,176 354,064 
Intel Corp. 1,167,158 56,980,654 
Marvell Technology, Inc. 236,308 16,872,391 
Microchip Technology, Inc. 24,839 1,924,526 
Micron Technology, Inc. 278,857 22,941,565 
MKS Instruments, Inc. 2,493 387,238 
NXP Semiconductors NV 53,005 10,889,347 
onsemi (a) 56,051 3,307,009 
Qorvo, Inc. (a) 31,977 4,389,803 
Skyworks Solutions, Inc. 25,119 3,680,436 
Texas Instruments, Inc. 101,348 18,190,953 
Wolfspeed, Inc. (a) 33,258 3,134,234 
  162,516,532 
Software - 1.7%   
ANSYS, Inc. (a) 14,674 4,989,307 
Black Knight, Inc. (a) 43,830 3,269,718 
C3.Ai, Inc. (a)(b) 12,583 331,436 
CDK Global, Inc. 28,905 1,242,048 
Ceridian HCM Holding, Inc. (a) 37,772 2,863,873 
Citrix Systems, Inc. 23,004 2,345,028 
Datto Holding Corp. (a)(b) 6,968 173,573 
Dolby Laboratories, Inc. Class A 18,528 1,627,685 
Duck Creek Technologies, Inc. (a)(b) 16,099 411,329 
Dynatrace, Inc. (a) 3,353 183,946 
Guidewire Software, Inc. (a)(b) 24,192 2,439,521 
Informatica, Inc. (b) 2,642 73,765 
Jamf Holding Corp. (a)(b) 2,386 78,881 
Mandiant, Inc. (a) 47,638 718,857 
Manhattan Associates, Inc. (a) 8,500 1,137,895 
McAfee Corp. 5,540 142,101 
N-able, Inc. (a)(b) 11,135 124,267 
NCR Corp. (a) 24,191 920,709 
NortonLifeLock, Inc. 116,510 3,030,425 
Nuance Communications, Inc. (a) 50,959 2,815,485 
Oracle Corp. 32,406 2,630,071 
Paycor HCM, Inc. (b) 2,673 69,338 
Pegasystems, Inc. 673 66,775 
Procore Technologies, Inc. (a)(b) 4,795 299,975 
Salesforce.com, Inc. (a) 218,182 50,755,679 
SS&C Technologies Holdings, Inc. 64,636 5,162,477 
Synopsys, Inc. (a) 16,022 4,974,831 
Teradata Corp. (a) 4,547 183,426 
Tyler Technologies, Inc. (a) 1,551 734,864 
VMware, Inc. Class A (a) 40,420 5,193,162 
  98,990,447 
Technology Hardware, Storage & Peripherals - 0.4%   
Dell Technologies, Inc. (a) 40,128 2,279,672 
Hewlett Packard Enterprise Co. 375,017 6,124,028 
HP, Inc. 217,269 7,980,290 
NetApp, Inc. 21,641 1,872,163 
Pure Storage, Inc. Class A (a) 4,876 129,165 
Western Digital Corp. (a) 90,027 4,657,997 
Xerox Holdings Corp. 40,830 861,921 
  23,905,236 
TOTAL INFORMATION TECHNOLOGY  576,832,964 
MATERIALS - 3.7%   
Chemicals - 1.9%   
Air Products & Chemicals, Inc. 63,822 18,005,463 
Albemarle Corp. U.S. 33,530 7,401,412 
Ashland Global Holdings, Inc. 15,860 1,523,194 
Axalta Coating Systems Ltd. (a) 49,028 1,451,719 
Celanese Corp. Class A 19,974 3,110,152 
CF Industries Holdings, Inc. 61,670 4,247,213 
Corteva, Inc. 210,574 10,124,398 
Diversey Holdings Ltd. (a) 5,212 57,332 
Dow, Inc. 200,235 11,960,037 
DuPont de Nemours, Inc. 151,138 11,577,171 
Eastman Chemical Co. 38,619 4,592,958 
Ecolab, Inc. 8,885 1,683,263 
Element Solutions, Inc. 66,783 1,498,611 
FMC Corp. 27,300 3,013,101 
Huntsman Corp. 59,797 2,142,527 
International Flavors & Fragrances, Inc. 73,498 9,695,856 
LyondellBasell Industries NV Class A 66,505 6,433,029 
NewMarket Corp. 1,874 633,543 
Olin Corp. (b) 38,322 1,941,776 
PPG Industries, Inc. 39,473 6,165,683 
RPM International, Inc. 15,283 1,354,227 
The Chemours Co. LLC 22,603 739,344 
The Mosaic Co. 107,041 4,276,288 
Valvoline, Inc. 52,265 1,721,609 
Westlake Chemical Corp. 7,629 752,601 
  116,102,507 
Construction Materials - 0.3%   
Eagle Materials, Inc.(b) 11,492 1,676,108 
Martin Marietta Materials, Inc. 17,936 6,979,256 
Vulcan Materials Co. 38,140 7,258,423 
  15,913,787 
Containers & Packaging - 0.7%   
Amcor PLC 444,457 5,337,929 
Aptargroup, Inc. 18,940 2,221,662 
Ardagh Group SA 5,448 111,984 
Ardagh Metal Packaging SA (a)(b) 26,542 255,599 
Avery Dennison Corp. 11,196 2,299,882 
Ball Corp. 64,419 6,255,085 
Berry Global Group, Inc. (a) 38,944 2,625,604 
Crown Holdings, Inc. 31,098 3,557,611 
Graphic Packaging Holding Co. 58,306 1,102,566 
International Paper Co. 111,607 5,385,038 
Packaging Corp. of America 27,034 4,072,131 
Sealed Air Corp. 19,586 1,330,281 
Silgan Holdings, Inc. 24,089 1,078,705 
Sonoco Products Co. 28,308 1,603,365 
WestRock Co. 76,075 3,511,622 
  40,749,064 
Metals & Mining - 0.8%   
Alcoa Corp. 53,851 3,053,890 
Cleveland-Cliffs, Inc. (a) 131,388 2,251,990 
Freeport-McMoRan, Inc. 298,563 11,112,515 
Newmont Corp. 231,391 14,154,187 
Nucor Corp. 82,472 8,362,661 
Reliance Steel & Aluminum Co. 17,964 2,746,336 
Royal Gold, Inc. 18,904 1,919,701 
Southern Copper Corp. 2,109 134,744 
Steel Dynamics, Inc. 44,197 2,453,817 
United States Steel Corp. 77,192 1,599,418 
  47,789,259 
Paper & Forest Products - 0.0%   
Louisiana-Pacific Corp. 23,465 1,559,015 
Sylvamo Corp. (a) 10,286 306,420 
  1,865,435 
TOTAL MATERIALS  222,420,052 
REAL ESTATE - 4.9%   
Equity Real Estate Investment Trusts (REITs) - 4.6%   
Alexandria Real Estate Equities, Inc. 44,496 8,669,601 
American Campus Communities, Inc. 39,486 2,063,538 
American Homes 4 Rent Class A 81,548 3,190,973 
Americold Realty Trust 76,909 2,188,061 
Apartment Income (REIT) Corp. 45,051 2,379,594 
AvalonBay Communities, Inc. 40,214 9,821,465 
Boston Properties, Inc. 45,028 5,046,738 
Brixmor Property Group, Inc. 85,354 2,164,577 
Camden Property Trust (SBI) 28,503 4,563,045 
Cousins Properties, Inc. 42,779 1,649,558 
CubeSmart 61,763 3,133,855 
CyrusOne, Inc. 36,573 3,286,084 
Digital Realty Trust, Inc. 80,973 12,083,601 
Douglas Emmett, Inc. 48,006 1,498,747 
Duke Realty Corp. 109,640 6,334,999 
EPR Properties 21,287 935,989 
Equinix, Inc. 7,482 5,423,702 
Equity Lifestyle Properties, Inc. 23,664 1,852,655 
Equity Residential (SBI) 106,319 9,433,685 
Essex Property Trust, Inc. 18,691 6,214,758 
Extra Space Storage, Inc. 34,460 6,829,627 
Federal Realty Investment Trust (SBI) 22,252 2,836,907 
First Industrial Realty Trust, Inc. 37,115 2,255,850 
Gaming & Leisure Properties 65,092 2,940,857 
Healthcare Trust of America, Inc. 62,769 2,043,131 
Healthpeak Properties, Inc. 155,483 5,499,434 
Highwoods Properties, Inc. (SBI) 29,671 1,279,414 
Host Hotels & Resorts, Inc. (a) 203,898 3,535,591 
Hudson Pacific Properties, Inc. 42,633 1,007,418 
Invitation Homes, Inc. 172,139 7,226,395 
Iron Mountain, Inc. 24,405 1,120,678 
JBG SMITH Properties 35,149 963,083 
Kilroy Realty Corp. 33,475 2,142,400 
Kimco Realty Corp. 167,523 4,064,108 
Lamar Advertising Co. Class A 3,138 347,565 
Life Storage, Inc. 23,488 3,169,706 
Medical Properties Trust, Inc. 170,422 3,878,805 
Mid-America Apartment Communities, Inc. 33,277 6,877,690 
National Retail Properties, Inc. 50,372 2,235,509 
Omega Healthcare Investors, Inc. 68,813 2,166,233 
Orion Office (REIT), Inc. (a) 15,927 265,025 
Park Hotels & Resorts, Inc. (a) 67,804 1,234,033 
Prologis (REIT), Inc. 212,817 33,373,962 
Public Storage 10,266 3,680,669 
Rayonier, Inc. 41,018 1,498,798 
Realty Income Corp. 163,180 11,326,324 
Regency Centers Corp. 48,691 3,493,579 
Rexford Industrial Realty, Inc. 43,716 3,198,700 
SBA Communications Corp. Class A 26,031 8,471,529 
Simon Property Group, Inc. 12,334 1,815,565 
SL Green Realty Corp. (b) 19,317 1,400,869 
Spirit Realty Capital, Inc. 35,475 1,683,644 
Store Capital Corp. 70,442 2,233,716 
Sun Communities, Inc. 33,039 6,243,049 
UDR, Inc. 88,704 5,041,935 
Ventas, Inc. 114,946 6,094,437 
VICI Properties, Inc. 181,419 5,192,212 
Vornado Realty Trust 50,599 2,075,065 
Welltower, Inc. 125,630 10,883,327 
Weyerhaeuser Co. 216,152 8,739,025 
WP Carey, Inc. 53,265 4,133,364 
  276,434,453 
Real Estate Management & Development - 0.3%   
CBRE Group, Inc. 91,228 9,245,046 
Howard Hughes Corp. (a) 11,935 1,149,460 
Jones Lang LaSalle, Inc. (a) 14,568 3,653,509 
Opendoor Technologies, Inc. (a)(b) 104,759 1,040,257 
  15,088,272 
TOTAL REAL ESTATE  291,522,725 
UTILITIES - 5.1%   
Electric Utilities - 3.2%   
Alliant Energy Corp. 72,143 4,318,480 
American Electric Power Co., Inc. 144,446 13,057,918 
Avangrid, Inc. (b) 16,425 767,376 
Duke Energy Corp. 222,153 23,339,394 
Edison International 107,576 6,754,697 
Entergy Corp. 57,813 6,461,759 
Evergy, Inc. 65,943 4,283,657 
Eversource Energy 99,027 8,861,926 
Exelon Corp. 281,739 16,326,775 
FirstEnergy Corp. 156,922 6,584,447 
Hawaiian Electric Industries, Inc. 30,431 1,293,318 
IDACORP, Inc. 14,525 1,600,946 
NextEra Energy, Inc. 566,251 44,235,528 
NRG Energy, Inc. 38,347 1,531,196 
OGE Energy Corp. 57,583 2,183,547 
PG&E Corp. (a) 435,643 5,571,874 
Pinnacle West Capital Corp. 32,500 2,262,325 
PPL Corp. 216,911 6,437,918 
Southern Co. 305,400 21,222,246 
Xcel Energy, Inc. 155,343 10,821,193 
  187,916,520 
Gas Utilities - 0.1%   
Atmos Energy Corp. 37,300 3,999,306 
National Fuel Gas Co. 25,186 1,529,546 
UGI Corp. 59,965 2,719,413 
  8,248,265 
Independent Power and Renewable Electricity Producers - 0.1%   
Brookfield Renewable Corp. (b) 27,505 941,221 
The AES Corp. 190,548 4,226,355 
Vistra Corp. 138,137 3,012,768 
  8,180,344 
Multi-Utilities - 1.5%   
Ameren Corp. 73,427 6,515,912 
CenterPoint Energy, Inc. 171,173 4,854,466 
CMS Energy Corp. 83,364 5,366,974 
Consolidated Edison, Inc. 102,139 8,829,917 
Dominion Energy, Inc. 232,564 18,758,612 
DTE Energy Co. 55,667 6,703,977 
MDU Resources Group, Inc. 58,157 1,708,071 
NiSource, Inc. 112,945 3,295,735 
Public Service Enterprise Group, Inc. 145,508 9,680,647 
Sempra Energy 92,288 12,750,510 
WEC Energy Group, Inc. 91,054 8,835,880 
  87,300,701 
Water Utilities - 0.2%   
American Water Works Co., Inc. 52,389 8,424,151 
Essential Utilities, Inc. 66,479 3,240,186 
  11,664,337 
TOTAL UTILITIES  303,310,167 
TOTAL COMMON STOCKS   
(Cost $4,143,870,950)  5,945,986,212 
Money Market Funds - 1.4%   
Fidelity Cash Central Fund 0.08% (c) 16,403,668 16,406,949 
Fidelity Securities Lending Cash Central Fund 0.08% (c)(d) 69,333,007 69,339,940 
TOTAL MONEY MARKET FUNDS   
(Cost $85,746,512)  85,746,889 
TOTAL INVESTMENT IN SECURITIES - 101.2%   
(Cost $4,229,617,462)  6,031,733,101 
NET OTHER ASSETS (LIABILITIES) - (1.2)%  (71,948,790) 
NET ASSETS - 100%  $5,959,784,311 

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) 32 March 2022 $7,206,800 $289,217 $289,217 
CME E-mini S&P MidCap 400 Index Contracts (United States) 32 March 2022 8,415,040 138,544 138,544 
TOTAL FUTURES CONTRACTS     $427,761 

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

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 Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Cash Central Fund 0.08% $5,509,023 $804,656,599 $793,760,253 $8,513 $1,580 $-- $16,406,949 0.0% 
Fidelity Securities Lending Cash Central Fund 0.08% 56,536,826 577,694,368 564,891,254 141,683 -- -- 69,339,940 0.2% 
Total $62,045,849 $1,382,350,967 $1,358,651,507 $150,196 $1,580 $-- $85,746,889  

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.

Investment Valuation

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

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Equities:     
Communication Services $438,172,222 $438,172,222 $-- $-- 
Consumer Discretionary 324,078,804 324,078,804 -- -- 
Consumer Staples 448,559,894 448,559,894 -- -- 
Energy 366,961,536 366,961,536 -- -- 
Financials 1,266,573,336 1,266,573,336 -- -- 
Health Care 1,044,575,243 1,044,575,243 -- -- 
Industrials 662,979,269 662,979,269 -- -- 
Information Technology 576,832,964 576,832,964 -- -- 
Materials 222,420,052 222,420,052 -- -- 
Real Estate 291,522,725 291,522,725 -- -- 
Utilities 303,310,167 303,310,167 -- -- 
Money Market Funds 85,746,889 85,746,889 -- -- 
Total Investments in Securities: $6,031,733,101 $6,031,733,101 $-- $-- 
Derivative Instruments:     
Assets     
Futures Contracts $427,761 $427,761 $-- $-- 
Total Assets $427,761 $427,761 $-- $-- 
Total Derivative Instruments: $427,761 $427,761 $-- $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2022. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Equity Risk   
Futures Contracts(a) $427,761 $0 
Total Equity Risk 427,761 0 
Total Value of Derivatives $427,761 $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

  January 31, 2022 
Assets   
Investment in securities, at value (including securities loaned of $70,313,132) — See accompanying schedule:
Unaffiliated issuers (cost $4,143,870,950) 		$5,945,986,212  
Fidelity Central Funds (cost $85,746,512) 85,746,889  
Total Investment in Securities (cost $4,229,617,462)  $6,031,733,101 
Segregated cash with brokers for derivative instruments  1,127,500 
Cash  2,355 
Receivable for investments sold  719,850 
Receivable for fund shares sold  34,772,743 
Dividends receivable  6,078,762 
Distributions receivable from Fidelity Central Funds  8,433 
Receivable for daily variation margin on futures contracts  398,742 
Other receivables  13,420 
Total assets  6,074,854,906 
Liabilities   
Payable for investments purchased $13,250,854  
Payable for fund shares redeemed 32,455,014  
Other payables and accrued expenses 35,593  
Collateral on securities loaned 69,329,134  
Total liabilities  115,070,595 
Net Assets  $5,959,784,311 
Net Assets consist of:   
Paid in capital  $4,200,077,778 
Total accumulated earnings (loss)  1,759,706,533 
Net Assets  $5,959,784,311 
Net Asset Value, offering price and redemption price per share ($5,959,784,311 ÷ 392,074,857 shares)  $15.20 

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


Statement of Operations

  Year ended January 31, 2022 
Investment Income   
Dividends  $115,940,719 
Interest  978 
Income from Fidelity Central Funds (including $141,683 from security lending)  150,196 
Total income  116,091,893 
Expenses   
Custodian fees and expenses $138,847  
Independent trustees' fees and expenses 17,702  
Interest 6,168  
Total expenses  162,717 
Net investment income (loss)  115,929,176 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 381,763,952  
Fidelity Central Funds 1,580  
Futures contracts 2,312,788  
Total net realized gain (loss)  384,078,320 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 720,218,289  
Futures contracts 225,667  
Total change in net unrealized appreciation (depreciation)  720,443,956 
Net gain (loss)  1,104,522,276 
Net increase (decrease) in net assets resulting from operations  $1,220,451,452 

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


Statement of Changes in Net Assets

 Year ended January 31, 2022 Year ended January 31, 2021 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $115,929,176 $106,397,256 
Net realized gain (loss) 384,078,320 (153,667,926) 
Change in net unrealized appreciation (depreciation) 720,443,956 354,685,681 
Net increase (decrease) in net assets resulting from operations 1,220,451,452 307,415,011 
Distributions to shareholders (364,290,801) (128,478,104) 
Share transactions   
Proceeds from sales of shares 1,026,004,449 1,540,722,235 
Reinvestment of distributions 364,290,801 128,478,104 
Cost of shares redeemed (1,630,942,547) (540,744,199) 
Net increase (decrease) in net assets resulting from share transactions (240,647,297) 1,128,456,140 
Total increase (decrease) in net assets 615,513,354 1,307,393,047 
Net Assets   
Beginning of period 5,344,270,957 4,036,877,910 
End of period $5,959,784,311 $5,344,270,957 
Other Information   
Shares   
Sold 67,912,369 131,746,213 
Issued in reinvestment of distributions 23,989,840 10,082,192 
Redeemed (108,015,406) (46,286,207) 
Net increase (decrease) (16,113,197) 95,542,198 

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


Financial Highlights

Fidelity Series Large Cap Value Index Fund

      
Years ended January 31, 2022 2021 2020 2019 2018 
Selected Per–Share Data      
Net asset value, beginning of period $13.09 $12.91 $12.02 $13.22 $11.75 
Income from Investment Operations      
Net investment income (loss)A,B .30 .29 .33 .32 .30 
Net realized and unrealized gain (loss) 2.76 .23 1.46 (.96) 1.69 
Total from investment operations 3.06 .52 1.79 (.64) 1.99 
Distributions from net investment income (.30) (.29) (.34) (.33) (.30) 
Distributions from net realized gain (.65) (.05) (.57) (.22) (.22) 
Total distributions (.95) (.34) (.90)C (.56)C (.52) 
Net asset value, end of period $15.20 $13.09 $12.91 $12.02 $13.22 
Total ReturnD,E 23.41% 4.14% 14.94% (4.73)% 17.16% 
Ratios to Average Net AssetsB,F,G      
Expenses before reductions - %H - %H - %H - %H .03% 
Expenses net of fee waivers, if any - %H - %H - %H - %H .03% 
Expenses net of all reductions - %H - %H - %H - %H .03% 
Net investment income (loss) 1.93% 2.49% 2.58% 2.52% 2.39% 
Supplemental Data      
Net assets, end of period (000 omitted) $5,959,784 $5,344,271 $4,036,878 $3,698,418 $4,024,272 
Portfolio turnover rateI 27% 21% 31% 19% 17% 

 A Calculated based on average shares outstanding during the period.

 B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.

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

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

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

 F 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.

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

 H Amount represents less than $.005 per share.

 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 January 31, 2022

1. Organization.

Fidelity Series Large Cap Value Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered only to certain other Fidelity funds and Fidelity managed 529 plans. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

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

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

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

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

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

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 January 31, 2022 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the 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 January 31, 2022, 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, passive foreign investment companies (PFIC), partnerships, 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 $1,942,657,315 
Gross unrealized depreciation (217,367,769) 
Net unrealized appreciation (depreciation) $1,725,289,546 
Tax Cost $4,306,443,555 

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

Undistributed ordinary income $8,287,855 
Undistributed long-term capital gain $26,129,133 
Net unrealized appreciation (depreciation) on securities and other investments $1,725,289,546 

The tax character of distributions paid was as follows:

 January 31, 2022 January 31, 2021 
Ordinary Income $229,846,073 $ 114,757,040 
Long-term Capital Gains 134,444,728 13,721,064 
Total $364,290,801 $ 128,478,104 

4. Derivative Instruments.

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

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

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

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

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

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

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

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

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

5. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Fidelity Series Large Cap Value Index Fund 1,591,126,483 2,056,752,972 

6. Fees and Other Transactions with Affiliates.

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

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

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

 Borrower or Lender Average Loan Balance Weighted Average Interest Rate Interest Expense 
Fidelity Series Large Cap Value Index Fund Borrower $41,032,667 .30% $6,168 

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

Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:

 Amount ($) 
Fidelity Series Large Cap Value Index Fund 2,355 

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.

8. Security Lending.

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

 Total Security Lending Fees Paid to NFS Security Lending Income From Securities Loaned to NFS Value of Securities Loaned to NFS at Period End 
Fidelity Series Large Cap Value Index Fund $14,326 $506 $– 

9. Other.

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

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

10. Coronavirus (COVID-19) Pandemic.

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

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity Series Large Cap Value Index Fund

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Fidelity Series Large Cap Value Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of January 31, 2022, 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 January 31, 2022, 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 January 31, 2022, 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

March 17, 2022


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 286 funds. Mr. Chiel oversees 179 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. Michael E. Kenneally 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

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 Chairman (2018-2021) and 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

Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank’s institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization’s equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned 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 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 a member of the Board of McKesson Corporation (healthcare service, 2002-2021). In addition, 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), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-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); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (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.

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Deputy 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). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).

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 (August 1, 2021 to January 31, 2022).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

 Annualized Expense Ratio-A Beginning
Account Value
August 1, 2021 		Ending
Account Value
January 31, 2022 		Expenses Paid
During Period-B
August 1, 2021
to January 31, 2022 
Fidelity Series Large Cap Value Index Fund - %-C    
Actual  $1,000.00 $1,035.90 $--D 
Hypothetical-E  $1,000.00 $1,025.21 $--D 

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

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

 C Amount represents less than .005%.

 D Amount represents less than $.005.

 E 5% return per year before expenses

Distributions (Unaudited)

The Board of Trustees of Fidelity Series Large Cap Value Index Fund voted to pay on March 7, 2022, to shareholders of record at the opening of business on March 4, 2022, a distribution of $.077 per share derived from capital gains realized from sales of portfolio securities and a dividend of $.012 per share from net investment income.

The fund hereby designates as a capital gain dividend with respect to the taxable year ended January 31, 2022, $160,573,860, or, if subsequently determined to be different, the net capital gain of such year.

The fund designates 92% and 43% of the dividends distributed in March and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

The fund designates 92% and 45% of the dividend distributed in March 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 1% and 4% of the dividends distributed in March and December, respectively during the fiscal year as a section 199A dividend.

The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Series Large Cap Value Index Fund

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

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

At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.

Nature, Extent, and Quality of Services Provided.  The Board considered staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity and Geode, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups and with senior management of Geode. The Board considered the structure of the investment personnel compensation programs and whether the structures provide appropriate incentives to act in the best interests of the fund. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.

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

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

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staffs, including their size, education, experience, and resources, as well as Fidelity's and Geode's approach to recruiting, training, managing, and compensating investment personnel. The Board considered that Fidelity's and Geode's investment professionals have extensive resources, tools and capabilities so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.

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

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer an investment option for other investment companies and 529 plans managed by Fidelity and ultimately to enhance the performance of those investment companies and 529 plans.

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

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR receives fees for providing services to funds that invest in the fund. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except transfer agent fees, 12b-1 fees, Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, and extraordinary expenses (such as litigation expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable.

The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.003% through May 31, 2024.

Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.

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

The Board also reviewed Fidelity's and Geode's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's and Geode's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.

The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.

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

Economies of Scale.  The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.

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

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





Fidelity Investments

XS6-ANN-0422
1.967963.108

Fidelity® SAI Tax-Free Bond Fund

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



Annual Report

January 31, 2022

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 and Management Fees


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

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

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. © 2022 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 COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, 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. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.

Extreme events such as the COVID-19 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 continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, 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 January 31, 2022 Past 1 year Life of fundA 
Fidelity® SAI Tax-Free Bond Fund (1.53)% 3.99% 

 A From October 2, 2018

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® SAI Tax-Free Bond Fund on October 2, 2018, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Municipal Bond Index performed over the same period.


Period Ending Values
$11,392Fidelity® SAI Tax-Free Bond Fund
$11,358Bloomberg Municipal Bond Index


Effective August 24, 2021, all Bloomberg Barclays Indices were re-branded as Bloomberg Indices.

Management's Discussion of Fund Performance

Market Recap:  Tax-exempt municipal bonds declined modestly for the 12 months ending January 31, 2022, as expectations for higher policy interest rates, failure to pass the income-tax increases included in the Build Back Better legislation, and the perceived richness of municipals relative to Treasury bonds caused shareholder flows to turn negative in the final month of the period. The Bloomberg Municipal Bond Index returned -1.89% for the 12 months. In 2021, the muni market benefited from an improved fiscal outlook for many municipal issuers, economic optimism partly due to COVID-19 vaccination programs and strong demand for tax-exempt munis amid expectations for higher tax rates on upper-income tax brackets. In February 2021, the municipal market returned -1.59%, reflecting investor concerns that stimulus-induced inflation could diminish real bond returns over time. Munis then gained from March through July 2021, propelled by better-than-expected tax revenue from many state and local governments and reduced inflation expectations. Munis lost slight ground in August and September, then rose in the fourth quarter, partly driven by newfound clarity regarding infrastructure investment due to the passage of the Infrastructure Investment and Jobs Act (IIJA), which earmarked $550 for new infrastructure spending and limited new tax-exempt bond issuance. Then, in January 2022, the muni market experienced rate volatility and shareholder outflows that more than erased its 2021 gain, as munis returned -2.74% for the month. Muni credit fundamentals remained solid overall for the 12 months and, for most issuers, the risk of credit-rating downgrades appeared low.

Comments from Co-Portfolio Managers Cormac Cullen, Michael Maka and Elizah McLaughlin:  For the fiscal year, the fund returned -1.53%, outperforming, net of fees, the -2.08% result of the Bloomberg 3+ Year Municipal Bond Index. We continued to focus on longer-term objectives and sought to generate attractive tax-exempt income and competitive risk-adjusted returns over time. Versus the index, overweighted exposure to bonds issued by Illinois and its related entities, including the Chicago Board of Education and the Metropolitan Pier and Exposition Authority, contributed. These securities were among the muni market's best performers, boosted by strong demand for higher-yielding investment-grade securities and improving credit fundamentals. Overweighting lower-rated investment-grade bonds in the health care and higher education segments also helped as bonds in each segment rallied the past 12 months and produced better total returns than the index. They benefited from the comparatively high income they produced and better-than-average price performance as credit spreads tightened. Differences in the way fund holdings and index components were priced contributed to the fund's relative result as well. Conversely, yield-curve positioning slightly detracted. The fund held more exposure to shorter-term bonds than the index, and these bonds lagged longer-term securities as the yield curve flattened.

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)

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

Top Five States as of January 31, 2022

 % of fund's net assets 
Illinois 11.9 
New York 8.2 
Texas 6.7 
Other 6.1 
Pennsylvania 5.4 

Top Five Sectors as of January 31, 2022

 % of fund's net assets 
General Obligations 25.7 
Transportation 17.6 
Health Care 14.9 
Education 11.2 
Special Tax 7.4 

Quality Diversification (% of fund's net assets)

As of January 31, 2022 
   AAA 7.6% 
   AA,A 69.5% 
   BBB 13.5% 
   BB and Below 2.0% 
   Not Rated 1.6% 
   Short-Term Investments and Net Other Assets 5.8% 


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

Schedule of Investments January 31, 2022

Showing Percentage of Net Assets

Municipal Bonds - 94.5%   
 Principal Amount Value 
Alabama - 1.1%   
Homewood Edl. Bldg. Auth. Rev. Series 2019 A:   
4% 12/1/36 $1,025,000 $1,143,948 
4% 12/1/38 1,705,000 1,895,335 
4% 12/1/41 1,345,000 1,488,801 
4% 12/1/44 1,200,000 1,320,089 
4% 12/1/49 1,450,000 1,584,743 
Lower Alabama Gas District Bonds (No. 2 Proj.) Series 2020, 4%, tender 12/1/25 (a) 8,505,000 9,215,704 
Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds (Alabama Pwr. Co. Barry Plant Proj.) Series 2008, 2.9%, tender 12/12/23 (a) 4,000,000 4,129,588 
Montgomery Med. Clinic Facilities Series 2015:   
5% 3/1/25 1,400,000 1,534,883 
5% 3/1/36 1,400,000 1,542,082 
TOTAL ALABAMA  23,855,173 
Alaska - 0.3%   
Alaska Hsg. Fin. Corp. Series 2021 A:   
4% 6/1/30 1,100,000 1,284,702 
5% 6/1/27 750,000 884,996 
5% 12/1/27 1,000,000 1,193,181 
5% 6/1/28 1,315,000 1,581,345 
Alaska Hsg. Fin. Corp. Mtg. Rev. Series 2022 A, 3% 6/1/51 750,000 788,040 
Alaska Int'l. Arpts. Revs. Series 2016 A, 5% 10/1/26 1,415,000 1,594,551 
TOTAL ALASKA  7,326,815 
Arizona - 0.9%   
Arizona Health Facilities Auth. Rev. (Scottsdale Lincoln Hospitals Proj.) Series 2014 A, 5% 12/1/39 660,000 724,266 
Arizona State Univ. Revs. Series 2021 C:   
5% 7/1/39 1,545,000 1,955,167 
5% 7/1/40 1,545,000 1,951,647 
Chandler Indl. Dev. Auth. Indl. Dev. Rev. Bonds (Intel Corp. Proj.) Series 2005, 2.4%, tender 8/14/23 (a) 265,000 270,470 
Maricopa County Indl. Dev. Auth.:   
(Creighton Univ. Proj.) Series 2020, 5% 7/1/47 600,000 718,255 
Bonds Series 2019 B, 5%, tender 9/1/24 (a) 650,000 710,910 
Maricopa County Indl. Dev. Auth. Sr. Living Facilities:   
(Christian Care Mesa II, Inc.) Series 2014 A, 4.5% 1/1/39 (Pre-Refunded to 1/1/24 @ 100) 450,000 478,346 
Series 2016:   
5.75% 1/1/36 (b) 910,000 870,505 
6% 1/1/48 (b) 1,250,000 1,172,087 
Maricopa County Spl. Health Care District Gen. Oblig. Series 2018 C, 5% 7/1/36 2,300,000 2,751,520 
Phoenix Civic Impt. Board Arpt. Rev. Series 2019 A, 5% 7/1/44 1,700,000 2,030,547 
Phoenix Civic Impt. Corp. Series 2019 A:   
5% 7/1/32 865,000 1,036,531 
5% 7/1/39 500,000 589,445 
5% 7/1/45 2,565,000 2,995,169 
Western Maricopa Ed. Ctr. District Series 2019 B, 5% 7/1/24 1,380,000 1,508,668 
TOTAL ARIZONA  19,763,533 
California - 3.8%   
California Edl. Facilities Auth. Rev. Series 2018 A, 5% 10/1/42 1,340,000 1,591,793 
California Gen. Oblig.:   
Series 2017, 5% 11/1/29 2,375,000 2,828,685 
Series 2020, 4% 11/1/45 4,200,000 4,542,696 
Series 2021, 5% 9/1/29 10,215,000 12,676,691 
California Hsg. Fin. Agcy. Series 2021 1, 3.5% 11/20/35 760,801 826,841 
California Muni. Fin. Auth. Rev. Series 2017 A:   
5% 7/1/42 1,000,000 1,164,566 
5.25% 11/1/36 515,000 588,268 
California Muni. Fin. Auth. Student Hsg. (CHF-Davis I, LLC - West Village Student Hsg. Proj.) Series 2018:   
5% 5/15/34 2,635,000 3,103,107 
5% 5/15/39 1,175,000 1,373,237 
California Pub. Fin. Auth. Univ. Hsg. Rev.:   
(Claremont Colleges Proj.) Series 2017 A, 5% 7/1/27 (b) 100,000 88,790 
(NCCD - Claremont Properties LLC - Claremont Colleges Proj.) Series 2017 A, 5% 7/1/47 (b) 100,000 85,216 
California Pub. Works Board Lease Rev. (Various Cap. Projs.) Series 2022 C:   
5% 8/1/30 (c) 555,000 669,491 
5% 8/1/33 (c) 1,030,000 1,257,286 
California Statewide Cmntys. Dev. Auth. Rev. Series 2015, 5% 2/1/45 800,000 824,635 
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2017 A1, 5% 6/1/28 (Pre-Refunded to 6/1/27 @ 100) 1,000,000 1,184,504 
Los Angeles Dept. Arpt. Rev. Series B, 5% 5/15/45 9,000,000 11,108,557 
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2021 B, 5% 7/1/51 6,660,000 8,159,892 
Middle Fork Proj. Fin. Auth. Series 2020:   
5% 4/1/24 2,745,000 2,959,902 
5% 4/1/25 2,885,000 3,199,540 
5% 4/1/26 2,030,000 2,308,736 
Mount Diablo Unified School District Series 2022 B:   
4% 8/1/31 (c) 840,000 983,644 
4% 8/1/32 (c) 1,180,000 1,372,936 
San Diego Assoc. of Governments (Mid-Coast Corridor Transit Proj.) Series 2019 A:   
5% 11/15/25 2,000,000 2,212,276 
5% 11/15/26 2,000,000 2,272,884 
San Diego County Reg'l. Arpt. Auth. Arpt. Rev. Series 2019 A, 5% 7/1/49 2,850,000 3,398,196 
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.:   
Series 2019 B, 5% 5/1/49 465,000 554,986 
Series 2022 B, 5% 5/1/52 (c) 7,285,000 9,007,984 
Washington Township Health Care District Rev.:   
Series 2017 A, 5% 7/1/35 800,000 922,272 
Series 2017 B:   
5% 7/1/29 485,000 563,932 
5% 7/1/30 970,000 1,124,348 
TOTAL CALIFORNIA  82,955,891 
Colorado - 2.6%   
Colorado Health Facilities Auth.:   
Bonds:   
Series 2018 B, 5%, tender 11/20/25 (a) 1,000,000 1,134,882 
Series 2019 B, 5%, tender 8/1/26 (a) 755,000 855,380 
Series 2018 A, 4% 11/15/48 960,000 1,059,746 
Series 2019 A:   
4% 11/1/39 905,000 1,026,926 
5% 11/1/22 1,800,000 1,858,771 
5% 11/1/26 1,495,000 1,738,761 
5% 11/15/39 1,250,000 1,541,832 
Colorado Hsg. & Fin. Auth.:   
Series 2019 F, 4.25% 11/1/49 355,000 383,284 
Series 2019 H, 4.25% 11/1/49 200,000 216,203 
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2021 B, 5% 11/1/28 3,775,000 4,612,255 
Colorado State Bldg. Excellent Schools Today Ctfs. of Prtn. Series 2018 N:   
5% 3/15/37 2,000,000 2,380,731 
5% 3/15/38 2,000,000 2,377,435 
Colorado Univ. Co. Hosp. Auth. Rev. Series 2012 A, 5% 11/15/42 6,480,000 6,678,797 
Denver City & County Board Wtr. Rev.:   
Series 2020 A:   
5% 9/15/45 5,415,000 6,740,413 
5% 9/15/46 8,300,000 10,307,694 
Series 2020 B, 5% 9/15/27 2,290,000 2,747,120 
Univ. of Colorado Enterprise Sys. Rev. Bonds:   
Series 2019 C, 2%, tender 10/15/24 (a) 6,725,000 6,824,474 
Series 2021 C3A, 2%, tender 10/15/25 (a) 885,000 899,069 
Series 2021 C3B, 2%, tender 10/15/26 (a) 750,000 759,747 
Vauxmont Metropolitan District:   
Series 2019, 5% 12/15/26 (Assured Guaranty Muni. Corp. Insured) 135,000 152,322 
Series 2020:   
5% 12/1/22 (Assured Guaranty Muni. Corp. Insured) 165,000 170,549 
5% 12/1/50 (Assured Guaranty Muni. Corp. Insured) 1,500,000 1,802,320 
TOTAL COLORADO  56,268,711 
Connecticut - 3.9%   
Bridgeport Gen. Oblig. Series 2019 A:   
5% 2/1/23 (Build America Mutual Assurance Insured) 630,000 656,514 
5% 2/1/25 (Build America Mutual Assurance Insured) 670,000 743,823 
Connecticut Gen. Oblig.:   
Series 2015 B, 5% 6/15/32 265,000 295,340 
Series 2016 B:   
5% 5/15/25 1,000,000 1,122,983 
5% 5/15/26 545,000 629,559 
Series 2017 A, 5% 4/15/33 245,000 285,702 
Series 2018 A, 5% 4/15/38 1,000,000 1,196,997 
Series 2018 F, 5% 9/15/22 235,000 241,521 
Series 2019 A, 5% 4/15/26 655,000 754,887 
Series 2019 B, 5% 2/15/23 7,000,000 7,311,657 
Series 2020 A:   
4% 1/15/34 2,250,000 2,595,899 
5% 1/15/40 2,000,000 2,447,513 
Series 2021 D:   
5% 7/15/24 1,150,000 1,259,384 
5% 7/15/25 1,905,000 2,149,766 
5% 7/15/26 1,905,000 2,210,614 
5% 7/15/27 2,540,000 3,017,256 
5% 7/15/28 2,920,000 3,536,028 
Series A, 5% 3/1/27 1,000,000 1,078,748 
Series C, 5% 6/1/23 2,000,000 2,027,828 
Connecticut Health & Edl. Facilities Auth. Rev.:   
(Sacred Heart Univ., CT. Proj.) Series 2017 I-1, 5% 7/1/42 3,335,000 3,829,982 
Bonds:   
Series 2010 A4, 2%, tender 2/8/22 (a) 805,000 805,232 
Series 2014 A, 1.1%, tender 2/7/23 (a) 6,000,000 6,023,444 
Series 2020 B:   
5%, tender 1/1/25 (a) 2,405,000 2,653,232 
5%, tender 1/1/27 (a) 1,780,000 2,064,224 
Series U1, 2%, tender 2/8/22 (a) 105,000 105,030 
Series 2019 A:   
5% 7/1/27 (b) 555,000 581,097 
5% 7/1/34 (b) 685,000 712,610 
Series 2019 Q-1:   
5% 11/1/24 460,000 507,293 
5% 11/1/26 500,000 582,275 
Series 2020 K:   
4% 7/1/45 2,865,000 3,171,617 
5% 7/1/40 1,050,000 1,275,673 
Series 2021 G:   
4% 3/1/46 925,000 1,050,041 
4% 3/1/51 1,485,000 1,673,516 
Series 2022 M, 5% 7/1/32 (c) 1,585,000 1,963,956 
Series A, 5% 7/1/26 1,000,000 1,092,234 
Series K1:   
5% 7/1/32 1,055,000 1,217,300 
5% 7/1/33 815,000 939,520 
5% 7/1/35 1,100,000 1,265,083 
Series K3, 5% 7/1/43 350,000 398,279 
Series R:   
4% 7/1/36 1,000,000 1,094,025 
5% 6/1/32 550,000 684,272 
5% 6/1/33 375,000 466,338 
5% 6/1/34 575,000 714,457 
5% 6/1/35 870,000 1,079,499 
Connecticut Hsg. Fin. Auth. Series 2021 B1, 3% 11/15/49 1,595,000 1,670,874 
Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.:   
Series 2012 A, 5% 1/1/24 410,000 425,562 
Series A, 5% 9/1/33 5,000,000 5,459,194 
Stratford Gen. Oblig. Series 2019:   
5% 1/1/24 1,520,000 1,630,991 
5% 1/1/28 3,890,000 4,521,135 
Univ. of Connecticut Gen. Oblig.:   
Series 2016 A, 5% 3/15/22 450,000 452,523 
Series 2019 A, 5% 11/1/25 495,000 561,945 
TOTAL CONNECTICUT  84,234,472 
Delaware - 0.1%   
Delaware Gen. Oblig. Series 2020 A, 5% 1/1/30 2,240,000 2,822,387 
District Of Columbia - 1.5%   
District of Columbia Gen. Oblig. Series 2017 D, 5% 6/1/42 500,000 583,848 
District of Columbia Rev. Series 2018:   
5% 10/1/23 350,000 372,792 
5% 10/1/25 495,000 553,858 
5% 10/1/26 830,000 950,773 
5% 10/1/27 905,000 1,058,757 
5% 10/1/43 3,080,000 3,608,198 
District of Columbia Wtr. & Swr. Auth. Pub. Util. Rev. Bonds Series 2019 C, 1.75%, tender 10/1/24 (a) 3,225,000 3,266,582 
Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev. (Dulles Metrorail and Cap. Impt. Projs.):   
Series 2019 A:   
5% 10/1/38 1,500,000 1,797,440 
5% 10/1/44 8,000,000 9,589,547 
Series 2019 B, 5% 10/1/47 7,500,000 8,865,873 
Metropolitan Washington DC Arpts. Auth. Sys. Rev. Series 2019 B, 5% 10/1/25 1,605,000 1,811,728 
TOTAL DISTRICT OF COLUMBIA  32,459,396 
Florida - 4.1%   
Atlantic Beach Health Care Facilities Series A, 5% 11/15/43 845,000 941,611 
Broward County School Board Ctfs. of Prtn. Series 2016, 5% 7/1/26 1,470,000 1,695,828 
Cap. Projs. Fin. Auth. Student Hsg. Rev. (Cap. Projs. Ln. Prog. - Florida Univs.) Series 2020 A, 5% 10/1/30 750,000 899,100 
Central Florida Expressway Auth. Sr. Lien Rev.:   
Orlando & Orange County Expressway Auth. Rev. Series 2017, 5% 7/1/39 2,000,000 2,330,500 
Series 2021:   
4% 7/1/38 (Assured Guaranty Muni. Corp. Insured) 1,140,000 1,324,576 
4% 7/1/39 (Assured Guaranty Muni. Corp. Insured) 995,000 1,149,655 
5% 7/1/32 (Assured Guaranty Muni. Corp. Insured) 3,000,000 3,843,506 
5% 7/1/33 (Assured Guaranty Muni. Corp. Insured) 2,660,000 3,406,207 
Escambia County Health Facilities Auth. Health Facilities Rev. Series 2020 A, 4% 8/15/45 820,000 889,333 
Florida Higher Edl. Facilities Fing. Auth.:   
(St. Leo Univ. Proj.) Series 2019:   
5% 3/1/22 350,000 351,111 
5% 3/1/23 400,000 415,153 
5% 3/1/24 250,000 264,638 
5% 3/1/25 670,000 724,902 
Series 2019:   
5% 10/1/22 225,000 231,043 
5% 10/1/23 250,000 265,210 
Florida Hsg. Fin. Corp. Rev. Series 2019 1, 4% 7/1/50 8,510,000 9,117,429 
Florida Mid-Bay Bridge Auth. Rev. Series 2015 A:   
5% 10/1/29 2,475,000 2,751,211 
5% 10/1/35 1,000,000 1,106,963 
Hillsborough County Aviation Auth. Rev. Series 2018 F:   
5% 10/1/37 1,510,000 1,821,601 
5% 10/1/43 2,000,000 2,392,244 
Hillsborough County School Board Ctfs. of Prtn. Series 2020 A, 5% 7/1/27 5,000,000 5,860,066 
Lee County School Board Ctfs. Series 2019 A:   
5% 8/1/27 4,005,000 4,755,484 
5% 8/1/28 2,020,000 2,445,648 
Lee Memorial Health Sys. Hosp. Rev. Series 2019 A1:   
5% 4/1/26 1,000,000 1,142,519 
5% 4/1/44 3,235,000 3,853,497 
Manatee County School District Series 2017, 5% 10/1/28 (Assured Guaranty Muni. Corp. Insured) 2,500,000 2,944,092 
Miami-Dade County Aviation Rev. Series 2020 A, 4% 10/1/37 2,000,000 2,291,015 
Miami-Dade County School Board Ctfs. of Prtn. Series 2015 B, 5% 5/1/28 1,715,000 1,906,289 
Miami-Dade County School District Series 2015, 5% 3/15/26 1,545,000 1,727,934 
Miami-Dade County Wtr. & Swr. Rev. Series 2019 B, 4% 10/1/49 4,000,000 4,479,296 
Orange County School Board Ctfs. of Prtn. Series 2015 D, 5% 8/1/30 (Pre-Refunded to 8/1/25 @ 100) 875,000 988,384 
Pasco County School Board Ctfs. of Prtn. Series 2018 A, 5% 8/1/35 (Build America Mutual Assurance Insured) 2,000,000 2,389,771 
Pinellas County Hsg. Fin. Auth. Bonds Series 2021 B, 0.65%, tender 7/1/24 (a) 1,245,000 1,225,061 
South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017, 5% 8/15/28 1,550,000 1,831,198 
St. Johns County School Board (School Board of St. Johns County, Florida Master Lease Prog.) Series 2019 A:   
5% 7/1/24 800,000 872,784 
5% 7/1/25 1,455,000 1,635,930 
Tallahassee Health Facilities Rev.:   
(Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A, 5% 12/1/55 1,020,000 1,128,648 
Series 2015 A, 5% 12/1/40 1,680,000 1,857,648 
Tampa Hosp. Rev. (H. Lee Moffitt Cancer Ctr. Proj.):   
Series 2016 B, 5% 7/1/37 960,000 1,080,273 
Series 2020 B:   
4% 7/1/45 3,000,000 3,340,273 
5% 7/1/40 700,000 860,717 
Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 A:   
0% 9/1/38 1,000,000 574,475 
0% 9/1/39 850,000 466,758 
0% 9/1/40 1,000,000 523,700 
0% 9/1/41 1,000,000 499,673 
0% 9/1/42 1,000,000 476,850 
0% 9/1/45 1,850,000 768,905 
Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A:   
5% 10/15/44 245,000 290,494 
5% 10/15/49 455,000 536,108 
TOTAL FLORIDA  88,675,311 
Georgia - 4.3%   
Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/36 1,000,000 1,228,114 
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Vogtle Proj.):   
Series 1994:   
2.15%, tender 6/13/24 (a) 6,360,000 6,512,465 
2.25%, tender 5/25/23 (a) 1,840,000 1,870,705 
Series 2013 1st, 2.925%, tender 3/12/24 (a) 2,320,000 2,412,003 
Coweta County Dev. Auth. Rev. (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5% 7/1/44 5,000,000 6,028,723 
Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (a) 800,000 860,158 
Fulton County Dev. Auth. Rev.:   
Series 2019 C, 5% 7/1/28 1,350,000 1,640,855 
Series 2019, 4% 6/15/49 190,000 212,511 
Georgia Muni. Elec. Auth. Pwr. Rev. Series 2019 A:   
4% 1/1/49 1,855,000 2,026,163 
5% 1/1/26 1,225,000 1,386,978 
5% 1/1/30 410,000 491,010 
5% 1/1/39 1,215,000 1,447,886 
5% 1/1/44 1,590,000 1,889,776 
Hosp. Auth. of Savannah Auth. Rev. Series 2019 A:   
4% 7/1/36 1,480,000 1,661,238 
4% 7/1/43 1,545,000 1,716,715 
Main Street Natural Gas, Inc. Bonds:   
Series 2018 A, 4%, tender 9/1/23 (a) 770,000 802,834 
Series 2019 B, 4%, tender 12/2/24 (a) 2,640,000 2,831,525 
Series 2021 A, 4%, tender 9/1/27 (a) 40,000,000 44,807,456 
Monroe County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25 1,110,000 1,134,296 
Private Colleges & Univs. Auth. Rev.:   
(The Savannah College of Art & Design Projs.) Series 2021:   
4% 4/1/38 870,000 992,656 
5% 4/1/27 400,000 468,878 
5% 4/1/31 600,000 752,062 
5% 4/1/36 480,000 596,537 
(The Savannah College of Art and Design Projs.) Series 2014, 5% 4/1/44 (Pre-Refunded to 4/1/24 @ 100) 2,000,000 2,168,218 
Series 2020 B:   
4% 9/1/38 3,000,000 3,443,931 
5% 9/1/31 1,385,000 1,735,952 
Series A:   
5% 6/1/22 420,000 426,384 
5% 6/1/23 420,000 442,815 
5% 6/1/24 695,000 749,218 
TOTAL GEORGIA  92,738,062 
Hawaii - 0.7%   
Hawaii Gen. Oblig.:   
Series 2020 C, 4% 7/1/40 930,000 1,068,016 
Series FG, 5% 10/1/27 1,000,000 1,167,987 
Honolulu City & County Gen. Oblig.:   
(Honolulu Rail Transit Proj.) Series 2020 B, 5% 3/1/29 7,055,000 8,688,732 
Series 2018 A, 5% 9/1/41 2,000,000 2,405,307 
Series 2019 A, 5% 9/1/24 765,000 841,819 
Honolulu City and County Wastewtr. Sys. Series 2015 A, 5% 7/1/40 (Pre-Refunded to 7/1/25 @ 100) 885,000 998,852 
TOTAL HAWAII  15,170,713 
Idaho - 0.4%   
Idaho Hsg. & Fin. Assoc. Single Family Mtg.:   
Series 2019 A, 4% 1/1/50 100,000 107,435 
Series 2021 A:   
5% 7/15/29 3,000,000 3,699,342 
5% 7/15/30 1,000,000 1,256,483 
5% 7/15/31 640,000 813,781 
5% 7/15/32 1,250,000 1,584,085 
TOTAL IDAHO  7,461,126 
Illinois - 11.9%   
Champaign County Cmnty. Unit:   
Series 2019:   
4% 6/1/26 100,000 110,966 
4% 6/1/27 830,000 937,456 
4% 6/1/28 625,000 716,563 
4% 6/1/29 1,550,000 1,801,325 
4% 6/1/30 1,000,000 1,169,250 
4% 6/1/31 1,250,000 1,452,920 
4% 6/1/34 1,000,000 1,136,055 
4% 6/1/35 1,290,000 1,462,702 
4% 6/1/36 1,575,000 1,784,251 
Series 2020 A:   
5% 1/1/29 675,000 810,642 
5% 1/1/30 625,000 749,795 
5% 1/1/31 850,000 1,018,112 
5% 1/1/33 1,650,000 1,972,430 
Chicago Board of Ed.:   
Series 1999, 0% 12/1/22 (Berkshire Hathaway Assurance Corp. Insured) (FGIC Insured) 1,465,000 1,454,540 
Series 2011 A:   
5% 12/1/41 60,000 60,101 
5.5% 12/1/39 170,000 170,318 
Series 2012 A, 5% 12/1/42 55,000 56,314 
Series 2015 C:   
5.25% 12/1/35 2,000,000 2,160,853 
5.25% 12/1/39 45,000 48,438 
Series 2016 A, 7% 12/1/44 3,200,000 3,747,028 
Series 2017 C, 5% 12/1/25 290,000 324,174 
Series 2017 D, 5% 12/1/31 865,000 982,907 
Series 2017 H, 5% 12/1/36 650,000 732,441 
Series 2018 A, 5% 12/1/27 185,000 213,490 
Series 2018 C:   
5% 12/1/24 100,000 109,505 
5% 12/1/25 505,000 564,510 
5% 12/1/27 505,000 582,771 
5% 12/1/46 5,015,000 5,636,712 
Series 2019 A:   
5% 12/1/23 2,150,000 2,293,887 
5% 12/1/28 240,000 280,346 
5% 12/1/30 575,000 672,730 
5% 12/1/31 600,000 699,840 
Series 2022 A, 5% 12/1/47 (c) 2,230,000 2,562,119 
Chicago Gen. Oblig. Series 2020 A:   
5% 1/1/26 2,090,000 2,335,006 
5% 1/1/27 1,520,000 1,730,157 
5% 1/1/30 1,745,000 2,064,627 
5% 1/1/32 1,300,000 1,529,450 
Chicago Midway Arpt. Rev.:   
Series 2013 B, 5% 1/1/25 620,000 642,886 
Series 2016 B, 5% 1/1/46 6,905,000 7,820,572 
Chicago O'Hare Int'l. Arpt. Rev.:   
Series 2013 D:   
5% 1/1/25 500,000 518,457 
5.25% 1/1/31 1,485,000 1,539,855 
Series 2015 B, 5% 1/1/32 1,000,000 1,093,597 
Series 2016 D, 5% 1/1/52 1,205,000 1,391,000 
Series 2018 B:   
5% 1/1/36 2,250,000 2,691,380 
5% 1/1/37 3,250,000 3,883,556 
5% 1/1/48 10,505,000 12,382,143 
5% 1/1/53 385,000 452,943 
Series 2020 A, 4% 1/1/38 700,000 794,546 
Cook County Cmnty. Consolidated School District No. 59 Series 2020:   
4% 3/1/24 900,000 954,533 
5% 3/1/25 850,000 947,335 
5% 3/1/26 1,235,000 1,412,161 
5% 3/1/27 1,245,000 1,463,263 
5% 3/1/28 1,350,000 1,617,700 
Cook County Gen. Oblig.:   
Series 2021 A:   
5% 11/15/31 3,650,000 4,496,008 
5% 11/15/32 2,400,000 2,951,325 
5% 11/15/33 2,350,000 2,886,425 
Series 2021 B:   
4% 11/15/25 620,000 673,846 
4% 11/15/26 315,000 347,283 
4% 11/15/27 320,000 356,923 
4% 11/15/28 160,000 180,518 
Illinois Fin. Auth. Academic Facilities (Provident Group UIUC Properties LLC Univ. of Illinois at Urbana-Champaign Proj.) Series 2019 A:   
5% 10/1/27 240,000 283,324 
5% 10/1/28 200,000 240,710 
5% 10/1/44 1,000,000 1,191,017 
5% 10/1/49 1,250,000 1,479,475 
5% 10/1/51 1,000,000 1,182,278 
Illinois Fin. Auth. Rev.:   
(Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A, 5% 7/15/25 300,000 337,461 
(OSF Healthcare Sys.) Series 2018 A:   
4.125% 5/15/47 5,150,000 5,721,762 
5% 5/15/43 50,000 59,170 
(Presence Health Proj.) Series 2016 C, 5% 2/15/36 1,000,000 1,161,878 
Bonds Series E, 2.25%, tender 4/29/22 (a) 330,000 331,487 
Series 2012 A, 5% 5/15/22 1,000,000 1,012,908 
Series 2013, 4.25% 5/15/43 (Pre-Refunded to 5/15/22 @ 100) 405,000 409,272 
Series 2015 A:   
4.125% 11/15/37 680,000 734,099 
5% 10/1/35 2,555,000 2,867,527 
5% 11/15/45 10,000,000 11,171,699 
Series 2016 A:   
5% 2/15/24 850,000 917,400 
5% 8/15/25 1,175,000 1,323,941 
Series 2016 C, 5% 2/15/31 2,500,000 2,917,866 
Series 2016:   
4% 12/1/35 360,000 393,599 
5% 12/1/40 2,150,000 2,439,939 
5% 12/1/46 12,400,000 14,011,343 
Series 2017 A, 5% 1/1/35 3,000,000 3,422,615 
Series 2018 A:   
4.25% 1/1/44 55,000 61,252 
5% 1/1/38 215,000 251,775 
5% 10/1/41 3,000,000 3,541,512 
5% 1/1/44 320,000 371,932 
Series 2019, 4% 9/1/35 450,000 500,284 
Illinois Gen. Oblig.:   
Series 2006, 5.5% 1/1/28 5,000,000 5,933,167 
Series 2012:   
5% 8/1/22 60,000 61,271 
5% 8/1/24 1,000,000 1,020,312 
Series 2013, 5% 7/1/22 40,000 40,710 
Series 2014:   
5% 2/1/22 215,000 215,000 
5% 2/1/23 180,000 187,245 
5% 2/1/26 550,000 589,821 
Series 2016:   
5% 2/1/26 5,270,000 5,936,379 
5% 2/1/27 615,000 704,734 
Series 2017 C, 5% 11/1/29 1,230,000 1,412,864 
Series 2017 D:   
5% 11/1/25 1,185,000 1,329,227 
5% 11/1/27 3,030,000 3,505,407 
Series 2018 A:   
5% 10/1/24 500,000 547,340 
5% 10/1/28 1,000,000 1,172,648 
5% 10/1/29 1,600,000 1,885,724 
Series 2018 B, 5% 10/1/26 1,000,000 1,139,784 
Series 2019 B:   
5% 9/1/22 490,000 502,017 
5% 9/1/23 500,000 530,252 
5% 9/1/24 500,000 546,016 
Series 2021 A:   
5% 3/1/32 195,000 235,700 
5% 3/1/33 1,000,000 1,208,102 
5% 3/1/34 1,000,000 1,207,410 
5% 3/1/46 2,000,000 2,358,758 
Illinois Toll Hwy. Auth. Toll Hwy. Rev.:   
Series 2014 A, 5% 12/1/22 1,300,000 1,346,814 
Series 2015 A, 5% 1/1/37 470,000 524,434 
Series 2019 A, 5% 1/1/44 490,000 595,710 
Series A:   
5% 1/1/38 1,010,000 1,253,847 
5% 1/1/41 220,000 271,847 
5% 1/1/45 13,450,000 16,426,001 
Kane & DeKalb Counties Cmnty. Unit School District #302 Series 2018, 5% 2/1/26 2,010,000 2,276,402 
Kane County School District No. 131 Series 2020 A:   
4% 12/1/30 (Assured Guaranty Muni. Corp. Insured) 460,000 525,137 
4% 12/1/31 (Assured Guaranty Muni. Corp. Insured) 615,000 694,040 
4% 12/1/33 (Assured Guaranty Muni. Corp. Insured) 255,000 287,464 
4% 12/1/35 (Assured Guaranty Muni. Corp. Insured) 275,000 309,353 
4% 12/1/36 (Assured Guaranty Muni. Corp. Insured) 250,000 280,965 
4% 12/1/38 (Assured Guaranty Muni. Corp. Insured) 580,000 650,722 
Metropolitan Pier & Exposition:   
(McCormick Place Expansion Proj.) Series 2010 B1:   
0% 6/15/43 (Assured Guaranty Muni. Corp. Insured) 3,200,000 1,679,351 
0% 6/15/46 (Assured Guaranty Muni. Corp. Insured) 8,000,000 3,735,144 
0% 6/15/47 (Assured Guaranty Muni. Corp. Insured) 2,525,000 1,136,936 
Series 2017 A, 5% 6/15/57 6,625,000 7,415,960 
Series 2020 A:   
4% 6/15/50 8,955,000 9,505,927 
5% 6/15/50 7,310,000 8,299,191 
Series 2020 B, 5% 6/15/42 2,695,000 3,118,744 
Series 2022 A:   
0% 12/15/35 (c) 780,000 520,683 
0% 12/15/36 (c) 1,035,000 666,440 
0% 6/15/40 (c) 1,055,000 592,339 
0% 6/15/41 (c) 1,450,000 782,882 
Northern Illinois Univ. Revs. Series 2020 B:   
4% 4/1/36 (Build America Mutual Assurance Insured) 1,300,000 1,467,062 
4% 4/1/38 (Build America Mutual Assurance Insured) 1,300,000 1,461,989 
4% 4/1/40 (Build America Mutual Assurance Insured) 870,000 975,435 
Railsplitter Tobacco Settlement Auth. Rev. Series 2017, 5% 6/1/27 1,200,000 1,365,385 
Univ. of Illinois Board of Trustees Ctfs. of Prtn. Series 2014 C, 5% 3/15/23 215,000 225,250 
Univ. of Illinois Rev. Series 2018 A, 5% 4/1/29 100,000 120,000 
TOTAL ILLINOIS  256,751,853 
Indiana - 0.6%   
Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (a) 580,000 598,041 
Indiana Fin. Auth. Rev. (DePauw Univ. Proj.) Series 2019, 5% 7/1/22 1,510,000 1,536,525 
Indiana Health Facility Fing. Auth. Rev. Bonds Series 2001 A2, 2%, tender 2/1/22 (a) 340,000 344,297 
Indiana Hsg. & Cmnty. Dev. Auth.:   
(Glasswater Creek of Whitestown Proj.) Series 2020, 5.375% 10/1/40 (b) 695,000 704,747 
Series 2019 B, 3.5% 1/1/49 625,000 660,744 
Series 2021 B, 5% 1/1/23 500,000 519,627 
Series A:   
3.75% 1/1/49 3,000,000 3,202,424 
5% 1/1/28 325,000 383,443 
5% 7/1/28 325,000 387,124 
5% 1/1/29 325,000 390,622 
5% 7/1/29 270,000 326,406 
Saint Joseph County Econ. Dev. Auth. Rev. (St. Mary's College Proj.):   
Series 2019, 5% 4/1/43 1,555,000 1,810,754 
Series 2020, 5% 4/1/32 765,000 906,635 
TOTAL INDIANA  11,771,389 
Iowa - 0.5%   
Iowa Fin. Auth. Rev.:   
Series 2018 B, 5% 2/15/48 1,000,000 1,183,770 
Series A, 5% 5/15/48 120,000 130,058 
Iowa Higher Ed. Ln. Auth. Rev. (Grinnell College Proj.) Series 2017, 5% 12/1/46 5,925,000 6,833,667 
Tobacco Settlement Auth. Tobacco Settlement Rev.:   
Series 2021 A2, 4% 6/1/49 1,200,000 1,314,389 
Series 2021 B1, 4% 6/1/49 1,550,000 1,687,134 
TOTAL IOWA  11,149,018 
Kentucky - 3.4%   
Ashland Med. Ctr. Rev. Series 2019:   
4% 2/1/36 760,000 841,365 
4% 2/1/37 575,000 635,851 
5% 2/1/24 1,180,000 1,265,600 
5% 2/1/25 945,000 1,043,827 
Boyle County Edl. Facilities Rev. Series 2017, 5% 6/1/37 320,000 369,705 
Carroll County Poll. Ctlr Rev. Bonds (Kentucky Utils. Co. Proj.) Series 2016 A, 1.55%, tender 9/1/26 (a) 6,750,000 6,795,892 
Kenton County Arpt. Board Arpt. Rev. Series 2019:   
5% 1/1/38 730,000 876,708 
5% 1/1/39 690,000 824,380 
5% 1/1/49 2,500,000 2,957,853 
Kentucky Econ. Dev. Fin. Auth. Series 2019 A2, 5% 8/1/49 3,400,000 3,971,175 
Kentucky State Property & Buildings Commission Rev.:   
(Proj. No. 112) Series 2016 B, 5% 11/1/27 1,095,000 1,271,901 
(Proj. No. 119) Series 2018:   
5% 5/1/28 1,000,000 1,200,498 
5% 5/1/38 4,000,000 4,715,277 
Series 2017:   
5% 4/1/25 3,425,000 3,830,020 
5% 4/1/26 3,470,000 3,984,241 
Series A:   
4% 11/1/34 1,250,000 1,417,574 
4% 11/1/35 400,000 453,204 
4% 11/1/36 1,000,000 1,131,969 
4% 11/1/37 1,250,000 1,412,088 
5% 11/1/22 1,400,000 1,444,853 
5% 8/1/27 400,000 448,325 
5% 11/1/29 1,105,000 1,334,028 
Series B:   
5% 8/1/23 1,330,000 1,409,533 
5% 8/1/25 2,965,000 3,348,122 
5% 8/1/26 1,910,000 2,212,752 
5% 5/1/27 2,000,000 2,357,678 
Kentucky, Inc. Pub. Energy:   
Bonds:   
Series A, 4%, tender 6/1/26 (a) 11,515,000 12,542,905 
Series C1, 4%, tender 6/1/25 (a) 2,000,000 2,150,585 
Series A:   
4% 6/1/23 585,000 606,206 
4% 12/1/24 500,000 533,440 
4% 6/1/25 585,000 629,604 
Louisville & Jefferson County:   
Bonds:   
Series 2020 B, 5%, tender 10/1/23 (a) 1,530,000 1,635,154 
Series 2020 C, 5%, tender 10/1/26 (a) 525,000 605,211 
Series 2020 D, 5%, tender 10/1/29 (a) 630,000 774,422 
Series 2016 A, 5% 10/1/31 95,000 109,237 
Series 2020 A, 4% 10/1/39 1,500,000 1,676,435 
TOTAL KENTUCKY  72,817,618 
Louisiana - 0.7%   
Calcasieu Parish Memorial Hosp. (Lake Charles Memorial Hosp. Proj.) Series 2019:   
4% 12/1/22 815,000 832,461 
4% 12/1/23 1,135,000 1,179,430 
4% 12/1/24 1,145,000 1,204,640 
Louisiana Pub. Facilities Auth. Hosp. Rev. (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2017 A, 5% 7/1/47 2,020,000 2,317,822 
Louisiana Pub. Facilities Auth. Rev.:   
(Ochsner Clinic Foundation Proj.) Series 2017, 5% 5/15/27 885,000 1,041,249 
Series 2018 E:   
5% 7/1/32 1,470,000 1,769,448 
5% 7/1/33 1,195,000 1,437,878 
5% 7/1/34 1,385,000 1,665,172 
St. John Baptist Parish Rev.:   
(Marathon Oil Corp.) Series 2017, 2.2% 6/1/37 (a) 1,495,000 1,531,784 
Bonds (Marathon Oil Corp.) Series 2017:   
2%, tender 4/1/23 (a) 1,410,000 1,424,463 
2.1%, tender 7/1/24 (a) 680,000 693,209 
TOTAL LOUISIANA  15,097,556 
Maine - 0.2%   
Maine Health & Higher Edl. Facilities Auth. Rev.:   
(Eastern Maine Healthcare Systems Proj.) Series 2013, 5% 7/1/43 (Pre-Refunded to 7/1/23 @ 100) 100,000 105,834 
Series 2013:   
5% 7/1/22 (Escrowed to Maturity) 400,000 407,482 
5% 7/1/33 (Pre-Refunded to 7/1/23 @ 100) 395,000 418,042 
Series 2017 B, 5% 7/1/33 280,000 325,484 
Maine Hsg. Auth. Mtg. Series C, 3.5% 11/15/46 2,515,000 2,601,105 
Maine Tpk. Auth. Tpk. Rev. Series 2018, 5% 7/1/47 500,000 587,386 
TOTAL MAINE  4,445,333 
Maryland - 2.0%   
Anne Arundel County Gen. Oblig. Series 2021:   
5% 10/1/26 5,425,000 6,344,378 
5% 4/1/28 6,575,000 7,970,014 
Hsg. Opportunities Commission of Montgomery County Series 2021 C, 0.8% 7/1/25 400,000 389,978 
Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.:   
Series 2019 B, 4% 9/1/49 435,000 464,783 
Series 2019 C:   
5% 9/1/27 725,000 856,082 
5% 9/1/28 115,000 138,192 
Maryland Econ. Dev. Auth. Rev. (Ports America Chesapeake LLC. Proj.) Series 2017 A, 5% 6/1/24 1,000,000 1,084,247 
Maryland Gen. Oblig.:   
First Series 2016, 5% 6/1/26 1,785,000 1,944,627 
Series 2022 2C, 4% 3/1/29 (c) 4,210,000 4,880,909 
Maryland Health & Higher Edl. Series 2021 A, 5% 6/1/31 350,000 432,236 
Maryland Health & Higher Edl. Facilities Auth. Rev. Series 2020 B:   
5% 4/15/24 705,000 762,697 
5% 4/15/25 920,000 1,025,049 
Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2020:   
4% 7/1/45 1,645,000 1,855,541 
4% 7/1/50 960,000 1,076,749 
5% 7/1/40 4,930,000 6,100,604 
Washington Metropolitan Area Transit Auth. Series 2021 A:   
5% 7/15/26 2,580,000 2,996,332 
5% 7/15/27 3,700,000 4,403,780 
TOTAL MARYLAND  42,726,198 
Massachusetts - 4.3%   
Massachusetts Commonwealth Trans. Fund Rev.:   
(Rail Enhancement Prog.) Series 2021 B, 5% 6/1/37 4,455,000 5,378,289 
Series 2021 A, 5% 6/1/51 7,990,000 9,688,780 
Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Bonds Series 2019 A, 5%, tender 1/1/23 (a) 5,195,000 5,394,056 
Massachusetts Dev. Fin. Agcy. Rev.:   
Caregroup, Inc. Series 2015 H-1, 5% 7/1/25 1,375,000 1,545,982 
Series 2017 A, 5% 1/1/36 2,415,000 2,773,171 
Series 2017, 5% 7/1/47 945,000 1,052,109 
Series 2018, 5% 1/1/43 1,335,000 1,519,987 
Series 2019 K:   
5% 7/1/25 825,000 927,589 
5% 7/1/26 1,085,000 1,252,689 
5% 7/1/27 1,305,000 1,540,594 
Series 2019:   
5% 7/1/25 655,000 728,315 
5% 7/1/26 370,000 421,391 
5% 7/1/28 550,000 648,568 
5% 7/1/29 500,000 599,114 
5% 9/1/59 3,730,000 4,415,147 
Series 2020 A:   
4% 7/1/45 3,660,000 3,993,794 
5% 10/15/25 350,000 397,800 
5% 10/15/27 7,500,000 8,973,815 
5% 10/15/28 7,340,000 8,975,478 
Series 2021 V, 5% 7/1/55 5,320,000 7,817,377 
Series A, 4% 6/1/49 2,365,000 2,625,250 
Series J2, 5% 7/1/53 3,775,000 4,420,967 
Series M:   
4% 10/1/50 3,725,000 4,050,141 
5% 10/1/45 2,805,000 3,320,116 
Massachusetts Gen. Oblig.:   
Series 2019 C, 5% 5/1/49 1,630,000 1,961,220 
Series E, 5% 11/1/50 3,395,000 4,158,057 
Massachusetts Hsg. Fin. Auth. Series 2021 223, 3% 6/1/47 2,425,000 2,544,127 
Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev. Series A, 5% 2/15/49 (Pre-Refunded to 2/15/26 @ 100) 2,500,000 2,867,188 
TOTAL MASSACHUSETTS  93,991,111 
Michigan - 2.2%   
Detroit Downtown Dev. Auth. Tax Series A, 5% 7/1/37 (Assured Guaranty Muni. Corp. Insured) 150,000 161,966 
Detroit Gen. Oblig. Series 2021 A, 5% 4/1/50 800,000 928,360 
Flint Hosp. Bldg. Auth. Rev. Series 2020:   
4% 7/1/41 1,060,000 1,173,302 
5% 7/1/25 465,000 511,187 
5% 7/1/26 425,000 477,290 
5% 7/1/27 660,000 755,490 
5% 7/1/28 925,000 1,076,252 
Grand Rapids Pub. Schools Series 2019, 5% 11/1/26 (Assured Guaranty Muni. Corp. Insured) 920,000 1,068,170 
Lake Orion Cmnty. School District Series 2019, 5% 5/1/24 500,000 543,425 
Lansing Cmnty. College Series 2019, 5% 5/1/44 5,070,000 6,045,994 
Michigan Fin. Auth. Rev.:   
(Detroit Wtr. and Sewage Dept. Wtr. Supply Sys. Rev. Rfdg. Local Proj.) Series 2014 C3, 5% 7/1/22 (Assured Guaranty Muni. Corp. Insured) 630,000 641,731 
(Henry Ford Health Sys. Proj.) Series 2016, 5% 11/15/25 4,220,000 4,802,498 
(Trinity Health Proj.) Series 2017, 5% 12/1/37 1,000,000 1,170,645 
Bonds:   
Series 2019 B, 3.5%, tender 11/15/22 (a) 620,000 633,440 
Series 2019 MI2, 5%, tender 2/1/25 (a) 740,000 820,382 
Series 2015 A:   
5% 8/1/26 1,675,000 1,830,440 
5% 8/1/27 2,680,000 2,926,622 
Series 2015, 5% 11/15/28 1,405,000 1,565,263 
Series 2016, 5% 11/15/26 850,000 992,555 
Series 2019 A:   
4% 12/1/49 795,000 880,724 
5% 11/15/48 290,000 345,973 
Series 2020 A, 4% 6/1/49 865,000 949,234 
Oakland Univ. Rev.:   
Series 2016, 5% 3/1/41 810,000 913,132 
Series 2019 A, 5% 3/1/31 580,000 704,961 
Series 2019:   
5% 3/1/32 650,000 788,389 
5% 3/1/33 625,000 757,759 
5% 3/1/34 700,000 848,301 
5% 3/1/35 700,000 847,139 
5% 3/1/36 800,000 968,561 
5% 3/1/37 900,000 1,087,985 
5% 3/1/38 1,325,000 1,599,239 
5% 3/1/39 900,000 1,084,946 
Royal Oak Hosp. Fin. Auth. Hosp. Rev. Series 2014 D, 5% 9/1/23 525,000 558,751 
Univ. of Michigan Rev.:   
Series 2017 A, 5% 4/1/24 1,245,000 1,351,675 
Series 2020 A, 5% 4/1/50 4,000,000 4,897,856 
TOTAL MICHIGAN  46,709,637 
Minnesota - 0.5%   
City of White Bear Lake (YMCA of Greater Twin Cities Proj.) Series 2018:   
5% 6/1/23 515,000 537,368 
5% 6/1/27 500,000 563,976 
Duluth Econ. Dev. Auth. Health Care Facilities Rev. Series 2018 A, 5% 2/15/43 500,000 582,505 
Hennepin County Reg'l. Railroad Auth. Series 2019, 5% 12/1/28 2,120,000 2,603,819 
Minnesota Higher Ed. Facilities Auth. Rev.:   
Series 2016 A, 5% 5/1/46 1,460,000 1,541,525 
Series 2018 A, 5% 10/1/45 5,000 5,780 
Saint Cloud Health Care Rev. Series 2019:   
4% 5/1/49 540,000 597,663 
5% 5/1/48 675,000 800,974 
Shakopee Sr. Hsg. Rev. Bonds Series 2018, 5.85%, tender 11/1/25 (a)(b) 1,340,000 1,416,368 
St. Paul Hsg. & Redev. Auth. Health Care Facilities Rev. Series 2015 A, 5% 7/1/29 2,240,000 2,503,397 
TOTAL MINNESOTA  11,153,375 
Mississippi - 0.2%   
Mississippi Hosp. Equip. & Facilities Auth.:   
Bonds Series II, 5%, tender 3/1/27 (a) 605,000 691,737 
Series I:   
5% 10/1/22 400,000 411,774 
5% 10/1/23 550,000 587,046 
5% 10/1/24 535,000 589,693 
5% 10/1/26 650,000 756,307 
5% 10/1/28 1,000,000 1,210,548 
TOTAL MISSISSIPPI  4,247,105 
Missouri - 1.3%   
Kansas City Wtr. Rev. Series 2020 A:   
4% 12/1/32 675,000 794,497 
4% 12/1/34 400,000 470,576 
4% 12/1/36 700,000 821,623 
4% 12/1/37 500,000 586,756 
4% 12/1/40 500,000 583,698 
5% 12/1/28 580,000 709,832 
5% 12/1/29 350,000 437,036 
5% 12/1/30 660,000 839,846 
5% 12/1/35 600,000 763,300 
Missouri Health & Edl. Facilities Rev.:   
Series 2017 A, 5% 10/1/42 2,350,000 2,727,215 
Series 2019 A:   
4% 10/1/48 4,785,000 5,286,189 
5% 10/1/46 460,000 547,312 
Missouri Hsg. Dev. Commission Single Family Mtg. Rev.:   
Series 2019, 4% 5/1/50 145,000 155,607 
Series 2021 A, 3% 5/1/52 2,790,000 2,923,771 
Saint Louis Arpt. Rev.:   
Series 2017 A, 5% 7/1/22 (Assured Guaranty Muni. Corp. Insured) 1,695,000 1,726,850 
Series 2019 C:   
5% 7/1/26 1,440,000 1,657,883 
5% 7/1/27 2,430,000 2,859,011 
Series A, 5.25% 7/1/26 (Assured Guaranty Muni. Corp. Insured) 2,790,000 3,244,464 
Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev. Series 2018 A, 5.125% 9/1/48 55,000 60,461 
TOTAL MISSOURI  27,195,927 
Montana - 0.0%   
Montana Board Hsg. Single Family Series 2019 B, 4% 6/1/50 75,000 81,270 
Nebraska - 0.7%   
Central Plains Energy Proj. Gas Supply Bonds Series 2019, 4%, tender 8/1/25 (a) 13,400,000 14,567,310 
Nevada - 1.3%   
Clark County Arpt. Rev.:   
Series 2014 A2, 5% 7/1/30 420,000 457,161 
Series 2019 A, 5% 7/1/26 1,255,000 1,444,891 
Clark County School District:   
Series 2015 C, 5% 6/15/26 3,000,000 3,411,010 
Series 2016 B, 5% 6/15/26 1,675,000 1,930,047 
Series 2017 A:   
5% 6/15/22 2,520,000 2,563,013 
5% 6/15/24 250,000 272,360 
5% 6/15/25 5,945,000 6,667,341 
5% 6/15/26 215,000 247,737 
Series 2017 C, 5% 6/15/22 210,000 213,584 
Series A, 5% 6/15/27 1,305,000 1,544,947 
Nevada Hsg. Division Single Family Mtg. Rev.:   
Series 2019 A, 4% 4/1/49 2,215,000 2,368,749 
Series 2019 B, 4% 10/1/49 235,000 251,472 
Series 2021 B, 3% 10/1/51 7,270,000 7,642,085 
TOTAL NEVADA  29,014,397 
New Hampshire - 0.3%   
Nat'l. Finnance Auth. Series 2020 1, 4.125% 1/20/34 1,764,726 1,977,392 
New Hampshire Health & Ed. Facilities Auth.:   
(Dartmouth-Hitchcock Oblgtd Grp Proj.) Series 2018 A, 5% 8/1/34 315,000 374,440 
Series 2017, 5% 7/1/44 2,335,000 2,638,923 
New Hampshire Health & Ed. Facilities Auth. Rev.:   
(Covenant Health Sys., Inc. Proj.) Series 2012, 5% 7/1/42 (Pre-Refunded to 7/1/22 @ 100) 1,695,000 1,725,990 
Series 2016, 5% 10/1/23 170,000 181,071 
TOTAL NEW HAMPSHIRE  6,897,816 
New Jersey - 4.0%   
Camden County Impt. Auth. Health Care Redev. Rev. Series 2014 A, 5% 2/15/26 1,000,000 1,072,224 
New Jersey Econ. Dev. Auth.:   
(White Horse HMT Urban Renewal LLC Proj.) Series 2020, 5% 1/1/40 (b) 310,000 307,092 
Series A, 5% 11/1/31 2,735,000 3,284,130 
New Jersey Econ. Dev. Auth. Lease Rev. (State House Proj.) Series 2017 B:   
5% 6/15/26 1,000,000 1,144,266 
5% 6/15/35 580,000 680,716 
New Jersey Econ. Dev. Auth. Rev.:   
(Black Horse EHT Urban Renewal LLC Proj.) Series 2019 A, 5% 10/1/39 (b) 220,000 220,263 
(Provident Montclair Proj.) Series 2017, 5% 6/1/25 (Assured Guaranty Muni. Corp. Insured) 1,035,000 1,157,690 
Series 2013 NN, 5% 3/1/27 1,055,000 1,097,942 
Series 2014 PP, 5% 6/15/26 1,000,000 1,086,777 
Series 2014 RR, 5% 6/15/32 (Pre-Refunded to 6/15/24 @ 100) 210,000 228,704 
Series 2014 UU, 5% 6/15/30 (Pre-Refunded to 6/15/24 @ 100) 260,000 283,158 
Series 2015 XX:   
5% 6/15/22 3,285,000 3,336,734 
5% 6/15/23 3,500,000 3,687,590 
5% 6/15/26 235,000 262,049 
Series 2016 A, 5% 7/15/27 1,000,000 1,144,235 
Series 2016 BBB:   
5% 6/15/23 1,400,000 1,475,036 
5.5% 6/15/30 (Pre-Refunded to 12/15/26 @ 100) 230,000 273,987 
Series 2018 EEE:   
5% 6/15/28 590,000 701,078 
5% 6/15/34 1,500,000 1,763,012 
Series LLL:   
4% 6/15/44 2,935,000 3,207,844 
4% 6/15/49 2,690,000 2,921,093 
Series MMM:   
4% 6/15/35 1,160,000 1,294,328 
4% 6/15/36 450,000 501,136 
New Jersey Edl. Facility Series 2016 E, 5% 7/1/22 765,000 778,825 
New Jersey Gen. Oblig. Series 2020 A:   
4% 6/1/30 1,060,000 1,217,661 
4% 6/1/31 400,000 464,071 
4% 6/1/32 270,000 316,398 
5% 6/1/29 1,195,000 1,444,360 
New Jersey Health Care Facilities Fing. Auth. Rev.:   
Bonds:   
Series 2019 B1, 5%, tender 7/1/24 (a) 1,360,000 1,478,878 
Series 2019 B2, 5%, tender 7/1/25 (a) 1,665,000 1,873,290 
Series 2019 B3, 5%, tender 7/1/26 (a) 1,695,000 1,951,236 
Series 2016:   
4% 7/1/48 200,000 215,240 
5% 7/1/28 1,170,000 1,338,441 
5% 7/1/41 90,000 101,764 
New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev. Series 2019 A:   
5% 12/1/23 200,000 214,226 
5% 12/1/24 115,000 126,805 
5% 12/1/25 215,000 242,913 
New Jersey Tobacco Settlement Fing. Corp. Series 2018 A, 5% 6/1/28 1,000,000 1,200,222 
New Jersey Tpk. Auth. Tpk. Rev.:   
Series 2015 E, 5% 1/1/34 675,000 742,837 
Series 2021 A:   
4% 1/1/42 1,710,000 1,959,944 
4% 1/1/51 2,000,000 2,254,842 
Series D, 5% 1/1/28 1,000,000 1,146,722 
New Jersey Trans. Trust Fund Auth.:   
(Trans. Prog.) Series 2019 AA, 5.25% 6/15/43 1,945,000 2,295,425 
Series 2010 A, 0% 12/15/27 1,205,000 1,060,498 
Series 2018 A:   
5% 12/15/32 355,000 417,926 
5% 12/15/34 1,350,000 1,585,326 
Series 2021 A:   
4% 6/15/38 (c) 800,000 886,084 
5% 6/15/33 4,520,000 5,532,078 
Series 2022 A, 4% 6/15/40 (c) 3,340,000 3,679,369 
Series 2022 AA:   
5% 6/15/30 (c) 1,970,000 2,386,703 
5% 6/15/31 (c) 4,790,000 5,886,483 
Series A:   
4% 12/15/39 1,000,000 1,104,616 
4.25% 12/15/38 2,515,000 2,796,974 
Series AA:   
4% 6/15/39 1,040,000 1,153,715 
4% 6/15/50 2,280,000 2,475,124 
5% 6/15/29 405,000 411,666 
5% 6/15/36 1,150,000 1,391,891 
5% 6/15/50 500,000 590,385 
Series BB, 4% 6/15/44 1,300,000 1,412,576 
Newark Port Auth. Hsg. Auth. Rev. Series 2007, 5.25% 1/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,000,000 1,121,031 
Rutgers State Univ. Rev. Series Q:   
5% 5/1/22 275,000 278,112 
5% 5/1/23 215,000 226,136 
TOTAL NEW JERSEY  86,891,877 
New Mexico - 0.5%   
Albuquerque Brnl Co. Wtr. Utl Series 2018, 5% 7/1/28 1,000,000 1,155,017 
New Mexico Hosp. Equip. Ln. Council Rev. Bonds Series 2019 B, 5%, tender 8/1/25 (a) 1,460,000 1,640,947 
New Mexico Mtg. Fin. Auth.:   
Series 2019 C, 4% 1/1/50 885,000 949,463 
Series 2019 D, 3.75% 1/1/50 320,000 341,363 
New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev.:   
Bonds Series 2019 A, 5%, tender 5/1/25 (a) 5,000,000 5,562,388 
Series 2019 A:   
4% 5/1/23 590,000 612,503 
4% 11/1/23 200,000 210,050 
4% 5/1/24 675,000 716,662 
Santa Fe Retirement Fac.:   
Series 2019 A:   
2.25% 5/15/24 35,000 35,018 
5% 5/15/34 70,000 77,889 
5% 5/15/39 50,000 55,312 
5% 5/15/44 50,000 54,991 
5% 5/15/49 105,000 115,169 
Series 2019 B1, 2.625% 5/15/25 55,000 55,043 
TOTAL NEW MEXICO  11,581,815 
New York - 8.2%   
Dorm. Auth. New York Univ. Rev. Series 2017 A, 5% 7/1/46 (Pre-Refunded to 7/1/27 @ 100) 1,265,000 1,503,514 
Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A, 5% 2/15/42 3,700,000 4,239,171 
Long Island Pwr. Auth. Elec. Sys. Rev.:   
Bonds Series 2019 B, 1.65%, tender 9/1/24 (a) 2,600,000 2,625,147 
Series 2018, 5% 9/1/36 250,000 305,100 
MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56 300,000 315,480 
New York City Edl. Construction Fund Series 2021 B, 5% 4/1/46 2,195,000 2,666,160 
New York City Gen. Oblig.:   
Series 2021 A1:   
5% 8/1/28 2,385,000 2,879,378 
5% 8/1/29 2,595,000 3,200,676 
Series 2022 A1, 5% 8/1/47 3,895,000 4,752,214 
Series B, 5% 10/1/42 2,000,000 2,421,753 
New York City Hsg. Dev. Corp. Multifamily Hsg. Bonds:   
Series 2021 C2, 0.7%, tender 7/1/25 (a) 1,265,000 1,241,551 
Series 2021 K2, 0.9%, tender 1/1/26 (a) 7,040,000 6,851,681 
Series 2021, 0.6%, tender 7/1/25 (a) 1,675,000 1,619,762 
New York City Transitional Fin. Auth. Bldg. Aid Rev.:   
(New York State Gen. Oblig. Proj.) Series 2015 S-1, 5% 7/15/35 7,000,000 7,741,725 
Series 2018 S2, 5% 7/15/35 1,075,000 1,267,707 
New York City Transitional Fin. Auth. Rev.:   
Series 2018 A2, 5% 8/1/39 1,800,000 2,106,147 
Series 2018 B, 5% 8/1/45 7,150,000 8,309,067 
Series 2022 A1, 5% 11/1/29 5,660,000 7,042,093 
New York City Trust Cultural Resources Rev. Series 2021, 5% 7/1/31 3,600,000 4,631,763 
New York Dorm. Auth. Rev. Bonds:   
Series 2019 B2, 5%, tender 5/1/24 (a) 880,000 939,722 
Series 2019 B3, 5%, tender 5/1/26 (a) 635,000 717,146 
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2012 A, 0% 11/15/32 5,515,000 4,313,959 
New York Metropolitan Trans. Auth. Rev.:   
Series 2015 A1, 5% 11/15/29 425,000 468,965 
Series 2017 C1, 5% 11/15/34 1,465,000 1,697,530 
Series 2017 D:   
5% 11/15/30 8,955,000 10,402,127 
5% 11/15/35 2,000,000 2,318,980 
Series 2020 A, 5% 2/1/23 3,020,000 3,132,323 
Series 2020 D, 4% 11/15/46 13,530,000 14,536,520 
Series D1, 5% 11/1/25 2,050,000 2,110,768 
New York State Dorm. Auth.:   
Series 2017 A, 5% 2/15/31 1,000,000 1,162,403 
Series 2021 E:   
4% 3/15/45 5,805,000 6,569,837 
4% 3/15/47 4,090,000 4,613,857 
New York State Hsg. Fin. Agcy. Rev. Bonds Series 2021 J2:   
1%, tender 11/1/26 (a) 1,025,000 994,955 
1.1%, tender 5/1/27 (a) 3,790,000 3,671,097 
New York State Urban Dev. Corp.:   
Series 2020 A, 4% 3/15/45 1,250,000 1,395,909 
Series 2020 C:   
5% 3/15/43 5,000,000 6,103,707 
5% 3/15/47 10,000,000 12,112,701 
Series 2020 E:   
4% 3/15/44 9,300,000 10,355,341 
4% 3/15/45 7,500,000 8,329,598 
New York State Urban Eev Corp. Series 2019 A, 5% 3/15/37 3,785,000 4,667,962 
Oneida County Local Dev. Corp. Rev. (Mohawk Valley Health Sys. Proj.) Series 2019 A, 5% 12/1/26 (Assured Guaranty Muni. Corp. Insured) 1,625,000 1,734,281 
Suffolk County Econ. Dev. Corp. Rev. Series 2021:   
4.625% 11/1/31 (b) 250,000 250,763 
5.375% 11/1/54 (b) 935,000 937,829 
Triborough Bridge & Tunnel Auth. Series 2021 A1, 5% 5/15/51 1,875,000 2,311,372 
Triborough Bridge & Tunnel Auth. Revs. Series 2018 A, 5% 11/15/44 4,000,000 4,731,355 
TOTAL NEW YORK  176,301,096 
New York And New Jersey - 0.3%   
Port Auth. of New York & New Jersey:   
(H. Lee Moffitt Cancer Ctr. Proj.) Series 2016, 5% 11/15/41 5,000,000 5,738,478 
Series 194, 5.25% 10/15/55 1,335,000 1,507,612 
TOTAL NEW YORK AND NEW JERSEY  7,246,090 
North Carolina - 0.9%   
Charlotte Ctfs. of Prtn. (Convention Facility Projs.) Series 2019 A, 4% 6/1/39 875,000 999,795 
New Hanover County Hosp. Rev. Series 2017:   
5% 10/1/27 (Escrowed to Maturity) 55,000 65,387 
5% 10/1/42 (Pre-Refunded to 10/1/27 @ 100) 465,000 552,819 
North Carolina Med. Care Commission Health Care Facilities Rev. Bonds:   
Series 2019 B, 2.2%, tender 12/1/22 (a) 780,000 784,183 
Series 2019 C, 2.55%, tender 6/1/26 (a) 1,345,000 1,389,776 
North Carolina Tpk. Auth. Triangle Expressway Sys. Series 2019, 5% 1/1/49 14,000,000 16,458,795 
TOTAL NORTH CAROLINA  20,250,755 
North Dakota - 0.2%   
North Dakota Hsg. Fin. Agcy.:   
Series 2021 A, 3% 1/1/52 910,000 953,717 
Series 2021 B, 3% 7/1/52 2,350,000 2,469,711 
TOTAL NORTH DAKOTA  3,423,428 
Ohio - 3.7%   
Akron Bath Copley Hosp. District Rev.:   
Series 2016, 5.25% 11/15/46 3,735,000 4,275,728 
Series 2020, 5% 11/15/31 385,000 474,584 
Allen County Hosp. Facilities Rev. Bonds (Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) 500,000 505,682 
American Muni. Pwr., Inc. Rev. (Greenup Hydroelectric Proj.):   
Series 2016 A, 5% 2/15/41 1,000,000 1,121,550 
Series 2016, 5% 2/15/46 1,735,000 1,942,300 
Chillicothe Hosp. Facilities Rev. (Adena Health Sys. Oblig. Group Proj.) Series 2017, 5% 12/1/47 1,000,000 1,155,700 
Cleveland Arpt. Sys. Rev. Series 2016 A:   
5% 1/1/24 (Assured Guaranty Muni. Corp. Insured) 1,200,000 1,289,999 
5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) 730,000 808,886 
Columbus Gen. Oblig.:   
Series 2016 2, 5% 7/1/25 1,900,000 2,140,343 
Series 2019 A, 5% 4/1/33 2,430,000 2,986,593 
Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013, 4.25% 6/15/24 385,000 395,626 
Franklin County Hosp. Facilities Rev. Bonds (U.S. Health Corp. of Columbus Proj.) Series 2011 B, 5%, tender 5/15/23 (a) 195,000 204,709 
Hamilton County Healthcare Facilities Rev. Series 2012, 5.25% 6/1/26 495,000 502,062 
Hamilton County Healthcare Rev. (Life Enriching Cmntys. Proj.) Series 2016, 5% 1/1/51 1,000,000 1,067,975 
Hamilton County Hosp. Facilities Rev. (Trihealth, Inc. Obligated Group Proj.) Series 2017 A, 5% 8/15/33 825,000 956,154 
Lancaster Port Auth. Gas Rev. Bonds Series 2019, 5%, tender 2/1/25 (a) 4,415,000 4,878,571 
Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019:   
5% 8/1/23 435,000 461,617 
5% 8/1/45 3,550,000 4,220,429 
Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013, 4% 2/15/23 1,075,000 1,101,511 
Ohio Higher Edl. Facility Commission Rev.:   
(Case Western Reserve Univ. Proj.) Series 2016, 5% 12/1/22 715,000 740,808 
(Kenyon College 2020 Proj.) Series 2020:   
4% 7/1/40 730,000 822,113 
5% 7/1/35 2,625,000 3,212,366 
5% 7/1/42 4,525,000 5,479,272 
(Kenyon College, Oh. Proj.) Series 2017, 5% 7/1/42 1,700,000 1,966,456 
Ohio Hosp. Rev. Series 2020 A, 4% 1/15/50 285,000 313,814 
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 105,000 113,650 
Ohio Major New State Infrastructure Rev. Series 2021 1A:   
5% 12/15/31 1,400,000 1,812,175 
5% 12/15/32 1,735,000 2,290,752 
Ohio Spl. Oblig. Series 2020 A:   
5% 2/1/23 1,365,000 1,423,705 
5% 2/1/24 3,580,000 3,863,334 
5% 2/1/26 1,145,000 1,310,152 
Ohio Tpk. Commission Tpk. Rev. Series A, 5% 2/15/51 9,280,000 11,404,489 
Ross County Hosp. Facilities Rev. (Adena Health Sys. Obligated Group Proj.) Series 2019:   
5% 12/1/22 360,000 372,657 
5% 12/1/23 500,000 533,585 
5% 12/1/24 525,000 576,735 
5% 12/1/25 460,000 518,438 
5% 12/1/26 600,000 692,318 
Scioto County Hosp. Facilities Rev.:   
Series 2016:   
5% 2/15/26 1,940,000 2,211,502 
5% 2/15/27 1,615,000 1,835,573 
Series 2019, 5% 2/15/29 745,000 843,598 
Univ. of Akron Gen. Receipts Series 2019 A, 5% 1/1/26 1,800,000 2,044,622 
Univ. of Cincinnati Gen. Receipts Series 2016 C, 5% 6/1/41 5,000,000 5,735,051 
TOTAL OHIO  80,607,184 
Oklahoma - 0.1%   
Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B, 5% 8/15/23 750,000 792,179 
Oklahoma Dev. Fin. Auth. Rev. (Oklahoma City Univ. Proj.) Series 2019:   
4% 8/1/22 475,000 482,244 
5% 8/1/26 360,000 403,019 
5% 8/1/44 660,000 747,091 
TOTAL OKLAHOMA  2,424,533 
Oregon - 0.8%   
Medford Hosp. Facilities Auth. Rev. (Asante Projs.) Series 2020 A:   
5% 8/15/36 1,300,000 1,592,908 
5% 8/15/38 3,700,000 4,522,938 
Oregon Bus. Dev. Commission Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23 (a) 1,695,000 1,729,204 
Oregon State Hsg. & Cmnty. Svcs. Dept. Series 2019 A, 4% 7/1/50 9,625,000 10,304,369 
TOTAL OREGON  18,149,419 
Pennsylvania - 5.4%   
Allegheny County Arpt. Auth. Rev. Series 2021 B, 5% 1/1/51 8,040,000 9,641,850 
Allegheny County Indl. Dev. Auth. Rev. Series 2021:   
3.5% 12/1/31 545,000 503,702 
4% 12/1/41 995,000 892,675 
4.25% 12/1/50 1,110,000 983,527 
Bucks County Indl. Dev. Auth. Hosp. Rev. Series 2021:   
5% 7/1/36 605,000 732,821 
5% 7/1/38 1,210,000 1,461,672 
Centre County Pennsylvania Hosp. Auth. Rev. (Mount Nittany Med. Ctr. Proj.) Series 2016 A, 5% 11/15/46 4,000,000 4,470,237 
Commonwealth Fing. Auth. Rev.:   
Series 2019 B, 5% 6/1/26 680,000 783,984 
Series 2020 A:   
5% 6/1/29 1,750,000 2,141,958 
5% 6/1/32 3,000,000 3,745,531 
Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A, 5% 6/1/34 1,140,000 1,305,012 
Delaware County Auth. Rev.:   
(Cabrini College) Series 2017, 5% 7/1/47 1,755,000 1,857,535 
Series 2017, 5% 7/1/30 1,435,000 1,548,104 
Doylestown Hosp. Auth. Hosp. Rev. Series 2019, 5% 7/1/49 1,020,000 1,155,672 
Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A:   
5% 7/1/22 1,500,000 1,528,376 
5% 7/1/23 900,000 953,158 
5% 7/1/24 1,700,000 1,855,092 
5% 7/1/26 1,900,000 2,191,886 
5% 7/1/27 2,000,000 2,358,784 
5% 7/1/28 2,080,000 2,505,522 
Lehigh County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (PPL Elec. Utils. Corp. Proj.) Series 2016 A, 1.8%, tender 9/1/22 (a) 505,000 507,971 
Montgomery County Higher Ed. & Health Auth. Rev.:   
Series 2016 A, 5% 10/1/40 2,685,000 2,986,318 
Series 2019:   
4% 9/1/36 750,000 836,933 
4% 9/1/37 750,000 836,012 
4% 9/1/38 1,700,000 1,891,742 
4% 9/1/39 1,100,000 1,222,450 
4% 9/1/44 250,000 275,565 
5% 9/1/22 600,000 615,588 
5% 9/1/23 500,000 531,980 
5% 9/1/24 675,000 740,422 
Series 2020:   
5% 4/1/22 325,000 327,235 
5% 4/1/23 360,000 375,846 
5% 4/1/24 365,000 390,577 
5% 4/1/25 280,000 307,424 
5% 4/1/26 330,000 370,490 
5% 4/1/27 630,000 722,279 
Montgomery County Indl. Dev. Auth. Series 2015 A, 5.25% 1/15/36 1,060,000 1,181,117 
Pennsylvania Econ. Dev. Fing. Auth. Series 2020 A:   
5% 4/15/24 550,000 595,012 
5% 4/15/25 750,000 835,638 
5% 4/15/26 2,500,000 2,859,168 
Pennsylvania Higher Edl. Facilities Auth. Rev.:   
Series 2012:   
5% 5/1/31 (Pre-Refunded to 11/1/22 @ 100) 1,035,000 1,068,952 
5% 11/1/42 1,370,000 1,399,504 
Series 2016, 5% 5/1/34 1,600,000 1,808,866 
Series 2018 A, 5% 2/15/48 940,000 1,104,289 
Pennsylvania Hsg. Fin. Agcy. Series 2021 137, 3% 10/1/51 3,300,000 3,474,834 
Pennsylvania State Univ. Series 2020 A, 4% 9/1/50 1,480,000 1,666,262 
Pennsylvania Tpk. Commission Tpk. Rev.:   
Series 2016, 5% 6/1/36 2,000,000 2,268,816 
Series 2021 A:   
4% 12/1/43 3,000,000 3,347,696 
4% 12/1/46 5,000,000 5,541,165 
4% 12/1/50 1,000,000 1,116,890 
Philadelphia Auth. for Indl. Dev.:   
Series 2015 1, 5% 4/1/33 530,000 586,915 
Series 2017, 5% 11/1/47 1,040,000 1,162,445 
Philadelphia Gen. Oblig.:   
Series 2019 A, 5% 8/1/26 1,165,000 1,349,663 
Series 2019 B:   
5% 2/1/34 2,250,000 2,762,124 
5% 2/1/35 2,750,000 3,362,234 
5% 2/1/36 2,415,000 2,942,648 
Philadelphia School District:   
Series 2018 A, 5% 9/1/26 1,400,000 1,605,979 
Series 2019 A:   
4% 9/1/35 1,250,000 1,417,639 
5% 9/1/23 660,000 701,245 
5% 9/1/26 2,000,000 2,318,209 
5% 9/1/30 1,335,000 1,642,455 
5% 9/1/32 1,000,000 1,225,892 
5% 9/1/34 620,000 760,917 
5% 9/1/44 1,450,000 1,750,015 
Series 2019 B:   
5% 9/1/25 1,360,000 1,531,223 
5% 9/1/26 1,105,000 1,267,576 
Philadelphia Wtr. & Wastewtr. Rev. Series 2018 A, 5% 10/1/22 1,000,000 1,029,843 
Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev. Series 2019 A, 5% 9/1/44 (Assured Guaranty Muni. Corp. Insured) 450,000 545,219 
Southcentral Pennsylvania Gen. Auth. Rev. Series 2019 A:   
4% 6/1/44 235,000 262,812 
4% 6/1/49 555,000 614,891 
5% 6/1/44 405,000 486,841 
5% 6/1/49 645,000 770,666 
State Pub. School Bldg. Auth. Lease Rev. (The School District of Philadelphia Proj.) Series 2016 A, 5% 6/1/32 (Assured Guaranty Muni. Corp. Insured) 885,000 1,029,825 
Union County Hosp. Auth. Rev. Series 2018 B, 5% 8/1/48 1,430,000 1,616,582 
TOTAL PENNSYLVANIA  116,567,997 
Pennsylvania, New Jersey - 0.1%   
Delaware River Port Auth. Pennsylvania & New Jersey Rev. Series 2018 B, 5% 1/1/24 2,250,000 2,419,639 
Rhode Island - 0.0%   
Rhode Island Hsg. & Mtg. Fin. Corp. Series 2019 70, 4% 10/1/49 225,000 240,188 
South Carolina - 1.2%   
Charleston County Arpt. District Series 2019, 5% 7/1/48 1,875,000 2,242,283 
Greenville Hosp. Sys. Facilities Rev. Series 2012, 5% 5/1/23 1,400,000 1,414,097 
Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (a) 540,000 568,409 
South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50 320,000 346,625 
South Carolina Jobs-Econ. Dev. Auth. Series 2019 C, 5% 7/1/33 1,305,000 1,573,089 
South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev. Series 2022 A, 4% 4/1/52 3,100,000 3,502,779 
South Carolina Pub. Svc. Auth. Rev.:   
Series 2013 B, 5% 12/1/38 2,300,000 2,523,493 
Series 2014 C:   
5% 12/1/26 100,000 110,452 
5% 12/1/39 1,000,000 1,136,412 
5% 12/1/46 4,675,000 5,302,967 
Series 2016 A, 5% 12/1/33 220,000 252,797 
Series A, 5% 12/1/23 790,000 847,242 
Series B, 5% 12/1/24 2,520,000 2,786,103 
Spartanburg County Reg'l. Health Series 2017 A, 5% 4/15/48 2,470,000 2,886,112 
TOTAL SOUTH CAROLINA  25,492,860 
South Dakota - 0.1%   
South Dakota Health & Edl. Facilities Auth. Rev. Bonds Series 2019 A, 5%, tender 7/1/24 (a) 1,595,000 1,721,651 
Tennessee - 2.0%   
Chattanooga Health Ed. & Hsg. Facility Board Rev.:   
Series 2019 A1, 5% 8/1/25 615,000 692,890 
Series 2019 A2, 5% 8/1/44 2,250,000 2,645,840 
Jackson Hosp. Rev. Series 2018 A:   
5% 4/1/27 600,000 703,642 
5% 4/1/27 (Escrowed to Maturity) 30,000 35,198 
5% 4/1/28 400,000 478,857 
5% 4/1/28 (Escrowed to Maturity) 20,000 23,982 
5% 4/1/41 475,000 559,635 
5% 4/1/41 (Pre-Refunded to 10/1/28 @ 100) 25,000 30,281 
Nashville and Davidson County Metropolitan Govt. Gen. Oblig. Series 2021 C:   
5% 1/1/27 11,000,000 12,904,195 
5% 1/1/30 12,750,000 15,860,510 
Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev. (Lipscomb Univ. Proj.) Series 2019 A:   
4% 10/1/49 410,000 432,228 
5.25% 10/1/58 1,225,000 1,405,084 
Tennergy Corp. Gas Rev. Bonds Series 2019 A, 5%, tender 10/1/24 (a) 2,025,000 2,218,608 
Tennessee Energy Acquisition Corp. Bonds (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (a) 100,000 103,065 
Tennessee Hsg. Dev. Agcy. Residential:   
Series 2021 1, 3% 7/1/51 3,010,000 3,159,842 
Series 2021 3A, 3% 1/1/52 980,000 1,033,481 
TOTAL TENNESSEE  42,287,338 
Texas - 6.7%   
Austin Wtr. & Wastewtr. Sys. Rev. Series 2016, 5% 11/15/33 2,000,000 2,325,340 
Central Reg'l. Mobility Auth.:   
Series 2018, 5% 1/1/25 1,000,000 1,103,215 
Series 2020 B:   
4% 1/1/34 280,000 316,701 
4% 1/1/35 225,000 253,934 
4% 1/1/36 245,000 276,245 
4% 1/1/37 350,000 393,361 
4% 1/1/38 465,000 521,686 
4% 1/1/39 600,000 672,218 
4% 1/1/40 230,000 257,275 
5% 1/1/27 200,000 232,038 
5% 1/1/28 230,000 272,068 
5% 1/1/29 850,000 1,021,626 
5% 1/1/30 400,000 489,292 
5% 1/1/31 200,000 244,314 
5% 1/1/32 200,000 243,354 
5% 1/1/33 300,000 364,319 
Series 2021 B:   
5% 1/1/30 1,000,000 1,223,229 
5% 1/1/32 1,275,000 1,576,249 
5% 1/1/39 1,300,000 1,585,412 
5% 1/1/46 3,500,000 4,198,683 
Series 2021 C, 5% 1/1/27 3,765,000 4,244,577 
Collin County Series 2019, 5% 2/15/26 2,315,000 2,655,661 
Cypress-Fairbanks Independent School District Bonds Series 2014 B1, 1.25%, tender 8/15/22 (a) 890,000 893,403 
Dallas Fort Worth Int'l. Arpt. Rev.:   
Series 2020 B:   
4% 11/1/34 1,410,000 1,632,157 
4% 11/1/35 1,255,000 1,451,049 
Series 2021 B, 5% 11/1/43 2,640,000 3,217,378 
Dallas Independent School District:   
Series 2014 A, 5% 8/15/26 1,315,000 1,443,244 
Series 2019:   
5% 2/15/23 1,000,000 1,044,096 
5% 2/15/24 700,000 755,063 
5% 2/15/25 1,000,000 1,112,704 
Dallas Wtrwks. & Swr. Sys. Rev. Series 2017, 5% 10/1/46 500,000 585,242 
Denton County Gen. Oblig. Series 2020:   
4% 5/15/26 2,510,000 2,796,174 
4% 5/15/27 1,935,000 2,195,546 
Denton Independent School District Bonds Series 2014 B, 2%, tender 8/1/24 (a) 670,000 684,882 
Fort Worth Gen. Oblig. Series 2016:   
5% 3/1/25 1,000,000 1,114,512 
5% 3/1/27 1,000,000 1,146,880 
Gregg County Health Facilities Dev. Series 2012 C, 5% 7/1/42 (Pre-Refunded to 7/1/22 @ 100) 800,000 814,796 
Harris County Toll Road Rev. Series 2018 A, 5% 8/15/43 500,000 595,631 
Houston Arpt. Sys. Rev. Series 2018 D, 5% 7/1/39 2,175,000 2,576,290 
Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev. Series 2019, 5% 9/1/33 765,000 910,770 
Houston Gen. Oblig. Series 2017 A, 5% 3/1/31 1,250,000 1,454,466 
Houston Util. Sys. Rev.:   
Series 2017 B, 5% 11/15/35 1,000,000 1,188,965 
Series 2020 C, 5% 11/15/28 2,400,000 2,927,644 
Series 2021 A:   
5% 11/15/26 380,000 445,464 
5% 11/15/28 1,580,000 1,933,060 
Irving Hosp. Auth. Hosp. Rev. Series 2017 A, 5% 10/15/35 410,000 460,782 
Lower Colorado River Auth. Rev. (LCRA Transmission Svcs. Corp. Proj.):   
Series 2018:   
5% 5/15/43 1,500,000 1,767,728 
5% 5/15/48 1,700,000 1,989,994 
Series 2020, 5% 5/15/28 2,250,000 2,689,879 
Midlothian Independent School District Bonds Series 2013 C, 2%, tender 8/1/24 (a) 565,000 574,465 
Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/28 1,550,000 1,753,050 
North East Texas Independent School District Bonds Series 2019, 2.2%, tender 8/1/24 (a) 345,000 352,983 
North Texas Tollway Auth. Rev.:   
Series 2016 A, 5% 1/1/30 750,000 847,949 
Series 2017 A, 5% 1/1/39 4,000,000 4,762,999 
Series 2018:   
4% 1/1/38 1,835,000 2,051,123 
5% 1/1/35 500,000 591,557 
Series 2019 A:   
5% 1/1/23 2,000,000 2,078,321 
5% 1/1/24 2,100,000 2,257,498 
5% 1/1/38 5,000,000 6,040,862 
Series 2019 B, 5% 1/1/25 645,000 715,485 
Series 2021 B, 4% 1/1/33 2,000,000 2,331,996 
Pasadena Independent School District Bonds Series 2015 B, 1.5%, tender 8/15/24 (a) 2,325,000 2,341,175 
Plano Independent School District Series 2016 A, 5% 2/15/23 1,000,000 1,044,629 
San Antonio Elec. & Gas Sys. Rev. Bonds:   
Series 2018, 2.75%, tender 12/1/22 (a) 1,400,000 1,422,023 
Series 2020, 1.75%, tender 12/1/25 (a) 10,750,000 10,946,605 
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev.:   
(Scott & White Healthcare Proj.) Series 2013 A, 5% 8/15/43 (Pre-Refunded to 8/15/23 @ 100) 2,285,000 2,428,778 
Series 2020, 5% 12/1/24 550,000 609,215 
Tarrant County Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev. (Buckner Retirement Svcs., Inc.) Series 2016 B, 5% 11/15/40 950,000 1,067,928 
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.:   
Series 2016 A, 5% 2/15/47 8,000,000 9,062,441 
Series 2018 A, 5% 7/1/22 800,000 814,897 
Texas Dept. of Hsg. & Cmnty. Affairs Multi-family Hsg. Rev. Series 2019, 2.95% 7/1/36 720,108 747,030 
Texas Dept. of Hsg. & Cmnty. Affairs Single Family Mtg. Rev. Series 2019 A, 4% 3/1/50 815,000 884,290 
Texas Private Activity Bond Surface Trans. Corp. (LBJ Infrastructure Group LLC I-635 Managed Lanes Proj.) Series 2020 A:   
4% 6/30/36 825,000 928,193 
4% 6/30/38 2,100,000 2,352,814 
4% 12/31/39 1,750,000 1,956,216 
Texas Pub. Fin. Auth. Lease Rev. Series 2019, 5% 2/1/25 1,150,000 1,279,229 
Texas State Univ. Sys. Fing. Rev. Series 2019 A:   
5% 3/15/24 1,435,000 1,554,352 
5% 3/15/25 1,500,000 1,675,645 
5% 3/15/26 1,855,000 2,131,343 
Texas Trans. Commission Series 2019 A, 0% 8/1/41 1,500,000 677,955 
Texas Trans. Commission Hwy. Impt. Gen. Oblig. Bonds Series 2014 B, 0.65%, tender 4/1/26 (a) 8,800,000 8,461,318 
Texas Wtr. Dev. Board Rev.:   
Series 2017 A, 5% 4/15/23 1,000,000 1,051,488 
Series 2018 A, 5% 10/15/43 1,000,000 1,189,118 
Series 2018 B, 5% 4/15/49 1,000,000 1,195,160 
TOTAL TEXAS  144,478,726 
Utah - 1.0%   
Salt Lake City Arpt. Rev.:   
Series 2017 B, 5% 7/1/47 4,000,000 4,669,700 
Series 2018 B, 5% 7/1/48 1,000,000 1,174,610 
Series 2021 B:   
5% 7/1/46 2,465,000 3,002,390 
5% 7/1/51 9,920,000 11,994,880 
Utah Gen. Oblig. Series 2020, 5% 7/1/26 1,000,000 1,161,541 
TOTAL UTAH  22,003,121 
Vermont - 0.1%   
Vermont Hsg. Fin. Agcy.:   
Series 2021 B, 3% 11/1/51 1,100,000 1,158,239 
Series A, 3.75% 11/1/50 1,700,000 1,816,230 
TOTAL VERMONT  2,974,469 
Virginia - 0.9%   
Norfolk Series 2019, 5% 8/1/27 2,150,000 2,564,168 
Roanoke Econ. Dev. Auth. Edl. Facilities Series 2018 A, 5% 9/1/27 500,000 578,536 
Salem Econ. Dev. Auth. Series 2020:   
4% 4/1/38 280,000 308,969 
4% 4/1/39 250,000 275,283 
4% 4/1/40 280,000 307,817 
4% 4/1/45 750,000 816,580 
5% 4/1/22 225,000 226,548 
5% 4/1/24 300,000 321,354 
5% 4/1/26 350,000 393,392 
5% 4/1/27 350,000 401,822 
5% 4/1/28 440,000 514,360 
5% 4/1/29 575,000 683,189 
5% 4/1/49 1,000,000 1,170,163 
Virginia Gen. Oblig. Series 2018 A, 5% 6/1/27 1,975,000 2,346,101 
Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Series 2021 A1, 5% 8/1/27 7,460,000 8,892,706 
York County Econ. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2009 A, 1.9%, tender 6/1/23 (a) 300,000 304,064 
TOTAL VIRGINIA  20,105,052 
Washington - 2.8%   
King County Hsg. Auth. Rev.:   
Series 2019, 3% 11/1/22 1,140,000 1,159,393 
Series 2021, 4% 12/1/29 720,000 825,157 
Port of Seattle Rev. Series 2015 B, 5% 3/1/25 250,000 274,298 
Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev. Series 2017, 5% 12/1/38 1,175,000 1,300,544 
Univ. of Washington Univ. Revs. Series 2020 A, 5% 4/1/50 3,250,000 3,965,828 
Washington Gen. Oblig.:   
Series 2015 C, 5% 2/1/24 1,250,000 1,348,671 
Series 2016 C, 5% 2/1/39 2,560,000 2,893,988 
Series 2017 D, 5% 2/1/35 500,000 580,716 
Series 2018 C, 5% 2/1/41 1,000,000 1,181,241 
Series 2021 A, 5% 8/1/43 900,000 1,109,469 
Series 2021 C, 5% 2/1/44 13,040,000 16,185,993 
Washington Health Care Facilities Auth. Rev.:   
(Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B:   
5% 7/1/31 45,000 53,311 
5% 7/1/42 560,000 656,453 
(Providence Health Systems Proj.) Series 2012 A, 5% 10/1/24 200,000 205,914 
(Virginia Mason Med. Ctr. Proj.) Series 2017:   
5% 8/15/25 245,000 272,283 
5% 8/15/26 225,000 255,930 
Series 2015, 5% 1/1/25 1,000,000 1,104,122 
Series 2017 A, 4% 7/1/42 5,780,000 6,402,545 
Series 2017:   
4% 8/15/42 7,000,000 7,492,443 
5% 8/15/36 500,000 571,679 
Series 2020:   
5% 9/1/38 2,000,000 2,455,722 
5% 9/1/45 2,250,000 2,738,797 
5% 9/1/50 2,500,000 3,026,051 
Washington Higher Ed. Facilities Auth. Rev. (Whitworth Univ. Proj.) Series 2016 A:   
5% 10/1/25 430,000 480,967 
5% 10/1/26 2,010,000 2,295,690 
5% 10/1/34 1,510,000 1,706,180 
TOTAL WASHINGTON  60,543,385 
Wisconsin - 1.6%   
Pub. Fin. Auth. Edl. Facilities Series 2018 A:   
5.25% 10/1/43 530,000 593,466 
5.25% 10/1/48 530,000 590,693 
Pub. Fin. Auth. Hosp. Rev. Series 2019 A, 5% 10/1/44 1,445,000 1,706,522 
Roseman Univ. of Health:   
Series 2020, 5% 4/1/50 (b) 395,000 443,298 
Series 2021 A, 4.5% 6/1/56 (b) 5,725,000 5,529,433 
Series 2021 B, 6.5% 6/1/56 (b) 1,700,000 1,672,025 
Wisconsin Gen. Oblig.:   
Series 2014 4, 5% 5/1/25 1,240,000 1,371,752 
Series 2021 A:   
5% 5/1/33 510,000 614,940 
5% 5/1/36 5,685,000 6,845,440 
Wisconsin Health & Edl. Facilities:   
Series 2018, 5% 4/1/34 2,000,000 2,413,902 
Series 2019 A:   
2.25% 11/1/26 325,000 326,120 
5% 11/1/25 240,000 260,609 
5% 11/1/29 170,000 189,925 
5% 12/1/30 300,000 368,876 
5% 12/1/31 300,000 367,880 
5% 12/1/32 350,000 428,861 
5% 12/1/33 350,000 428,687 
5% 12/1/34 350,000 428,102 
5% 12/1/35 450,000 549,881 
5% 7/1/44 500,000 565,126 
5% 11/1/46 1,445,000 1,571,068 
5% 7/1/49 2,000,000 2,251,469 
Series 2019 B, 5% 7/1/38 355,000 403,335 
Series 2019 B1, 2.825% 11/1/28 365,000 364,998 
Series 2019 B2, 2.55% 11/1/27 235,000 235,690 
Series 2019:   
5% 10/1/24 270,000 295,658 
5% 10/1/26 550,000 634,566 
Wisconsin Hsg. & Econ. Dev. Auth.:   
Series 2021 A, 3% 3/1/52 925,000 970,196 
Series 2021 C, 3% 9/1/52 1,280,000 1,349,416 
Wisconsin Hsg. & Econ. Dev. Auth. Hsg. Rev. Bonds Series 2021 C:   
0.61%, tender 5/1/24 (a) 230,000 226,611 
0.81%, tender 5/1/25 (a) 765,000 748,348 
Wisconsin St Gen. Fund Annual Appropriation Series 2019 A, 5% 5/1/29 500,000 590,529 
TOTAL WISCONSIN  35,337,422 
Wyoming - 0.1%   
Wyoming Cmnty. Dev. Auth. Hsg. Rev. Series 2019 3, 3.75% 12/1/49 2,885,000 3,023,657 
TOTAL MUNICIPAL BONDS   
(Cost $2,027,787,474)  2,046,420,205 
 Shares Value 
Money Market Funds - 6.1%   
Fidelity Tax-Free Cash Central Fund 0.08% (d)(e)   
(Cost $132,218,137) 132,181,806 132,221,448 
TOTAL INVESTMENT IN SECURITIES - 100.6%   
(Cost $2,160,005,611)  2,178,641,653 
NET OTHER ASSETS (LIABILITIES) - (0.6)%  (13,125,295) 
NET ASSETS - 100%  $2,165,516,358 

Legend

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

 (b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $14,992,123 or 0.7% of net assets.

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

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

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

Affiliated Central Funds

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 Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Tax-Free Cash Central Fund 0.08% $128,530,960 $440,590,994 $436,904,000 $66,273 $148 $3,346 $132,221,448 13.6% 
Total $128,530,960 $440,590,994 $436,904,000 $66,273 $148 $3,346 $132,221,448  

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.

Investment Valuation

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

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Municipal Securities $2,046,420,205 $-- $2,046,420,205 $-- 
Money Market Funds 132,221,448 132,221,448 -- -- 
Total Investments in Securities: $2,178,641,653 $132,221,448 $2,046,420,205 $-- 

Other Information

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

General Obligations 25.7% 
Transportation 17.6% 
Health Care 14.9% 
Education 11.2% 
Special Tax 7.4% 
Others* (Individually Less Than 5%) 23.2% 
 100.0% 

* Includes net other assets

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


Financial Statements

Statement of Assets and Liabilities

  January 31, 2022 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $2,027,787,474) 		$2,046,420,205  
Fidelity Central Funds (cost $132,218,137) 132,221,448  
Total Investment in Securities (cost $2,160,005,611)  $2,178,641,653 
Cash  224,375 
Receivable for investments sold  831 
Receivable for fund shares sold  147,716,666 
Interest receivable  18,911,869 
Distributions receivable from Fidelity Central Funds  3,480 
Prepaid expenses  1,702 
Receivable from investment adviser for expense reductions  173,885 
Other receivables  155 
Total assets  2,345,674,616 
Liabilities   
Payable for investments purchased on a delayed delivery basis $38,954,412  
Payable for fund shares redeemed 137,316,722  
Distributions payable 3,192,644  
Accrued management fee 612,634  
Other payables and accrued expenses 81,846  
Total liabilities  180,158,258 
Net Assets  $2,165,516,358 
Net Assets consist of:   
Paid in capital  $2,147,044,208 
Total accumulated earnings (loss)  18,472,150 
Net Assets  $2,165,516,358 
Net Asset Value, offering price and redemption price per share ($2,165,516,358 ÷ 204,129,535 shares)  $10.61 

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


Statement of Operations

  Year ended January 31, 2022 
Investment Income   
Interest  $41,301,144 
Income from Fidelity Central Funds  63,753 
Total income  41,364,897 
Expenses   
Management fee $7,082,110  
Custodian fees and expenses 19,652  
Independent trustees' fees and expenses 5,958  
Registration fees 142,428  
Audit 61,602  
Legal 3,274  
Miscellaneous 8,280  
Total expenses before reductions 7,323,304  
Expense reductions (2,237,960)  
Total expenses after reductions  5,085,344 
Net investment income (loss)  36,279,553 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 1,257,366  
Fidelity Central Funds 148  
Capital gain distributions from Fidelity Central Funds 2,520  
Total net realized gain (loss)  1,260,034 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (71,423,893)  
Fidelity Central Funds 3,346  
Total change in net unrealized appreciation (depreciation)  (71,420,547) 
Net gain (loss)  (70,160,513) 
Net increase (decrease) in net assets resulting from operations  $(33,880,960) 

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


Statement of Changes in Net Assets

 Year ended January 31, 2022 Year ended January 31, 2021 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $36,279,553 $32,502,806 
Net realized gain (loss) 1,260,034 (1,228,392) 
Change in net unrealized appreciation (depreciation) (71,420,547) 20,868,388 
Net increase (decrease) in net assets resulting from operations (33,880,960) 52,142,802 
Distributions to shareholders (36,466,591) (33,083,617) 
Share transactions   
Proceeds from sales of shares 2,075,633,983 1,110,999,262 
Reinvestment of distributions 1,779,197 223 
Cost of shares redeemed (1,639,170,620) (935,959,504) 
Net increase (decrease) in net assets resulting from share transactions 438,242,560 175,039,981 
Total increase (decrease) in net assets 367,895,009 194,099,166 
Net Assets   
Beginning of period 1,797,621,349 1,603,522,183 
End of period $2,165,516,358 $1,797,621,349 
Other Information   
Shares   
Sold 190,831,072 105,747,535 
Issued in reinvestment of distributions 163,167 21 
Redeemed (150,683,639) (89,175,378) 
Net increase (decrease) 40,310,600 16,572,178 

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


Financial Highlights

Fidelity SAI Tax-Free Bond Fund

     
Years ended January 31, 2022 2021 2020 2019 A 
Selected Per–Share Data     
Net asset value, beginning of period $10.97 $10.89 $10.19 $10.00 
Income from Investment Operations     
Net investment income (loss)B,C .194 .215 .241 .081 
Net realized and unrealized gain (loss) (.359) .085 .735 .176 
Total from investment operations (.165) .300 .976 .257 
Distributions from net investment income (.194) (.216) (.248) (.067) 
Distributions from net realized gain (.001) (.004) (.028) – 
Total distributions (.195) (.220) (.276) (.067) 
Net asset value, end of period $10.61 $10.97 $10.89 $10.19 
Total ReturnD,E (1.53)% 2.83% 9.68% 2.58% 
Ratios to Average Net AssetsC,F,G     
Expenses before reductions .36% .36% .43% .60%H,I 
Expenses net of fee waivers, if any .25% .25% .25% .25%H 
Expenses net of all reductions .25% .25% .25% .25%H 
Net investment income (loss) 1.78% 2.02% 2.28% 2.38%H 
Supplemental Data     
Net assets, end of period (000 omitted) $2,165,516 $1,797,621 $1,603,522 $489,517 
Portfolio turnover rateJ 6% 32% 12% 2%K 

 A For the period October 2, 2018 (commencement of operations) through January 31, 2019.

 B Calculated based on average shares outstanding during the period.

 C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio.

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

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

 F 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.

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

 H Annualized

 I Audit fees are not annualized.

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

 K Amount not annualized.

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


Notes to Financial Statements

For the period ended January 31, 2022

1. Organization.

Fidelity SAI Tax-Free Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. 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% 

 (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, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

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

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2022 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of January 31, 2022, 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 daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

Book-tax differences are primarily due to market discount, capital loss carryforwards 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 $44,862,061 
Gross unrealized depreciation (26,200,873) 
Net unrealized appreciation (depreciation) $18,661,188 
Tax Cost $2,159,980,465 

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

Net unrealized appreciation (depreciation) on securities and other investments $18,661,188 

The Fund intends to elect to defer to its next fiscal year $137,384 of capital losses recognized during the period November 1, 2021 to January 31, 2022.

The tax character of distributions paid was as follows:

 January 31, 2022 January 31, 2021 
Tax-exempt Income $36,271,346 $32,501,151 
Ordinary Income – 582,466 
Long-term Capital Gains 195,245 – 
Total $36,466,591 $ 33,083,617 

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

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

4. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Fidelity SAI Tax-Free Bond Fund 590,303,872 123,669,304 

5. Fees and Other Transactions with Affiliates.

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

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

6. Committed Line of Credit.

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

 Amount 
Fidelity SAI Tax-Free Bond Fund $3,393 

7. Expense Reductions.

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .25% of average net assets. This reimbursement will remain in place through May 31, 2023. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $2,211,328.

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 $825.

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $25,807.

8. Other.

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

9. 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 Tax-Free Bond Fund

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Fidelity SAI Tax-Free Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of January 31, 2022, 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 three years in the period then ended and for the period from October 2, 2018 (commencement of operations) through January 31, 2019, 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 January 31, 2022, 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 three years in the period then ended and for the period from October 2, 2018 (commencement of operations) through January 31, 2019 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 January 31, 2022, 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

March 16, 2022


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 of Trustee, each of the Trustees oversees 286 funds. Mr. Chiel oversees 179 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. Michael E. Kenneally 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

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 Chairman (2018-2021) and 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

Chairman of the Independent Trustees

Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank’s institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization’s equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned 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 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 a member of the Board of McKesson Corporation (healthcare service, 2002-2021). In addition, 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), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-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); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (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.

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Deputy 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). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).

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 (August 1, 2021 to January 31, 2022).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

 Annualized Expense Ratio-A Beginning
Account Value
August 1, 2021 		Ending
Account Value
January 31, 2022 		Expenses Paid
During Period-B
August 1, 2021
to January 31, 2022 
Fidelity SAI Tax-Free Bond Fund .25%    
Actual  $1,000.00 $967.10 $1.24 
Hypothetical-C  $1,000.00 $1,023.95 $1.28 

 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 184/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.

 C 5% return per year before expenses

Distributions (Unaudited)

The fund hereby designates as a capital gain dividend with respect to the taxable year ended January 31, 2022, $174,546, or, if subsequently determined to be different, the net capital gain of such year.

During fiscal year ended 2022, 100% of the fund's income dividends was free from federal income tax, and 0.00% of the fund's income dividends was subject to the federal alternative minimum tax.

The fund will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity SAI Tax-Free Bond Fund

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

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

At its September 2021 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

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

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

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

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

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

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

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

The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to appropriate peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-year period. The Independent Trustees recognize that shareholders who are not investing through a tax-advantaged retirement account also consider tax consequences in evaluating performance.

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

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

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


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2020.

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

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

The Board noted that the fund's total expense ratio ranked below the similar sales load structure group competitive median for 2020 and below the ASPG competitive median for 2020.

The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 0.25% through May 31, 2022.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.

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

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

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

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

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.

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

Economies of Scale.  The Board considered 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. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total "group assets" increase, and for higher group fee rates as total "group assets" decrease ("group assets" as defined in the management contract). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board also considered that Fidelity agreed to impose a temporary fee waiver in the form of additional breakpoints to the current breakpoint schedule. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as "group assets" increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.

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

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

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





Fidelity Investments

STF-ANN-0422
1.9887620.103


Item 2.

Code of Ethics


As of the end of the period, January  31, 2022, 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 SAI Tax-Free Bond Fund, Fidelity Series Large Cap Value Index Fund, and Fidelity Tax-Free Bond Fund (the “Funds”):



Services Billed by Deloitte Entities


January 31, 2022 FeesA

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Fidelity SAI Tax-Free Bond Fund

 $48,400  

$-

 $7,500

         $1,100

Fidelity Series Large Cap Value Index Fund

$44,100

$-

$9,300

        $1,000

Fidelity Tax-Free Bond Fund

 $49,800  

$-

 $7,200    

        $1,100



January 31, 2021 FeesA

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Fidelity SAI Tax-Free Bond Fund

 $47,200  

$-

 $7,300

            $1,200

Fidelity Series Large Cap Value Index Fund

$43,000

$-

$9,000

     $1,100

Fidelity Tax-Free Bond Fund

 $48,600  

$-

 $7,000    

            $1,200






A Amounts may reflect rounding.


The following table(s) present(s) fees billed by Deloitte Entities 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




January 31, 2022A

January 31, 2021A

Audit-Related Fees

 $-

 $-

Tax Fees

$-

$-

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 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

January 31, 2022A

January 31, 2021A

Deloitte Entities

$548,800

$528,400


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 to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities, 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:

March 24, 2022


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:

March 24, 2022



By:

/s/John J. Burke III

John J. Burke III

Chief Financial Officer


Date:

March 24, 2022