0001752724-24-116529.txt : 20240523 0001752724-24-116529.hdr.sgml : 20240523 20240523165704 ACCESSION NUMBER: 0001752724-24-116529 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240331 FILED AS OF DATE: 20240523 DATE AS OF CHANGE: 20240523 PERIOD START: 20241231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY SALEM STREET TRUST CENTRAL INDEX KEY: 0000035315 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0430 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-02105 FILM NUMBER: 24979314 BUSINESS ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY FIXED INCOME TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY FLEXIBLE BOND FUND DATE OF NAME CHANGE: 19860904 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY CORPORATE BOND FUND INC DATE OF NAME CHANGE: 19851225 0000035315 S000072688 Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund C000229123 Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund FSTZX NPORT-P 1 primary_doc.xml NPORT-P false 0000035315 XXXXXXXX S000072688 C000229123 Fidelity Salem Street Trust 811-02105 0000035315 S4W85DGKOEJ24DPRB829 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity Series 0-5 Year Inflation-Protected Bond Index Fund S000072688 54930032XRG8USUFLO83 2024-12-31 2024-03-31 N 7249025872.29 30503.25 7248995369.04 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 USD N UST NOTES 254900HROIFWPRGM1V77 USTN TII 0.875% 01/15/2029 9128285W6 235400000.00000000 PA USD 274006293.72000000 3.779920937600 Long DBT UST US N 2 2029-01-15 Fixed 0.00875000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 USTN TII 0.75% 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2026-01-15 Fixed 0.00625000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 USTN TII 2.5% 1/15/29 912810PZ5 39300000.00000000 PA USD 57979937.00000000 0.799834101807 Long DBT UST US N 2 2029-01-15 Fixed 0.02500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 USTN TII 0.375% 01/15/2027 912828V49 193590000.00000000 PA USD 235653404.20000000 3.250842250589 Long DBT UST US N 2 2027-01-15 Fixed 0.00375000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 USTN TII 1.625% 10/15/2027 91282CFR7 300200000.00000000 PA USD 309401803.95000000 4.268202532883 Long DBT UST US N 2 2027-10-15 Fixed 0.01625000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 USTN TII 0.125% 10/15/2025 91282CAQ4 447728400.00000000 PA USD 516235612.16000000 7.121478023903 Long DBT UST US N 2 2025-10-15 Fixed 0.00125000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 USTN TII 3.625 4/15/28 912810FD5 1100000.00000000 PA USD 2229445.76000000 0.030755237746 Long DBT UST US N 2 2028-04-15 Fixed 0.03625000 N N N N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 Fidelity Cash Central Fund 31635A105 57653970.45300000 NS USD 57665501.25000000 0.795496455912 Long STIV RF US N 1 N N N UST NOTES 254900HROIFWPRGM1V77 USTN TII 0.125% 07/15/2026 912828S50 208538800.00000000 PA USD 257040461.11000000 3.545877021908 Long DBT UST US N 2 2026-07-15 Fixed 0.00125000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 USTN TII 0.5% 01/15/2028 9128283R9 136850000.00000000 PA USD 161840451.79000000 2.232591463380 Long DBT UST US N 2 2028-01-15 Fixed 0.00500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 USTN TII 0.125% 04/15/2027 91282CEJ6 424900000.00000000 PA USD 437102454.11000000 6.029834919978 Long DBT UST US N 2 2027-04-15 Fixed 0.00125000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 USTN TII 2.375% 1/15/27 912810PS1 70040000.00000000 PA USD 107923637.09000000 1.488808194731 Long DBT UST US N 2 2027-01-15 Fixed 0.02375000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 USTN TII 0.125% 04/15/2026 91282CCA7 172230100.00000000 PA USD 193882613.79000000 2.674613569461 Long DBT UST US N 2 2026-04-15 Fixed 0.00125000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 USTN TII 0.125% 10/15/2026 91282CDC2 278894000.00000000 PA USD 300145017.20000000 4.140505020625 Long DBT UST US N 2 2026-10-15 Fixed 0.00125000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 USTN TII 2% 1/15/26 912810FS2 120482000.00000000 PA USD 186266734.29000000 2.569552397364 Long DBT UST US N 2 2026-01-15 Fixed 0.02000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 USTN TII 0.125% 04/15/2025 912828ZJ2 299579700.00000000 PA USD 348634368.99000000 4.809416356906 Long DBT UST US N 2 2025-04-15 Fixed 0.00125000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 USTN TII 2.375% 1/15/25 912810FR4 117101700.00000000 PA USD 191293508.25000000 2.638896819647 Long DBT UST US N 2 2025-01-15 Fixed 0.02375000 N N N N N N 2024-04-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer XXXX NPORT-EX 2 QTLY_6398_20240331.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity® Series 0-5 Year Inflation-Protected Bond Index Fund
March 31, 2024
SYI-NPRT1-0524
1.9901941.102
U.S. Treasury Inflation-Protected Obligations - 98.0%
 
 
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Inflation-Indexed Bonds:
 
 
 
 1.75% 1/15/28
 
115,100,000
167,976,352
 2% 1/15/26
 
120,482,000
186,266,734
 2.375% 1/15/25
 
117,101,700
191,293,508
 2.375% 1/15/27
 
70,040,000
107,923,637
 2.5% 1/15/29
 
48,400,000
71,405,317
 3.625% 4/15/28
 
1,100,000
2,229,446
U.S. Treasury Inflation-Indexed Notes:
 
 
 
 0.125% 7/15/24
 
251,814,000
327,256,811
 0.125% 10/15/24
 
244,092,300
291,416,194
 0.125% 4/15/25
 
299,579,700
348,634,369
 0.125% 10/15/25
 
447,728,400
516,235,612
 0.125% 4/15/26
 
222,530,100
250,506,256
 0.125% 7/15/26
 
208,538,800
257,040,461
 0.125% 10/15/26
 
278,894,000
300,145,017
 0.125% 4/15/27
 
424,900,000
437,102,454
 0.25% 1/15/25
 
229,352,800
293,362,948
 0.375% 7/15/25
 
259,921,700
330,473,166
 0.375% 1/15/27
 
193,590,000
235,653,404
 0.375% 7/15/27
 
379,250,000
454,774,434
 0.5% 4/15/24
 
142,720,900
174,506,682
 0.5% 1/15/28
 
136,850,000
161,840,452
 0.625% 1/15/26
 
241,499,300
304,282,965
 0.75% 7/15/28
 
271,300,000
318,323,448
 0.875% 1/15/29
 
238,300,000
277,381,902
 1.25% 4/15/28
 
513,200,000
512,384,772
 1.625% 10/15/27
 
300,200,000
309,401,804
 2.375% 10/15/28
 
411,800,000
424,094,439
 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS
 (Cost $7,459,668,865)
 
 
7,251,912,584
 
 
 
 
Money Market Funds - 0.8%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.39% (b)
 
 (Cost $57,665,501)
 
 
57,653,970
57,665,501
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 98.8%
 (Cost $7,517,334,366)
 
 
 
7,309,578,085
NET OTHER ASSETS (LIABILITIES) - 1.2%  
86,049,229
NET ASSETS - 100.0%
7,395,627,314
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
Affiliate
Value,
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 5.39%
86,324,413
526,508,211
555,167,123
2,061,345
-
-
57,665,501
0.1%
Total
86,324,413
526,508,211
555,167,123
2,061,345
-
-
57,665,501
 
 
 
 
 
 
 
 
 
 
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
 
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.   
 
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Inflation-Protected Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
 
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
 
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
 
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