0001752724-24-166841.txt : 20240726 0001752724-24-166841.hdr.sgml : 20240726 20240726161207 ACCESSION NUMBER: 0001752724-24-166841 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240531 FILED AS OF DATE: 20240726 DATE AS OF CHANGE: 20240726 PERIOD START: 20250228 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: 241146994 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 S000051138 Fidelity SAI Long-Term Treasury Bond Index Fund C000161035 Fidelity SAI Long-Term Treasury Bond Index Fund FBLTX NPORT-P 1 primary_doc.xml NPORT-P false 0000035315 XXXXXXXX S000051138 C000161035 Fidelity Salem Street Trust 811-02105 0000035315 S4W85DGKOEJ24DPRB829 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity SAI Long-Term Treasury Bond Index Fund S000051138 549300NTJBCFOU104335 2025-02-28 2024-05-31 N 3124996532.62 10759834.11 3114236698.51 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 86277.76000000 USD N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3.125% 08/15/2044 912810RH3 15364300.00000000 PA USD 12142598.34000000 0.389906083433 Long DBT UST US N 2 2044-08-15 Fixed 0.03125000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3.125% 05/15/2048 912810SC3 154814000.00000000 PA USD 118910456.72000000 3.818285770535 Long DBT UST US N 2 2048-05-15 Fixed 0.03125000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3.625% 02/15/2053 912810TN8 212600000.00000000 PA USD 178060804.16000000 5.717638747407 Long DBT UST US N 2 2053-02-15 Fixed 0.03625000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 1.875% 02/15/2051 912810SU3 246613000.00000000 PA USD 141580908.02000000 4.546247499033 Long DBT UST US N 2 2051-02-15 Fixed 0.01875000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.25% 02/15/2052 912810TD0 91300000.00000000 PA USD 57173058.82000000 1.835861058581 Long DBT UST US N 2 2052-02-15 Fixed 0.02250000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.375% 11/15/2049 912810SK5 103225000.00000000 PA USD 67539795.44000000 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254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 1.875% 11/15/2051 912810TB4 229500000.00000000 PA USD 130859823.65000000 4.201987078008 Long DBT UST US N 2 2051-11-15 Fixed 0.01875000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2% 02/15/2050 912810SL3 131143800.00000000 PA USD 78425016.63000000 2.518274114087 Long DBT UST US N 2 2050-02-15 Fixed 0.02000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3% 02/15/2048 912810SA7 128187000.00000000 PA USD 96340542.19000000 3.093552337755 Long DBT UST US N 2 2048-02-15 Fixed 0.03000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3.125% 02/15/2042 912810QU5 68100.00000000 PA USD 55192.92000000 0.001772277618 Long DBT UST US N 2 2042-02-15 Fixed 0.03125000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 4.75% 11/15/2053 912810TV0 39600000.00000000 PA USD 40342500.00000000 1.295421764803 Long DBT UST US N 2 2053-11-15 Fixed 0.04750000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.875% 05/15/2049 912810SH2 119018000.00000000 PA USD 86720419.78000000 2.784644462686 Long DBT UST US N 2 2049-05-15 Fixed 0.02875000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.75% 08/15/2047 912810RY6 232357000.00000000 PA USD 167233504.30000000 5.369967683574 Long DBT UST US N 2 2047-08-15 Fixed 0.02750000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.5% 05/15/2046 912810RS9 59700000.00000000 PA USD 41456519.38000000 1.331193592312 Long DBT UST US N 2 2046-05-15 Fixed 0.02500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2% 08/15/2051 912810SZ2 224588000.00000000 PA USD 132594648.56000000 4.257693341788 Long DBT UST US N 2 2051-08-15 Fixed 0.02000000 N N N N N N UNITED STATES TREASURY BOND 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50525714.28000000 1.622410856059 Long DBT UST US N 2 2047-11-15 Fixed 0.02750000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.875% 05/15/2052 912810TG3 177000000.00000000 PA USD 127723476.12000000 4.101277086006 Long DBT UST US N 2 2052-05-15 Fixed 0.02875000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3.375% 05/15/2044 912810RG5 12513800.00000000 PA USD 10306287.47000000 0.330941044877 Long DBT UST US N 2 2044-05-15 Fixed 0.03375000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3% 08/15/2052 912810TJ7 278900000.00000000 PA USD 206582100.17000000 6.633474593271 Long DBT UST US N 2 2052-08-15 Fixed 0.03000000 N N N N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 Fidelity Cash Central Fund 31635A105 32029120.03500000 NS USD 32035525.86000000 1.028679864806 Long STIV RF US N 1 N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3% 11/15/2045 912810RP5 135806000.00000000 PA USD 104002993.02000000 3.339598209402 Long DBT UST US N 2 2045-11-15 Fixed 0.03000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 4.25% 02/15/2054 912810TX6 12900000.00000000 PA USD 12099796.88000000 0.388531702994 Long DBT UST US N 2 2054-02-15 Fixed 0.04250000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.875% 08/15/2045 912810RN0 43359100.00000000 PA USD 32546424.44000000 1.045085123284 Long DBT UST US N 2 2045-08-15 Fixed 0.02875000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3% 02/15/2047 912810RV2 49946000.00000000 PA USD 37832144.11000000 1.214812738161 Long DBT UST US N 2 2047-02-15 Fixed 0.03000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 4.125% 08/15/2053 912810TT5 226600000.00000000 PA USD 207834687.50000000 6.673695920398 Long DBT UST US N 2 2053-08-15 Fixed 0.04125000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3.625% 05/15/2053 912810TR9 41700000.00000000 PA USD 34930265.63000000 1.121631687363 Long DBT UST US N 2 2053-05-15 Fixed 0.03625000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3% 05/15/2045 912810RM2 36846800.00000000 PA USD 28317341.35000000 0.909286739943 Long DBT UST US N 2 2045-05-15 Fixed 0.03000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3% 11/15/2044 912810RJ9 800.00000000 PA USD 617.44000000 0.000019826367 Long DBT UST US N 2 2044-11-15 Fixed 0.03000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3% 05/15/2047 912810RX8 50348000.00000000 PA USD 38063874.44000000 1.222253737431 Long DBT UST US N 2 2047-05-15 Fixed 0.03000000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 1.25% 05/15/2050 912810SN9 253000.00000000 PA USD 123179.38000000 0.003955363446 Long DBT UST US N 2 2050-05-15 Fixed 0.01250000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.875% 05/15/2043 912810RB6 20200.00000000 PA USD 15512.18000000 0.000498105362 Long DBT UST US N 2 2043-05-15 Fixed 0.02875000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.5% 02/15/2046 912810RQ3 107485000.00000000 PA USD 74857424.15000000 2.403716589230 Long DBT UST US N 2 2046-02-15 Fixed 0.02500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.25% 08/15/2046 912810RT7 60154000.00000000 PA USD 39621748.27000000 1.272277996369 Long DBT UST US N 2 2046-08-15 Fixed 0.02250000 N N N N N N 2024-06-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer XXXX NPORT-EX 2 QTLY_2801_20240531.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity® SAI Long-Term Treasury Bond Index Fund
May 31, 2024
 
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - 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.
SV5-NPRT1-0724
1.9867820.108
U.S. Government and Government Agency Obligations - 99.2%
 
 
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Obligations - 99.2%
 
 
 
U.S. Treasury Bonds:
 
 
 
 1.25% 5/15/50
 
253,000
123,179
 1.625% 11/15/50
 
106,142,000
57,109,372
 1.875% 2/15/51
 
246,613,000
141,580,908
 1.875% 11/15/51
 
250,900,000
143,062,003
 2% 2/15/50
 
131,143,800
78,425,017
 2% 8/15/51
 
224,588,000
132,594,649
 2.25% 8/15/46
 
60,154,000
39,621,748
 2.25% 2/15/52
 
91,300,000
57,173,059
 2.375% 11/15/49
 
103,225,000
67,539,795
 2.375% 5/15/51
 
474,770,000
307,765,946
 2.5% 2/15/45
 
21,879,700
15,416,642
 2.5% 2/15/46
 
107,485,000
74,857,424
 2.5% 5/15/46
 
59,700,000
41,456,519
 2.75% 8/15/42
 
3,500
2,658
 2.75% 8/15/47
 
232,357,000
167,233,504
 2.75% 11/15/47
 
70,354,000
50,525,714
 2.875% 5/15/43
 
20,200
15,512
 2.875% 8/15/45
 
43,359,100
32,546,424
 2.875% 11/15/46
 
40,096,000
29,750,919
 2.875% 5/15/49
 
119,018,000
86,720,420
 2.875% 5/15/52
 
178,000,000
128,445,078
 3% 11/15/44
 
800
617
 3% 5/15/45
 
36,846,800
28,317,341
 3% 11/15/45
 
135,806,000
104,002,993
 3% 2/15/47
 
49,946,000
37,832,144
 3% 5/15/47
 
50,348,000
38,063,874
 3% 2/15/48
 
128,187,000
96,340,542
 3% 8/15/48
 
122,455,000
91,779,066
 3% 2/15/49
 
34,759,000
25,987,784
 3% 8/15/52
 
278,900,000
206,582,100
 3.125% 2/15/42
 
68,100
55,193
 3.125% 8/15/44
 
15,364,300
12,142,598
 3.125% 5/15/48
 
154,814,000
118,910,457
 3.375% 5/15/44
 
12,513,800
10,306,287
 3.625% 2/15/53
 
212,600,000
178,060,804
 3.625% 5/15/53
 
41,700,000
34,930,266
 4% 11/15/52
 
169,200,000
151,936,313
 4.125% 8/15/53
 
226,600,000
207,834,688
 4.25% 2/15/54
 
67,500,000
63,312,891
 4.75% 11/15/53
 
39,600,000
40,342,500
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $3,671,676,105)
 
 
 
3,098,704,948
 
 
 
 
Money Market Funds - 1.0%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.39% (b)
 
 (Cost $32,035,526)
 
 
32,029,120
32,035,526
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.2%
 (Cost $3,703,711,631)
 
 
 
3,130,740,474
NET OTHER ASSETS (LIABILITIES) - (0.2)%  
(6,801,593)
NET ASSETS - 100.0%
3,123,938,881
 
 
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%
33,489,230
45,880,390
47,334,120
141,676
26
-
32,035,526
0.1%
Total
33,489,230
45,880,390
47,334,120
141,676
26
-
32,035,526
 
 
 
 
 
 
 
 
 
 
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. Government and Government Agency 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.
 
Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.