0001752724-24-166859.txt : 20240726 0001752724-24-166859.hdr.sgml : 20240726 20240726161416 ACCESSION NUMBER: 0001752724-24-166859 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: 241147035 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: 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1600000.00000000 PA USD 1538858.08000000 0.046658127019 Long DBT UST US N 2 2028-04-30 Fixed 0.03500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 6.5% 11/15/2026 912810EY0 4300000.00000000 PA USD 4502234.38000000 0.136507600214 Long DBT UST US N 2 2026-11-15 Fixed 0.06500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.25% 05/31/2025 912828ZT0 70999000.00000000 PA USD 67629320.72000000 2.050518808319 Long DBT UST US N 2 2025-05-31 Fixed 0.00250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.75% 06/30/2025 912828XZ8 34100000.00000000 PA USD 33250608.22000000 1.008157361589 Long DBT UST US N 2 2025-06-30 Fixed 0.02750000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3% 07/15/2025 91282CEY3 7450000.00000000 PA USD 7278300.74000000 0.220677842111 Long DBT UST US N 2 2025-07-15 Fixed 0.03000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.125% 09/30/2024 9128282Y5 17000.00000000 PA USD 16824.36000000 0.000510114048 Long DBT UST US N 2 2024-09-30 Fixed 0.02125000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.125% 09/30/2027 91282CFM8 1700000.00000000 PA USD 1673636.72000000 0.050744611007 Long DBT UST US N 2 2027-09-30 Fixed 0.04125000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.25% 11/15/2025 912828M56 34438000.00000000 PA USD 33100837.20000000 1.003616309126 Long DBT UST US N 2 2025-11-15 Fixed 0.02250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.875% 10/31/2028 91282CJF9 64400000.00000000 PA USD 65230155.93000000 1.977776209786 Long DBT UST US N 2 2028-10-31 Fixed 0.04875000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.375% 12/31/2025 91282CBC4 44806000.00000000 PA USD 41692332.93000000 1.264110180695 Long DBT UST US N 2 2025-12-31 Fixed 0.00375000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.625% 02/15/2026 912828P46 18261000.00000000 PA USD 17273764.69000000 0.523739984524 Long DBT UST US N 2 2026-02-15 Fixed 0.01625000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.125% 08/31/2027 91282CFH9 6444000.00000000 PA USD 6151502.84000000 0.186513366370 Long DBT UST US N 2 2027-08-31 Fixed 0.03125000 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_1560_20240531.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity® Short-Term Treasury Bond Index Fund
May 31, 2024
STD-NPRT1-0724
1.832122.118
U.S. Government and Government Agency Obligations - 99.4%
 
 
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Obligations - 99.4%
 
 
 
U.S. Treasury Bonds:
 
 
 
 5.5% 8/15/28
 
11,500,000
11,945,176
 6% 2/15/26
 
56,000,000
57,095,937
 6.375% 8/15/27
 
13,450,000
14,150,346
 6.5% 11/15/26
 
4,300,000
4,502,234
U.S. Treasury Notes:
 
 
 
 0.25% 5/31/25
 
2,299,000
2,189,887
 0.25% 6/30/25
 
99,597,000
94,557,820
 0.25% 7/31/25
 
66,709,000
63,097,333
 0.25% 8/31/25
 
1,777,000
1,674,128
 0.25% 9/30/25
 
73,948,000
69,421,573
 0.25% 10/31/25
 
65,108,000
60,898,869
 0.375% 11/30/25
 
74,272,000
69,357,282
 0.375% 12/31/25
 
44,806,000
41,692,333
 0.375% 1/31/26
 
53,641,000
49,741,551
 0.375% 7/31/27
 
69,145,000
60,555,895
 0.375% 9/30/27
 
37,250,000
32,414,775
 0.5% 2/28/26
 
108,901,000
100,895,075
 0.5% 4/30/27
 
16,600,000
14,736,391
 0.5% 5/31/27
 
38,450,000
34,019,238
 0.5% 6/30/27
 
42,550,000
37,547,051
 0.5% 8/31/27
 
4,638,000
4,064,953
 0.5% 10/31/27
 
38,100,000
33,196,113
 0.625% 7/31/26
 
114,762,000
104,993,781
 0.625% 3/31/27
 
42,900,000
38,336,848
 0.625% 11/30/27
 
17,100,000
14,920,418
 0.625% 12/31/27
 
72,400,000
62,982,344
 0.75% 3/31/26 (b)
 
37,599,000
34,892,166
 0.75% 4/30/26
 
111,232,000
102,928,705
 0.75% 5/31/26
 
59,484,000
54,876,313
 0.75% 8/31/26
 
32,555,000
29,775,108
 0.75% 1/31/28
 
70,000,000
61,003,907
 0.875% 6/30/26
 
31,918,000
29,450,589
 0.875% 9/30/26
 
56,400,000
51,610,406
 1% 7/31/28
 
57,300,000
49,645,078
 1.125% 10/31/26
 
52,000,000
47,720,156
 1.125% 2/29/28
 
6,900,000
6,084,398
 1.25% 11/30/26
 
33,550,000
30,813,578
 1.25% 12/31/26
 
86,000,000
78,827,734
 1.25% 3/31/28
 
6,800,000
6,009,766
 1.25% 4/30/28
 
39,400,000
34,747,414
 1.25% 5/31/28
 
82,850,000
72,891,819
 1.25% 6/30/28
 
5,100,000
4,476,445
 1.25% 9/30/28
 
69,650,000
60,712,490
 1.5% 1/31/27
 
43,913,000
40,408,537
 1.625% 2/15/26
 
18,261,000
17,273,765
 1.625% 5/15/26
 
31,645,000
29,742,592
 1.625% 10/31/26
 
57,250,000
53,191,064
 1.875% 7/31/26
 
8,900,000
8,367,043
 1.875% 2/28/27
 
23,400,000
21,709,899
 1.875% 2/28/29
 
89,550,000
79,531,594
 2% 8/15/25
 
22,242,000
21,442,678
 2.125% 9/30/24
 
17,000
16,824
 2.125% 5/15/25
 
2,259,000
2,195,179
 2.125% 5/31/26
 
12,650,000
11,994,769
 2.25% 11/15/25
 
34,438,000
33,100,837
 2.25% 2/15/27
 
8,100,000
7,600,395
 2.25% 8/15/27
 
14,900,000
13,847,106
 2.25% 11/15/27
 
24,300,000
22,480,348
 2.375% 3/31/29
 
41,550,000
37,717,986
 2.375% 5/15/29
 
12,350,000
11,188,811
 2.5% 3/31/27
 
21,250,000
20,032,275
 2.625% 12/31/25
 
1,150,000
1,108,762
 2.625% 1/31/26
 
21,100,000
20,309,574
 2.625% 5/31/27
 
47,250,000
44,571,885
 2.75% 6/30/25
 
34,100,000
33,250,608
 2.75% 4/30/27
 
15,400,000
14,598,117
 2.75% 7/31/27
 
14,000,000
13,223,438
 2.75% 2/15/28
 
11,700,000
10,966,922
 2.75% 5/31/29
 
39,300,000
36,225,082
 2.875% 11/30/25
 
29,550,000
28,638,105
 2.875% 4/30/29
 
49,500,000
45,946,054
 3% 7/15/25
 
7,450,000
7,278,301
 3.125% 8/15/25
 
30,400,000
29,700,563
 3.125% 8/31/27
 
6,444,000
6,151,503
 3.25% 6/30/27
 
9,050,000
8,690,121
 3.5% 1/31/28
 
59,350,000
57,166,105
 3.5% 4/30/28
 
1,600,000
1,538,858
 3.625% 5/15/26
 
4,200,000
4,102,037
 3.75% 4/15/26
 
11,500,000
11,262,813
 3.75% 12/31/28
 
117,000,000
113,243,203
 3.875% 11/30/27
 
56,350,000
55,009,486
 4% 12/15/25
 
1,500,000
1,477,500
 4% 2/29/28
 
7,500,000
7,347,949
 4.125% 6/15/26
 
4,050,000
3,992,572
 4.125% 9/30/27
 
1,700,000
1,673,637
 4.125% 10/31/27
 
9,400,000
9,250,555
 4.125% 3/31/29
 
1,750,000
1,720,332
 4.375% 12/15/26
 
16,850,000
16,700,588
 4.375% 8/31/28
 
120,850,000
120,004,992
 4.375% 11/30/28
 
99,700,000
99,065,191
 4.5% 5/31/29
 
20,600,000
20,603,219
 4.625% 6/30/25
 
43,950,000
43,707,932
 4.625% 9/15/26
 
63,550,000
63,301,758
 4.625% 10/15/26
 
15,950,000
15,892,680
 4.625% 11/15/26
 
1,950,000
1,943,754
 4.875% 10/31/28
 
64,400,000
65,230,156
 
 
 
 
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $3,366,978,384)
 
 
 
3,282,189,477
 
 
 
 
Money Market Funds - 0.9%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.39% (c)
 
8,104,314
8,105,935
Fidelity Securities Lending Cash Central Fund 5.39% (c)(d)
 
21,219,036
21,221,158
 
TOTAL MONEY MARKET FUNDS
 (Cost $29,327,093)
 
 
29,327,093
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.3%
 (Cost $3,396,305,477)
 
 
 
3,311,516,570
NET OTHER ASSETS (LIABILITIES) - (0.3)%  
(10,779,481)
NET ASSETS - 100.0%
3,300,737,089
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Security or a portion of the security is on loan at period end.
 
(c)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
(d)
Investment made with cash collateral received from securities on loan.
 
 
 
 
Affiliated Central Funds
 
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%
21,932,692
102,613,779
116,440,946
128,718
410
-
8,105,935
0.0%
Fidelity Securities Lending Cash Central Fund 5.39%
33,872,580
27,430,665
40,082,087
346
-
-
21,221,158
0.1%
Total
55,805,272
130,044,444
156,523,033
129,064
410
-
29,327,093
 
 
 
 
 
 
 
 
 
 
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
 
 
Amounts in the dividend income column 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
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.
 
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