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July 23, 2020 10:51 AM EDT

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   811-21991


Fidelity Rutland Square Trust II

 (Exact name of registrant as specified in charter)


245 Summer St., Boston, Massachusetts 02210

 (Address of principal executive offices)       (Zip code)


Christina H. Lee, 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:

May 31



Date of reporting period:

May 31, 2020





Item 1.

Reports to Stockholders




Strategic Advisers® Short Duration Fund

Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public



Annual Report

May 31, 2020

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


Fidelity Investments

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


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

Liquidity Risk Management Program


To view a fund's 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. © 2020 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended May 31, 2020 Past 1 year Past 5 years Life of fundA 
Strategic Advisers® Short Duration Fund 2.51% 1.80% 1.51% 

 A From December 20, 2011

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Strategic Advisers® Short Duration Fund on December 20, 2011, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the FTSE 6-Month U.S. Treasury Bill Index performed over the same period.


Period Ending Values
$11,347Strategic Advisers® Short Duration Fund
$10,672FTSE 6-Month U.S. Treasury Bill Index

Management's Discussion of Fund Performance

Market Recap:  U.S. taxable investment-grade bonds posted robust gains for the year ending May 31, 2020, with the Bloomberg Barclays U.S. Aggregate Bond Index advancing 9.42%. From June through October, bonds broadly rode a wave of easing monetary policy, with the Federal Reserve lowering short-term interest rates 75 basis points (0.75%) by year-end. Most bonds came under some pressure in the fourth quarter of 2019, given comments from the Fed that seemingly set a high bar for additional rate cuts. U.S. bonds rebounded strongly in January on renewed demand for safe-haven assets, as the spread of coronavirus threatened to hamper global economic growth. In February and March, U.S. Treasuries continued to surge, while riskier segments—led by corporate debt—largely retreated as a recession took hold. A historically rapid and expansive monetary/fiscal-policy response provided a partial offset to the economic disruption. This was evident in April and May, when credit-sensitive segments of the market rebounded strongly on improving infection data, plans for reopening the economy and progress on potential treatments. Within the bellwether index, U.S. Treasuries (+11.36%) led the way for the period, while corporate bonds produced a similarly hearty 10.03% return. Meanwhile, securitized sectors lagged the market despite gaining ground: agency mortgage-backed securities (+6.53%); commercial mortgage-backed securities (+6.18%); and asset-backed securities (+4.01%). Outside the index, U.S. corporate high-yield bonds gained 1.32%, while Treasury Inflation-Protected Securities (TIPS) rose 8.00%, according to Bloomberg Barclays.

Comments from Lead Portfolio Manager Jonathan Duggan:  For the fiscal year, the Fund gained 2.51%, outpacing the 1.95% advance of the benchmark FTSE® 6-Month U.S. Treasury Bill Index. During the second half of 2019 and into 2020, we reduced risk in the portfolio by adding funds that invest in U.S. Treasuries, government-agency mortgage-backed securities and cash, while reducing the Fund's allocation to those with investment-grade corporate credit exposure. These moves dampened the portfolio's interest rate sensitivity and also provided dry powder to increase risk following the March downturn. During this time, we boosted the Fund's positions in short-term managers (those with an average duration of 1 to 3 years). As a result, the Fund rallied strongly in April and May. For the period, both sub-advisers within the portfolio – FIAM℠ (+2.5%) and T. Rowe Price (+3.6%) – outperformed the Fund's benchmark and added considerable value. Allocations to asset-backed securities and higher-quality, floating-rate corporate bonds fueled FIAM's performance. T. Rowe Price on the other hand, benefited from having a longer portfolio duration than the benchmark and from its corporate credit holdings. On the downside, PIMCO Short-Term Fund (+1.5%) was the biggest relative detractor. The manager of this fund expected the U.S. Federal Reserve to raise interest rates in 2019 and, as a result, did not have enough exposure to the parts of the short-term yield curve that declined the most during the period. Its performance was also hurt by an overweighting in corporate credit during the first quarter of 2020. Looking ahead, we are optimistic about a recovery in the U.S. economy during the second half of this year and into 2021. At the same time, we remain cognizant of key risk factors, including U.S. elections later this year.

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 Ten Holdings as of May 31, 2020

(excluding cash equivalents) % of fund's net assets 
PIMCO Short-Term Fund - Administrator Class 18.6 
Baird Ultra Short Bond Fund Institutional Class 7.6 
iShares Lehman 1-3 Year Treasury Bond ETF 6.8 
Fidelity Short-Term Bond Fund 5.7 
PIMCO Enhanced Short Maturity Active ETF 4.4 
Blackrock Low Duration Bond Portfolio Investor A Shares 4.3 
U.S. Treasury Obligations 3.6 
JPMorgan Ultra-Short Income ETF 3.2 
iShares Short-Maturity Bond ETF 3.2 
Metropolitan West Low Duration Bond Fund - Class M 2.8 
 60.2 

Asset Allocation (% of fund's net assets)

As of May 31, 2020  
   Corporate Bonds 23.7% 
   U.S. Government and U.S. Government Agency Obligations 4.2% 
   Asset-Backed Securities 6.5% 
   CMOs and Other Mortgage Related Securities 1.8% 
   Bank Loan Funds 0.7% 
   Other Investments 0.7% 
   Short-Term Funds 58.8% 
   Short-Term Investments and Net Other Assets (Liabilities) 3.6% 


Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.

Schedule of Investments May 31, 2020

Showing Percentage of Net Assets

Nonconvertible Bonds - 23.7%   
 Principal Amount Value 
COMMUNICATION SERVICES - 1.3%   
Diversified Telecommunication Services - 0.3%   
AT&T, Inc.:   
3 month U.S. LIBOR + 0.930% 2.3046% 6/30/20 (a)(b) $7,845,000 $7,849,534 
3.8% 3/15/22 980,000 1,029,592 
SBA Tower Trust:   
3.156% 10/8/20 (c) 265,000 265,445 
3.448% 3/15/48 (c) 880,000 915,490 
Verizon Communications, Inc.:   
3 month U.S. LIBOR + 1.000% 1.7405% 3/16/22 (a)(b) 15,233,000 15,262,247 
5.15% 9/15/23 775,000 885,581 
  26,207,889 
Entertainment - 0.4%   
NBCUniversal Enterprise, Inc. 3 month U.S. LIBOR + 0.400% 1.8334% 4/1/21 (a)(b)(c) 23,029,000 23,078,736 
The Walt Disney Co.:   
3 month U.S. LIBOR + 0.250% 1.8304% 9/1/21 (a)(b) 2,211,000 2,205,543 
1.65% 9/1/22 1,435,000 1,465,234 
3.35% 3/24/25 470,000 517,127 
  27,266,640 
Interactive Media & Services - 0.0%   
Baidu.com, Inc. 3.5% 11/28/22 780,000 811,444 
Media - 0.6%   
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
3.579% 7/23/20 5,662,000 5,662,289 
4.464% 7/23/22 3,590,000 3,823,197 
4.908% 7/23/25 2,145,000 2,455,344 
Comcast Corp.:   
3 month U.S. LIBOR + 0.330% 1.7634% 10/1/20 (a)(b) 7,282,000 7,287,175 
3 month U.S. LIBOR + 0.440% 1.8734% 10/1/21 (a)(b) 8,940,000 8,966,230 
3.1% 4/1/25 355,000 387,984 
3.7% 4/15/24 1,075,000 1,188,742 
COX Communications, Inc.:   
2.95% 6/30/23 (c) 590,000 617,900 
3.15% 8/15/24 (c) 585,000 620,695 
Fox Corp.:   
3.05% 4/7/25 185,000 196,724 
3.666% 1/25/22 260,000 271,103 
4.03% 1/25/24 305,000 335,298 
Interpublic Group of Companies, Inc. 3.5% 10/1/20 295,000 297,700 
RELX Capital, Inc. 3.5% 3/16/23 575,000 608,594 
Time Warner Cable, Inc. 4.125% 2/15/21 6,234,000 6,302,254 
TWDC Enterprises 18 Corp.:   
3 month U.S. LIBOR + 0.190% 1.5043% 6/5/20 (a)(b) 6,332,000 6,332,295 
3 month U.S. LIBOR + 0.390% 1.6438% 3/4/22 (a)(b) 5,000,000 4,964,504 
WPP Finance 2010 3.625% 9/7/22 310,000 323,213 
  50,641,241 
Wireless Telecommunication Services - 0.0%   
Axiata SPV2 Bhd 3.466% 11/19/20 (Reg. S) 660,000 663,967 
T-Mobile U.S.A., Inc. 3.5% 4/15/25 (c) 1,005,000 1,076,224 
Vodafone Group PLC 3.75% 1/16/24 650,000 706,833 
  2,447,024 
TOTAL COMMUNICATION SERVICES  107,374,238 
CONSUMER DISCRETIONARY - 1.2%   
Automobiles - 0.8%   
American Honda Finance Corp.:   
3 month U.S. LIBOR + 0.260% 1.0005% 6/16/20 (a)(b) 5,000,000 4,999,930 
3 month U.S. LIBOR + 0.290% 1.186% 12/10/21 (a)(b) 5,000,000 4,929,432 
BMW U.S. Capital LLC:   
3 month U.S. LIBOR + 0.410% 1.7214% 4/12/21 (a)(b)(c) 11,110,000 11,017,748 
3 month U.S. LIBOR + 0.500% 0.9335% 8/13/21 (a)(b)(c) 830,000 819,883 
2% 4/11/21 (c) 1,500,000 1,506,293 
Daimler Finance North America LLC:   
3 month U.S. LIBOR + 0.900% 1.2924% 2/15/22 (a)(b)(c) 5,000,000 4,825,100 
1.75% 3/10/23 (c) 1,800,000 1,772,900 
2.3% 2/12/21 (c) 1,745,000 1,744,022 
3.75% 11/5/21 (c) 325,000 332,171 
General Motors Co.:   
4.875% 10/2/23 730,000 755,228 
5.4% 10/2/23 1,130,000 1,193,607 
General Motors Financial Co., Inc.:   
3 month U.S. LIBOR + 0.850% 2.1699% 4/9/21 (a)(b) 5,628,000 5,481,045 
2.9% 2/26/25 1,880,000 1,825,926 
3.2% 7/13/20 1,570,000 1,571,845 
3.2% 7/6/21 510,000 510,161 
4.2% 3/1/21 6,059,000 6,087,817 
4.2% 11/6/21 370,000 375,356 
Harley-Davidson Financial Services, Inc.:   
3 month U.S. LIBOR + 0.940% 2.5204% 3/2/21 (a)(b)(c) 995,000 980,421 
2.55% 6/9/22 (c) 375,000 372,067 
4.05% 2/4/22 (c) 1,210,000 1,227,929 
Nissan Motor Acceptance Corp.:   
2.15% 9/28/20 (c) 1,535,000 1,516,118 
3.65% 9/21/21 (c) 580,000 564,156 
Volkswagen Group of America Finance LLC:   
2.5% 9/24/21 (c) 1,805,000 1,814,409 
2.7% 9/26/22 (c) 650,000 661,141 
2.9% 5/13/22 (c) 2,663,000 2,709,757 
3.125% 5/12/23 (c) 355,000 364,547 
3.875% 11/13/20 (c) 980,000 992,060 
  60,951,069 
Hotels, Restaurants & Leisure - 0.0%   
McDonald's Corp.:   
1.45% 9/1/25 600,000 611,692 
3.35% 4/1/23 645,000 693,813 
Starbucks Corp.:   
1.3% 5/7/22 1,615,000 1,636,264 
2.7% 6/15/22 435,000 452,255 
  3,394,024 
Household Durables - 0.0%   
D.R. Horton, Inc. 2.55% 12/1/20 495,000 497,182 
Panasonic Corp. 2.536% 7/19/22 (c) 785,000 798,840 
  1,296,022 
Internet & Direct Marketing Retail - 0.1%   
eBay, Inc. 2.15% 6/5/20 805,000 805,104 
Expedia, Inc. 5.95% 8/15/20 335,000 336,860 
JD.com, Inc. 3.125% 4/29/21 2,645,000 2,666,491 
QVC, Inc.:   
4.375% 3/15/23 660,000 643,500 
5.125% 7/2/22 1,330,000 1,328,338 
The Booking Holdings, Inc. 4.1% 4/13/25 830,000 903,087 
  6,683,380 
Leisure Products - 0.0%   
Hasbro, Inc.:   
2.6% 11/19/22 885,000 906,670 
3% 11/19/24 1,190,000 1,213,071 
  2,119,741 
Specialty Retail - 0.2%   
AutoZone, Inc. 3.625% 4/15/25 485,000 532,638 
O'Reilly Automotive, Inc. 3.8% 9/1/22 385,000 396,440 
Ross Stores, Inc. 4.6% 4/15/25 2,310,000 2,576,991 
The Home Depot, Inc. 3 month U.S. LIBOR + 0.310% 1.8904% 3/1/22 (a)(b) 14,500,000 14,469,276 
TJX Companies, Inc. 3.5% 4/15/25 770,000 860,280 
  18,835,625 
Textiles, Apparel & Luxury Goods - 0.1%   
VF Corp. 2.05% 4/23/22 6,772,000 6,917,758 
TOTAL CONSUMER DISCRETIONARY  100,197,619 
CONSUMER STAPLES - 1.0%   
Beverages - 0.2%   
Constellation Brands, Inc. 3 month U.S. LIBOR + 0.700% 1.0924% 11/15/21 (a)(b) 5,000,000 4,967,809 
Diageo Capital PLC 1.375% 9/29/25 680,000 687,169 
Dr. Pepper Snapple Group, Inc. 3.551% 5/25/21 940,000 966,471 
Molson Coors Beverage Co. 3.5% 5/1/22 3,209,000 3,322,781 
Pernod Ricard SA 4.45% 1/15/22 (c) 1,155,000 1,220,237 
  11,164,467 
Food & Staples Retailing - 0.0%   
Walgreen Co. 3.1% 9/15/22 435,000 454,408 
Food Products - 0.2%   
Archer Daniels Midland Co. 2.75% 3/27/25 285,000 307,194 
Bunge Ltd. Finance Corp.:   
3% 9/25/22 2,775,000 2,836,950 
3.5% 11/24/20 4,365,000 4,415,036 
4.35% 3/15/24 130,000 139,917 
Cargill, Inc. 1.375% 7/23/23 (c) 630,000 640,711 
General Mills, Inc. 3 month U.S. LIBOR + 0.540% 1.7161% 4/16/21 (a)(b) 7,164,000 7,172,136 
Mondelez International, Inc. 2.125% 4/13/23 2,351,000 2,428,420 
Tyson Foods, Inc. 2.25% 8/23/21 600,000 609,701 
  18,550,065 
Tobacco - 0.6%   
Altria Group, Inc.:   
3.49% 2/14/22 2,867,000 2,989,521 
3.8% 2/14/24 1,300,000 1,413,094 
4.75% 5/5/21 4,386,000 4,552,445 
BAT Capital Corp.:   
3 month U.S. LIBOR + 0.590% 1.014% 8/14/20 (a)(b) 6,600,000 6,598,495 
2.764% 8/15/22 3,525,000 3,632,622 
Imperial Tobacco Finance PLC:   
2.95% 7/21/20 (c) 15,940,000 15,960,821 
3.75% 7/21/22 (c) 1,800,000 1,843,964 
Philip Morris International, Inc. 1.125% 5/1/23 9,481,000 9,592,876 
Reynolds American, Inc. 3.25% 6/12/20 4,310,000 4,312,792 
  50,896,630 
TOTAL CONSUMER STAPLES  81,065,570 
ENERGY - 1.3%   
Energy Equipment & Services - 0.1%   
Schlumberger Finance Canada Ltd. 2.2% 11/20/20 (c) 5,000,000 4,994,166 
Schlumberger Holdings Corp. 3.75% 5/1/24 (c) 620,000 650,799 
  5,644,965 
Oil, Gas & Consumable Fuels - 1.2%   
Aker Bp ASA 3% 1/15/25 (c) 995,000 960,927 
BP Capital Markets PLC 3 month U.S. LIBOR + 0.250% 0.6095% 11/24/20 (a)(b) 10,000,000 9,996,673 
Cenovus Energy, Inc. 3% 8/15/22 1,100,000 1,045,134 
Chevron Corp.:   
3 month U.S. LIBOR + 0.480% 1.9428% 3/3/22 (a)(b) 4,700,000 4,695,329 
1.141% 5/11/23 5,109,000 5,204,240 
Columbia Pipeline Group, Inc. 3.3% 6/1/20 1,135,000 1,135,000 
Diamondback Energy, Inc.:   
2.875% 12/1/24 2,720,000 2,644,132 
4.75% 5/31/25 1,080,000 1,130,529 
Energy Transfer Partners LP:   
2.9% 5/15/25 255,000 252,311 
4.2% 9/15/23 280,000 291,092 
4.25% 3/15/23 615,000 637,752 
5.875% 1/15/24 2,375,000 2,592,973 
Eni SpA 4% 9/12/23 (c) 390,000 412,798 
Enterprise Products Operating LP:   
2.8% 2/15/21 1,020,000 1,033,470 
2.85% 4/15/21 3,000,000 3,045,726 
3.5% 2/1/22 1,050,000 1,096,127 
5.2% 9/1/20 4,000,000 4,046,004 
EOG Resources, Inc. 2.625% 3/15/23 291,000 303,042 
EQT Corp.:   
3% 10/1/22 2,275,000 2,198,219 
4.875% 11/15/21 284,000 278,320 
Exxon Mobil Corp.:   
3 month U.S. LIBOR + 0.330% 0.7156% 8/16/22 (a)(b) 7,000,000 6,976,520 
1.571% 4/15/23 1,835,000 1,884,264 
2.992% 3/19/25 1,895,000 2,074,497 
Kinder Morgan Energy Partners LP:   
3.5% 3/1/21 435,000 440,040 
3.95% 9/1/22 135,000 141,996 
Kinder Morgan, Inc. 5% 2/15/21 (c) 675,000 686,816 
Marathon Oil Corp. 2.8% 11/1/22 1,925,000 1,865,694 
MPLX LP:   
3 month U.S. LIBOR + 0.900% 1.8989% 9/9/21 (a)(b) 275,000 266,137 
3 month U.S. LIBOR + 1.100% 2.0989% 9/9/22 (a)(b) 1,683,000 1,589,098 
Occidental Petroleum Corp.:   
3 month U.S. LIBOR + 0.950% 1.3976% 2/8/21 (a)(b) 6,819,000 6,561,908 
3 month U.S. LIBOR + 1.250% 1.6835% 8/13/21 (a)(b) 5,104,000 4,868,456 
3 month U.S. LIBOR + 1.450% 1.8424% 8/15/22 (a)(b) 2,050,000 1,793,750 
2.6% 8/13/21 990,000 953,370 
Phillips 66 Co. 3 month U.S. LIBOR + 0.600% 0.9595% 2/26/21 (a)(b) 5,033,000 5,015,510 
Plains All American Pipeline LP/PAA Finance Corp. 5% 2/1/21 455,000 457,454 
Reliance Holding U.S.A., Inc. 5.4% 2/14/22 (Reg. S) 1,700,000 1,782,344 
Sabine Pass Liquefaction LLC:   
5.625% 2/1/21 (a) 3,725,000 3,799,093 
5.625% 4/15/23 (a) 845,000 913,962 
6.25% 3/15/22 2,495,000 2,654,088 
Saudi Arabian Oil Co. 2.75% 4/16/22 (c) 1,815,000 1,854,703 
Suncor Energy, Inc. 2.8% 5/15/23 505,000 517,375 
Sunoco Logistics Partner Operations LP:   
3.45% 1/15/23 110,000 111,785 
4.4% 4/1/21 765,000 775,414 
The Williams Companies, Inc. 3.7% 1/15/23 2,205,000 2,298,851 
Valero Energy Corp. 2.7% 4/15/23 895,000 926,010 
Western Gas Partners LP 4% 7/1/22 1,800,000 1,769,616 
Williams Partners LP:   
3.35% 8/15/22 200,000 206,543 
4.3% 3/4/24 305,000 327,962 
  96,513,054 
TOTAL ENERGY  102,158,019 
FINANCIALS - 13.9%   
Banks - 8.9%   
Abbey National PLC:   
2.1% 1/13/23 1,255,000 1,289,663 
2.125% 11/3/20 570,000 573,831 
ABN AMRO Bank NV:   
3 month U.S. LIBOR + 0.410% 1.5453% 1/19/21 (a)(b)(c) 10,000,000 10,013,800 
3 month U.S. LIBOR + 0.570% 0.9393% 8/27/21 (a)(b)(c) 12,413,000 12,418,636 
Australia & New Zealand Banking Group Ltd. 3 month U.S. LIBOR + 0.500% 0.8805% 8/19/20 (a)(b)(c) 7,000,000 7,006,396 
Banco del Estado de Chile 2.704% 1/9/25 (c) 665,000 668,533 
Banco Santander Chile 2.5% 12/15/20 (c) 1,745,000 1,751,544 
Banco Santander Mexico SA 4.125% 11/9/22 (Reg. S) 1,750,000 1,799,984 
Banco Santander SA 3 month U.S. LIBOR + 1.120% 2.4314% 4/12/23 (a)(b) 800,000 780,452 
Bank of America Corp.:   
3 month U.S. LIBOR + 0.380% 1.423% 1/23/22 (a)(b) 15,000,000 14,930,599 
3 month U.S. LIBOR + 0.650% 1.8656% 6/25/22 (a)(b) 20,000,000 19,908,955 
3 month U.S. LIBOR + 0.650% 2.0834% 10/1/21 (a)(b) 10,000,000 10,013,867 
2.328% 10/1/21 (a) 3,000,000 3,008,891 
2.503% 10/21/22 1,475,000 1,509,191 
2.738% 1/23/22 (a) 830,000 838,814 
3.124% 1/20/23 (a) 5,000,000 5,166,683 
3.3% 1/11/23 1,445,000 1,529,324 
Bank of Montreal:   
3 month U.S. LIBOR + 0.400% 1.296% 9/10/21 (a)(b) 5,000,000 5,001,881 
3 month U.S. LIBOR + 0.440% 1.1805% 6/15/20 (a)(b) 11,600,000 11,601,125 
3 month U.S. LIBOR + 0.460% 1.7714% 4/13/21 (a)(b) 960,000 962,315 
3 month U.S. LIBOR + 0.570% 1.8024% 3/26/22 (a)(b) 5,000,000 5,006,060 
Bank of Nova Scotia 3 month U.S. LIBOR + 0.290% 1.6424% 1/8/21 (a)(b) 10,000,000 10,004,187 
Banque Federative du Credit Mutuel SA:   
3 month U.S. LIBOR + 0.490% 1.6253% 7/20/20 (a)(b)(c) 15,000,000 15,026,805 
1.96% 7/21/21 (c) 5,000,000 5,064,076 
2.125% 11/21/22 (c) 1,415,000 1,437,541 
2.2% 7/20/20 (c) 940,000 942,438 
2.5% 4/13/21 (c) 5,000,000 5,085,932 
Barclays Bank PLC:   
3 month U.S. LIBOR + 0.460% 1.7714% 1/11/21 (a)(b) 11,000,000 11,000,932 
3 month U.S. LIBOR + 0.650% 1.124% 8/7/20 (a)(b) 15,000,000 15,009,927 
1.7% 5/12/22 1,790,000 1,814,446 
2.65% 1/11/21 10,905,000 11,005,016 
Barclays PLC:   
3 month U.S. LIBOR + 1.620% 2.9364% 1/10/23 (a)(b) 645,000 638,760 
3 month U.S. LIBOR + 2.110% 2.5576% 8/10/21 (a)(b) 14,003,000 14,141,042 
BB&T Corp. 2.15% 2/1/21 1,160,000 1,171,348 
BBVA U.S.A. 3 month U.S. LIBOR + 0.730% 1.4981% 6/11/21 (a)(b) 11,700,000 11,596,543 
BNP Paribas SA 3 month U.S. LIBOR + 0.390% 0.864% 8/7/21 (a)(b)(c) 5,000,000 5,005,274 
BPCE SA:   
3 month U.S. LIBOR + 0.300% 1.6114% 1/14/22 (a)(b)(c) 5,000,000 4,956,091 
3 month U.S. LIBOR + 1.220% 1.578% 5/22/22 (a)(b)(c) 1,605,000 1,601,630 
3.145% 7/31/20 (c) 9,500,000 9,538,257 
Capital One Bank NA 2.014% 1/27/23 (a) 7,000,000 7,013,347 
Capital One NA:   
2.15% 9/6/22 2,575,000 2,607,457 
2.25% 9/13/21 250,000 253,015 
Citibank NA:   
3 month U.S. LIBOR + 0.300% 1.4353% 10/20/20 (a)(b) 4,500,000 4,503,431 
3 month U.S. LIBOR + 0.600% 0.9766% 5/20/22 (a)(b) 8,000,000 7,961,088 
Citigroup, Inc.:   
3 month U.S. LIBOR + 1.190% 1.7461% 8/2/21 (a)(b) 9,500,000 9,548,842 
3 month U.S. LIBOR + 1.380% 2.7546% 3/30/21 (a)(b) 10,000,000 10,053,949 
2.312% 11/4/22 (a) 16,290,000 16,510,080 
2.35% 8/2/21 5,000,000 5,088,581 
2.9% 12/8/21 1,495,000 1,535,821 
Credit Agricole SA:   
3 month U.S. LIBOR + 0.970% 1.866% 6/10/20 (a)(b)(c) 13,280,000 13,283,373 
3 month U.S. LIBOR + 1.020% 2.0403% 4/24/23 (a)(b)(c) 675,000 662,714 
Credit Suisse Group Funding Guernsey Ltd.:   
3 month U.S. LIBOR + 2.290% 3.4253% 4/16/21 (a)(b) 4,250,000 4,308,125 
3.125% 12/10/20 5,000,000 5,055,122 
3.45% 4/16/21 5,000,000 5,115,949 
Danske Bank A/S:   
3.001% 9/20/22 (a)(c) 1,475,000 1,489,962 
5% 1/12/22 (c) 1,050,000 1,100,113 
Fifth Third Bancorp 1.625% 5/5/23 10,625,000 10,818,644 
First Niagara Financial Group, Inc. 7.25% 12/15/21 515,000 552,394 
HSBC Holdings PLC:   
3 month U.S. LIBOR + 0.650% 1.4341% 9/11/21 (a)(b) 15,675,000 15,678,114 
U.S. SOFR SEC OVRN FIN RATE INDX + 0.000% 2.099% 6/4/26 (a)(b) 1,840,000 1,836,892 
ING Groep NV 3 month U.S. LIBOR + 1.150% 2.5246% 3/29/22 (a)(b) 735,000 734,817 
JPMorgan Chase & Co.:   
3 month U.S. LIBOR + 0.680% 2.2604% 6/1/21 (a)(b) 10,024,000 10,028,908 
3 month U.S. LIBOR + 1.100% 2.0989% 6/7/21 (a)(b) 11,083,000 11,146,734 
2.083% 4/22/26 (a) 1,870,000 1,913,662 
2.4% 6/7/21 5,993,000 6,099,595 
2.55% 10/29/20 10,000,000 10,069,943 
2.55% 3/1/21 18,053,000 18,304,479 
KeyBank NA 3 month U.S. LIBOR + 0.660% 1.3466% 2/1/22 (a)(b) 8,128,000 8,087,144 
Lloyds Bank PLC:   
3 month U.S. LIBOR + 0.490% 0.964% 5/7/21 (a)(b) 9,000,000 9,015,248 
3.3% 5/7/21 2,649,000 2,713,211 
Manufacturers & Traders Trust Co. 3 month U.S. LIBOR + 0.270% 1.2614% 1/25/21 (a)(b) 10,000,000 10,007,067 
Mitsubishi UFJ Financial Group, Inc.:   
3 month U.S. LIBOR + 0.650% 1.6414% 7/26/21 (a)(b) 6,926,000 6,913,703 
3 month U.S. LIBOR + 0.700% 1.6989% 3/7/22 (a)(b) 10,000,000 9,928,603 
3 month U.S. LIBOR + 0.860% 1.8514% 7/26/23 (a)(b) 665,000 656,187 
3 month U.S. LIBOR + 0.920% 1.278% 2/22/22 (a)(b) 840,000 833,877 
2.998% 2/22/22 5,000,000 5,161,171 
3.218% 3/7/22 1,090,000 1,128,930 
Mizuho Financial Group, Inc.:   
3 month U.S. LIBOR + 0.940% 1.3113% 2/28/22 (a)(b) 5,000,000 4,982,271 
3 month U.S. LIBOR + 1.140% 1.9125% 9/13/21 (a)(b) 17,000,000 17,033,369 
Nordea Bank AB 4.875% 5/13/21 (c) 710,000 733,172 
PNC Bank NA:   
1.743% 2/24/23 (a) 4,078,000 4,129,935 
2.028% 12/9/22 (a) 7,000,000 7,116,277 
Rabobank Nederland 3.95% 11/9/22 1,370,000 1,441,206 
Rabobank Nederland New York Branch:   
3 month U.S. LIBOR + 0.430% 1.4214% 4/26/21 (a)(b) 12,500,000 12,517,853 
3 month U.S. LIBOR + 0.830% 2.1414% 1/10/22 (a)(b) 5,000,000 5,035,224 
Regions Bank 3 month U.S. LIBOR + 0.500% 0.9335% 8/13/21 (a)(b) 8,350,000 8,290,498 
Royal Bank of Canada:   
3 month U.S. LIBOR + 0.300% 1.3976% 7/22/20 (a)(b) 5,000,000 5,006,455 
3 month U.S. LIBOR + 0.390% 1.1501% 4/30/21 (a)(b) 10,000,000 10,030,008 
3 month U.S. LIBOR + 0.400% 1.3914% 1/25/21 (a)(b) 5,000,000 5,009,021 
Royal Bank of Scotland Group PLC 3.875% 9/12/23 1,085,000 1,148,901 
Royal Bank of Scotland PLC 2.375% 5/21/23 (c) 1,525,000 1,538,080 
Santander Holdings U.S.A., Inc. 4.45% 12/3/21 7,000,000 7,304,749 
Santander UK Group Holdings PLC 2.875% 10/16/20 820,000 826,274 
Standard Chartered PLC:   
3 month U.S. LIBOR + 1.150% 2.2853% 1/20/23 (a)(b)(c) 910,000 896,932 
2.744% 9/10/22 (a)(c) 860,000 864,774 
Sumitomo Mitsui Banking Corp. 3 month U.S. LIBOR + 0.370% 1.5461% 10/16/20 (a)(b) 5,000,000 5,007,100 
Sumitomo Mitsui Financial Group, Inc.:   
3 month U.S. LIBOR + 1.140% 2.2753% 10/19/21 (a)(b) 6,500,000 6,532,675 
3 month U.S. LIBOR + 1.680% 2.6789% 3/9/21 (a)(b) 3,000,000 3,021,297 
SunTrust Banks, Inc. 3 month U.S. LIBOR + 0.500% 1.4914% 10/26/21 (a)(b) 5,000,000 4,988,845 
Svenska Handelsbanken AB 3 month U.S. LIBOR + 0.470% 0.8295% 5/24/21 (a)(b) 8,500,000 8,524,965 
Swedbank AB 2.65% 3/10/21 (c) 2,210,000 2,241,669 
Synchrony Bank 3% 6/15/22 10,395,000 10,432,457 
Synovus Bank 2.289% 2/10/23 (a) 1,237,000 1,222,048 
The Toronto-Dominion Bank:   
3 month U.S. LIBOR + 0.240% 1.2314% 1/25/21 (a)(b) 11,565,000 11,569,831 
3 month U.S. LIBOR + 0.260% 1.1031% 9/17/20 (a)(b) 5,000,000 5,005,041 
3 month U.S. LIBOR + 0.270% 1.1131% 3/17/21 (a)(b) 10,000,000 10,011,645 
U.S. SOFR SEC OVRN FIN RATE INDX + 0.480% 0.5321% 1/27/23 (a)(b) 5,000,000 4,889,312 
U.S. Bancorp 3% 3/15/22 1,530,000 1,596,351 
U.S. Bank NA, Cincinnati:   
3 month U.S. LIBOR + 0.140% 1.183% 10/23/20 (a)(b) 3,535,000 3,531,268 
3 month U.S. LIBOR + 0.250% 1.2703% 7/24/20 (a)(b) 5,000,000 5,002,368 
Wells Fargo & Co.:   
3 month U.S. LIBOR + 0.880% 1.9776% 7/22/20 (a)(b) 14,900,000 14,931,660 
1.654% 6/2/24 (a) 5,935,000 5,951,953 
2.188% 4/30/26 (a) 840,000 851,121 
2.5% 3/4/21 7,010,000 7,113,127 
2.6% 7/22/20 5,000,000 5,014,400 
3.5% 3/8/22 735,000 769,918 
4.6% 4/1/21 10,000,000 10,329,131 
Wells Fargo Bank NA:   
3 month U.S. LIBOR + 0.500% 1.543% 7/23/21 (a)(b) 5,000,000 4,998,665 
2.082% 9/9/22 (a) 1,105,000 1,118,161 
3.325% 7/23/21 (a) 1,935,000 1,941,670 
Zions Bancorp NA 3.5% 8/27/21 5,000,000 5,078,922 
  714,121,680 
Capital Markets - 1.9%   
Bank of New York, New York 3 month U.S. LIBOR + 0.280% 1.5338% 6/4/21 (a)(b) 5,000,000 5,000,000 
Charles Schwab Corp. 3 month U.S. LIBOR + 0.320% 0.6941% 5/21/21 (a)(b) 990,000 990,317 
Credit Suisse AG:   
U.S. SOFR SEC OVRN FIN RATE INDX + 0.450% 0.5051% 2/4/22 (a)(b) 5,310,000 5,245,003 
2.1% 11/12/21 4,591,000 4,683,596 
2.8% 4/8/22 3,625,000 3,756,050 
Deutsche Bank AG New York Branch:   
3 month U.S. LIBOR + 0.810% 1.9126% 1/22/21 (a)(b) 10,000,000 9,826,298 
3 month U.S. LIBOR + 1.290% 1.8461% 2/4/21 (a)(b) 860,000 846,827 
2.7% 7/13/20 5,000,000 5,000,000 
2.95% 8/20/20 3,940,000 3,943,635 
3.15% 1/22/21 11,435,000 11,444,803 
3.375% 5/12/21 125,000 125,239 
Goldman Sachs Group, Inc.:   
3 month U.S. LIBOR + 1.200% 1.9405% 9/15/20 (a)(b) 4,670,000 4,678,640 
3 month U.S. LIBOR + 1.360% 2.3514% 4/23/21 (a)(b) 10,000,000 10,060,682 
2.6% 12/27/20 1,752,000 1,754,262 
2.625% 4/25/21 5,000,000 5,081,598 
2.876% 10/31/22 (a) 520,000 531,296 
2.905% 7/24/23 (a) 10,000,000 10,275,261 
3% 4/26/22 1,505,000 1,531,206 
5.75% 1/24/22 1,800,000 1,937,977 
Morgan Stanley:   
3 month U.S. LIBOR + 0.930% 2.0276% 7/22/22 (a)(b) 4,040,000 4,031,435 
U.S. SOFR SEC OVRN FIN RATE INDX + 0.700% 0.7506% 1/20/23 (a)(b) 5,000,000 4,896,452 
U.S. SOFR SEC OVRN FIN RATE INDX + 0.830% 0.944% 6/10/22 (a)(b) 5,000,000 4,938,535 
2.5% 4/21/21 5,000,000 5,082,067 
2.625% 11/17/21 17,214,000 17,683,610 
2.75% 5/19/22 1,095,000 1,136,922 
5.5% 7/24/20 670,000 674,777 
5.75% 1/25/21 10,000,000 10,330,560 
State Street Corp. 2.825% 3/30/23 (a)(c) 603,000 623,535 
TD Ameritrade Holding Corp. 3 month U.S. LIBOR + 0.430% 1.1166% 11/1/21 (a)(b) 7,500,000 7,454,586 
UBS AG London Branch 1.75% 4/21/22 (c) 7,525,000 7,648,109 
UBS Group AG 3% 4/15/21 (c) 1,495,000 1,524,855 
UBS Group Funding AG 3 month U.S. LIBOR + 1.220% 1.578% 5/23/23 (a)(b)(c) 880,000 882,724 
  153,620,857 
Consumer Finance - 1.7%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
3.95% 2/1/22 1,070,000 1,008,303 
4.45% 12/16/21 1,395,000 1,324,046 
4.625% 10/30/20 635,000 632,461 
American Express Co.:   
3 month U.S. LIBOR + 0.600% 1.1409% 11/5/21 (a)(b) 6,750,000 6,744,058 
2.2% 10/30/20 3,000,000 3,017,461 
2.65% 12/2/22 9,500,000 9,927,223 
2.75% 5/20/22 5,000,000 5,190,925 
3% 2/22/21 5,000,000 5,078,589 
3.375% 5/17/21 1,500,000 1,536,837 
Aviation Capital Group LLC:   
3 month U.S. LIBOR + 0.670% 1.4301% 7/30/21 (a)(b)(c) 1,427,000 1,322,723 
3 month U.S. LIBOR + 0.950% 2.5304% 6/1/21 (a)(b)(c) 4,307,000 3,963,332 
Capital One Financial Corp.:   
2.4% 10/30/20 615,000 618,219 
3.2% 1/30/23 765,000 792,927 
3.5% 6/15/23 555,000 585,155 
3.9% 1/29/24 505,000 536,235 
Ford Motor Credit Co. LLC:   
3 month U.S. LIBOR + 0.930% 2.1341% 9/24/20 (a)(b) 1,855,000 1,836,450 
3.157% 8/4/20 8,910,000 8,902,872 
3.47% 4/5/21 415,000 404,625 
3.813% 10/12/21 495,000 481,388 
5.875% 8/2/21 290,000 290,725 
GE Capital International Funding Co. 2.342% 11/15/20 19,564,000 19,693,405 
Hyundai Capital America:   
2.375% 2/10/23 (c) 1,925,000 1,900,366 
2.45% 6/15/21 (c) 755,000 754,636 
2.85% 11/1/22 (c) 511,000 510,808 
3% 6/20/22 (c) 1,060,000 1,066,100 
3.95% 2/1/22 (c) 1,315,000 1,336,553 
John Deere Capital Corp.:   
3 month U.S. LIBOR + 0.160% 1.5124% 1/8/21 (a)(b) 8,720,000 8,715,747 
3 month U.S. LIBOR + 0.170% 1.4899% 10/9/20 (a)(b) 5,000,000 5,002,183 
3 month U.S. LIBOR + 0.240% 1.0241% 3/12/21 (a)(b) 5,000,000 4,998,521 
3 month U.S. LIBOR + 0.260% 1.156% 9/10/21 (a)(b) 5,000,000 4,986,962 
3 month U.S. LIBOR + 0.420% 1.7314% 7/10/20 (a)(b) 5,000,000 5,006,700 
Paccar Financial Corp. 3.1% 5/10/21 1,260,000 1,290,920 
Synchrony Financial 2.85% 7/25/22 3,473,000 3,408,738 
Toyota Motor Credit Corp.:   
3 month U.S. LIBOR + 0.120% 0.5585% 8/13/21 (a)(b) 6,904,000 6,866,052 
3 month U.S. LIBOR + 0.170% 1.0594% 9/18/20 (a)(b) 10,000,000 9,998,855 
1.15% 5/26/22 5,000,000 5,023,860 
  134,754,960 
Diversified Financial Services - 0.2%   
AIG Global Funding:   
3 month U.S. LIBOR + 0.460% 1.6756% 6/25/21 (a)(b)(c) 4,293,000 4,282,480 
2.3% 7/1/22 (c) 1,528,000 1,574,586 
3.35% 6/25/21 (c) 770,000 791,881 
BP Capital Markets America, Inc.:   
2.937% 4/6/23 700,000 739,362 
4.742% 3/11/21 5,000,000 5,152,143 
Brixmor Operating Partnership LP 3.875% 8/15/22 170,000 173,194 
CNH Industrial Capital LLC:   
3.875% 10/15/21 1,325,000 1,344,917 
4.375% 11/6/20 1,725,000 1,730,366 
General Electric Capital Corp.:   
3.15% 9/7/22 555,000 568,394 
3.45% 5/15/24 530,000 543,362 
Park Aerospace Holdings Ltd.:   
4.5% 3/15/23 (c) 435,000 368,494 
5.25% 8/15/22 (c) 880,000 776,505 
  18,045,684 
Insurance - 1.2%   
ACE INA Holdings, Inc. 2.3% 11/3/20 970,000 975,889 
AIA Group Ltd. 3 month U.S. LIBOR + 0.520% 1.6358% 9/20/21 (a)(b)(c) 6,046,000 5,964,263 
American International Group, Inc.:   
2.5% 6/30/25 1,460,000 1,510,202 
4.875% 6/1/22 675,000 726,173 
6.4% 12/15/20 2,010,000 2,069,423 
Aon Corp.:   
2.2% 11/15/22 1,592,000 1,638,141 
5% 9/30/20 4,135,000 4,194,025 
Aon PLC 2.8% 3/15/21 1,320,000 1,335,874 
Lincoln National Corp. 4% 9/1/23 270,000 292,202 
Marsh & McLennan Companies, Inc.:   
3 month U.S. LIBOR + 1.200% 2.5746% 12/29/21 (a)(b) 4,546,000 4,530,113 
3.5% 12/29/20 5,296,000 5,384,289 
3.875% 3/15/24 725,000 795,513 
MassMutual Global Funding II:   
2.25% 7/1/22 (c) 1,150,000 1,183,899 
2.5% 4/13/22 (c) 3,780,000 3,892,486 
Metropolitan Life Global Funding I:   
3 month U.S. LIBOR + 0.400% 1.1841% 6/12/20 (a)(b)(c) 10,000,000 10,002,295 
U.S. SOFR SEC OVRN FIN RATE INDX + 0.570% 0.6159% 1/13/23 (a)(b)(c) 6,940,000 6,782,208 
U.S. SOFR SEC OVRN FIN RATE INDX + 0.570% 0.63% 9/7/20 (a)(b)(c) 5,000,000 4,997,500 
2.5% 12/3/20 (Reg. S) (c) 3,000,000 3,031,661 
Metropolitan Tower Global Funding U.S. SOFR SEC OVRN FIN RATE INDX + 0.550% 0.5989% 1/17/23 (a)(b)(c) 5,000,000 4,863,460 
New York Life Global Funding:   
3 month U.S. LIBOR + 0.280% 2.0141% 1/10/23 (a)(b)(c) 6,945,000 6,808,382 
3 month U.S. LIBOR + 0.320% 0.8209% 8/6/21 (a)(b)(c) 6,177,000 6,182,835 
1.1% 5/5/23 (c) 725,000 733,530 
2.95% 1/28/21 (c) 3,775,000 3,837,743 
Pricoa Global Funding I 2.55% 11/24/20 (c) 2,614,000 2,638,436 
Protective Life Global Funding:   
3 month U.S. LIBOR + 0.370% 1.6814% 7/13/20 (a)(b)(c) 7,000,000 7,005,855 
3 month U.S. LIBOR + 0.520% 1.8946% 6/28/21 (a)(b)(c) 2,000,000 2,000,524 
Reinsurance Group of America, Inc. 5% 6/1/21 125,000 129,473 
Trinity Acquisition PLC 3.5% 9/15/21 650,000 662,023 
  94,168,417 
Thrifts & Mortgage Finance - 0.0%   
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 3.72% 7/15/43 (c) 370,000 385,302 
TOTAL FINANCIALS  1,115,096,900 
HEALTH CARE - 2.0%   
Biotechnology - 0.3%   
AbbVie, Inc.:   
3 month U.S. LIBOR + 0.650% 1.0241% 11/21/22 (a)(b)(c) 7,100,000 7,043,342 
2.15% 11/19/21 (c) 11,244,000 11,454,074 
2.3% 5/14/21 850,000 862,335 
2.6% 11/21/24 (c) 2,745,000 2,883,181 
2.9% 11/6/22 1,740,000 1,822,323 
3.2% 11/6/22 170,000 178,756 
3.25% 10/1/22 (c) 185,000 193,493 
3.45% 3/15/22 (c) 615,000 639,878 
Baxalta, Inc. 3.6% 6/23/22 265,000 278,671 
  25,356,053 
Health Care Equipment & Supplies - 0.2%   
Baxter International, Inc. 3.75% 10/1/25 (c) 910,000 1,027,017 
Becton, Dickinson & Co.:   
3 month U.S. LIBOR + 0.870% 2.2496% 12/29/20 (a)(b) 8,326,000 8,323,502 
2.404% 6/5/20 1,195,000 1,194,883 
2.894% 6/6/22 2,230,000 2,316,591 
3.125% 11/8/21 350,000 361,050 
3.363% 6/6/24 1,215,000 1,310,244 
3.734% 12/15/24 285,000 313,152 
Zimmer Biomet Holdings, Inc. 3 month U.S. LIBOR + 0.750% 1.8019% 3/19/21 (a)(b) 3,220,000 3,193,342 
  18,039,781 
Health Care Providers & Services - 0.8%   
AmerisourceBergen Corp. 3.5% 11/15/21 610,000 632,637 
Anthem, Inc.:   
2.375% 1/15/25 410,000 430,915 
2.5% 11/21/20 1,095,000 1,105,051 
Cardinal Health, Inc.:   
2.616% 6/15/22 115,000 118,036 
3.079% 6/15/24 695,000 733,491 
3.2% 3/15/23 875,000 917,911 
3.5% 11/15/24 1,180,000 1,264,789 
Cigna Corp.:   
3 month U.S. LIBOR + 0.650% 1.4931% 9/17/21 (a)(b) 5,165,000 5,137,434 
3% 7/15/23 (c) 715,000 754,600 
3.4% 9/17/21 370,000 382,852 
3.75% 7/15/23 738,000 802,965 
3.9% 2/15/22 (c) 585,000 614,268 
4.125% 9/15/20 (c) 710,000 715,706 
CVS Health Corp.:   
3 month U.S. LIBOR + 0.720% 1.7189% 3/9/21 (a)(b) 8,025,000 8,037,468 
2.625% 8/15/24 335,000 353,767 
2.8% 7/20/20 11,000,000 11,011,330 
3.35% 3/9/21 6,556,000 6,689,032 
3.7% 3/9/23 2,710,000 2,903,079 
Express Scripts Holding Co. 3 month U.S. LIBOR + 0.750% 1.1125% 11/30/20 (a)(b) 14,665,000 14,610,079 
Humana, Inc.:   
2.9% 12/15/22 160,000 167,639 
3.15% 12/1/22 315,000 330,089 
3.85% 10/1/24 490,000 535,511 
4.5% 4/1/25 1,205,000 1,364,334 
McKesson Corp. 3.65% 11/30/20 1,380,000 1,398,443 
  61,011,426 
Life Sciences Tools & Services - 0.0%   
Thermo Fisher Scientific, Inc. 4.133% 3/25/25 385,000 437,646 
Pharmaceuticals - 0.7%   
AstraZeneca PLC 2.375% 11/16/20 5,000,000 5,042,159 
Bayer U.S. Finance II LLC:   
3 month U.S. LIBOR + 0.630% 1.8456% 6/25/21 (a)(b)(c) 17,180,000 17,087,695 
3.5% 6/25/21 (c) 855,000 873,711 
Bristol-Myers Squibb Co.:   
2.55% 5/14/21 (c) 9,104,000 9,294,394 
2.6% 5/16/22 (c) 635,000 661,375 
2.75% 2/15/23 (c) 605,000 635,510 
2.875% 8/15/20 (c) 1,203,000 1,209,159 
2.875% 2/19/21 (c) 1,110,000 1,130,183 
2.9% 7/26/24 (c) 840,000 906,824 
3.25% 2/20/23 (c) 185,000 197,496 
3.55% 8/15/22 (c) 600,000 636,811 
3.625% 5/15/24 (c) 160,000 175,911 
EMD Finance LLC 2.95% 3/19/22 (c) 430,000 443,362 
Perrigo Finance PLC:   
3.5% 3/15/21 605,000 605,729 
3.5% 12/15/21 631,000 629,185 
3.9% 12/15/24 1,780,000 1,853,898 
Shire Acquisitions Investments Ireland DAC:   
2.4% 9/23/21 1,000,000 1,020,021 
2.875% 9/23/23 115,000 121,275 
Takeda Pharmaceutical Co. Ltd. 4% 11/26/21 1,550,000 1,621,831 
Zoetis, Inc. 3 month U.S. LIBOR + 0.440% 0.8166% 8/20/21 (a)(b) 10,000,000 9,987,793 
  54,134,322 
TOTAL HEALTH CARE  158,979,228 
INDUSTRIALS - 1.1%   
Aerospace & Defense - 0.1%   
General Dynamics Corp. 3% 5/11/21 10,000,000 10,242,547 
Northrop Grumman Corp. 2.55% 10/15/22 785,000 821,780 
  11,064,327 
Air Freight & Logistics - 0.0%   
FedEx Corp. 3.8% 5/15/25 570,000 626,265 
Airlines - 0.0%   
American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27 622,274 385,006 
Delta Air Lines, Inc. 2.6% 12/4/20 290,000 282,847 
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 410,000 254,172 
  922,025 
Building Products - 0.0%   
Carrier Global Corp. 2.242% 2/15/25 (c) 1,860,000 1,862,855 
Commercial Services & Supplies - 0.0%   
Republic Services, Inc. 2.5% 8/15/24 880,000 931,308 
Electrical Equipment - 0.0%   
Shanghai Electric Group Global Investment Ltd. 2.65% 11/21/24 2,220,000 2,271,564 
Industrial Conglomerates - 0.2%   
Honeywell International, Inc.:   
3 month U.S. LIBOR + 0.370% 0.8176% 8/8/22 (a)(b) 9,078,000 9,064,643 
1.35% 6/1/25 970,000 989,836 
2.3% 8/15/24 740,000 786,475 
Roper Technologies, Inc.:   
2.35% 9/15/24 365,000 379,023 
3% 12/15/20 475,000 478,890 
3.125% 11/15/22 1,505,000 1,577,217 
3.65% 9/15/23 270,000 291,477 
  13,567,561 
Machinery - 0.5%   
Caterpillar Financial Services Corp.:   
3 month U.S. LIBOR + 0.200% 0.6346% 11/12/21 (a)(b) 5,000,000 4,970,717 
3 month U.S. LIBOR + 0.230% 0.9705% 3/15/21 (a)(b) 5,000,000 5,001,580 
3 month U.S. LIBOR + 0.250% 0.6095% 8/26/20 (a)(b) 5,000,000 4,998,005 
3 month U.S. LIBOR + 0.280% 1.2789% 9/7/21 (a)(b) 6,790,000 6,777,459 
3 month U.S. LIBOR + 0.300% 1.2989% 3/8/21 (a)(b) 5,000,000 4,990,906 
2.95% 2/26/22 1,040,000 1,080,868 
Otis Worldwide Corp.:   
3 month U.S. LIBOR + 0.450% 2.0876% 4/5/23 (a)(b)(c) 3,299,000 3,254,941 
2.056% 4/5/25 (c) 1,080,000 1,114,343 
Westinghouse Air Brake Co. 3 month U.S. LIBOR + 1.300% 2.0405% 9/15/21 (a)(b) 5,428,000 5,160,699 
  37,349,518 
Professional Services - 0.1%   
Equifax, Inc.:   
3 month U.S. LIBOR + 0.870% 1.2624% 8/15/21 (a)(b) 610,000 602,513 
2.3% 6/1/21 975,000 984,174 
3.6% 8/15/21 570,000 585,362 
3.95% 6/15/23 1,090,000 1,159,353 
  3,331,402 
Road & Rail - 0.1%   
Avolon Holdings Funding Ltd.:   
2.875% 2/15/25 (c) 980,000 750,279 
3.625% 5/1/22 (c) 1,560,000 1,388,086 
3.95% 7/1/24 (c) 265,000 218,670 
Eastern Creation II Investment Holdings Ltd. 2.75% 9/26/20 1,380,000 1,383,105 
Penske Truck Leasing Co. LP:   
3.2% 7/15/20 (c) 1,710,000 1,710,426 
3.3% 4/1/21 (c) 1,160,000 1,175,390 
3.65% 7/29/21 (c) 385,000 391,407 
SMBC Aviation Capital Finance:   
3.55% 4/15/24 (c) 325,000 325,354 
4.125% 7/15/23 (c) 200,000 202,381 
Union Pacific Corp. 3.2% 6/8/21 1,205,000 1,236,335 
  8,781,433 
Trading Companies & Distributors - 0.1%   
Air Lease Corp.:   
2.25% 1/15/23 810,000 755,487 
2.5% 3/1/21 275,000 265,426 
3.5% 1/15/22 5,560,000 5,321,482 
GATX Corp. 3.9% 3/30/23 545,000 569,455 
  6,911,850 
Transportation Infrastructure - 0.0%   
HPHT Finance 17 Ltd. 2.75% 9/11/22 (Reg. S) 1,235,000 1,245,484 
TOTAL INDUSTRIALS  88,865,592 
INFORMATION TECHNOLOGY - 0.5%   
Electronic Equipment & Components - 0.1%   
Amphenol Corp. 2.05% 3/1/25 910,000 928,157 
Avnet, Inc. 3.75% 12/1/21 905,000 929,803 
Jabil, Inc. 5.625% 12/15/20 485,000 495,965 
Tyco Electronics Group SA 3 month U.S. LIBOR + 0.450% 1.7643% 6/5/20 (a)(b) 5,261,000 5,260,692 
  7,614,617 
IT Services - 0.1%   
Fiserv, Inc. 2.75% 7/1/24 1,820,000 1,930,383 
Global Payments, Inc. 2.65% 2/15/25 800,000 840,306 
IBM Corp.:   
2.5% 1/27/22 460,000 476,161 
2.85% 5/13/22 725,000 757,707 
2.875% 11/9/22 125,000 132,273 
PayPal Holdings, Inc. 1.35% 6/1/23 3,824,000 3,884,613 
The Western Union Co.:   
2.85% 1/10/25 905,000 933,914 
3.6% 3/15/22 735,000 765,192 
  9,720,549 
Semiconductors & Semiconductor Equipment - 0.2%   
Analog Devices, Inc. 2.95% 4/1/25 295,000 314,288 
Broadcom Corp./Broadcom Cayman LP 2.2% 1/15/21 225,000 226,145 
Microchip Technology, Inc.:   
2.67% 9/1/23 (c) 1,110,000 1,115,308 
3.922% 6/1/21 2,185,000 2,221,100 
Micron Technology, Inc.:   
2.497% 4/24/23 2,585,000 2,646,596 
4.64% 2/6/24 340,000 373,621 
NXP BV/NXP Funding LLC:   
2.7% 5/1/25 (c) 205,000 211,418 
3.875% 9/1/22 (c) 690,000 723,229 
4.125% 6/1/21 (c) 795,000 818,035 
4.625% 6/1/23 (c) 1,175,000 1,266,663 
Texas Instruments, Inc.:   
1.375% 3/12/25 545,000 560,313 
1.85% 5/15/22 1,035,000 1,062,002 
  11,538,718 
Software - 0.0%   
Oracle Corp. 2.5% 4/1/25 1,300,000 1,381,766 
Technology Hardware, Storage & Peripherals - 0.1%   
Apple, Inc.:   
0.75% 5/11/23 6,265,000 6,331,558 
2.4% 5/3/23 1,025,000 1,083,395 
  7,414,953 
TOTAL INFORMATION TECHNOLOGY  37,670,603 
MATERIALS - 0.2%   
Chemicals - 0.2%   
CNAC HK Finbridge Co. Ltd.:   
3% 7/19/20 (Reg. S) 825,000 826,031 
4.125% 3/14/21 (Reg. S) 765,000 775,649 
DuPont de Nemours, Inc. 3.766% 11/15/20 1,105,000 1,120,704 
International Flavors & Fragrances, Inc. 3.4% 9/25/20 6,415,000 6,438,481 
LyondellBasell Industries NV 6% 11/15/21 1,755,000 1,851,108 
Syngenta Finance NV 3.933% 4/23/21 (c) 735,000 736,626 
  11,748,599 
Construction Materials - 0.0%   
Boral Finance Pty Ltd. 3% 11/1/22 (c) 135,000 134,512 
Vulcan Materials Co.:   
3 month U.S. LIBOR + 0.600% 1.3405% 6/15/20 (a)(b) 790,000 789,564 
3 month U.S. LIBOR + 0.650% 2.2304% 3/1/21 (a)(b) 1,620,000 1,603,728 
  2,527,804 
Metals & Mining - 0.0%   
Anglo American Capital PLC:   
3.75% 4/10/22 (c) 400,000 408,196 
4.125% 9/27/22 (c) 624,000 636,080 
Nucor Corp. 2% 6/1/25 350,000 356,276 
POSCO 2.375% 1/17/23 (c) 1,870,000 1,885,464 
  3,286,016 
TOTAL MATERIALS  17,562,419 
REAL ESTATE - 0.1%   
Equity Real Estate Investment Trusts (REITs) - 0.1%   
American Campus Communities Operating Partnership LP 3.75% 4/15/23 910,000 913,486 
Crown Castle International Corp.:   
2.25% 9/1/21 1,195,000 1,212,286 
3.4% 2/15/21 860,000 873,501 
Highwoods/Forsyth LP 3.625% 1/15/23 1,620,000 1,667,469 
Simon Property Group LP:   
2.625% 6/15/22 1,150,000 1,146,964 
3.375% 10/1/24 1,175,000 1,199,407 
Ventas Realty LP 3.1% 1/15/23 180,000 178,526 
  7,191,639 
Real Estate Management & Development - 0.0%   
Essex Portfolio LP 3.625% 8/15/22 55,000 56,553 
Ventas Realty LP/Ventas Capital Corp. 3.25% 8/15/22 345,000 348,021 
WEA Finance LLC/Westfield UK & Europe Finance PLC 3.25% 10/5/20 (c) 235,000 235,338 
  639,912 
TOTAL REAL ESTATE  7,831,551 
UTILITIES - 1.1%   
Electric Utilities - 0.5%   
American Electric Power Co., Inc. 3.65% 12/1/21 180,000 186,622 
Duke Energy Corp.:   
3 month U.S. LIBOR + 0.500% 0.924% 5/14/21 (a)(b)(c) 7,000,000 6,992,305 
3.55% 9/15/21 330,000 339,340 
Edison International 3.125% 11/15/22 650,000 669,145 
ENEL Finance International NV:   
2.875% 5/25/22 (c) 1,660,000 1,703,797 
4.25% 9/14/23 (c) 780,000 841,452 
Exelon Corp. 2.85% 6/15/20 5,000,000 5,002,788 
FirstEnergy Corp. 2.85% 7/15/22 885,000 913,107 
Israel Electric Corp. Ltd. 5% 11/12/24 (Reg. S) (c) 1,365,000 1,508,707 
NextEra Energy Capital Holdings, Inc.:   
3 month U.S. LIBOR + 0.550% 0.9213% 8/28/21 (a)(b) 1,285,000 1,285,079 
2.403% 9/1/21 11,475,000 11,740,493 
NRG Energy, Inc. 3.75% 6/15/24 (c) 535,000 554,750 
PNM Resources, Inc. 3.25% 3/9/21 995,000 1,004,963 
Sinosing Services Pte Ltd. 2.25% 2/20/25 (Reg. S) 2,200,000 2,200,000 
Southern Co. 2.35% 7/1/21 280,000 284,802 
Vistra Operations Co. LLC 3.55% 7/15/24 (c) 3,025,000 3,092,816 
  38,320,166 
Gas Utilities - 0.0%   
CenterPoint Energy Resources Corp. 4.5% 1/15/21 590,000 597,876 
Independent Power and Renewable Electricity Producers - 0.0%   
The AES Corp. 3.3% 7/15/25 (c) 820,000 832,530 
Multi-Utilities - 0.6%   
CenterPoint Energy, Inc. 3.6% 11/1/21 455,000 471,825 
Consolidated Edison Co. of New York, Inc. 3 month U.S. LIBOR + 0.400% 1.6156% 6/25/21 (a)(b) 11,500,000 11,488,040 
Dominion Energy, Inc.:   
3 month U.S. LIBOR + 0.400% 1.9804% 12/1/20 (a)(b)(c) 10,000,000 9,972,740 
2.579% 7/1/20 (a) 2,335,000 2,337,471 
2.715% 8/15/21 3,153,000 3,205,825 
San Diego Gas & Electric Co. 1.914% 2/1/22 137,146 137,406 
Sempra Energy:   
3 month U.S. LIBOR + 0.500% 1.7189% 1/15/21 (a)(b) 17,575,000 17,493,893 
2.85% 11/15/20 1,830,000 1,839,918 
2.875% 10/1/22 535,000 552,198 
  47,499,316 
TOTAL UTILITIES  87,249,888 
TOTAL NONCONVERTIBLE BONDS   
(Cost $1,899,324,954)  1,904,051,627 
U.S. Treasury Obligations - 3.6%   
U.S. Treasury Notes:   
0.125% 4/30/22 $9,120,000 $9,115,012 
0.125% 5/15/23 113,726,000 113,490,552 
0.375% 3/31/22 (d) 109,000,000 109,408,750 
1.75% 6/15/22 810,000 836,135 
2.125% 5/15/22 14,690,000 15,248,909 
2.25% 4/15/22 (d) 23,070,000 23,961,259 
2.375% 3/15/22 4,290,000 4,458,584 
2.375% 8/15/24 10,000,000 10,882,422 
TOTAL U.S. TREASURY OBLIGATIONS   
(Cost $285,541,234)  287,401,623 
U.S. Government Agency - Mortgage Securities - 0.4%   
Fannie Mae - 0.3%   
12 month U.S. LIBOR + 1.550% 3.692% 12/1/35 (a)(b) 6,228 6,481 
12 month U.S. LIBOR + 1.620% 4.27% 7/1/35 (a)(b) 5,659 5,870 
12 month U.S. LIBOR + 1.650% 4.319% 8/1/37 (a)(b) 2,279 2,362 
12 month U.S. LIBOR + 1.690% 4.295% 5/1/38 (a)(b) 22,993 23,962 
12 month U.S. LIBOR + 1.780% 3.698% 5/1/38 (a)(b) 12,613 13,146 
12 month U.S. LIBOR + 1.830% 3.609% 4/1/38 (a)(b) 18,150 18,993 
12 month U.S. LIBOR + 1.850% 4.522% 8/1/38 (a)(b) 9,155 9,504 
12 month U.S. LIBOR + 1.860% 3.661% 5/1/38 (a)(b) 17,513 18,302 
12 month U.S. LIBOR + 2.040% 4.119% 12/1/36 (a)(b) 3,797 3,979 
6 month U.S. LIBOR + 1.360% 3.069% 10/1/33 (a)(b) 35,198 36,261 
3% 9/1/28 to 2/1/35 2,749,041 2,938,411 
3.5% 11/1/26 to 2/1/48 548,251 580,593 
4% 1/1/47 to 1/1/50 2,389,797 2,555,569 
4.5% 11/1/20 to 1/1/50 6,383,221 6,938,765 
5% 12/1/20 to 7/1/45 1,687,499 1,916,175 
5.5% 3/1/21 to 5/1/40 2,138,442 2,466,905 
6% to 6% 1/1/22 to 2/1/49 1,989,711 2,350,149 
6.5% 7/1/32 to 12/1/32 91,191 105,190 
TOTAL FANNIE MAE  19,990,617 
Freddie Mac - 0.0%   
12 month U.S. LIBOR + 1.590% 3.841% 9/1/35 (a)(b) 3,601 3,735 
12 month U.S. LIBOR + 1.620% 4.314% 7/1/38 (a)(b) 23,619 24,378 
12 month U.S. LIBOR + 1.620% 4.5% 6/1/38 (a)(b) 28,875 30,012 
12 month U.S. LIBOR + 1.720% 4.102% 5/1/38 (a)(b) 9,131 9,507 
12 month U.S. LIBOR + 1.720% 4.48% 7/1/35 (a)(b) 10,466 10,854 
12 month U.S. LIBOR + 1.730% 3.733% 2/1/37 (a)(b) 4,894 5,136 
12 month U.S. LIBOR + 1.730% 4.411% 10/1/36 (a)(b) 23,988 24,926 
12 month U.S. LIBOR + 1.740% 3.743% 2/1/37 (a)(b) 6,184 6,494 
12 month U.S. LIBOR + 1.770% 4.65% 5/1/37 (a)(b) 7,334 7,697 
12 month U.S. LIBOR + 2.020% 4.048% 11/1/36 (a)(b) 2,994 3,135 
12 month U.S. LIBOR + 2.050% 4.118% 12/1/36 (a)(b) 6,214 6,516 
12 month U.S. LIBOR + 2.080% 4.082% 2/1/38 (a)(b) 18,071 19,022 
12 month U.S. LIBOR + 2.190% 4.19% 2/1/37 (a)(b) 8,474 8,904 
U.S. TREASURY 1 YEAR INDEX + 2.340% 4.097% 11/1/34 (a)(b) 14,252 14,862 
3% 11/1/34 452,674 486,635 
3.5% 11/1/49 to 1/1/50 764,524 806,307 
4% 12/1/49 327,564 354,733 
4.5% 5/1/50 484,560 527,995 
5% 10/1/22 to 12/1/41 728,290 818,653 
5.5% 11/1/21 to 10/1/38 23,583 24,951 
6% 7/1/21 to 1/1/38 128,441 150,174 
7% 3/1/39 180,972 212,420 
7.5% 6/1/38 188,075 219,906 
TOTAL FREDDIE MAC  3,776,952 
Ginnie Mae - 0.1%   
6% 7/15/36 233,835 271,906 
4% 2/20/48 to 4/20/50 (e) 1,152,238 1,252,836 
4.5% 9/20/40 to 3/20/50 1,829,382 1,975,470 
5% 12/20/34 to 5/20/48 2,299,863 2,549,789 
5.5% 9/15/45 to 2/20/49 2,196,206 2,434,165 
TOTAL GINNIE MAE  8,484,166 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $31,308,388)  32,251,735 
Asset-Backed Securities - 6.5%   
Allegro CLO Ltd. Series 2015-1A Class AR, 3 month U.S. LIBOR + 0.840% 1.8314% 7/25/27 (a)(b)(c) $547,421 $539,972 
Ally Auto Receivables Trust:   
Series 2017-2:   
Class C, 2.46% 9/15/22 745,000 747,150 
Class D, 2.93% 11/15/23 200,000 200,707 
Series 2019-1 Class A2, 2.85% 3/15/22 2,260,316 2,268,250 
Series 2019-2 Class A2, 2.34% 6/15/22 2,937,146 2,953,901 
Series 2019-3 Class A4, 1.96% 12/16/24 600,000 610,773 
Series 2019-4 Class A2, 1.93% 10/17/22 3,150,000 3,166,556 
Ally Master Owner Trust:   
Series 2018-1 Class A1:   
1 month U.S. LIBOR + 0.280% 0.4636% 1/17/23 (a)(b) 8,383,000 8,363,952 
2.7% 1/17/23 1,905,000 1,920,902 
Series 2018-2 Class A, 3.29% 5/15/23 2,060,000 2,099,932 
Series 2018-3 Class A, 1 month U.S. LIBOR + 0.320% 0.5036% 7/15/22 (a)(b) 5,000,000 4,992,810 
American Credit Acceptance Receivables Trust Series 2019-3 Class A, 2.44% 12/12/22 (c) 1,118,081 1,120,975 
American Express Credit Account Master Trust:   
Series 2019-1 Class A, 2.87% 10/15/24 1,749,000 1,825,202 
Series 2019-3 Class B, 2.2% 4/15/25 740,000 762,740 
AmeriCredit Automobile Receivables Trust:   
Series 2016-1 Class C, 2.89% 1/10/22 110,702 110,713 
Series 2016-3 Class D, 2.71% 9/8/22 810,000 818,622 
Series 2016-4 Class D, 2.74% 12/8/22 2,320,000 2,351,080 
Series 2017-1:   
Class C, 2.71% 8/18/22 240,000 242,391 
Class D, 3.13% 1/18/23 1,330,000 1,347,868 
Series 2017-3:   
Class B, 2.24% 6/19/23 395,000 396,818 
Class C, 2.69% 6/19/23 420,000 426,539 
Class D, 3.18% 7/18/23 1,355,000 1,370,744 
Series 2018-1 Class D, 3.82% 3/18/24 1,645,000 1,688,848 
Series 2018-3 Class A3, 3.38% 7/18/23 3,532,000 3,591,634 
Series 2019-3:   
Class A2A, 2.17% 1/18/23 2,655,990 2,667,781 
Class B, 2.13% 7/18/25 985,000 989,537 
Series 2020-1:   
Class C, 1.59% 10/20/25 705,000 676,626 
Class D, 1.8% 12/18/25 690,000 645,546 
Applebee's/IHOP Funding LLC Series 2019-1A Class A2I, 4.194% 6/7/49 (c) 1,360,000 1,109,529 
ARI Fleet Lease Trust:   
Series 2017-A Class A2, 1.91% 4/15/26 (c) 10,098 10,099 
Series 2018-A Class A2, 2.55% 10/15/26 (c) 244,931 245,414 
Series 2020-A Class B, 2.06% 11/15/28 (c) 770,000 735,017 
Ascentium Equipment Receivables LLC Series 2017-1A Class A3, 2.29% 6/10/21 (c) 84,602 84,749 
Avis Budget Rental Car Funding (AESOP) LLC:   
Series 2015-2A Class A, 2.63% 12/20/21 (c) 890,000 874,143 
Series 2016-1A Class A, 2.99% 6/20/22 (c) 610,000 603,180 
Series 2017-1A Class B, 3.41% 9/20/23 (c) 540,000 456,553 
Series 2017-2A Class A, 2.97% 3/20/24 (c) 905,000 899,356 
Series 2018-2A Class C, 4.95% 3/20/25 (c) 430,000 337,723 
Series 2019-1A Class B, 3.7% 3/20/23 (c) 245,000 209,352 
Series 2019-2A Class A, 3.35% 9/22/25 (c) 650,000 639,741 
Series 2020-1A Class A, 2.33% 8/20/26 (c) 540,000 504,082 
Babson CLO Ltd. Series 2013-IA Class AR, 3 month U.S. LIBOR + 0.800% 1.9353% 1/20/28 (a)(b)(c) 1,441,923 1,422,304 
Bank of The West Auto Trust Series 2019-1 Class A2, 2.4% 10/17/22 (c) 851,699 856,673 
Bayview Opportunity Master Fund Trust:   
Series 2017-RT3 Class A, 3.5% 1/28/58 (a)(c) 1,059,106 1,067,626 
Series 2017-SPL4 Class A, 3.5% 1/28/55 (c) 314,613 318,645 
Bayview Opportunity Master Funding Trust Series 2017-SPL5 Class A, 3.5% 6/28/57 (c) 907,213 910,045 
BlueMountain CLO Ltd. Series 2015-2A Class A1R, 3 month U.S. LIBOR + 0.930% 2.0653% 7/18/27 (a)(b)(c) 1,584,694 1,549,621 
BMW Floorplan Master Owner Trust Series 2018-1 Class A2, 1 month U.S. LIBOR + 0.320% 0.5036% 5/15/23 (a)(b)(c) 6,174,000 6,111,552 
BMW Vehicle Lease Trust Series 2019-1 Class A2, 2.79% 3/22/21 1,795,090 1,800,618 
BRE Grand Islander Timeshare Issuer Series 2019-A Class A, 3.28% 9/26/33 (c) 302,768 292,585 
Canadian Pacer Auto Receivables Trust:   
Series 2018-2A Class A2B, 1 month U.S. LIBOR + 0.180% 0.3524% 6/21/21 (a)(b)(c) 543,214 543,032 
Series 2019-1A Class A2, 2.78% 3/21/22 (c) 2,100,299 2,111,442 
Capital Auto Receivables Asset Trust:   
Series 2017-1:   
Class B, 2.43% 5/20/22 (c) 145,000 145,594 
Class C, 2.7% 9/20/22 (c) 235,000 233,568 
Series 2018-1 Class B, 3.09% 8/22/22 (c) 760,000 776,156 
Series 2018-2:   
Class B, 3.48% 10/20/23 (c) 370,000 375,740 
Class C, 3.69% 12/20/23 (c) 460,000 468,292 
Capital One Multi-Asset Execution Trust Series 2016-16 Class A2, 1 month U.S. LIBOR + 0.630% 0.8136% 2/15/24 (a)(b) 13,275,000 13,322,773 
Capital One Prime Auto Receivables Trust Series 2019-1 Class A2, 2.58% 4/15/22 5,016,937 5,051,108 
Carlyle Global Market Strategies Series 2015-3A Class A1R, 3 month U.S. LIBOR + 1.000% 1.8871% 7/28/28 (a)(b)(c) 1,615,000 1,575,484 
CarMax Auto Owner Trust:   
Series 2017-4 Class C, 2.7% 10/16/23 205,000 206,217 
Series 2018-3 Class A2A, 2.88% 10/15/21 221,043 221,239 
Series 2018-4 Class A2B, 1 month U.S. LIBOR + 0.200% 0.3836% 2/15/22 (a)(b) 1,253,990 1,253,990 
Series 2019-1 Class A2A, 3.02% 7/15/22 1,810,028 1,821,381 
Series 2019-2:   
Class A2A, 2.69% 7/15/22 1,724,824 1,736,943 
Class B, 3.01% 12/16/24 1,935,000 1,970,846 
Series 2019-4 Class A2A, 2.01% 3/15/23 1,291,000 1,300,303 
Series 2020-1 Class A2, 1.87% 4/17/23 3,542,000 3,577,540 
Carvana Auto Receivables Trust Series 2019-4A Class A2, 2.2% 7/15/22 (c) 449,000 450,156 
Chesapeake Funding II LLC:   
Series 2017-2A Class A2, 1 month U.S. LIBOR + 0.450% 0.6336% 5/15/29 (a)(b)(c) 2,037,885 2,029,136 
Series 2017-4A Class A2, 1 month U.S. LIBOR + 0.340% 0.5236% 11/15/29 (a)(b)(c) 1,220,776 1,215,900 
Series 2018-3A Class A2, 1 month U.S. LIBOR + 0.480% 0.6636% 1/15/31 (a)(b)(c) 1,883,954 1,845,908 
Series 2019-1A Class A1, 2.94% 4/15/31 (c) 2,763,682 2,785,796 
CNH Equipment Trust:   
Series 2018-A Class B, 3.47% 10/15/25 380,000 388,264 
Series 2019-A Class A2, 2.96% 5/16/22 1,613,404 1,621,928 
Series 2019-B Class A2, 2.55% 9/15/22 2,897,847 2,916,553 
Series 2019-C Class A2, 1.99% 3/15/23 1,322,000 1,329,243 
Series 2020-A Class A4, 1.51% 4/15/27 590,000 591,215 
Cole Park CLO Ltd. Series 2015-1A Class AR, 3 month U.S. LIBOR + 1.050% 2.1853% 10/20/28 (a)(b)(c) 1,610,000 1,581,593 
Daimler Trucks Retail Trust:   
Series 2018-1 Class A4, 3.03% 11/15/24 (c) 420,000 422,562 
Series 2020-1 Class A4, 1.37% 6/15/27 1,820,000 1,802,473 
Dell Equipment Finance Trust:   
Series 2018-2 Class A2 3.16% 2/22/21 (c) 912,969 915,301 
Series 2019-1 Class A2, 2.78% 8/23/21 (c) 2,476,304 2,489,175 
Series 2019-2:   
Class A2, 1.95% 12/22/21 (c) 4,210,000 4,224,755 
Class A3, 1.91% 10/22/24 (c) 1,714,000 1,729,652 
Discover Card Master Trust:   
Series 2018-A5 Class A5, 3.32% 3/15/24 5,000,000 5,183,439 
Series 2019-A2 Class A, 1 month U.S. LIBOR + 0.270% 0.4536% 12/15/23 (a)(b) 10,000,000 10,011,702 
DLL Securitization Trust:   
Series 2019-MA2 Class A2, 2.27% 5/20/22 (c) 2,683,194 2,687,801 
Series 2019-MT3:   
Class A2, 2.13% 1/20/22 (c) 4,210,000 4,231,378 
Class A3, 2.08% 2/21/23 (c) 1,639,000 1,645,392 
Drive Auto Receivables Trust Series 2019-4 Class A2A, 2.32% 6/15/22 1,220,623 1,223,448 
DT Auto Owner Trust:   
Series 2019-3A Class A, 2.55% 8/15/22 (c) 1,544,133 1,549,779 
Series 2019-4A Class A, 2.17% 5/15/23 (c) 2,518,112 2,529,440 
Elara HGV Timeshare Issuer LLC:   
Series 2014-A Class A, 2.53% 2/25/27 (c) 47,022 46,414 
Series 2017-A Class A, 2.69% 3/25/30 (c) 183,136 175,650 
Ellington Financial Mortgage Trust Series 2019-2 Class A1, 2.739% 11/25/59 (c) 603,637 594,699 
Enterprise Fleet Financing LLC:   
Series 2017-3 Class A2, 2.13% 5/22/23 (c) 247,333 247,804 
Series 2018-1 Class A2, 2.87% 10/20/23 (c) 209,481 210,825 
Series 2018-2 Class A2, 3.14% 2/20/24 (c) 458,228 462,676 
Series 2019-1 Class A2, 2.98% 10/20/24 (c) 2,684,233 2,721,012 
Series 2019-3 Class A2, 2.06% 5/20/25 (c) 855,000 850,095 
Series 2020-1 Class A2, 1.78% 12/22/25 (c) 7,440,000 7,354,966 
Fifth Third Auto Trust Series 2019-1 Class A2A, 2.66% 5/16/22 2,346,613 2,359,599 
Ford Credit Auto Lease Trust:   
Series 2019-B Class A2A, 2.28% 2/15/22 2,853,118 2,869,359 
Series 2020-A Class A2, 1.8% 7/15/22 7,000,000 7,050,572 
Ford Credit Floorplan Master Owner Trust Series 2017-2:   
Class A2, 1 month U.S. LIBOR + 0.350% 0.5336% 9/15/22 (a)(b) 10,000,000 9,971,919 
Class B, 2.34% 9/15/22 1,345,000 1,329,090 
GM Financial Automobile Leasing Trust:   
Series 2017-3 Class C, 2.73% 9/20/21 32,105 32,137 
Series 2018-2 Class C, 3.5% 4/20/22 470,000 473,576 
Series 2019-1:   
Class A2A, 2.91% 4/20/21 1,587,624 1,591,533 
Class C, 3.56% 12/20/22 835,000 849,549 
Series 2020-1 Class A2A, 1.67% 4/20/22 11,633,000 11,682,828 
3.11% 12/20/21 435,000 437,357 
GM Financial Consumer Automobile Receivables Trust:   
Series 2020-1 Class A2, 1.83% 1/17/23 4,419,000 4,454,562 
Series 2020-2 Class A3, 1.49% 12/16/24 335,000 341,752 
GM Financial Securitized Auto Receivables Trust Series 2017-3A Class C, 2.52% 3/16/23 (c) 245,000 246,873 
GM Financial Securitized Term Auto Receivables Trust:   
Series 2018-4 Class A2, 2.93% 11/16/21 90,507 90,611 
Series 2019-1 Class A2, 2.99% 3/16/22 469,044 469,940 
GMF Floorplan Owner Revolving Trust:   
Series 2017-2 Class A2, 1 month U.S. LIBOR + 0.430% 0.6136% 7/15/22 (a)(b)(c) 10,000,000 9,994,465 
Series 2019-1 Class A, 2.7% 4/15/24 (c) 710,000 718,988 
Golub Capital Partners CLO 39B LLC Series 2018-39A Class A1, 3 month U.S. LIBOR + 1.150% 2.2853% 10/20/28 (a)(b)(c) 930,000 914,038 
GreatAmerica Leasing Receivables Funding LLC 2.6% 6/15/21 (c) 175,333 176,098 
Halcyon Loan Advisors Funding LLC Series 2017-3A Class B1R, 3 month U.S. LIBOR + 1.700% 2.7976% 10/22/25 (a)(b)(c) 745,000 731,293 
Hardee's Funding LLC / Carl's Jr. Funding LLC Series 2018-1A Class AI, 4.25% 6/20/48 (c) 928,994 910,888 
Hilton Grand Vacations Trust:   
Series 2014-AA Class A, 1.77% 11/25/26 (c) 74,576 74,019 
Series 2017-AA:   
Class A, 2.66% 12/26/28 (c) 94,394 91,130 
Class B, 2.96% 12/26/28 (a)(c) 64,780 59,489 
Honda Auto Receivables Owner Trust Series 2019-2 Class A2, 2.57% 12/21/21 3,285,898 3,315,241 
Honda Automobile Receivables Series 2020-1 Class A2, 1.63% 10/21/22 11,000,000 11,104,663 
HPEFS Equipment Trust Series 2020-1A Class A2, 1.73% 2/20/30 (c) 4,012,000 4,008,258 
Hyundai Auto Lease Securitization Trust:   
Series 2019-A Class A2, 2.92% 7/15/21 (c) 3,482,674 3,500,742 
Series 2020-A:   
Class A2, 1.9% 5/16/22 (c) 5,500,000 5,552,126 
Class A3, 1.95% 7/17/23 (c) 2,698,000 2,722,813 
Hyundai Auto Receivables Trust:   
Series 2017-A Class B, 2.38% 4/17/23 340,000 342,980 
Series 2019-A:   
Class A2, 2.67% 12/15/21 2,522,501 2,535,152 
Class B, 2.94% 5/15/25 635,000 657,164 
Series 2019-B:   
Class A2, 1.93% 7/15/22 4,998,313 5,032,714 
Class A3, 1.94% 2/15/24 3,090,000 3,155,307 
Series 2020-A Class A3, 1.41% 11/15/24 735,000 749,384 
John Deere Owner Trust:   
Series 2019-A Class A2, 2.85% 12/15/21 1,886,119 1,894,278 
Series 2019-B Class A2, 2.28% 5/16/22 2,942,885 2,956,746 
Series 2020-A Class A2, 1.01% 1/17/23 2,740,000 2,747,066 
KKR Finanical CLO Ltd. Series 13 Class A1R, 3 month U.S. LIBOR + 0.800% 1.9761% 1/16/28 (a)(b)(c) 1,588,620 1,558,311 
Kubota Credit Owner Trust:   
Series 2019-1A Class A3, 2.46% 10/16/23 (c) 2,870,000 2,916,797 
Series 2020-1A Class A3, 1.96% 3/15/24 (c) 380,000 384,250 
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(c) 1,768,000 1,779,041 
Madison Park Funding Ltd. Series 2015-18A Class A1R, 3 month U.S. LIBOR + 1.190% 2.299% 10/21/30 (a)(b)(c) 1,165,000 1,140,653 
Magnetite CLO Ltd. Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 1.9353% 1/18/28 (a)(b)(c) 2,032,004 1,998,841 
Mercedes-Benz Auto Lease Trust:   
Series 2019-A:   
Class A2, 3.01% 2/16/21 758,922 759,534 
Class A3, 3.1% 11/15/21 2,592,000 2,619,065 
Series 2019-B Class A3, 2% 10/17/22 2,416,000 2,435,583 
Series 2020-A Class A2, 1.82% 3/15/22 7,000,000 7,035,022 
Mercedes-Benz Auto Receivables Trust Series 2019-1 Class A2A, 2.04% 6/15/22 8,913,621 8,972,622 
MMAF Equipment Finance LLC:   
Series 2017-AA Class A3, 2.04% 2/16/22 (c) 89,771 89,877 
Series 2019-B Class A2, 2.07% 10/12/22 (c) 2,712,000 2,728,905 
MVW Owner Trust:   
Series 2013-1A Class A, 2.15% 4/22/30 (c) 23,048 23,015 
Series 2014-1A Class A, 2.25% 9/22/31 (c) 91,187 89,663 
Series 2015-1A Class A, 2.52% 12/20/32 (c) 219,121 214,327 
Series 2017-1A:   
Class A, 2.42% 12/20/34 (c) 645,261 638,318 
Class B, 2.75% 12/20/34 (c) 37,956 36,611 
Class C, 2.99% 12/20/34 (c) 91,096 85,932 
Navient Private Education Loan Trust:   
Series 2020-A Class A2A, 2.46% 11/15/68 (c) 840,000 835,482 
Series 2020-CA Class A2A, 2.15% 11/15/68 (c) 2,610,000 2,614,196 
Navient Private Education Refi Loan Trust:   
Series 2018-A Class A1, 2.53% 2/18/42 (c) 18,437 18,444 
Series 2019-A Class A2A, 3.42% 1/15/43 (c) 3,110,000 3,194,470 
Series 2019-GA Class A, 2.4% 10/15/68 (c) 2,035,824 2,063,286 
Navient Student Loan Trust:   
Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.7683% 7/26/66 (a)(b)(c) 6,247,933 6,194,180 
Series 2017-A Class A2A, 2.88% 12/16/58 (c) 1,734,364 1,773,988 
Series 2018-4A Class A1, 1 month U.S. LIBOR + 0.250% 0.4183% 6/27/67 (a)(b)(c) 1,328,680 1,326,654 
Series 2019-2A Class A1, 1 month U.S. LIBOR + 0.270% 0.4383% 2/27/68 (a)(b)(c) 396,806 394,666 
Series 2019-CA Class A1, 2.82% 2/15/68 (c) 598,285 601,296 
Series 2019-EA:   
Class A1, 2.39% 5/15/68 (c) 1,004,264 1,007,169 
Class A2A, 2.64% 5/15/68 (c) 1,560,000 1,571,028 
Navistar Financial Dealer Note Master Trust Series 2018-1 Class A, 1 month U.S. LIBOR + 0.630% 0.7983% 9/25/23 (a)(b)(c) 4,181,000 4,112,318 
Nelnet Student Loan Trust:   
Series 2005-4 Class A4, 3 month U.S. LIBOR + 0.180% 1.3751% 3/22/32 (a)(b) 741,158 684,699 
Series 2020-1A Class A, 1 month U.S. LIBOR + 0.740% 0.9083% 3/26/68 (a)(b)(c) 392,707 384,989 
Neuberger Berman CLO Ltd. Series 2017-16SA Class A, 3 month U.S. LIBOR + 0.850% 2.0689% 1/15/28 (a)(b)(c) 897,469 884,442 
Neuberger Berman CLO XIX Ltd. Series 2015-19A Class A1R2, 3 month U.S. LIBOR + 0.800% 2.0189% 7/15/27 (a)(b)(c) 1,560,938 1,520,093 
New Residential Mortgage Loan Trust Series 2019-NQM3:   
Class A1, 2.8018% 7/25/49 (c) 1,054,014 1,059,563 
Class A3, 3.0864% 7/25/49 (c) 418,020 419,998 
Nissan Auto Receivables Trust Series 2020-A Class A3, 1.38% 12/16/24 425,000 432,854 
Nissan Master Owner Trust Receivables:   
Series 2017-C Class A, 1 month U.S. LIBOR + 0.320% 0.5036% 10/17/22 (a)(b) 5,000,000 4,979,950 
Series 2019-A Class A, 1 month U.S. LIBOR + 0.560% 0.7436% 2/15/24 (a)(b) 1,350,000 1,330,532 
Series 2019-B Class A, 1 month U.S. LIBOR + 0.430% 0.6136% 11/15/23 (a)(b) 1,835,000 1,810,210 
OCP CLO Ltd.:   
Series 2014-7A Class A1RR, 3 month U.S. LIBOR + 1.120% 2.2553% 7/20/29 (a)(b)(c) 2,530,000 2,487,445 
Series 2015-10A Class A1R, 3 month U.S. LIBOR + 0.820% 1.8114% 10/26/27 (a)(b)(c) 1,049,416 1,034,598 
OZLM Ltd. Series 2014-8A Class RR, 3 month U.S. LIBOR + 1.170% 2.3049% 10/17/29 (a)(b)(c) 1,010,021 989,173 
Santander Drive Auto Receivables Trust:   
Series 2016-1 Class D, 4.02% 4/15/22 398,034 399,281 
Series 2017-1 Class C, 2.58% 5/16/22 11,207 11,215 
Series 2018-1 Class C, 2.96% 3/15/24 229,501 231,001 
Series 2018-2 Class C, 3.35% 7/17/23 400,000 402,909 
Series 2018-4 Class B, 3.27% 1/17/23 336,371 337,492 
Series 2019-1:   
Class B, 3.21% 9/15/23 375,000 378,659 
Class C, 3.42% 4/15/25 2,620,000 2,644,282 
Series 2019-2 Class B, 2.79% 1/16/24 535,000 541,204 
Santander Retail Auto Lease Trust:   
Series 2017-A Class C, 2.96% 11/21/22 (c) 325,000 325,744 
Series 2019-A:   
Class A2, 2.72% 1/20/22 (c) 2,150,100 2,165,732 
Class B, 3.01% 5/22/23 (c) 700,000 705,100 
Series 2019-B:   
Class A2A, 2.29% 4/20/22 (c) 4,198,075 4,228,393 
Class C, 2.77% 8/21/23 (c) 690,000 670,511 
Series 2019-C:   
Class A2A, 1.89% 9/20/22 (c) 4,794,609 4,822,335 
Class A3, 1.86% 2/21/23 (c) 2,610,000 2,631,567 
Class B, 2.17% 11/20/23 (c) 495,000 486,787 
Class C, 2.39% 11/20/23 (c) 830,000 812,515 
Class D, 2.88% 6/20/24 (c) 870,000 842,258 
Series 2020-A:   
Class A2, 1.69% 1/20/23 (c) 10,352,000 10,337,872 
Class D, 2.52% 11/20/24 (c) 720,000 711,412 
SBA Tower Trust:   
Series 2019, 2.836% 1/15/50 (c) 990,000 1,018,281 
2.877% 7/15/46 (c) 370,000 371,666 
3.168% 4/9/47 (c) 1,255,000 1,266,986 
Securitized Term Auto Receivables Trust Series 2019-1A Class A2, 2.862% 5/25/21 (c) 590,420 591,816 
SG Residential Mortgage Trust Series 2019-3 Class A2, 2.877% 9/25/59 (c) 918,904 899,525 
Sierra Receivables Funding Co. LLC:   
Series 2016-2A Class A, 2.33% 7/20/33 (c) 71,508 70,099 
Series 2019-1A Class A, 3.2% 1/20/36 (c) 307,485 302,107 
Series 2019-2A Class A, 2.59% 5/20/36 (c) 1,962,426 1,899,166 
Sierra Timeshare Receivables Funding Co. LLC:   
Series 2015-3A Class A, 2.58% 9/20/32 (c) 103,676 102,833 
Series 2017-1A Class A, 2.91% 3/20/34 (c) 69,048 67,315 
Sierra Timeshare Receivables Funding LLC Series 2019-3A Class A, 2.34% 8/20/36 (c) 478,604 461,996 
SLM Student Loan Trust:   
Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 1.2105% 12/15/27 (a)(b)(c) 2,818,068 2,795,212 
Series 2003-11 Class A6, 3 month U.S. LIBOR + 0.550% 1.2905% 12/15/25 (a)(b)(c) 1,516,678 1,502,721 
Series 2007-7 Class A4, 3 month U.S. LIBOR + 0.330% 1.3214% 1/25/22 (a)(b) 597,895 561,649 
Series 2008-1 Class A4, 3 month U.S. LIBOR + 0.650% 1.6414% 1/25/22 (a)(b) 1,385,514 1,271,681 
Series 2008-5 Class A4, 3 month U.S. LIBOR + 1.700% 2.6914% 7/25/23 (a)(b) 177,836 173,180 
Series 2008-9 Class A, 3 month U.S. LIBOR + 1.500% 2.4914% 4/25/23 (a)(b) 129,130 126,200 
Series 2010-1 Class A, 1 month U.S. LIBOR + 0.400% 0.5683% 3/25/25 (a)(b) 850,732 781,551 
SMB Private Education Loan Trust:   
Series 2014-A Class A3, 1 month U.S. LIBOR + 1.500% 1.6836% 4/15/32 (a)(b)(c) 1,400,000 1,407,794 
Series 2015-A Class A2B, 1 month U.S. LIBOR + 1.000% 1.1836% 6/15/27 (a)(b)(c) 209,086 207,510 
Series 2016-C Class A2B, 1 month U.S. LIBOR + 1.100% 1.2836% 9/15/34 (a)(b)(c) 993,391 978,396 
Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.720% 0.9036% 1/15/37 (a)(b)(c) 1,769,100 1,715,808 
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (c) 2,648,176 2,644,151 
Synchrony Card Issuance Trust:   
Series 2018-A1 Class A, 3.38% 9/15/24 1,730,000 1,773,405 
Series 2019-A2 Class A, 2.34% 6/15/25 1,890,000 1,909,369 
Synchrony Credit Card Master Note Trust:   
Series 2015-4 Class B, 2.62% 9/15/23 435,000 434,965 
Series 2018-1 Class C, 3.36% 3/15/24 955,000 958,310 
Tesla Auto Lease Trust Series 2019-A Class A2, 2.13% 4/20/22 (c) 7,000,000 7,046,857 
Towd Point Mortgage Trust:   
Series 2017-1 Class A1, 2.75% 10/25/56 (a)(c) 570,190 578,402 
Series 2017-4 Class A1, 2.75% 6/25/57 (c) 284,308 290,114 
Series 2017-6 Class A1, 2.75% 10/25/57 (c) 1,564,830 1,605,130 
Series 2018-1 Class A1, 3% 1/25/58 (c) 315,801 324,699 
Series 2018-2 Class A1, 3.25% 3/25/58 (c) 1,557,368 1,607,457 
Series 2018-5 Class A1A, 3.25% 7/25/58 (a)(c) 1,462,459 1,508,928 
Series 2019-1 Class A1, 3.75% 3/25/58 (c) 1,019,315 1,081,110 
Toyota Auto Receivables Series 2018-D Class A3, 3.18% 3/15/23 7,000,000 7,188,148 
Toyota Auto Receivables Owner Trust Series 2018-C Class A2B, 1 month U.S. LIBOR + 0.120% 0.3036% 8/16/21 (a)(b) 1,186,861 1,187,103 
Verizon Owner Trust:   
Series 2017-1A Class C, 2.65% 9/20/21 (c) 315,000 315,071 
Series 2017-3A:   
Class A1A, 2.06% 4/20/22 (c) 1,517,025 1,522,638 
Class C, 2.53% 4/20/22 (c) 700,000 702,955 
Series 2018-1A:   
Class A1B, 1 month U.S. LIBOR + 0.260% 0.4308% 9/20/22 (a)(b)(c) 4,937,636 4,938,965 
Class C, 3.2% 9/20/22 (c) 970,000 984,813 
Series 2018-A:   
Class A1A, 3.23% 4/20/23 5,132,000 5,253,915 
Class A1B, 1 month U.S. LIBOR + 0.240% 0.4108% 4/20/23 (a)(b) 4,000,000 3,998,894 
Series 2019-B Class A1A, 2.33% 12/20/23 955,000 980,220 
Series 2020-A Class A1A, 1.85% 7/22/24 4,951,000 5,080,935 
Volkswagen Auto Lease Trust Series 2019-A Class A2A, 2% 3/21/22 8,140,000 8,178,375 
Volkswagen Auto Loan Enhanced Trust:   
Series 2018-1 Class A2B, 1 month U.S. LIBOR + 0.180% 0.3508% 7/20/21 (a)(b) 320,430 320,394 
Series 2020-1 Class A4, 1.26% 8/20/26 545,000 548,440 
Volvo Financial Equipment LLC:   
Series 2019-1A Class A2, 2.9% 11/15/21 (c) 1,834,220 1,842,876 
Series 2019-2A Class A3, 2.04% 11/15/23 (c) 2,435,000 2,447,700 
Volvo Financial Equipment Master Owner Trust:   
Series 2017-A Class A, 1 month U.S. LIBOR + 0.500% 0.6836% 11/15/22 (a)(b)(c) 7,547,000 7,524,607 
Series 2018-A Class A, 1 month U.S. LIBOR + 0.520% 0.7036% 7/17/23 (a)(b)(c) 5,080,000 5,031,822 
World Omni Auto Receivables Trust:   
Series 2018-D Class A2B, 1 month U.S. LIBOR + 0.140% 0.3236% 4/15/22 (a)(b) 1,099,098 1,098,806 
Series 2019-B Class A2, 2.63% 6/15/22 3,994,167 4,019,144 
Series 2019-C Class C, 2.4% 6/15/26 895,000 904,701 
Series 2020-A:   
Class A2A, 1.02% 6/15/23 4,162,000 4,175,232 
Class C, 1.64% 8/17/26 480,000 469,103 
World Omni Automobile Lease Securitization Trust:   
Series 2018-A Class B, 3.06% 5/15/23 280,000 279,953 
Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.180% 0.3636% 6/15/21 (a)(b) 1,327,323 1,326,304 
Series 2019-A Class A3, 2.94% 5/16/22 2,284,000 2,320,354 
Series 2020-A Class A2, 1.71% 11/15/22 10,565,000 10,613,298 
World Omni Select Auto Trust Series 2019-A Class A2A, 2.06% 8/15/23 4,342,714 4,366,152 
TOTAL ASSET-BACKED SECURITIES   
(Cost $525,562,765)  525,766,919 
Collateralized Mortgage Obligations - 1.0%   
Private Sponsor - 0.8%   
Angel Oak Mortgage Trust:   
sequential payer Series 2019-2 Class A1, 3.628% 3/25/49 (c) 662,633 669,403 
Series 2019-2 Class M1, 4.065% 3/25/49 (c) 545,000 530,529 
COLT Funding LLC sequential payer:   
Series 2018-2:   
Class A1, 3.47% 7/27/48 (c) 482,425 483,707 
Class A2, 3.542% 7/27/48 (c) 233,884 232,661 
Series 2018-3 Class A2, 3.763% 10/26/48 (c) 180,678 180,214 
Series 2018-4 Class A1, 4.006% 12/28/48 (c) 478,185 482,731 
Series 2019-2 Class A1, 3.337% 5/25/49 (c) 376,863 377,912 
Series 2019-3 Class A1, 2.764% 8/25/49 (c) 1,505,399 1,501,702 
COMM Mortgage Trust Series 2016-CR28 Class A1, 1.77% 2/10/49 28,881 28,878 
Connecticut Avenue Securities Trust floater Series 2019-R06 Class 2M1, 1 month U.S. LIBOR + 0.750% 0.9183% 9/25/39 (a)(b)(c) 324,965 322,782 
Deephaven Residential Mortgage Trust:   
Series 2017-1A Class A3, 3.485% 12/26/46 (a)(c) 50,120 49,864 
Series 2017-3A:   
Class A1, 2.577% 10/25/47 (a)(c) 217,337 218,547 
Class A2, 2.711% 10/25/47 (a)(c) 18,111 17,877 
Class A3, 2.813% 10/25/47 (a)(c) 17,249 16,868 
Series 2018-1A Class A1, 2.976% 12/25/57 (a)(c) 230,806 232,293 
Series 2018-2A Class A1, 3.479% 4/25/58 (c) 467,506 469,905 
Series 2018-3A Class A3, 3.963% 8/25/58 (c) 47,809 47,107 
Series 2019-1A Class A1, 3.743% 1/25/59 (c) 649,702 653,712 
Series 2019-2A:   
Class A3, 3.763% 4/25/59 (c) 432,891 424,900 
Class M1, 3.921% 4/25/59 (c) 380,000 361,058 
Flagstar Mortgage Trust floater sequential payer Series 2020-1INV Class A11, 1 month U.S. LIBOR + 0.850% 1.0183% 3/25/50 (a)(b)(c) 745,139 727,216 
Freddie Mac STACR REMIC Trust floater:   
Series 2019-HQA4 Class M1, 1 month U.S. LIBOR + 0.770% 0.9383% 11/25/49 (a)(b)(c) 166,387 163,434 
Series 2020-DNA2 Class M1, 1 month U.S. LIBOR + 0.750% 0.9183% 2/25/50 (a)(b)(c) 585,472 566,924 
Series 2020-HQA1 Class M1, 1 month U.S. LIBOR + 0.750% 0.9183% 1/25/50 (a)(b)(c) 435,619 426,864 
Series 2020-HQA2 Class M1, 1 month U.S. LIBOR + 1.100% 1.2683% 3/25/50 (a)(b)(c) 725,000 706,385 
Freddie Mac STACR Trust floater:   
Series 2018-DNA2:   
Class M1, 1 month U.S. LIBOR + 0.800% 0.9683% 12/25/30 (a)(b)(c) 450,377 443,468 
Class M2A/S, 1 month U.S. LIBOR + 0.950% 1.1183% 12/25/30 (a)(b)(c) 450,000 435,924 
Series 2018-HRP2 Class M2, 1 month U.S. LIBOR + 1.250% 1.4183% 2/25/47 (a)(b)(c) 594,846 578,363 
Series 2019-HRP1 Class M2, 1 month U.S. LIBOR + 1.400% 1.5683% 2/25/49 (a)(b)(c) 630,000 576,388 
FWD Securitization Trust sequential payer Series 2020-INV1 Class A1, 2.24% 1/25/50 (c) 1,668,470 1,653,532 
Galton Funding Mortgage Trust:   
sequential payer:   
Series 2019-H1 Class M1, 3.339% 10/25/59 (c) 600,000 519,268 
Series 2020-H1 Class M1, 2.832% 1/25/60 (c) 625,000 507,219 
Series 2020-H1 Class A1, 2.31% 1/25/60 (c) 687,058 677,959 
GMRF Mortgage Acquisition Co., LLC:   
Series 2018-1 Class A33, 3.5% 11/25/57 (c) 439,212 442,053 
Series 2019-1 Class A32, 4% 2/25/59 (c) 344,315 337,587 
Series 2019-2 Class A42, 3.5% 6/25/59 (c) 815,869 798,420 
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.8095% 8/25/60 (a)(b)(c) 1,330,637 1,324,184 
GS Mortgage-Backed Securites Trust Series 2014-EB1A Class 2A1, 2.4545% 7/25/44 (a)(c) 44,465 43,677 
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 1.6389% 10/15/54 (a)(b)(c) 1,551,381 1,549,522 
Homeward Opportunities Fund I Trust sequential payer:   
Series 2019-1:   
Class A1, 3.454% 1/25/59 (c) 897,303 898,387 
Class A3, 3.606% 1/25/59 (c) 564,630 548,733 
Series 2019-3 Class A1, 2.675% 11/25/59 (c) 1,000,957 982,991 
Homeward Opportunities Fund Trust sequential payer Series 2018-1:   
Class A1, 3.766% 6/25/48 (c) 494,772 498,793 
Class A2, 3.897% 6/25/48 (c) 396,310 396,186 
J.P. Morgan Mortgage Trust:   
sequential payer Series 2020-LTV1 Class A4, 3.5% 6/25/50 (c) 1,700,881 1,727,457 
Series 2020-INV1 Class A15, 3.5% 8/25/50 (c) 742,905 741,659 
Lanark Master Issuer PLC floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 2.4528% 12/22/69 (a)(b)(c) 1,134,680 1,132,596 
Metlife Securitization Trust Series 2017-1A Class A, 3% 4/25/55 (c) 411,546 423,742 
Mill City Mortgage Loan Trust:   
Series 2016-1 Class A1, 2.5% 4/25/57 (c) 89,748 90,466 
Series 2017-2 Class A1, 2.75% 7/25/59 (c) 486,029 493,177 
New Residential Mortgage Loan Trust:   
sequential payer:   
Series 2019-NQM5 Class A1, 2.7099% 11/25/59 (c) 1,212,364 1,191,056 
Series 2020-NQM1 Class A1, 2.4641% 1/26/60 (c) 723,512 705,456 
Series 2018-NQM1 Class A1, 3.986% 11/25/48 (c) 926,028 938,811 
OBX Trust:   
floater:   
Series 2019-EXP3 Class 2A1, 1 month U.S. LIBOR + 0.900% 1.0683% 10/25/59 (a)(b)(c) 1,300,782 1,238,820 
Series 2020-EXP1 Class 2A2, 1 month U.S. LIBOR + 0.950% 1.1183% 2/25/60 (a)(b)(c) 978,186 945,900 
Series 2020-EXP1 Class 1A8, 3.5% 2/25/60 (a)(c) 1,050,039 1,063,584 
Series 2020-INV1 Class A5, 3.5% 12/25/49 (c) 472,236 481,038 
Onslow Bay Financial LLC:   
floater Series 2019-EXP2 Class 2A2, 1 month U.S. LIBOR + 1.200% 1.3683% 6/25/59 (a)(b)(c) 1,017,947 1,004,264 
floater sequential payer Series 2019-EXP2 Class 2A1A, 1 month U.S. LIBOR + 0.900% 1.0683% 6/25/59 (a)(b)(c) 560,469 551,105 
Permanent Master Issuer PLC floater:   
Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 1.5989% 7/15/58 (a)(b)(c) 3,949,000 3,945,537 
Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 1.7689% 7/15/58 (a)(b)(c) 896,000 891,870 
Sequoia Mortgage Trust:   
sequential payer:   
Series 2018-CH1 Class A11, 3.5% 2/25/48 (c) 579,622 580,725 
Series 2018-CH2 Class A3, 4% 6/25/48 (c) 976,904 994,465 
Series 2018-CH2 Class A21, 4% 6/25/48 (c) 435,930 443,766 
Series 2018-CH3 Class A19, 4.5% 8/25/48 (c) 214,285 219,662 
Series 2018-CH4 Class A2, 4% 10/25/48 (c) 333,655 339,286 
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 1.679% 1/21/70 (a)(b)(c) 4,037,075 4,026,252 
Starvest Emerging Markets Cbo sequential payer Series 2019-IMC1 Class A1, 3.468% 2/25/49 (c) 460,036 463,003 
Starwood Mortgage Residential Trust:   
sequential payer Series 2019-INV1:   
Class A1, 2.61% 9/27/49 (c) 161,135 161,213 
Class A3, 2.916% 9/27/49 (c) 388,376 374,719 
Series 2019-1:   
Class A1, 2.941% 6/25/49 (c) 810,109 818,071 
Class A3, 3.299% 6/25/49 (c) 555,402 536,059 
Series 2020-1 Class A2, 2.408% 2/25/50 (c) 467,069 451,256 
Towd Point Mortgage Trust:   
Series 2015-4 Class A1B, 2.75% 4/25/55 (c) 203,955 205,287 
Series 2015-5 Class A1B, 2.75% 5/25/55 (c) 213,721 215,526 
Series 2016-1:   
Class A1B, 2.75% 2/25/55 (c) 134,157 135,634 
Class A3B, 3% 2/25/55 (c) 205,798 209,254 
Series 2016-2 Class A1A, 2.75% 8/25/55 (c) 187,479 190,665 
Series 2016-3 Class A1, 2.25% 4/25/56 (c) 43,111 43,304 
Series 2017-2 Class A1, 2.75% 4/25/57 (a)(c) 356,502 361,286 
Series 2017-3 Class A1, 2.75% 7/25/57 (a)(c) 798,021 810,893 
Verus Securitization Trust:   
sequential payer:   
Series 2018-3 Class A1, 4.108% 10/25/58 (c) 810,843 820,726 
Series 2019-1 Class A1, 3.836% 2/25/59 (c) 848,487 857,043 
Series 2019-2 Class A1, 3.211% 5/25/59 (c) 664,304 671,063 
Series 2019-INV3 Class A3, 3.1% 11/25/59 (c) 706,301 686,670 
Series 2020-1 Class A3, 2.724% 1/25/60 (c) 669,609 658,662 
Series 2020-2 Class A1, 2.226% 5/25/60 (c) 2,510,000 2,507,662 
Series 2018-2:   
Class A1, 3.677% 6/1/58 (c) 621,076 626,259 
Class A2, 3.779% 6/1/58 (c) 167,301 166,897 
Class A3, 3.83% 6/1/58 (c) 105,423 104,333 
Series 2019-3 Class A3, 3.04% 7/25/59 (c) 1,132,737 1,121,813 
Series 2019-4 Class A3, 3% 11/25/59 (c) 1,641,382 1,623,269 
Series 2019-INV1:   
Class A1, 3.402% 12/25/59 (a)(c) 545,961 552,714 
Class M1, 4.034% 12/25/59 (c) 195,000 177,604 
Series 2019-INV2:   
Class A1, 2.913% 7/25/59 (c) 1,475,508 1,491,886 
Class A2, 3.117% 7/25/59 (c) 885,305 874,820 
Series 2020-1 Class A1, 2.417% 1/25/60 (c) 1,657,401 1,657,011 
TOTAL PRIVATE SPONSOR  66,851,423 
U.S. Government Agency - 0.2%   
Fannie Mae:   
Series 2017-90 Class KA, 3% 11/25/47 883,205 943,166 
Series 2018-44 Class PC, 4% 6/25/44 1,087,111 1,110,823 
Fannie Mae Connecticut Avenue Securities floater:   
Series 2017-C02 Class 2ED3, 1 month U.S. LIBOR + 1.350% 1.5183% 9/25/29 (a)(b) 1,383,042 1,337,272 
Series 2017-C03 Class 1M1, 1 month U.S. LIBOR + 0.950% 1.1183% 10/25/29 (a)(b) 237,493 236,989 
Series 2017-C04 Class 2ED2, 1 month U.S. LIBOR + 1.100% 1.2683% 11/25/29 (a)(b) 1,705,706 1,646,567 
Series 2017-C05 Class 1ED3, 1 month U.S. LIBOR + 1.200% 1.3683% 1/25/30 (a)(b) 851,210 844,087 
Series 2018-C01 Class 1ED2, 1 month U.S. LIBOR + 0.850% 1.0183% 7/25/30 (a)(b) 1,555,000 1,503,434 
Series 2018-C03 Class 1M1, 1 month U.S. LIBOR + 0.680% 0.8483% 10/25/30 (a)(b) 6,723 6,705 
FHLMC Structured Agency Credit Risk Debt Notes floater:   
Series 2014-DN3 Class M3, 1 month U.S. LIBOR + 4.000% 4.1683% 8/25/24 (a)(b) 503,268 508,165 
Series 2017-DNA1 Class M1, 1 month U.S. LIBOR + 1.200% 1.3683% 7/25/29 (a)(b) 93,947 93,672 
Series 2017-DNA2 Class M1, 1 month U.S. LIBOR + 1.200% 1.3683% 10/25/29 (a)(b) 477,907 476,023 
Series 2017-DNA3 Class M1, 1 month U.S. LIBOR + 0.750% 0.9183% 3/25/30 (a)(b) 217,357 215,534 
Freddie Mac:   
planned amortization class Series 3713 Class PA, 2% 2/15/40 560,844 566,362 
Series 4448 Class JA, 4% 11/15/36 74,251 75,395 
Freddie Mac STACR Trust floater:   
Series 18-HQA2 Class M1, 1 month U.S. LIBOR + 0.750% 0.9183% 10/25/48 (a)(b)(c) 190,346 189,470 
Series 2018-DNA3:   
Class M1, 1 month U.S. LIBOR + 0.750% 0.9183% 9/25/48 (a)(b)(c) 96,761 95,965 
Class M2A/S, 1 month U.S. LIBOR + 0.900% 1.0683% 9/25/48 (a)(b)(c) 600,000 576,797 
Freddie Mac Whole Loan Securities Trust:   
Series 2016-SC02 Class M1, 3.5905% 10/25/46 (a) 950,377 930,997 
Series 2017-SC02 Class M1, 3.8007% 5/25/47 (a)(c) 88,567 87,433 
Series 2017-SPI1 Class M1, 3.9776% 9/25/47 (a)(c) 11,412 11,316 
Series 2018-SPI2 Class M1, 3.8096% 5/25/48 (a)(c) 102,329 100,593 
Ginnie Mae guaranteed Multi-family REMIC pass-thru securities floater Series 2018-122 Class FE, 1 month U.S. LIBOR + 0.300% 0.4708% 9/20/48 (a)(b) 168,161 167,646 
TOTAL U.S. GOVERNMENT AGENCY  11,724,411 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $79,306,022)  78,575,834 
Commercial Mortgage Securities - 1.0%   
Atrium Hotel Portfolio Trust floater Series 2017-ATRM Class A 1 month U.S. LIBOR + 0.930% 1.1136% 12/15/36 (a)(b)(c) 1,395,000 1,306,215 
Banc of America Merrill Lynch Large Loan, Inc. floater Series 2018-DSNY Class A, 1 month U.S. LIBOR + 0.850% 1.0336% 9/15/34 (a)(b)(c) 970,000 901,982 
BANK Series 2019-BN19 Class A1, 2.263% 8/15/61 479,111 485,306 
BX Commercial Mortgage Trust:   
floater Series 2020-BXLP:   
Class C, 1 month U.S. LIBOR + 1.120% 1.3036% 12/15/36 (a)(b)(c) 795,000 753,171 
Class D, 1 month U.S. LIBOR + 1.250% 1.4336% 12/15/36 (a)(b)(c) 760,000 714,304 
floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.9836% 12/15/36 (a)(b)(c) 2,333,000 2,257,012 
BX Trust:   
floater Series 2019-XL Class B, 1 month U.S. LIBOR + 1.080% 1.2636% 10/15/36 (a)(b)(c) 429,930 415,388 
floater, sequential payer:   
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.1836% 4/15/34 (a)(b)(c) 2,135,000 1,963,636 
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.1036% 10/15/36 (a)(b)(c) 5,245,149 5,140,005 
CGDB Commercial Mortgage Trust floater Series 2019-MOB:   
Class A, 1 month U.S. LIBOR + 0.950% 1.1336% 11/15/36 (a)(b)(c) 1,033,000 981,201 
Class D, 1 month U.S. LIBOR + 1.650% 1.8336% 11/15/36 (a)(b)(c) 1,545,000 1,421,051 
CGDBB Commercial Mortgage Trust floater Series 2017-BIOC Class A, 1 month U.S. LIBOR + 0.790% 0.9736% 7/15/32 (a)(b)(c) 3,713,554 3,639,858 
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.3036% 6/15/34 (a)(b)(c) 3,726,918 3,588,098 
Citigroup Commercial Mortgage Trust sequential payer Series 2012-GC8 Class A/S, 3.683% 9/10/45 (c) 2,157,000 2,179,985 
COMM Mortgage Trust:   
Series 2014-CR15 Class B, 4.6949% 2/10/47 (a) 920,000 961,435 
Series 2014-UBS2 Class B, 4.701% 3/10/47 520,000 529,711 
Series 2015-LC23 Class A2, 3.221% 10/10/48 1,400,000 1,405,599 
Series 2020-CMB Class D, 3.6327% 2/10/37 (a)(c) 560,000 485,274 
Credit Suisse Mortgage Trust floater Series 2019-ICE4:   
Class A, 1 month U.S. LIBOR + 0.980% 1.1636% 5/15/36 (a)(b)(c) 5,485,000 5,357,841 
Class C, 1 month U.S. LIBOR + 1.430% 1.6136% 5/15/36 (a)(b)(c) 1,015,000 971,754 
Class D, 1 month U.S. LIBOR + 1.600% 1.7836% 5/15/36 (a)(b)(c) 780,000 740,348 
CSAIL Commercial Mortgage Trust:   
sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48 670,000 721,962 
Series 2019-C16 Class A1, 2.3595% 6/15/52 584,439 594,805 
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 0.9336% 7/15/32 (a)(b)(c) 4,189,000 3,905,820 
Great Wolf Trust floater Series 2019-WOLF:   
Class A, 1 month U.S. LIBOR + 1.030% 1.2176% 12/15/36 (a)(b)(c) 575,000 537,904 
Class C, 1 month U.S. LIBOR + 1.630% 1.8166% 12/15/36 (a)(b)(c) 600,000 524,845 
GS Mortgage Securities Corp. Trust floater Series 2019-SOHO Class A, 1 month U.S. LIBOR + 0.900% 1.0836% 6/15/36 (a)(b)(c) 1,165,000 1,117,942 
GS Mortgage Securities Trust:   
Series 2016-GS3 Class A1, 1.429% 10/10/49 39,244 39,226 
Series 2019-GC40 Class A1, 2.236% 7/10/52 1,596,229 1,620,558 
Intown Hotel Portfolio Trust Series 2018-STAY:   
Class A, 1 month U.S. LIBOR + 0.700% 0.8836% 1/15/33 (a)(b)(c) 245,000 231,521 
Class C, 1 month U.S. LIBOR + 1.250% 1.4336% 1/15/33 (a)(b)(c) 205,000 183,695 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater:   
Series 2018-GW Class A, 1 month U.S. LIBOR + 0.800% 0.9836% 5/15/35 (a)(b)(c) 2,440,000 2,262,791 
Series 2019-BKWD:   
Class A, 1 month U.S. LIBOR + 1.000% 1.1836% 9/15/29 (a)(b)(c) 1,911,000 1,839,387 
Class B, 1 month U.S. LIBOR + 1.350% 1.5336% 9/15/29 (a)(b)(c) 1,830,000 1,705,503 
Class C, 1 month U.S. LIBOR + 1.600% 1.7836% 9/15/29 (a)(b)(c) 575,000 515,367 
sequential payer Series 2014-C20 Class A3A1, 3.4718% 7/15/47 1,713,932 1,738,134 
Series 2013-C13 Class A4, 3.9936% 1/15/46 (a) 2,583,966 2,741,666 
Morgan Stanley BAML Trust:   
Series 2014-C18 Class A/S, 4.11% 10/15/47 370,000 384,590 
Series 2016-C30 Class A1, 1.389% 9/15/49 114,658 114,532 
Morgan Stanley Capital I Trust:   
floater:   
Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 1.0336% 8/15/33 (a)(b)(c) 5,790,000 5,541,859 
Series 2019-AGLN Class A, 1 month U.S. LIBOR + 0.950% 1.1336% 3/15/34 (a)(b)(c) 3,558,000 3,406,177 
Series 2011-C3 Class AJ, 5.2444% 7/15/49 (a)(c) 2,264,000 2,329,751 
Series 2015-MS1 Class A1, 1.638% 5/15/48 33,116 33,092 
Series 2019-H7 Class A1, 2.327% 7/15/52 1,581,749 1,592,215 
Series 2019-MEAD Class D, 3.1771% 11/10/36 (c) 1,150,000 992,500 
New Orleans Hotel Trust floater Series 2019-HNLA Class B, 1 month U.S. LIBOR + 1.289% 1.4723% 4/15/32 (a)(b)(c) 1,585,000 1,425,985 
RETL floater Series 2019-RVP Class A, 1 month U.S. LIBOR + 1.150% 1.3336% 3/15/36 (a)(b)(c) 445,149 420,932 
Slide floater Series 2018-FUN Class D, 1 month U.S. LIBOR + 1.850% 2.0336% 6/15/31 (a)(b)(c) 788,087 641,817 
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.988% 4/10/46 (a)(b)(c) 3,109,986 3,171,388 
Wells Fargo Commercial Mortgage Trust Series 2015-NXS2 Class A2, 3.02% 7/15/58 332,927 336,612 
WF-RBS Commercial Mortgage Trust:   
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.9036% 6/15/46 (a)(b)(c) 2,846,183 2,858,992 
Series 2012-C6 Class B, 4.697% 4/15/45 760,000 771,333 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $83,537,197)  80,502,075 
Municipal Securities - 0.0%   
Connecticut Gen. Oblig. Series A:   
1.998% 7/1/24 (e) $285,000 $285,000 
2% 7/1/23 (e) 115,000 115,687 
2.098% 7/1/25 (e) 190,000 190,000 
TOTAL MUNICIPAL SECURITIES   
(Cost $590,687)  590,687 
Foreign Government and Government Agency Obligations - 0.0%   
Sweden Kingdom 1.3% 6/2/23
(Cost $1,148,655)(c) 		$1,150,000 $1,154,645 
Bank Notes - 0.7%   
Citibank NA 2.844% 5/20/22 (a) 1,485,000 1,511,027 
Discover Bank:   
3.1% 6/4/20 $965,000 $965,074 
3.2% 8/9/21 1,050,000 1,060,667 
First Republic Bank 1.912% 2/12/24 (a) 2,031,000 2,057,150 
KeyBank NA 2.3% 9/14/22 355,000 366,026 
PNC Bank NA:   
2.15% 4/29/21 3,042,000 3,084,807 
2.45% 11/5/20 870,000 875,336 
2.95% 1/30/23 695,000 729,719 
RBS Citizens NA:   
2.55% 5/13/21 1,320,000 1,341,619 
3.25% 2/14/22 1,015,000 1,046,275 
Regions Bank 3.374% 8/13/21 (a) 1,700,000 1,704,677 
SunTrust Banks, Inc. 2.8% 5/17/22 10,965,000 11,407,812 
Svenska Handelsbanken AB 3.35% 5/24/21 1,105,000 1,136,824 
Synchrony Bank 3.65% 5/24/21 3,082,000 3,124,615 
Truist Bank 1.25% 3/9/23 9,650,000 9,721,526 
U.S. Bank NA, Cincinnati:   
1.8% 1/21/22 5,000,000 5,098,644 
3% 2/4/21 5,000,000 5,080,150 
Wells Fargo Bank NA 3.625% 10/22/21 5,000,000 5,189,691 
TOTAL BANK NOTES   
(Cost $54,948,031)  55,501,639 
Commercial Paper - 0.1%   
Ford Motor Credit Co. LLC:   
0% 7/27/20 810,000 805,172 
0% 8/4/20 705,000 700,206 
Syngenta Wilmington, Inc. 0% 6/25/20 1,880,000 1,877,800 
The Boeing Co.:   
0% 11/4/20 1,555,000 1,540,619 
0% 11/16/20 1,510,000 1,494,464 
UBS AG London Branch 1 month U.S. LIBOR + 0.340% 0.6028% 8/6/20 (a)(b) 5,000,000 5,000,506 
TOTAL COMMERCIAL PAPER   
(Cost $11,418,866)  11,418,767 
 Shares Value 
Fixed-Income Funds - 0.7%   
Bank Loan Funds - 0.7%   
Fidelity Floating Rate High Income Fund (f)   
(Cost $62,452,380) 6,647,858 58,035,797 
Short-Term Funds - 58.8%   
Short-Term Funds - 58.8%   
Baird Short-Term Bond Fund - Institutional Class 27,303,990 270,036,461 
Baird Ultra Short Bond Fund Institutional Class 33,408,936 336,427,989 
BlackRock Low Duration Bond Portfolio Investor A Shares 36,543,553 349,721,804 
Fidelity Conservative Income Bond Fund Institutional Class (f) 3,849,472 38,648,696 
Fidelity Short-Term Bond Fund (f) 47,602,813 419,380,785 
iShares Lehman 1-3 Year Treasury Bond ETF 4,720,015 409,036,500 
iShares Short Maturity Bond ETF 5,126,077 254,868,548 
iShares Ultra Short-Term Bond ETF 2,734,055 138,124,459 
JPMorgan Ultra-Short Income ETF 5,093,335 257,671,818 
JPMorgan Ultra-Short Municipal Fund Class I 4,998,100 50,180,919 
Metropolitan West Low Duration Bond Fund - Class M 25,717,591 226,057,626 
PIMCO Enhanced Low Duration Active ETF 502,985 50,680,769 
PIMCO Enhanced Short Maturity Active ETF (g) 3,017,435 305,092,853 
PIMCO Short-Term Fund - Administrator Class 154,344,371 1,498,683,833 
Prudential Short-Term Corporate Bond Fund, Inc. Class A 11,562,131 128,686,517 
TOTAL SHORT-TERM FUNDS   
(Cost $4,706,683,766)  4,733,299,577 
Money Market Funds - 3.9%   
Fidelity Cash Central Fund 0.11% (h) 216,148,072 216,191,302 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.12% (f)(i) 82,618,947 82,618,947 
Fidelity Securities Lending Cash Central Fund 0.10% (h)(j) 8,880,501 8,881,389 
State Street Institutional U.S. Government Money Market Fund Premier Class .12% (i) 2,114,987 2,114,987 
TOTAL MONEY MARKET FUNDS   
(Cost $309,801,651)  309,806,625 
TOTAL INVESTMENT IN SECURITIES - 100.4%   
(Cost $8,051,624,596)  8,078,357,550 
NET OTHER ASSETS (LIABILITIES) - (0.4)%  (29,317,374) 
NET ASSETS - 100%  $8,049,040,176 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Treasury Contracts      
CBOT 2-Year U.S. Treasury Note Contracts (United States) 909 Sept. 2020 $200,746,969 $34,071 $34,071 
Sold      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 175 Sept. 2020 24,335,938 (31,694) (31,694) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 136 Sept. 2020 17,085,000 (25,886) (25,886) 
TOTAL FUTURES CONTRACTS     $(23,509) 

The notional amount of futures purchased as a percentage of Net Assets is 2.5%

The notional amount of futures sold as a percentage of Net Assets is 0.5%

Security Type Abbreviations

ETF – Exchange-Traded Fund

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 $769,295,053 or 9.6% of net assets.

 (d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $552,300.

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

 (f) Affiliated Fund

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

 (h) 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.

 (i) The rate quoted is the annualized seven-day yield of the fund at period end.

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

Affiliated Central Funds

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

Fund Income earned 
Fidelity Cash Central Fund $962,051 
Fidelity Securities Lending Cash Central Fund 294,082 
Total $1,256,133 

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.

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Conservative Income Bond Fund Institutional Class $63,454,234 $224,393,263 $249,327,584 $2,248,298 $493,416 $(364,633) $38,648,696 
Fidelity Floating Rate High Income Fund 112,629,093 3,951,659 53,033,308 3,951,678 (888,716) (4,622,931) 58,035,797 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.12% 3,013,983 772,781,453 693,176,489 146,479 -- -- 82,618,947 
Fidelity Short-Term Bond Fund 624,495,388 11,041,879 225,776,164 11,041,896 3,562,158 6,057,524 419,380,785 
Total $803,592,698 $1,012,168,254 $1,221,313,545 $17,388,351 $3,166,858 $1,069,960 $598,684,225 

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 May 31, 2020, 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:     
Corporate Bonds $1,904,051,627 $-- $1,904,051,627 $-- 
U.S. Government and Government Agency Obligations 287,401,623 -- 287,401,623 -- 
U.S. Government Agency - Mortgage Securities 32,251,735 -- 32,251,735 -- 
Asset-Backed Securities 525,766,919 -- 525,766,919 -- 
Collateralized Mortgage Obligations 78,575,834 -- 78,575,834 -- 
Commercial Mortgage Securities 80,502,075 -- 80,502,075 -- 
Municipal Securities 590,687 -- 590,687 -- 
Foreign Government and Government Agency Obligations 1,154,645 -- 1,154,645 -- 
Bank Notes 55,501,639 -- 55,501,639 -- 
Commercial Paper 11,418,767 -- 11,418,767 -- 
Fixed-Income Funds 58,035,797 58,035,797 -- -- 
Short-Term Funds 4,733,299,577 4,733,299,577 -- -- 
Money Market Funds 309,806,625 309,806,625 -- -- 
Total Investments in Securities: $8,078,357,550 $5,101,141,999 $2,977,215,551 $-- 
Derivative Instruments:     
Assets     
Futures Contracts $34,071 $34,071 $-- $-- 
Total Assets $34,071 $34,071 $-- $-- 
Liabilities     
Futures Contracts $(57,580) $(57,580) $-- $-- 
Total Liabilities $(57,580) $(57,580) $-- $-- 
Total Derivative Instruments: $(23,509) $(23,509) $-- $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2020. 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 
Interest Rate Risk   
Futures Contracts(a) $34,071 $(57,580) 
Total Interest Rate Risk 34,071 (57,580) 
Total Value of Derivatives $34,071 $(57,580) 

 (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

  May 31, 2020 
Assets   
Investment in securities, at value (including securities loaned of $8,675,238) — See accompanying schedule:
Unaffiliated issuers (cost $7,237,230,784) 		$7,254,600,634  
Fidelity Central Funds (cost $225,067,717) 225,072,691  
Other affiliated issuers (cost $589,326,095) 598,684,225  
Total Investment in Securities (cost $8,051,624,596)  $8,078,357,550 
Cash  2,281,799 
Receivable for investments sold   
Regular delivery  3,635,989 
Delayed delivery  775,760 
Receivable for fund shares sold  4,710,188 
Dividends receivable  190 
Interest receivable  10,226,290 
Distributions receivable from Fidelity Central Funds  47,874 
Receivable for daily variation margin on futures contracts  15,210 
Prepaid expenses  25,562 
Other receivables  96,322 
Total assets  8,100,172,734 
Liabilities   
Payable for investments purchased   
Regular delivery $35,148,322  
Delayed delivery 1,384,184  
Payable for fund shares redeemed 4,227,787  
Distributions payable 1,076,550  
Accrued management fee 277,274  
Other payables and accrued expenses 159,591  
Collateral on securities loaned 8,858,850  
Total liabilities  51,132,558 
Net Assets  $8,049,040,176 
Net Assets consist of:   
Paid in capital  $8,058,103,301 
Total accumulated earnings (loss)  (9,063,125) 
Net Assets  $8,049,040,176 
Net Asset Value, offering price and redemption price per share ($8,049,040,176 ÷ 799,890,330 shares)  $10.06 

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


Statement of Operations

  Year ended May 31, 2020 
Investment Income   
Dividends:   
Unaffiliated issuers  $83,230,634 
Affiliated issuers  17,388,351 
Interest  70,991,714 
Income from Fidelity Central Funds (including $294,082 from security lending)  1,256,133 
Total income  172,866,832 
Expenses   
Management fee $21,724,492  
Accounting fees 105,016  
Custodian fees and expenses 46,377  
Independent trustees' fees and expenses 82,602  
Registration fees 82,652  
Audit 70,964  
Legal 21,856  
Miscellaneous 62,480  
Total expenses before reductions 22,196,439  
Expense reductions (18,637,479)  
Total expenses after reductions  3,558,960 
Net investment income (loss)  169,307,872 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 6,304,609  
Fidelity Central Funds 20,021  
Other affiliated issuers 3,166,858  
Foreign currency transactions (1)  
Futures contracts 3,515,891  
Total net realized gain (loss)  13,007,378 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 9,159,211  
Fidelity Central Funds (1)  
Other affiliated issuers 1,069,960  
Futures contracts (381,749)  
Total change in net unrealized appreciation (depreciation)  9,847,421 
Net gain (loss)  22,854,799 
Net increase (decrease) in net assets resulting from operations  $192,162,671 

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


Statement of Changes in Net Assets

 Year ended May 31, 2020 Year ended May 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $169,307,872 $191,790,400 
Net realized gain (loss) 13,007,378 (22,963,814) 
Change in net unrealized appreciation (depreciation) 9,847,421 32,978,756 
Net increase (decrease) in net assets resulting from operations 192,162,671 201,805,342 
Distributions to shareholders (168,201,353) (196,218,113) 
Share transactions   
Proceeds from sales of shares 2,771,783,132 2,337,683,827 
Reinvestment of distributions 153,886,892 184,555,853 
Cost of shares redeemed (2,045,344,183) (4,224,267,039) 
Net increase (decrease) in net assets resulting from share transactions 880,325,841 (1,702,027,359) 
Total increase (decrease) in net assets 904,287,159 (1,696,440,130) 
Net Assets   
Beginning of period 7,144,753,017 8,841,193,147 
End of period $8,049,040,176 $7,144,753,017 
Other Information   
Shares   
Sold 277,408,378 233,616,566 
Issued in reinvestment of distributions 15,320,138 18,458,739 
Redeemed (204,536,004) (422,246,045) 
Net increase (decrease) 88,192,512 (170,170,740) 

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


Financial Highlights

Strategic Advisers Short Duration Fund

      
Years ended May 31, 2020 2019 2018 2017 2016 
Selected Per–Share Data      
Net asset value, beginning of period $10.04 $10.03 $10.05 $10.01 $10.07 
Income from Investment Operations      
Net investment income (loss)A .229 .254 .168 .136 .115 
Net realized and unrealized gain (loss) .020 .018 (.028) .033 (.051) 
Total from investment operations .249 .272 .140 .169 .064 
Distributions from net investment income (.229) (.259) (.160) (.129) (.118) 
Distributions from net realized gain – (.003) – – (.006) 
Total distributions (.229) (.262) (.160) (.129) (.124) 
Net asset value, end of period $10.06 $10.04 $10.03 $10.05 $10.01 
Total ReturnB 2.51% 2.75% 1.40% 1.69% .64% 
Ratios to Average Net AssetsC,D,E      
Expenses before reductions .30% .32% .35% .36% .36% 
Expenses net of fee waivers, if any .05% .07% .10% .10% .11% 
Expenses net of all reductions .05% .07% .10% .10% .11% 
Net investment income (loss) 2.28% 2.54% 1.67% 1.36% 1.15% 
Supplemental Data      
Net assets, end of period (000 omitted) $8,049,040 $7,144,753 $8,841,193 $9,920,937 $6,593,754 
Portfolio turnover rateE 58% 33% 25% 26% 33% 

 A Calculated based on average shares outstanding during the period.

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

 C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 D Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.

 E Amounts do not include the activity of Underlying Funds.

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


Notes to Financial Statements

For the period ended May 31, 2020

1. Organization.

Strategic Advisers Short Duration Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. 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 Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

2. 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 – Investments 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 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 – 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. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, U.S. government and government agency obligations, commercial paper 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. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, 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. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Exchange-Traded Funds (ETFs) are valued at their last 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 but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 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. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 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 May 31, 2020 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying Funds and distributions from ETFs, 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. 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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $96,317 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.

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 May 31, 2020, 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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, futures contracts, foreign currency transactions, deferred trustees compensation 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 $63,438,225 
Gross unrealized depreciation (36,295,759) 
Net unrealized appreciation (depreciation) $27,142,466 
Tax Cost $8,051,215,084 

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

Undistributed ordinary income $8,003,746 
Capital loss carryforward $(44,113,019) 
Net unrealized appreciation (depreciation) on securities and other investments $27,142,466 

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

No expiration  
Long-term $(44,113,019) 

The tax character of distributions paid was as follows:

 May 31, 2020 May 31, 2019 
Ordinary Income $168,021,353 $196,218,113 

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. 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). The Fund 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 is included at the end of the Fund's Schedule of Investments.

3. 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:

Interest Rate Risk Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. 

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 bond market and fluctuations in interest rates.

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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities and U.S. government securities, are noted in the table below.

 Purchases ($) Sales ($) 
Strategic Advisers Short Duration Fund 4,231,823,544 3,738,397,715 

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .29% of the Fund's average net assets.

During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.

Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

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. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. For the period, the fees were equivalent to less than .005%.

Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

 Amount 
Strategic Advisers Short Duration Fund $1,525 

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

6. Investments in Fidelity Central Funds.

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

The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:

 Amount 
Strategic Advisers Short Duration Fund $17,814 

During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's 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.

9. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2022. During the period, this waiver reduced the Fund's management fee by $ 18,549,563.

In addition, the investment adviser has voluntarily agreed to waive a portion of the Fund's management fee. During the period, this waiver reduced the Fund's management fee by $61,528.

In addition, through arrangements with the Fund's custodian and transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $26,164 and $224, respectively.

10. Other.

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

11. Coronavirus (COVID-19) Pandemic.

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

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Short Duration Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Short Duration Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2020 and the financial highlights for each of the five years in the period ended May 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

July 16, 2020



We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds.  Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict.  Each of the Trustees oversees 14 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.  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. 

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.

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 may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. 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, may be 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. Robert A. Lawrence 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. Mary C. Farrell serves as the lead Independent Trustee 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 asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds 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.

The Trustees primarily operate as a full Board, but also operate in 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 has charged Strategic Advisers 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 Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee.  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.  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+

Robert A. Lawrence (1952)

Year of Election or Appointment: 2016

Trustee

Chairman of the Board of Trustees

Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).

Charles S. Morrison (1960)

Year of Election or Appointment: 2020

Trustee

Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.

 * 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 Strategic Advisers. 

 + 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+

Peter C. Aldrich (1944)

Year of Election or Appointment: 2006

Trustee

Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.

Mary C. Farrell (1949)

Year of Election or Appointment: 2013

Trustee

Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.

Karen Kaplan (1960)

Year of Election or Appointment: 2006

Trustee

Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).

Heidi L. Steiger (1953)

Year of Election or Appointment: 2017

Trustee

Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).

 + 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 a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.  Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Howard E. Cox, Jr. (1944)

Year of Election or Appointment: 2009

Member of the Advisory Board

Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.

Christine Marcks (1955)

Year of Election or Appointment: 2019

Member of the Advisory Board

Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown 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).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

Assistant Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). 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).

James D. Gryglewicz (1972)

Year of Election or Appointment: 2015

Chief Compliance Officer

Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).

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 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).  Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan. 

Christina H. Lee (1975)

Year of Election or Appointment: 2020

Secretary and Chief Legal Officer

Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2020

Assistant Secretary

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

Chris Maher (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of 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).

Stacie M. Smith (1974)

Year of Election or Appointment: 2020

President and Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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 (December 1, 2019 to May 31, 2020).

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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds and exchange-traded funds (ETFs) (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.

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

 Annualized Expense Ratio-A Beginning
Account Value
December 1, 2019 		Ending
Account Value
May 31, 2020 		Expenses Paid
During Period-B
December 1, 2019
to May 31, 2020 
Actual .05% $1,000.00 $1,010.90 $.25 
Hypothetical-C  $1,000.00 $1,024.75 $.25 

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

 B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

 C 5% return per year before expenses

Distributions (Unaudited)

A total of 5.88% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Short Duration Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes at an in-person meeting on the renewal of the management contract with Strategic Advisers LLC (Strategic Advisers) and the sub-advisory agreements with FIAM LLC and T. Rowe Price Associates, Inc. (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements and, together with the management contract, the Advisory Contracts) for the fund. Strategic Advisers 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 at least four times per year 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 full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. 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.

At its September 2019 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, 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 of the fund's management fee and total expenses relative to peer funds; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers 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 is in the best interests of the fund and its shareholders. In addition, with respect to the Sub-Advisory Agreements, the Board also concluded that the renewal of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered and are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. 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 throughout the year.

Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.

The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.

The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

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.

In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund for different time periods, measured against an appropriate securities market index ("benchmark index") and a peer group of mutual funds with similar objectives ("peer group").

The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds for specific time periods and discussed with Strategic Advisers the reasons for any such underperformance.

The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2018, the cumulative total returns of the fund and the cumulative total returns of an appropriate benchmark index and peer group. The box within each chart shows the 25th percentile return (75% beaten, top of box) and the 75th percentile return (25% beaten, bottom of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten number noted below each chart corresponds to the percentile box and represents the percentage of funds in the peer group whose performance was equal to or lower than that of the fund.

Strategic Advisers Short Duration Fund


The Board reviewed the fund’s relative investment performance against its peer group and noted that the performance of the fund was in the fourth quartile for the one-year period and in the second quartile for the three- and five-year periods ended December 31, 2018. The Board also noted that the fund had out-performed 21%, 62%, and 74% of its peers for the one-, three-, and five-year periods, respectively, ended December 31, 2018. The Board also noted that the investment performance of the fund was lower than its benchmark for the one-year period and higher than its benchmark for the three- and five-year periods shown.

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 Fund Expenses.  The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the 0.25% management fee waiver through September 30, 2022 (effectively waiving its portion of the management fee) and considered that the fund's contractual maximum aggregate annual management fee rate may not exceed 0.55%. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.

The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Strategic Advisers uses "mapped groups," which are created by Fidelity by combining similar Lipper investment objective categories that it believes have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which Strategic Advisers' funds are compared.

Management Fee.  The Board considered two proprietary management fee comparisons. The group of Lipper funds used by the Board for management fee comparisons is referred to as the "Total Mapped Group." 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 Board also compared the fund's management fee to an "Asset-Size Peer Group" (ASPG), which is a sub-set of the competitive funds in the Total Mapped Group. The ASPG comparison focuses on a fund's standing relative to 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. Beginning in 2015, the management fee information shown below is as of December 31. Prior to 2015, the management fee information shown below is as of February 28.

Strategic Advisers Short Duration Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and above the median of its ASPG for the 12-month period ended December 31, 2018. The Board also noted that the fund's management fee rate was compared on a pre-waiver basis and, therefore, did not reflect the management fee waiver noted above. Giving effect to the waiver, however, the fund's management fee was below the ASPG for the 12-month period ended December 31, 2018.

Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered.

Total Expenses.  In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. The Board further noted that the fund's total expenses were compared to classes of competitive funds having similar load types. This comparison, which is a proxy for comparing funds by distribution channel, showed the fund's position relative to competitive funds with the same load type. The Board noted that the fund's total expenses were below the median of the fund's Total Mapped Group for the 12-month period ended December 31, 2018.

Fees Charged to Other Clients.  The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were 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 information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.

PricewaterhouseCoopers LLP (PwC), auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's 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 the fund profitability information and its conformity to established allocation methodologies. After considering PwC's 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 fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.

The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.

Possible Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers 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 as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees would accrue directly to the fund. The Board also took into consideration that Strategic Advisers has agreed to waive 0.25% of its management fee through September 30, 2022.

Conclusion. 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 bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. The Board also concluded that the advisory fees charged thereunder are based on services provided that are in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, with respect to each Sub-Advisory Agreement, the Board concluded that the renewal of the agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Liquidity Risk Management Program

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

The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.

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

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

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

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

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

ASD-ANN-0720
1.934458.108

Strategic Advisers® Fidelity® Core Income Fund

Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public



Annual Report

May 31, 2020

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


Fidelity Investments

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
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Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Liquidity Risk Management Program


To view a fund's proxy voting 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. © 2020 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended May 31, 2020 Past 1 year Life of fundA 
Strategic Advisers® Fidelity® Core Income Fund 8.94% 9.64% 

 A From October 16, 2018

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


Period Ending Values
$11,613Strategic Advisers® Fidelity® Core Income Fund
$11,721Bloomberg Barclays U.S. Aggregate Bond Index

Management's Discussion of Fund Performance

Market Recap:  U.S. taxable investment-grade bonds posted robust gains for the year ending May 31, 2020, with the Bloomberg Barclays U.S. Aggregate Bond Index advancing 9.42%. From June through October, bonds broadly rode a wave of easing monetary policy, with the Federal Reserve lowering short-term interest rates 75 basis points (0.75%) by year-end. Most bonds came under some pressure in the fourth quarter of 2019, given comments from the Fed that seemingly set a high bar for additional rate cuts. U.S. bonds rebounded strongly in January on renewed demand for safe-haven assets, as the spread of coronavirus threatened to hamper global economic growth. In February and March, U.S. Treasuries continued to surge, while riskier segments—led by corporate debt—largely retreated as a recession took hold. A historically rapid and expansive monetary/fiscal-policy response provided a partial offset to the economic disruption. This was evident in April and May, when credit-sensitive segments of the market rebounded strongly on improving infection data, plans for reopening the economy and progress on potential treatments. Within the bellwether index, U.S. Treasuries (+11.36%) led the way for the period, while corporate bonds produced a similarly hearty 10.03% return. Meanwhile, securitized sectors lagged the market despite gaining ground: agency mortgage-backed securities (+6.53%); commercial mortgage-backed securities (+6.18%); and asset-backed securities (+4.01%). Outside the index, U.S. corporate high-yield bonds gained 1.32%, while Treasury Inflation-Protected Securities (TIPS) rose 8.00%, according to Bloomberg Barclays.

Comments from Portfolio Manager Jonathan Duggan:  For the fiscal year, the Fund gained 8.94%, trailing the 9.42% advance of the benchmark Bloomberg Barclays U.S. Aggregate Bond Index. For the period as a whole, the portfolio had an underweighted allocation in corporate credit and its interest rate sensitivity was below that of the benchmark, all of which dampened relative performance. During the second half of 2019 and into 2020, I added funds investing in U.S. Treasuries and government-agency mortgage-backed securities (MBS), while cutting exposure to investment-grade credit. These moves reduced the Fund's credit risk, but not enough to fully offset the impact of the coronavirus-fueled downturn that occurred in March. Following the market selloff, I decreased the Fund's U.S. Treasuries allocation and used the proceeds to substantially boost our exposure to strategies emphasizing corporate bonds, which helped the Fund rally strongly in April and May. Fidelity® SAI® Total Bond Fund (+7%) – which pursues a multisector strategy and was the largest investment – also was the biggest detractor versus the benchmark. The fund's lower-than-benchmark duration and high-yield holdings worked against the broader portfolio's relative result. A small position in Fidelity® Floating Rate High Income Fund (-3%) also hampered relative performance, as high-yield bank loans significantly underperformed the investment-grade fixed-income market as a whole. On the plus side, two Fidelity SAI funds that concentrate on intermediate- and long-term U.S. Treasuries added considerable value the past 12 months. Also, the Core Investment Grade strategy managed by FIAM® (+10%) contributed due to an overweighting in corporate credit, an underweighting in MBS and solid bond selection. Looking ahead, we are optimistic about a recovery in the U.S. economy during the second half of this year and into 2021. At the same time, we remain cognizant of key risk factors, including U.S. elections later this year.

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 Ten Holdings as of May 31, 2020

(by issuer, excluding cash equivalents) % of fund's net assets 
Fidelity SAI Total Bond Fund 37.2 
Uniform Mortgage Backed Securities 7.1 
U.S. Treasury Obligations 6.5 
Fannie Mae 5.3 
Fidelity SAI Long-Term Treasury Bond Index Fund 4.5 
Ginnie Mae 2.9 
Freddie Mac 2.6 
Fidelity Floating Rate High Income Fund 2.3 
Fidelity Corporate Bond Fund 2.0 
Fidelity New Markets Income Fund 1.8 

Asset Allocation (% of fund's net assets)

As of May 31, 2020 
   Corporate Bonds 18.7% 
   U.S. Government and U.S. Government Agency Obligations 26.6% 
   Asset-Backed Securities 2.4% 
   CMOs and Other Mortgage Related Securities 2.8% 
   Municipal Securities 0.2% 
   Bank Loan Funds 2.3% 
   High Yield Fixed-Income Funds 2.5% 
   Intermediate-Term Bond Funds 37.8% 
   Investment Grade Fixed-Income Funds 2.0% 
   Long Government Bond Funds 4.5% 
   Sector Funds 0.5% 
   Other Investments 0.3% 
 Short-Term Investments and Net Other Assets (Liabilities)* (0.6)% 


 * Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart

Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Percentages are adjusted for the effect of futures contracts and swaps, if applicable.

Schedule of Investments May 31, 2020

Showing Percentage of Net Assets

Nonconvertible Bonds - 18.7%   
 Principal Amount Value 
COMMUNICATION SERVICES - 2.2%   
Diversified Telecommunication Services - 0.8%   
AT&T, Inc.:   
3.6% 2/17/23 $4,947,000 $5,257,132 
4.1% 2/15/28 2,406,000 2,686,025 
4.3% 2/15/30 3,992,000 4,535,953 
4.45% 4/1/24 479,000 529,672 
4.5% 3/9/48 33,904,000 38,591,459 
4.75% 5/15/46 41,310,000 48,161,394 
4.9% 6/15/42 6,909,000 7,896,685 
5.55% 8/15/41 12,537,000 15,695,932 
6.2% 3/15/40 2,303,000 3,060,481 
C&W Senior Financing Designated Activity Co.:   
6.875% 9/15/27 (a) 1,246,000 1,229,416 
7.5% 10/15/26 (a) 1,565,000 1,596,300 
Century Telephone Enterprises, Inc. 6.875% 1/15/28 40,000 41,800 
CenturyLink, Inc.:   
5.125% 12/15/26 (a) 1,185,000 1,196,850 
5.625% 4/1/25 415,000 427,450 
Level 3 Financing, Inc.:   
5.25% 3/15/26 1,028,000 1,063,980 
5.375% 1/15/24 2,779,000 2,813,738 
5.375% 5/1/25 613,000 629,741 
Sable International Finance Ltd. 5.75% 9/7/27 (a) 2,595,000 2,614,463 
SFR Group SA:   
7.375% 5/1/26 (a) 1,245,000 1,310,363 
8.125% 2/1/27 (a) 325,000 357,500 
Telecom Italia Capital SA:   
6% 9/30/34 286,000 308,165 
6.375% 11/15/33 162,000 181,035 
Telecom Italia SpA 5.303% 5/30/24 (a) 2,014,000 2,109,323 
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (a) 800,000 832,000 
Verizon Communications, Inc.:   
3% 3/22/27 2,190,000 2,385,170 
3.15% 3/22/30 3,550,000 3,935,087 
4% 3/22/50 3,635,000 4,464,333 
4.329% 9/21/28 10,293,000 12,292,331 
4.862% 8/21/46 22,754,000 30,527,742 
5.012% 4/15/49 1,323,000 1,834,576 
  198,566,096 
Entertainment - 0.1%   
NBCUniversal, Inc.:   
4.45% 1/15/43 2,043,000 2,516,734 
5.95% 4/1/41 1,429,000 2,061,406 
Netflix, Inc.:   
4.375% 11/15/26 395,000 419,344 
4.875% 4/15/28 345,000 368,288 
4.875% 6/15/30 (a) 175,000 188,930 
5.375% 11/15/29 (a) 285,000 316,379 
5.875% 11/15/28 450,000 512,042 
6.375% 5/15/29 135,000 158,288 
The Walt Disney Co.:   
2.2% 1/13/28 10,316,000 10,762,598 
2.65% 1/13/31 13,000,000 13,863,668 
  31,167,677 
Interactive Media & Services - 0.0%   
Match Group, Inc. 4.125% 8/1/30 (a) 170,000 166,600 
Media - 1.0%   
Altice Financing SA:   
5% 1/15/28 (a) 225,000 226,898 
7.5% 5/15/26 (a) 819,000 862,301 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
4.5% 8/15/30 (a) 435,000 451,313 
5% 2/1/28 (a) 2,401,000 2,514,735 
5.125% 5/1/27 (a) 1,159,000 1,216,973 
5.375% 5/1/25 (a) 1,393,000 1,431,308 
5.5% 5/1/26 (a) 528,000 558,360 
5.75% 2/15/26 (a) 438,000 456,694 
5.875% 5/1/27 (a) 697,000 730,108 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
2.8% 4/1/31 25,100,000 25,092,752 
3.7% 4/1/51 20,100,000 19,376,786 
4.464% 7/23/22 5,986,000 6,374,835 
4.8% 3/1/50 10,000,000 11,135,309 
4.908% 7/23/25 4,642,000 5,313,616 
5.375% 5/1/47 41,310,000 48,898,696 
5.75% 4/1/48 18,275,000 22,503,886 
Comcast Corp.:   
3.1% 4/1/25 1,028,000 1,123,514 
3.3% 4/1/27 2,776,000 3,080,422 
3.4% 4/1/30 2,848,000 3,210,977 
3.75% 4/1/40 1,000,000 1,146,029 
3.9% 3/1/38 1,096,000 1,277,418 
4.6% 8/15/45 2,885,000 3,649,124 
4.65% 7/15/42 2,578,000 3,266,619 
CSC Holdings LLC:   
5.375% 7/15/23 (a) 1,258,000 1,276,518 
5.5% 5/15/26 (a) 503,000 525,484 
5.5% 4/15/27 (a) 564,000 596,430 
Discovery Communications LLC:   
3.625% 5/15/30 6,407,000 6,768,936 
4.65% 5/15/50 17,335,000 18,427,985 
DISH DBS Corp. 5.875% 11/15/24 638,000 629,891 
Fox Corp.:   
3.666% 1/25/22 902,000 940,519 
4.03% 1/25/24 1,586,000 1,743,549 
4.709% 1/25/29 2,296,000 2,683,899 
5.476% 1/25/39 2,264,000 2,903,578 
5.576% 1/25/49 1,502,000 1,989,225 
Radiate Holdco LLC/Radiate Financial Service Ltd. 6.625% 2/15/25 (a) 365,000 373,939 
Sirius XM Radio, Inc.:   
4.625% 7/15/24 (a) 337,000 345,054 
5% 8/1/27 (a) 375,000 391,875 
5.375% 4/15/25 (a) 1,110,000 1,139,004 
5.375% 7/15/26 (a) 2,275,000 2,358,891 
Time Warner Cable, Inc.:   
4% 9/1/21 12,819,000 13,138,707 
4.5% 9/15/42 886,000 948,738 
5.5% 9/1/41 1,530,000 1,804,920 
5.875% 11/15/40 3,289,000 4,037,736 
6.55% 5/1/37 5,846,000 7,457,586 
6.75% 6/15/39 4,614,000 6,050,444 
7.3% 7/1/38 3,785,000 5,046,947 
Virgin Media Secured Finance PLC 5.5% 8/15/26 (a) 709,000 739,133 
Ziggo Bond Co. BV 5.125% 2/28/30 (a) 540,000 553,500 
Ziggo BV 5.5% 1/15/27 (a) 3,220,000 3,386,893 
  250,158,054 
Wireless Telecommunication Services - 0.3%   
Intelsat Jackson Holdings SA 8% 2/15/24 (a) 1,445,000 1,459,450 
Millicom International Cellular SA:   
5.125% 1/15/28 (a) 1,200,000 1,194,060 
6% 3/15/25 (a) 240,000 242,700 
6.625% 10/15/26 (a) 1,253,000 1,313,301 
Neptune Finco Corp.:   
6.625% 10/15/25 (a) 4,701,000 4,914,190 
10.875% 10/15/25 (a) 55,000 59,549 
SoftBank Group Corp. 5.375% 7/30/22 (Reg. S) 543,000 560,648 
Sprint Communications, Inc. 6% 11/15/22 2,100,000 2,231,250 
Sprint Corp. 7.875% 9/15/23 600,000 681,000 
T-Mobile U.S.A., Inc.:   
3.75% 4/15/27 (a) 12,750,000 13,785,173 
3.875% 4/15/30 (a) 23,877,000 25,884,578 
4.375% 4/15/40 (a) 2,340,000 2,579,990 
4.5% 2/1/26 376,000 386,479 
4.5% 4/15/50 (a) 4,597,000 5,168,545 
6.375% 3/1/25 2,175,000 2,243,099 
Ypso Finance BIS SA 6% 2/15/28 (a) 250,000 243,125 
  62,947,137 
TOTAL COMMUNICATION SERVICES  543,005,564 
CONSUMER DISCRETIONARY - 1.4%   
Automobiles - 0.3%   
General Motors Co. 5.4% 10/2/23 18,263,000 19,291,012 
General Motors Financial Co., Inc.:   
3.7% 5/9/23 8,751,000 8,752,867 
4.25% 5/15/23 1,359,000 1,366,491 
4.375% 9/25/21 5,310,000 5,340,655 
5.2% 3/20/23 11,203,000 11,662,627 
Volkswagen Group of America Finance LLC:   
2.9% 5/13/22 (a) 10,524,000 10,708,781 
3.125% 5/12/23 (a) 9,168,000 9,414,557 
3.35% 5/13/25 (a) 14,765,000 15,382,635 
  81,919,625 
Diversified Consumer Services - 0.0%   
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (a) 765,000 682,763 
Service Corp. International 5.125% 6/1/29 970,000 1,045,175 
  1,727,938 
Hotels, Restaurants & Leisure - 0.1%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:   
4.25% 5/15/24 (a) 743,000 751,610 
4.375% 1/15/28 (a) 670,000 658,275 
5.75% 4/15/25 (a) 210,000 223,062 
Aramark Services, Inc.:   
4.75% 6/1/26 843,000 830,355 
5% 2/1/28 (a) 2,230,000 2,196,550 
6.375% 5/1/25 (a) 705,000 737,987 
Caesars Resort Collection LLC 5.25% 10/15/25 (a) 836,000 743,518 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.:   
4.625% 4/1/25 836,000 829,730 
4.875% 4/1/27 164,000 162,770 
KFC Holding Co./Pizza Hut Holding LLC 5% 6/1/24 (a) 836,000 855,721 
McDonald's Corp.:   
3.3% 7/1/25 1,059,000 1,169,825 
3.5% 7/1/27 3,014,000 3,369,555 
3.6% 7/1/30 3,587,000 4,059,126 
4.2% 4/1/50 1,814,000 2,145,964 
MCE Finance Ltd. 4.875% 6/6/25 (a) 750,000 740,577 
MGM Mirage, Inc.:   
5.75% 6/15/25 820,000 817,950 
6% 3/15/23 606,000 607,388 
Starbucks Corp. 1.3% 5/7/22 5,502,000 5,574,444 
Twin River Worldwide Holdings, Inc. 6.75% 6/1/27 (a) 360,000 335,700 
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (a) 478,000 454,162 
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.:   
5.25% 5/15/27 (a) 1,117,000 1,036,018 
5.5% 3/1/25 (a) 700,000 678,563 
Wynn Macau Ltd.:   
4.875% 10/1/24 (a) 762,000 753,666 
5.5% 10/1/27 (a) 425,000 423,805 
Yum! Brands, Inc. 7.75% 4/1/25 (a) 805,000 889,525 
  31,045,846 
Household Durables - 0.2%   
Lennar Corp.:   
4.75% 11/29/27 9,429,000 10,277,610 
5% 6/15/27 12,243,000 13,191,833 
5.25% 6/1/26 2,965,000 3,187,375 
Toll Brothers Finance Corp.:   
4.35% 2/15/28 14,431,000 14,719,620 
4.875% 11/15/25 45,000 47,372 
4.875% 3/15/27 15,464,000 16,275,860 
5.625% 1/15/24 950,000 1,007,000 
  58,706,670 
Leisure Products - 0.1%   
Hasbro, Inc.:   
2.6% 11/19/22 2,845,000 2,914,662 
3% 11/19/24 6,474,000 6,599,516 
Mattel, Inc. 6.75% 12/31/25 (a) 355,000 370,088 
  9,884,266 
Multiline Retail - 0.0%   
Target Corp.:   
2.25% 4/15/25 2,938,000 3,131,441 
2.65% 9/15/30 2,547,000 2,769,756 
  5,901,197 
Specialty Retail - 0.6%   
AutoNation, Inc. 4.75% 6/1/30 1,430,000 1,488,793 
AutoZone, Inc.:   
3.625% 4/15/25 2,041,000 2,241,474 
4% 4/15/30 19,121,000 21,523,051 
Lowe's Companies, Inc.:   
4% 4/15/25 2,745,000 3,103,082 
4.5% 4/15/30 6,744,000 8,112,932 
5% 4/15/40 13,952,000 17,809,371 
5.125% 4/15/50 22,864,000 30,778,225 
O'Reilly Automotive, Inc. 4.2% 4/1/30 2,105,000 2,375,432 
The Home Depot, Inc.:   
2.5% 4/15/27 1,347,000 1,466,897 
2.7% 4/15/30 2,506,000 2,735,200 
3.3% 4/15/40 3,065,000 3,423,139 
3.35% 4/15/50 1,723,000 1,947,344 
TJX Companies, Inc.:   
3.5% 4/15/25 3,342,000 3,733,839 
3.75% 4/15/27 7,767,000 8,812,996 
3.875% 4/15/30 14,400,000 16,911,896 
4.5% 4/15/50 9,275,000 11,755,956 
  138,219,627 
Textiles, Apparel & Luxury Goods - 0.1%   
NIKE, Inc.:   
2.4% 3/27/25 1,249,000 1,339,833 
2.75% 3/27/27 2,810,000 3,072,454 
2.85% 3/27/30 5,133,000 5,703,592 
3.25% 3/27/40 4,305,000 4,801,251 
3.375% 3/27/50 3,380,000 3,907,793 
The William Carter Co. 5.625% 3/15/27 (a) 446,000 455,585 
Wolverine World Wide, Inc. 6.375% 5/15/25 (a) 645,000 667,575 
  19,948,083 
TOTAL CONSUMER DISCRETIONARY  347,353,252 
CONSUMER STAPLES - 1.6%   
Beverages - 0.8%   
Anheuser-Busch InBev Finance, Inc.:   
3.65% 2/1/26 8,244,000 9,067,881 
4.7% 2/1/36 6,600,000 7,535,540 
4.9% 2/1/46 14,391,000 16,651,123 
Anheuser-Busch InBev Worldwide, Inc.:   
3.5% 6/1/30 10,375,000 11,385,600 
4.35% 6/1/40 6,274,000 7,004,026 
4.5% 6/1/50 11,500,000 12,851,657 
4.6% 6/1/60 18,803,000 21,244,556 
4.75% 1/23/29 11,220,000 13,256,352 
4.75% 4/15/58 5,641,000 6,424,588 
5.45% 1/23/39 5,480,000 6,734,750 
5.55% 1/23/49 13,389,000 16,787,266 
5.8% 1/23/59 (Reg. S) 14,304,000 18,829,026 
Constellation Brands, Inc. 4.75% 11/15/24 3,799,000 4,347,111 
PepsiCo, Inc.:   
2.625% 3/19/27 1,114,000 1,218,322 
2.75% 3/19/30 5,700,000 6,298,167 
3.5% 3/19/40 3,746,000 4,481,716 
3.625% 3/19/50 5,700,000 6,829,680 
3.875% 3/19/60 2,970,000 3,724,630 
The Coca-Cola Co.:   
3.375% 3/25/27 7,649,000 8,738,405 
3.45% 3/25/30 5,990,000 6,950,326 
4.125% 3/25/40 3,394,000 4,216,227 
4.2% 3/25/50 6,338,000 8,190,426 
  202,767,375 
Food & Staples Retailing - 0.5%   
ESAL GmbH 6.25% 2/5/23 (a) 280,000 282,660 
Sysco Corp.:   
5.65% 4/1/25 18,573,000 21,153,750 
5.95% 4/1/30 5,150,000 6,192,932 
6.6% 4/1/40 13,806,000 17,303,441 
6.6% 4/1/50 53,060,000 68,513,388 
U.S. Foods, Inc. 6.25% 4/15/25 (a) 445,000 461,131 
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 1,926,000 1,981,625 
  115,888,927 
Food Products - 0.2%   
Archer Daniels Midland Co.:   
2.75% 3/27/25 1,766,000 1,903,526 
3.25% 3/27/30 2,937,000 3,319,685 
Conagra Brands, Inc. 3.8% 10/22/21 1,548,000 1,608,675 
Darling Ingredients, Inc. 5.25% 4/15/27 (a) 285,000 296,400 
General Mills, Inc. 2.875% 4/15/30 1,277,000 1,372,757 
H.J. Heinz Co.:   
3.875% 5/15/27 (a) 560,000 585,061 
4.25% 3/1/31 (a) 525,000 558,638 
4.375% 6/1/46 11,995,000 11,208,889 
4.875% 10/1/49 (a) 10,000,000 9,821,072 
5.2% 7/15/45 6,203,000 6,360,902 
H.J. Heinz Finance Co. 7.125% 8/1/39 (a) 9,489,000 11,632,116 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (a) 2,236,000 2,291,900 
5.875% 7/15/24 (a) 2,434,000 2,473,553 
6.75% 2/15/28 (a) 269,000 291,144 
JBS U.S.A. Lux SA / JBS Food Co.:   
5.5% 1/15/30 (a) 710,000 736,625 
6.5% 4/15/29 (a) 1,956,000 2,127,150 
Lamb Weston Holdings, Inc. 4.875% 5/15/28 (a) 825,000 863,940 
  57,452,033 
Household Products - 0.0%   
Kimberly-Clark Corp. 3.1% 3/26/30 720,000 822,275 
Procter & Gamble Co.:   
2.8% 3/25/27 1,441,000 1,598,530 
3% 3/25/30 3,454,000 3,957,868 
3.55% 3/25/40 2,491,000 3,005,433 
3.6% 3/25/50 2,416,000 3,033,340 
  12,417,446 
Personal Products - 0.1%   
Estee Lauder Companies, Inc.:   
2.6% 4/15/30 7,880,000 8,518,671 
3.125% 12/1/49 5,608,000 5,944,256 
  14,462,927 
TOTAL CONSUMER STAPLES  402,988,708 
ENERGY - 1.6%   
Energy Equipment & Services - 0.0%   
El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21 1,456,000 1,510,509 
Jonah Energy LLC 7.25% 10/15/25 (a) 301,000 15,050 
Summit Midstream Holdings LLC 5.5% 8/15/22 600,000 288,000 
  1,813,559 
Oil, Gas & Consumable Fuels - 1.6%   
Alberta Energy Co. Ltd. 8.125% 9/15/30 5,649,000 5,143,106 
Amerada Hess Corp.:   
7.125% 3/15/33 1,403,000 1,525,268 
7.3% 8/15/31 1,709,000 1,834,978 
7.875% 10/1/29 4,789,000 5,298,577 
Canadian Natural Resources Ltd.:   
3.45% 11/15/21 2,648,000 2,690,874 
5.85% 2/1/35 2,024,000 2,179,913 
Cenovus Energy, Inc. 4.25% 4/15/27 6,131,000 5,564,408 
Cheniere Energy Partners LP:   
5.25% 10/1/25 4,295,000 4,337,950 
5.625% 10/1/26 730,000 742,994 
Chesapeake Energy Corp.:   
7% 10/1/24 210,000 7,875 
8% 6/15/27 1,005,000 15,075 
Columbia Pipeline Group, Inc.:   
3.3% 6/1/20 2,797,000 2,797,000 
4.5% 6/1/25 852,000 956,023 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
5.625% 5/1/27 (a) 600,000 522,000 
5.75% 4/1/25 1,671,000 1,554,030 
6.25% 4/1/23 750,000 714,375 
CVR Energy, Inc.:   
5.25% 2/15/25 (a) 790,000 711,000 
5.75% 2/15/28 (a) 105,000 93,319 
DCP Midstream LLC:   
4.75% 9/30/21 (a) 2,233,000 2,188,340 
5.85% 5/21/43 (a)(b) 4,466,000 2,802,415 
DCP Midstream Operating LP:   
3.875% 3/15/23 3,116,000 2,944,620 
5.125% 5/15/29 850,000 773,500 
5.375% 7/15/25 1,605,000 1,552,147 
5.6% 4/1/44 2,703,000 1,973,190 
Denbury Resources, Inc.:   
7.75% 2/15/24 (a) 770,000 315,700 
9.25% 3/31/22 (a) 70,000 28,000 
EG Global Finance PLC:   
6.75% 2/7/25 (a) 530,000 536,514 
8.5% 10/30/25 (a) 910,000 948,675 
El Paso Corp. 6.5% 9/15/20 7,470,000 7,539,409 
Enable Midstream Partners LP 3.9% 5/15/24 (b) 869,000 788,634 
Enbridge Energy Partners LP 4.2% 9/15/21 2,622,000 2,702,927 
Enbridge, Inc.:   
4% 10/1/23 3,854,000 4,152,134 
4.25% 12/1/26 1,461,000 1,616,659 
Encana Corp. 5.15% 11/15/41 3,000,000 1,821,843 
Energy Transfer Partners LP:   
3.75% 5/15/30 3,643,000 3,591,417 
4.2% 9/15/23 1,203,000 1,250,658 
4.25% 3/15/23 1,393,000 1,444,535 
4.5% 4/15/24 1,576,000 1,660,592 
4.95% 6/15/28 4,103,000 4,322,296 
5% 5/15/50 7,800,000 7,473,295 
5.25% 4/15/29 2,564,000 2,746,516 
5.8% 6/15/38 2,288,000 2,359,716 
6% 6/15/48 1,490,000 1,574,205 
6.25% 4/15/49 1,761,000 1,911,412 
Global Partners LP/GLP Finance Corp. 7% 8/1/27 1,200,000 1,043,640 
Hess Corp.:   
4.3% 4/1/27 1,341,000 1,349,203 
5.6% 2/15/41 2,100,000 2,083,667 
5.8% 4/1/47 5,019,000 5,040,338 
Hess Midstream Partners LP:   
5.125% 6/15/28 (a) 780,000 737,100 
5.625% 2/15/26 (a) 1,503,000 1,450,395 
Hilcorp Energy I LP/Hilcorp Finance Co. 5% 12/1/24 (a) 542,000 476,960 
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (a) 910,000 896,350 
Kinder Morgan Energy Partners LP 3.45% 2/15/23 2,000,000 2,091,969 
Kinder Morgan, Inc. 5.55% 6/1/45 3,046,000 3,730,466 
Marathon Petroleum Corp. 5.125% 3/1/21 1,583,000 1,619,299 
MPLX LP:   
3 month U.S. LIBOR + 0.900% 1.8989% 9/9/21 (b)(c) 2,253,000 2,180,386 
3 month U.S. LIBOR + 1.100% 2.0989% 9/9/22 (b)(c) 3,392,000 3,202,745 
4.8% 2/15/29 1,376,000 1,500,189 
4.875% 12/1/24 1,974,000 2,117,751 
5.5% 2/15/49 4,129,000 4,674,524 
Occidental Petroleum Corp.:   
2.6% 8/13/21 2,203,000 2,121,489 
2.7% 8/15/22 1,947,000 1,780,921 
2.9% 8/15/24 6,978,000 5,547,510 
3.125% 2/15/22 4,013,000 3,757,532 
3.2% 8/15/26 865,000 631,191 
3.4% 4/15/26 115,000 84,813 
3.5% 8/15/29 2,726,000 1,833,235 
4.3% 8/15/39 562,000 332,985 
4.4% 4/15/46 235,000 141,294 
4.4% 8/15/49 3,717,000 2,202,323 
4.85% 3/15/21 1,251,000 1,225,980 
5.55% 3/15/26 5,689,000 4,835,650 
6.2% 3/15/40 160,000 109,200 
6.45% 9/15/36 4,975,000 3,569,563 
6.6% 3/15/46 4,886,000 3,395,770 
7.5% 5/1/31 7,400,000 6,068,000 
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (a) 665,000 720,009 
Petrobras Global Finance BV 7.25% 3/17/44 27,432,000 28,416,809 
Petroleos Mexicanos:   
6.35% 2/12/48 1,560,000 1,137,581 
6.49% 1/23/27 (a) 3,630,000 3,189,863 
6.5% 3/13/27 4,256,000 3,758,580 
6.75% 9/21/47 22,490,000 17,457,863 
6.84% 1/23/30 (a) 15,264,000 13,050,625 
6.95% 1/28/60 (a) 7,166,000 5,474,824 
7.69% 1/23/50 (a) 52,206,000 43,461,495 
Phillips 66 Co.:   
3.7% 4/6/23 860,000 918,919 
3.85% 4/9/25 1,108,000 1,219,224 
Plains All American Pipeline LP/PAA Finance Corp.:   
3.55% 12/15/29 1,968,000 1,858,743 
3.6% 11/1/24 1,903,000 1,901,638 
3.65% 6/1/22 3,779,000 3,786,675 
QEP Resources, Inc. 5.25% 5/1/23 836,000 445,170 
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 2,000,000 2,106,743 
Sabine Pass Liquefaction LLC 4.5% 5/15/30 (a) 14,626,000 16,009,697 
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 1,732,000 1,720,446 
Sunoco LP/Sunoco Finance Corp.:   
4.875% 1/15/23 35,000 35,514 
5.5% 2/15/26 1,315,000 1,321,575 
5.875% 3/15/28 135,000 136,688 
6% 4/15/27 15,000 15,397 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
4.25% 11/15/23 516,000 504,488 
5.125% 2/1/25 953,000 949,140 
5.375% 2/1/27 128,000 127,200 
5.875% 4/15/26 881,000 896,418 
The Williams Companies, Inc.:   
3.5% 11/15/30 15,742,000 16,486,650 
3.7% 1/15/23 808,000 842,391 
4.55% 6/24/24 8,829,000 9,571,390 
Transcontinental Gas Pipe Line Co. LLC:   
3.25% 5/15/30 (a) 1,873,000 1,993,154 
3.95% 5/15/50 (a) 6,066,000 6,437,837 
Valero Energy Corp.:   
2.7% 4/15/23 3,084,000 3,190,855 
2.85% 4/15/25 1,774,000 1,864,994 
Viper Energy Partners LP 5.375% 11/1/27 (a) 600,000 595,500 
Western Gas Partners LP:   
3.1% 2/1/25 245,000 228,002 
3.95% 6/1/25 1,280,000 1,190,016 
4% 7/1/22 125,000 122,890 
4.05% 2/1/30 410,000 367,852 
4.65% 7/1/26 2,775,000 2,588,298 
4.75% 8/15/28 1,236,000 1,118,580 
5.25% 2/1/50 90,000 72,873 
5.3% 3/1/48 240,000 187,200 
5.375% 6/1/21 4,807,000 4,746,913 
Williams Partners LP:   
4% 11/15/21 1,425,000 1,467,344 
4.125% 11/15/20 474,000 475,293 
4.3% 3/4/24 1,992,000 2,141,968 
5.1% 9/15/45 9,765,000 10,952,180 
  386,804,056 
TOTAL ENERGY  388,617,615 
FINANCIALS - 7.8%   
Banks - 3.8%   
Bank of America Corp.:   
3.004% 12/20/23 (b) 10,687,000 11,166,959 
3.3% 1/11/23 2,658,000 2,813,110 
3.419% 12/20/28 (b) 5,193,000 5,650,147 
3.5% 4/19/26 6,078,000 6,735,192 
3.95% 4/21/25 37,660,000 41,147,266 
4% 1/22/25 26,856,000 29,311,278 
4.1% 7/24/23 1,426,000 1,559,260 
4.183% 11/25/27 6,909,000 7,750,251 
4.2% 8/26/24 8,311,000 9,165,582 
4.25% 10/22/26 38,178,000 42,863,203 
4.45% 3/3/26 6,522,000 7,344,957 
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 1.8653% 7/20/22 (a)(b)(c) 8,158,000 8,164,130 
Barclays Bank PLC:   
1.7% 5/12/22 5,246,000 5,317,645 
10.179% 6/12/21 (a) 1,750,000 1,893,483 
Barclays PLC:   
2.852% 5/7/26 (b) 14,944,000 15,309,807 
4.375% 1/12/26 4,468,000 4,914,085 
4.836% 5/9/28 6,102,000 6,565,637 
5.088% 6/20/30 (b) 29,218,000 32,560,860 
5.2% 5/12/26 1,556,000 1,708,021 
BPCE SA 4.875% 4/1/26 (a) 7,383,000 8,187,938 
Capital One NA 2.15% 9/6/22 5,537,000 5,606,791 
CIT Group, Inc.:   
4.75% 2/16/24 2,520,000 2,524,712 
6.125% 3/9/28 4,920,000 5,092,200 
Citigroup, Inc.:   
2.7% 10/27/22 32,935,000 34,110,863 
3.352% 4/24/25 (b) 6,844,000 7,280,820 
4.05% 7/30/22 1,320,000 1,395,254 
4.075% 4/23/29 (b) 4,606,000 5,143,699 
4.125% 7/25/28 6,909,000 7,583,434 
4.3% 11/20/26 1,766,000 1,965,466 
4.4% 6/10/25 19,341,000 21,393,990 
4.412% 3/31/31 (b) 34,201,000 39,390,508 
4.45% 9/29/27 21,445,000 23,840,805 
4.5% 1/14/22 3,193,000 3,374,043 
4.6% 3/9/26 17,445,000 19,536,127 
5.3% 5/6/44 9,501,000 12,052,816 
5.5% 9/13/25 7,738,000 9,051,060 
Citizens Financial Group, Inc.:   
4.15% 9/28/22 (a) 3,130,000 3,265,720 
4.3% 12/3/25 6,411,000 7,001,181 
Comerica, Inc. 3.7% 7/31/23 14,084,000 15,056,226 
Commonwealth Bank of Australia 3.61% 9/12/34 (a)(b) 3,723,000 3,851,419 
Credit Suisse Group Funding Guernsey Ltd.:   
3.75% 3/26/25 9,717,000 10,551,708 
3.8% 9/15/22 4,767,000 5,032,339 
3.8% 6/9/23 6,892,000 7,316,395 
4.55% 4/17/26 3,126,000 3,545,957 
Fifth Third Bancorp 8.25% 3/1/38 1,098,000 1,648,793 
HSBC Holdings PLC:   
4.25% 3/14/24 1,433,000 1,526,582 
4.95% 3/31/30 2,548,000 2,991,382 
5.25% 3/14/44 1,039,000 1,272,192 
Huntington Bancshares, Inc. 7% 12/15/20 736,000 757,880 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (a) 10,324,000 10,351,996 
5.71% 1/15/26 (a) 29,145,000 29,974,183 
JPMorgan Chase & Co.:   
2.95% 10/1/26 3,081,000 3,321,568 
2.956% 5/13/31 (b) 7,934,000 8,168,022 
3.797% 7/23/24 (b) 9,901,000 10,639,499 
3.875% 9/10/24 6,291,000 6,913,163 
4.125% 12/15/26 25,341,000 28,598,018 
4.35% 8/15/21 8,482,000 8,875,533 
4.625% 5/10/21 1,251,000 1,298,903 
Rabobank Nederland 4.375% 8/4/25 4,789,000 5,305,184 
Regions Financial Corp. 2.25% 5/18/25 12,128,000 12,355,534 
Royal Bank of Scotland Group PLC:   
3.073% 5/22/28 (b) 8,707,000 8,911,998 
4.8% 4/5/26 19,815,000 22,198,084 
5.125% 5/28/24 35,958,000 38,686,611 
6% 12/19/23 43,478,000 47,903,079 
6.1% 6/10/23 19,857,000 21,683,067 
6.125% 12/15/22 21,905,000 23,646,496 
Royal Bank of Scotland PLC 2.375% 5/21/23 (a) 15,700,000 15,834,659 
Societe Generale 4.25% 4/14/25 (a) 7,110,000 7,359,719 
Synchrony Bank 3% 6/15/22 3,984,000 3,998,356 
UniCredit SpA 6.572% 1/14/22 (a) 6,953,000 7,246,663 
Wells Fargo & Co.:   
2.406% 10/30/25 (b) 7,739,000 7,943,057 
4.3% 7/22/27 25,328,000 28,505,622 
4.478% 4/4/31 (b) 19,300,000 22,547,302 
5.013% 4/4/51 (b) 32,990,000 43,404,988 
Westpac Banking Corp. 4.11% 7/24/34 (b) 5,171,000 5,560,876 
  944,521,353 
Capital Markets - 1.8%   
Affiliated Managers Group, Inc. 4.25% 2/15/24 1,396,000 1,502,079 
Ares Capital Corp. 4.2% 6/10/24 15,463,000 14,794,244 
Credit Suisse Group AG:   
2.593% 9/11/25 (a)(b) 14,306,000 14,628,724 
4.194% 4/1/31 (a)(b) 37,158,000 41,212,168 
Deutsche Bank AG 4.5% 4/1/25 15,769,000 15,542,753 
Deutsche Bank AG New York Branch:   
3.3% 11/16/22 7,369,000 7,437,673 
4.1% 1/13/26 8,332,000 8,475,642 
5% 2/14/22 11,778,000 12,144,547 
Goldman Sachs Group, Inc.:   
2.876% 10/31/22 (b) 10,640,000 10,871,136 
3.2% 2/23/23 5,987,000 6,295,790 
3.272% 9/29/25 (b) 35,921,000 38,018,850 
3.8% 3/15/30 20,550,000 22,718,486 
4.25% 10/21/25 12,215,000 13,574,393 
6.75% 10/1/37 59,592,000 82,410,273 
Intercontinental Exchange, Inc.:   
2.75% 12/1/20 1,140,000 1,153,251 
3.75% 12/1/25 2,038,000 2,306,103 
Moody's Corp.:   
3.25% 1/15/28 2,085,000 2,300,326 
3.75% 3/24/25 8,761,000 9,770,131 
4.875% 2/15/24 1,958,000 2,198,207 
Morgan Stanley:   
3 month U.S. LIBOR + 0.930% 2.0276% 7/22/22 (b)(c) 3,745,000 3,737,061 
3.125% 1/23/23 5,527,000 5,834,759 
3.125% 7/27/26 14,775,000 16,006,862 
3.622% 4/1/31 (b) 17,370,000 19,286,494 
3.625% 1/20/27 16,594,000 18,400,943 
3.7% 10/23/24 4,754,000 5,216,433 
3.75% 2/25/23 3,789,000 4,052,719 
3.875% 4/29/24 4,377,000 4,792,106 
4.1% 5/22/23 7,911,000 8,474,077 
4.431% 1/23/30 (b) 5,526,000 6,465,191 
4.875% 11/1/22 9,955,000 10,800,008 
5% 11/24/25 21,351,000 24,570,367 
5.75% 1/25/21 4,669,000 4,823,339 
MSCI, Inc.:   
4.75% 8/1/26 (a) 900,000 938,250 
5.375% 5/15/27 (a) 1,242,000 1,335,150 
State Street Corp.:   
2.825% 3/30/23 (a)(b) 1,216,000 1,257,410 
2.901% 3/30/26 (a)(b) 1,141,000 1,226,486 
3.152% 3/30/31 (a)(b) 777,000 860,426 
  445,432,857 
Consumer Finance - 1.1%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.875% 8/14/24 8,576,000 7,111,236 
3.5% 5/26/22 1,452,000 1,346,239 
4.125% 7/3/23 4,250,000 3,783,720 
4.45% 12/16/21 3,670,000 3,483,333 
4.45% 4/3/26 4,254,000 3,533,253 
4.5% 5/15/21 1,333,000 1,299,220 
4.875% 1/16/24 6,629,000 5,927,095 
5% 10/1/21 1,999,000 1,924,101 
Ally Financial, Inc.:   
3.875% 5/21/24 9,264,000 9,357,474 
4.625% 3/30/25 3,595,000 3,702,850 
5.125% 9/30/24 4,859,000 5,056,421 
5.75% 11/20/25 1,188,000 1,235,520 
5.8% 5/1/25 9,417,000 10,294,853 
8% 11/1/31 5,369,000 6,774,926 
Capital One Financial Corp.:   
2.6% 5/11/23 13,728,000 14,096,546 
3.65% 5/11/27 21,700,000 22,642,609 
3.8% 1/31/28 6,880,000 7,227,566 
Discover Financial Services:   
3.85% 11/21/22 2,241,000 2,320,977 
3.95% 11/6/24 1,874,000 1,985,074 
4.1% 2/9/27 17,218,000 17,854,894 
4.5% 1/30/26 5,913,000 6,332,791 
5.2% 4/27/22 1,887,000 1,987,608 
Ford Motor Credit Co. LLC:   
4.063% 11/1/24 46,639,000 43,840,660 
5.085% 1/7/21 3,662,000 3,620,803 
5.584% 3/18/24 8,520,000 8,474,844 
5.596% 1/7/22 7,576,000 7,557,060 
Navient Corp.:   
6.5% 6/15/22 1,506,000 1,478,214 
7.25% 1/25/22 376,000 374,120 
7.25% 9/25/23 1,246,000 1,196,160 
Springleaf Finance Corp.:   
6.875% 3/15/25 935,000 923,032 
7.125% 3/15/26 241,000 237,385 
Synchrony Financial:   
2.85% 7/25/22 2,154,000 2,114,144 
3.75% 8/15/21 1,457,000 1,479,069 
3.95% 12/1/27 8,239,000 7,880,361 
4.25% 8/15/24 1,467,000 1,466,098 
4.375% 3/19/24 8,694,000 8,774,294 
5.15% 3/19/29 18,424,000 18,851,488 
Toyota Motor Credit Corp.:   
2.9% 3/30/23 13,822,000 14,542,387 
3% 4/1/25 12,643,000 13,748,762 
3.375% 4/1/30 4,103,000 4,604,869 
  280,442,056 
Diversified Financial Services - 0.2%   
AXA Equitable Holdings, Inc. 3.9% 4/20/23 1,038,000 1,095,872 
Brixmor Operating Partnership LP:   
4.125% 6/15/26 5,362,000 5,471,444 
4.125% 5/15/29 19,691,000 19,017,538 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.75% 9/15/24 740,000 714,100 
5.25% 5/15/27 2,275,000 2,166,938 
6.25% 5/15/26 1,136,000 1,141,907 
6.375% 12/15/25 387,000 390,905 
MPH Acquisition Holdings LLC 7.125% 6/1/24 (a) 930,000 878,850 
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) 7,300,000 6,270,486 
Pine Str Trust Ii 5.568% 2/15/49 (a) 7,700,000 8,166,889 
Pine Street Trust I 4.572% 2/15/29 (a) 7,749,000 8,283,707 
Voya Financial, Inc. 3.125% 7/15/24 2,503,000 2,591,373 
  56,190,009 
Insurance - 0.9%   
AFLAC, Inc. 3.6% 4/1/30 4,255,000 4,912,651 
AIA Group Ltd. 3.375% 4/7/30 (a) 13,088,000 14,094,820 
American International Group, Inc.:   
2.5% 6/30/25 21,700,000 22,446,149 
3.4% 6/30/30 21,700,000 22,770,779 
4.875% 6/1/22 2,648,000 2,848,749 
Aon Corp. 5% 9/30/20 983,000 997,032 
Five Corners Funding Trust II 2.85% 5/15/30 (a) 15,870,000 16,208,316 
Liberty Mutual Group, Inc.:   
3.95% 5/15/60 (a) 12,820,000 12,939,609 
4.569% 2/1/29 (a) 2,429,000 2,737,817 
Lincoln National Corp. 3.4% 1/15/31 14,811,000 15,451,485 
Marsh & McLennan Companies, Inc.:   
2.25% 11/15/30 4,420,000 4,477,237 
4.375% 3/15/29 4,970,000 5,866,946 
4.75% 3/15/39 2,280,000 2,862,802 
4.8% 7/15/21 1,355,000 1,403,290 
4.9% 3/15/49 4,538,000 6,047,083 
Metropolitan Life Global Funding I U.S. SOFR SEC OVRN FIN RATE INDX + 0.500% 0.56% 5/28/21 (a)(b)(c) 33,100,000 32,935,584 
New York Life Insurance Co. 3.75% 5/15/50 (a) 3,182,000 3,573,082 
Pacific LifeCorp 5.125% 1/30/43 (a) 2,623,000 2,793,727 
Pricoa Global Funding I 5.375% 5/15/45 (b) 3,148,000 3,242,440 
Progressive Corp. 3.2% 3/26/30 1,484,000 1,666,031 
Prudential Financial, Inc. 4.5% 11/16/21 1,288,000 1,356,488 
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) 3,000,000 3,303,240 
Teachers Insurance & Annuity Association of America 3.3% 5/15/50 (a) 7,316,000 7,480,309 
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) 1,159,000 1,274,716 
Unum Group:   
4% 6/15/29 6,130,000 6,059,549 
4.5% 3/15/25 12,980,000 13,481,441 
5.625% 9/15/20 1,914,000 1,937,659 
5.75% 8/15/42 1,622,000 1,591,682 
  216,760,713 
Mortgage Real Estate Investment Trusts - 0.0%   
Starwood Property Trust, Inc. 4.75% 3/15/25 184,000 158,240 
Thrifts & Mortgage Finance - 0.0%   
Quicken Loans, Inc. 5.25% 1/15/28 (a) 722,000 728,635 
TOTAL FINANCIALS  1,944,233,863 
HEALTH CARE - 1.3%   
Biotechnology - 0.0%   
AbbVie, Inc. 3.2% 11/21/29 (a) 4,900,000 5,250,142 
Health Care Equipment & Supplies - 0.0%   
Becton, Dickinson & Co. 2.404% 6/5/20 4,308,000 4,307,578 
Hologic, Inc.:   
4.375% 10/15/25 (a) 350,000 357,802 
4.625% 2/1/28 (a) 65,000 67,275 
Teleflex, Inc.:   
4.25% 6/1/28 (a) 145,000 149,350 
4.875% 6/1/26 2,062,000 2,123,860 
  7,005,865 
Health Care Providers & Services - 0.9%   
Anthem, Inc. 3.3% 1/15/23 4,322,000 4,586,785 
Centene Corp.:   
3.375% 2/15/30 5,275,000 5,311,925 
4.25% 12/15/27 6,480,000 6,769,138 
4.625% 12/15/29 8,795,000 9,467,818 
4.75% 1/15/25 4,500,000 4,646,250 
5.25% 4/1/25 (a) 2,168,000 2,231,674 
5.375% 6/1/26 (a) 805,000 851,288 
5.375% 8/15/26 (a) 2,486,000 2,626,235 
Cigna Corp.:   
3.75% 7/15/23 3,531,000 3,841,830 
4.125% 11/15/25 4,327,000 4,930,147 
4.375% 10/15/28 6,630,000 7,780,911 
4.8% 8/15/38 4,128,000 5,148,772 
4.9% 12/15/48 4,124,000 5,438,385 
CVS Health Corp.:   
3% 8/15/26 891,000 973,196 
3.25% 8/15/29 2,048,000 2,214,338 
3.625% 4/1/27 3,208,000 3,521,013 
3.75% 4/1/30 9,331,000 10,443,114 
4.1% 3/25/25 27,942,000 31,227,844 
4.125% 4/1/40 4,256,000 4,909,772 
4.25% 4/1/50 14,407,000 16,890,803 
4.3% 3/25/28 12,941,000 14,755,770 
4.78% 3/25/38 5,761,000 7,014,605 
5.05% 3/25/48 25,570,000 32,828,107 
5.125% 7/20/45 4,040,000 5,109,115 
HCA Holdings, Inc.:   
4.75% 5/1/23 138,000 149,319 
5% 3/15/24 651,000 717,220 
5.25% 6/15/26 1,599,000 1,820,169 
Tenet Healthcare Corp.:   
4.625% 7/15/24 3,152,000 3,191,400 
4.875% 1/1/26 (a) 385,000 395,668 
5.125% 5/1/25 669,000 678,901 
6.25% 2/1/27 (a) 740,000 765,900 
7.5% 4/1/25 (a) 1,195,000 1,302,550 
Toledo Hospital:   
5.325% 11/15/28 2,395,000 2,498,920 
6.015% 11/15/48 4,674,000 4,988,686 
UnitedHealth Group, Inc.:   
2.75% 5/15/40 3,730,000 3,876,325 
2.9% 5/15/50 3,402,000 3,533,658 
3.125% 5/15/60 4,400,000 4,631,158 
  222,068,709 
Health Care Technology - 0.0%   
IMS Health, Inc.:   
5% 10/15/26 (a) 1,449,000 1,534,129 
5% 5/15/27 (a) 630,000 656,775 
  2,190,904 
Life Sciences Tools & Services - 0.1%   
Charles River Laboratories International, Inc.:   
4.25% 5/1/28 (a) 70,000 70,591 
5.5% 4/1/26 (a) 575,000 600,409 
Thermo Fisher Scientific, Inc.:   
4.133% 3/25/25 5,366,000 6,099,760 
4.497% 3/25/30 2,758,000 3,369,864 
  10,140,624 
Pharmaceuticals - 0.3%   
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) 50,548,000 56,590,453 
Elanco Animal Health, Inc.:   
4.662% 8/27/21 (b) 1,077,000 1,095,848 
5.022% 8/28/23 (b) 3,402,000 3,592,572 
5.65% 8/28/28 (b) 1,432,000 1,582,360 
Mylan NV:   
3.15% 6/15/21 4,013,000 4,086,862 
3.95% 6/15/26 2,065,000 2,246,858 
Perrigo Finance PLC 3.5% 12/15/21 292,000 291,160 
Teva Pharmaceutical Finance Netherlands III BV 2.2% 7/21/21 748,000 733,377 
Valeant Pharmaceuticals International, Inc. 7% 3/15/24 (a) 1,874,000 1,939,196 
Zoetis, Inc. 3.25% 2/1/23 1,210,000 1,263,209 
  73,421,895 
TOTAL HEALTH CARE  320,078,139 
INDUSTRIALS - 0.6%   
Aerospace & Defense - 0.2%   
BAE Systems PLC 3.4% 4/15/30 (a) 4,094,000 4,435,478 
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (a) 1,556,000 1,476,940 
BWX Technologies, Inc. 5.375% 7/15/26 (a) 1,748,000 1,796,734 
Moog, Inc. 4.25% 12/15/27 (a) 980,000 934,959 
The Boeing Co.:   
5.04% 5/1/27 6,070,000 6,444,299 
5.15% 5/1/30 6,070,000 6,481,750 
5.705% 5/1/40 6,070,000 6,643,948 
5.805% 5/1/50 6,070,000 6,870,752 
5.93% 5/1/60 6,070,000 7,026,746 
TransDigm, Inc.:   
6.25% 3/15/26 (a) 2,552,000 2,609,420 
7.5% 3/15/27 95,000 93,491 
8% 12/15/25 (a) 1,120,000 1,209,600 
  46,024,117 
Air Freight & Logistics - 0.0%   
Aercap Global Aviation Trust 6.5% 6/15/45 (a)(b) 1,446,000 1,075,101 
XPO Logistics, Inc. 6.25% 5/1/25 (a) 815,000 850,534 
  1,925,635 
Building Products - 0.0%   
Advanced Drain Systems, Inc. 5% 9/30/27 (a) 965,000 965,000 
Masco Corp. 4.45% 4/1/25 1,041,000 1,136,108 
  2,101,108 
Commercial Services & Supplies - 0.0%   
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (a) 915,000 894,605 
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (a) 595,000 597,231 
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (a) 1,100,000 1,098,295 
  2,590,131 
Construction & Engineering - 0.0%   
AECOM:   
5.125% 3/15/27 577,000 612,232 
5.875% 10/15/24 360,000 385,812 
  998,044 
Electrical Equipment - 0.0%   
Sensata Technologies BV:   
4.875% 10/15/23 (a) 791,000 812,753 
5% 10/1/25 (a) 520,000 539,500 
  1,352,253 
Industrial Conglomerates - 0.2%   
3M Co.:   
2.65% 4/15/25 799,000 862,467 
3.05% 4/15/30 644,000 718,626 
3.7% 4/15/50 795,000 958,634 
General Electric Co.:   
3.45% 5/1/27 2,582,000 2,556,380 
3.625% 5/1/30 6,002,000 5,935,796 
4.25% 5/1/40 18,800,000 18,307,967 
4.35% 5/1/50 21,476,000 20,864,011 
  50,203,881 
Machinery - 0.0%   
Deere & Co.:   
2.75% 4/15/25 1,587,000 1,720,750 
3.1% 4/15/30 4,222,000 4,741,114 
3.75% 4/15/50 1,290,000 1,556,358 
  8,018,222 
Professional Services - 0.0%   
ASGN, Inc. 4.625% 5/15/28 (a) 270,000 257,275 
Road & Rail - 0.1%   
Avolon Holdings Funding Ltd.:   
3.625% 5/1/22 (a) 2,141,000 1,905,060 
3.95% 7/1/24 (a) 2,844,000 2,346,779 
4.375% 5/1/26 (a) 3,481,000 2,720,349 
5.25% 5/15/24 (a) 4,186,000 3,532,959 
CSX Corp. 3.8% 4/15/50 2,517,000 2,924,666 
  13,429,813 
Trading Companies & Distributors - 0.1%   
Air Lease Corp.:   
2.25% 1/15/23 1,863,000 1,737,619 
3% 9/15/23 583,000 536,225 
3.375% 6/1/21 1,957,000 1,884,567 
3.75% 2/1/22 2,924,000 2,788,980 
3.875% 4/1/21 2,112,000 2,065,438 
4.25% 2/1/24 7,180,000 6,735,536 
4.25% 9/15/24 2,331,000 2,162,748 
FLY Leasing Ltd.:   
5.25% 10/15/24 1,159,000 904,020 
6.375% 10/15/21 464,000 406,580 
  19,221,713 
Transportation Infrastructure - 0.0%   
BNSF Funding Trust I 6.613% 12/15/55 (b) 1,374,000 1,415,220 
TOTAL INDUSTRIALS  147,537,412 
INFORMATION TECHNOLOGY - 0.5%   
Electronic Equipment & Components - 0.1%   
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
5.45% 6/15/23 (a) 5,600,000 6,012,731 
6.02% 6/15/26 (a) 1,948,000 2,200,257 
TTM Technologies, Inc. 5.625% 10/1/25 (a) 1,170,000 1,179,372 
  9,392,360 
IT Services - 0.0%   
Gartner, Inc. 5.125% 4/1/25 (a) 149,000 152,041 
MasterCard, Inc.:   
3.3% 3/26/27 1,237,000 1,402,695 
3.35% 3/26/30 1,721,000 1,992,085 
3.85% 3/26/50 1,476,000 1,871,150 
  5,417,971 
Semiconductors & Semiconductor Equipment - 0.1%   
Entegris, Inc.:   
4.375% 4/15/28 (a) 490,000 500,790 
4.625% 2/10/26 (a) 836,000 852,511 
Micron Technology, Inc. 2.497% 4/24/23 13,249,000 13,564,701 
NVIDIA Corp.:   
2.85% 4/1/30 3,561,000 3,912,559 
3.5% 4/1/40 3,849,000 4,407,697 
3.5% 4/1/50 7,709,000 8,752,708 
3.7% 4/1/60 1,517,000 1,789,678 
  33,780,644 
Software - 0.3%   
CDK Global, Inc.:   
4.875% 6/1/27 1,199,000 1,243,974 
5.25% 5/15/29 (a) 107,000 109,140 
5.875% 6/15/26 842,000 886,205 
Fair Isaac Corp. 5.25% 5/15/26 (a) 793,000 854,997 
Nuance Communications, Inc. 5.625% 12/15/26 1,382,000 1,465,307 
Open Text Corp. 3.875% 2/15/28 (a) 420,000 414,511 
Oracle Corp.:   
2.5% 4/1/25 8,253,000 8,772,091 
2.8% 4/1/27 8,253,000 8,948,834 
2.95% 4/1/30 8,300,000 9,107,004 
3.6% 4/1/40 8,250,000 9,122,527 
3.6% 4/1/50 8,250,000 9,190,964 
3.85% 4/1/60 8,300,000 9,481,718 
SS&C Technologies, Inc. 5.5% 9/30/27 (a) 1,000,000 1,050,310 
  60,647,582 
Technology Hardware, Storage & Peripherals - 0.0%   
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) 3,173,000 3,396,917 
TOTAL INFORMATION TECHNOLOGY  112,635,474 
MATERIALS - 0.2%   
Chemicals - 0.1%   
CF Industries Holdings, Inc. 5.15% 3/15/34 867,000 914,685 
Consolidated Energy Finance SA 3 month U.S. LIBOR + 3.750% 4.4905% 6/15/22 (a)(b)(c) 1,221,000 1,053,039 
DuPont de Nemours, Inc. 2.169% 5/1/23 22,658,000 23,114,494 
Nufarm Australia Ltd. 5.75% 4/30/26 (a) 1,087,000 1,058,118 
Olin Corp.:   
5% 2/1/30 716,000 615,760 
5.125% 9/15/27 975,000 867,750 
The Chemours Co. LLC:   
5.375% 5/15/27 1,115,000 1,002,039 
7% 5/15/25 849,000 825,653 
Valvoline, Inc.:   
4.25% 2/15/30 (a) 165,000 164,588 
4.375% 8/15/25 978,000 992,670 
W. R. Grace & Co.-Conn. 5.625% 10/1/24 (a) 1,254,000 1,275,945 
  31,884,741 
Containers & Packaging - 0.0%   
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 6% 2/15/25 (a) 265,000 273,202 
Berry Global, Inc. 4.875% 7/15/26 (a) 489,000 511,161 
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 238,000 247,313 
OI European Group BV 4% 3/15/23 (a) 1,076,000 1,062,550 
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (a) 251,000 251,628 
Silgan Holdings, Inc. 4.75% 3/15/25 295,000 301,638 
Trivium Packaging Finance BV:   
5.5% 8/15/26 (a) 485,000 508,799 
8.5% 8/15/27 (a) 140,000 147,700 
  3,303,991 
Metals & Mining - 0.1%   
Anglo American Capital PLC 4.125% 4/15/21 (a) 2,910,000 2,959,043 
BHP Billiton Financial (U.S.A.) Ltd. 6.25% 10/19/75 (a)(b) 1,321,000 1,337,116 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (a) 1,499,000 1,594,093 
4.5% 8/1/47 (a) 1,522,000 1,701,311 
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (a) 10,000 10,087 
Freeport-McMoRan, Inc.:   
3.55% 3/1/22 236,000 238,360 
3.875% 3/15/23 389,000 392,081 
4.55% 11/14/24 173,000 175,595 
  8,407,686 
TOTAL MATERIALS  43,596,418 
REAL ESTATE - 0.9%   
Equity Real Estate Investment Trusts (REITs) - 0.7%   
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 7,224,000 8,767,398 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 857,000 860,283 
Boston Properties, Inc. 4.5% 12/1/28 4,766,000 5,482,500 
Camden Property Trust:   
2.8% 5/15/30 4,874,000 5,074,486 
2.95% 12/15/22 1,200,000 1,231,968 
4.25% 1/15/24 2,252,000 2,387,497 
CoreCivic, Inc.:   
4.625% 5/1/23 1,421,000 1,378,370 
5% 10/15/22 443,000 434,140 
Corporate Office Properties LP 5% 7/1/25 2,273,000 2,387,750 
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 720,000 738,000 
Duke Realty LP:   
3.25% 6/30/26 589,000 626,468 
3.625% 4/15/23 1,544,000 1,603,901 
3.875% 10/15/22 4,345,000 4,509,250 
Equinix, Inc. 5.875% 1/15/26 1,912,000 2,002,820 
Equity One, Inc. 3.75% 11/15/22 5,527,000 5,632,397 
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 486,000 488,129 
Healthcare Trust of America Holdings LP:   
3.1% 2/15/30 1,868,000 1,775,374 
3.5% 8/1/26 1,945,000 2,002,293 
Highwoods/Forsyth LP 3.2% 6/15/21 1,625,000 1,639,778 
Hudson Pacific Properties LP 4.65% 4/1/29 10,668,000 10,935,948 
Lexington Corporate Properties Trust 4.4% 6/15/24 948,000 935,747 
MGM Growth Properties Operating Partnership LP:   
4.5% 9/1/26 2,508,000 2,464,110 
4.5% 1/15/28 637,000 617,890 
5.75% 2/1/27 256,000 268,518 
MPT Operating Partnership LP/MPT Finance Corp.:   
5.25% 8/1/26 2,161,000 2,215,025 
6.375% 3/1/24 268,000 275,292 
Omega Healthcare Investors, Inc.:   
3.625% 10/1/29 8,376,000 7,660,140 
4.375% 8/1/23 4,882,000 4,915,578 
4.5% 1/15/25 2,013,000 2,032,849 
4.5% 4/1/27 716,000 689,798 
4.75% 1/15/28 11,294,000 11,114,508 
4.95% 4/1/24 882,000 909,486 
5.25% 1/15/26 3,755,000 3,797,657 
Prologis LP 3.25% 10/1/26 1,586,000 1,749,687 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 641,000 601,614 
5% 12/15/23 494,000 494,835 
SBA Communications Corp. 4.875% 9/1/24 557,000 571,788 
Simon Property Group LP:   
2.45% 9/13/29 3,008,000 2,762,511 
3.375% 12/1/27 8,103,000 7,962,560 
SITE Centers Corp.:   
3.625% 2/1/25 1,532,000 1,510,584 
4.25% 2/1/26 2,753,000 2,758,897 
Store Capital Corp. 4.625% 3/15/29 2,374,000 2,208,021 
The GEO Group, Inc.:   
5.875% 10/15/24 170,000 140,675 
6% 4/15/26 610,000 475,800 
Ventas Realty LP:   
3% 1/15/30 11,060,000 10,222,037 
3.125% 6/15/23 1,033,000 1,026,376 
4% 3/1/28 2,150,000 2,124,215 
4.125% 1/15/26 999,000 1,004,857 
4.75% 11/15/30 16,500,000 17,169,901 
VICI Properties, Inc.:   
3.5% 2/15/25 (a) 305,000 293,563 
4.25% 12/1/26 (a) 1,640,000 1,624,748 
4.625% 12/1/29 (a) 595,000 593,608 
Weingarten Realty Investors 3.375% 10/15/22 456,000 462,169 
WP Carey, Inc.:   
3.85% 7/15/29 1,773,000 1,721,840 
4% 2/1/25 3,423,000 3,498,729 
4.6% 4/1/24 5,327,000 5,637,431 
  164,471,794 
Real Estate Management & Development - 0.2%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 7,832,000 7,945,405 
3.95% 11/15/27 4,382,000 4,354,513 
4.1% 10/1/24 3,961,000 4,049,292 
4.55% 10/1/29 1,896,000 1,910,285 
CBRE Group, Inc. 4.875% 3/1/26 7,844,000 8,468,900 
Digital Realty Trust LP 3.95% 7/1/22 2,137,000 2,234,883 
Essex Portfolio LP 3.875% 5/1/24 1,923,000 2,038,715 
Howard Hughes Corp. 5.375% 3/15/25 (a) 927,000 880,650 
Mack-Cali Realty LP:   
3.15% 5/15/23 3,573,000 3,072,780 
4.5% 4/18/22 678,000 610,351 
Mid-America Apartments LP 4% 11/15/25 828,000 860,530 
Post Apartment Homes LP 3.375% 12/1/22 502,000 506,942 
Tanger Properties LP:   
3.125% 9/1/26 2,628,000 2,274,978 
3.75% 12/1/24 2,635,000 2,407,019 
3.875% 12/1/23 1,186,000 1,103,315 
3.875% 7/15/27 11,191,000 9,612,646 
  52,331,204 
TOTAL REAL ESTATE  216,802,998 
UTILITIES - 0.6%   
Electric Utilities - 0.2%   
Clearway Energy Operating LLC:   
4.75% 3/15/28 (a) 140,000 144,550 
5.75% 10/15/25 333,000 354,472 
Cleco Corporate Holdings LLC 3.375% 9/15/29 (a) 4,843,000 4,792,847 
DPL, Inc. 4.35% 4/15/29 2,785,000 2,802,068 
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (a) 3,889,000 4,079,893 
6.4% 9/15/20 (a) 5,173,000 5,256,530 
Exelon Corp.:   
4.05% 4/15/30 3,122,000 3,590,889 
4.7% 4/15/50 1,390,000 1,733,562 
FirstEnergy Corp.:   
4.25% 3/15/23 4,502,000 4,861,523 
7.375% 11/15/31 5,738,000 8,412,447 
InterGen NV 7% 6/30/23 (a) 964,000 939,900 
IPALCO Enterprises, Inc. 3.7% 9/1/24 1,963,000 2,071,728 
NextEra Energy Partners LP 4.25% 9/15/24 (a) 616,000 636,020 
NRG Energy, Inc.:   
5.25% 6/15/29 (a) 484,000 527,560 
5.75% 1/15/28 581,000 632,052 
6.625% 1/15/27 185,000 197,025 
NRG Yield Operating LLC 5% 9/15/26 925,000 945,813 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (a) 1,627,651 1,643,928 
Vistra Operations Co. LLC:   
5% 7/31/27 (a) 933,000 976,151 
5.5% 9/1/26 (a) 3,498,000 3,672,900 
5.625% 2/15/27 (a) 545,000 579,177 
  48,851,035 
Gas Utilities - 0.0%   
Nakilat, Inc. 6.067% 12/31/33 (a) 1,213,000 1,422,243 
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 701,000 707,691 
  2,129,934 
Independent Power and Renewable Electricity Producers - 0.1%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 5,898,000 6,060,195 
Emera U.S. Finance LP 2.7% 6/15/21 951,000 963,537 
TerraForm Power Operating LLC:   
4.25% 1/31/23 (a) 213,000 216,728 
5% 1/31/28 (a) 241,000 256,665 
The AES Corp.:   
3.3% 7/15/25 (a) 15,965,000 16,208,945 
3.95% 7/15/30 (a) 13,922,000 13,976,992 
4.875% 5/15/23 882,000 888,174 
5.5% 4/15/25 575,000 589,375 
  39,160,611 
Multi-Utilities - 0.3%   
Berkshire Hathaway Energy Co.:   
3.7% 7/15/30 (a) 1,758,000 2,021,166 
4.05% 4/15/25 (a) 21,459,000 24,206,428 
4.25% 10/15/50 (a) 1,001,000 1,255,759 
Consolidated Edison Co. of New York, Inc.:   
3.35% 4/1/30 1,411,000 1,575,894 
3.95% 4/1/50 2,477,000 2,894,496 
NiSource Finance Corp. 5.95% 6/15/41 2,273,000 3,009,755 
NiSource, Inc. 2.95% 9/1/29 12,206,000 13,103,452 
Puget Energy, Inc.:   
4.1% 6/15/30 (a) 6,250,000 6,621,352 
5.625% 7/15/22 3,305,000 3,518,274 
6% 9/1/21 3,185,000 3,349,644 
6.5% 12/15/20 1,021,000 1,045,557 
Sempra Energy 6% 10/15/39 2,744,000 3,659,065 
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.5049% 5/15/67 (b)(c) 1,843,000 1,485,940 
  67,746,782 
TOTAL UTILITIES  157,888,362 
TOTAL NONCONVERTIBLE BONDS   
(Cost $4,354,994,371)  4,624,737,805 
U.S. Government and Government Agency Obligations - 6.5%   
U.S. Treasury Inflation-Protected Obligations - 1.1%   
U.S. Treasury Inflation-Indexed Notes 0.125% 1/15/30 251,409,438 267,009,295 
U.S. Treasury Obligations - 5.4%   
U.S. Treasury Bonds 2% 2/15/50 23,716,000 27,111,279 
U.S. Treasury Notes:   
1.125% 2/28/22 $399,000,000 $405,624,022 
1.5% 2/15/30 794,746,000 859,070,754 
3.125% 11/15/28 51,642,000 62,506,992 
TOTAL U.S. TREASURY OBLIGATIONS  1,354,313,047 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,601,085,613)  1,621,322,342 
U.S. Government Agency - Mortgage Securities - 20.9%   
Fannie Mae - 5.1%   
12 month U.S. LIBOR + 1.440% 3.384% 4/1/37 (b)(c) 15,458 16,069 
12 month U.S. LIBOR + 1.480% 4.221% 7/1/34 (b)(c) 4,468 4,603 
12 month U.S. LIBOR + 1.490% 3.548% 1/1/35 (b)(c) 20,312 21,071 
12 month U.S. LIBOR + 1.520% 3.535% 3/1/36 (b)(c) 1,893 1,973 
12 month U.S. LIBOR + 1.550% 4.303% 6/1/36 (b)(c) 11,099 11,494 
12 month U.S. LIBOR + 1.560% 3.565% 3/1/37 (b)(c) 6,794 7,083 
12 month U.S. LIBOR + 1.600% 4.147% 5/1/36 (b)(c) 41,224 42,988 
12 month U.S. LIBOR + 1.630% 3.762% 3/1/33 (b)(c) 11,365 11,764 
12 month U.S. LIBOR + 1.640% 3.722% 6/1/47 (b)(c) 14,230 14,989 
12 month U.S. LIBOR + 1.640% 3.879% 9/1/36 (b)(c) 8,665 9,009 
12 month U.S. LIBOR + 1.660% 4.019% 5/1/35 (b)(c) 21,452 22,240 
12 month U.S. LIBOR + 1.670% 3.933% 11/1/36 (b)(c) 6,786 7,076 
12 month U.S. LIBOR + 1.680% 3.435% 4/1/36 (b)(c) 4,198 4,397 
12 month U.S. LIBOR + 1.690% 3.629% 7/1/43 (b)(c) 291,770 301,724 
12 month U.S. LIBOR + 1.700% 4.024% 6/1/42 (b)(c) 17,942 18,641 
12 month U.S. LIBOR + 1.710% 4.164% 8/1/35 (b)(c) 7,011 7,286 
12 month U.S. LIBOR + 1.730% 3.951% 5/1/36 (b)(c) 11,128 11,649 
12 month U.S. LIBOR + 1.740% 3.761% 3/1/40 (b)(c) 30,218 31,517 
12 month U.S. LIBOR + 1.750% 3.873% 7/1/35 (b)(c) 8,593 8,971 
12 month U.S. LIBOR + 1.750% 4.115% 8/1/41 (b)(c) 20,090 20,766 
12 month U.S. LIBOR + 1.800% 3.813% 1/1/42 (b)(c) 42,770 44,360 
12 month U.S. LIBOR + 1.800% 4.043% 12/1/40 (b)(c) 716,025 743,315 
12 month U.S. LIBOR + 1.800% 4.499% 7/1/41 (b)(c) 21,303 22,164 
12 month U.S. LIBOR + 1.810% 3.81% 12/1/39 (b)(c) 13,617 14,172 
12 month U.S. LIBOR + 1.810% 3.825% 2/1/42 (b)(c) 47,423 49,379 
12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (b)(c) 7,771 8,115 
12 month U.S. LIBOR + 1.810% 4.534% 7/1/41 (b)(c) 14,882 15,389 
12 month U.S. LIBOR + 1.820% 3.825% 2/1/35 (b)(c) 90,442 94,828 
12 month U.S. LIBOR + 1.830% 3.888% 10/1/41 (b)(c) 7,749 8,117 
12 month U.S. LIBOR + 1.950% 4.783% 7/1/37 (b)(c) 20,275 21,299 
6 month U.S. LIBOR + 1.500% 3.398% 1/1/35 (b)(c) 21,909 22,585 
6 month U.S. LIBOR + 1.530% 3.41% 12/1/34 (b)(c) 4,835 4,997 
6 month U.S. LIBOR + 1.530% 3.41% 3/1/35 (b)(c) 3,986 4,120 
6 month U.S. LIBOR + 1.550% 3.319% 10/1/33 (b)(c) 1,590 1,640 
6 month U.S. LIBOR + 1.560% 3.44% 7/1/35 (b)(c) 2,552 2,634 
6 month U.S. LIBOR + 1.740% 3.74% 12/1/34 (b)(c) 385 400 
6 month U.S. LIBOR + 1.960% 3.725% 9/1/35 (b)(c) 4,641 4,853 
U.S. TREASURY 1 YEAR INDEX + 2.200% 3.708% 3/1/35 (b)(c) 4,398 4,619 
U.S. TREASURY 1 YEAR INDEX + 2.270% 4.182% 6/1/36 (b)(c) 35,053 36,382 
U.S. TREASURY 1 YEAR INDEX + 2.290% 4.261% 10/1/33 (b)(c) 13,326 13,834 
U.S. TREASURY 1 YEAR INDEX + 2.460% 4.362% 7/1/34 (b)(c) 31,588 32,946 
2.5% 11/1/26 to 6/1/50 (d) 131,740,133 137,838,300 
3% 7/1/27 to 2/1/50 (e)(f) 426,171,634 451,993,622 
3.25% 12/1/41 6,932 7,528 
3.4% 7/1/42 to 9/1/42 137,771 148,870 
3.5% 7/1/32 to 4/1/50 336,378,608 361,274,396 
3.525% 5/1/42 4,007 4,425 
3.65% 5/1/42 to 8/1/42 87,047 95,019 
3.9% 4/1/42 10,655 11,839 
4% 11/1/31 to 11/1/49 170,117,203 184,533,477 
4.25% 11/1/41 33,994 37,817 
4.5% to 4.5% 6/1/20 to 9/1/49 (g) 107,386,466 117,748,157 
5% 7/1/20 to 2/1/49 16,344,778 18,524,015 
5.242% 8/1/41 (b) 447,230 502,880 
5.5% 10/1/21 to 9/1/24 49,794 51,157 
6% to 6% 6/1/20 to 1/1/42 2,162,214 2,555,539 
6.5% 3/1/22 to 5/1/38 323,453 366,234 
6.552% 2/1/39 (b) 411,936 453,108 
7% to 7% 9/1/21 to 7/1/37 229,803 263,027 
7.5% to 7.5% 9/1/22 to 9/1/32 110,885 127,373 
8% 3/1/37 3,202 3,871 
8.5% 2/1/22 to 9/1/22 834 882 
9% 10/1/30 7,719 9,117 
TOTAL FANNIE MAE  1,278,276,111 
Freddie Mac - 2.6%   
12 month U.S. LIBOR + 1.320% 3.412% 1/1/36 (b)(c) 8,314 8,599 
12 month U.S. LIBOR + 1.370% 3.421% 3/1/36 (b)(c) 27,799 28,833 
12 month U.S. LIBOR + 1.500% 3.464% 3/1/36 (b)(c) 28,146 29,305 
12 month U.S. LIBOR + 1.510% 3.39% 11/1/35 (b)(c) 9,615 9,980 
12 month U.S. LIBOR + 1.750% 3.75% 12/1/40 (b)(c) 309,966 321,497 
12 month U.S. LIBOR + 1.750% 4.007% 9/1/41 (b)(c) 131,295 135,703 
12 month U.S. LIBOR + 1.750% 4.412% 7/1/41 (b)(c) 74,363 76,781 
12 month U.S. LIBOR + 1.790% 3.89% 4/1/37 (b)(c) 2,672 2,793 
12 month U.S. LIBOR + 1.860% 4.739% 4/1/36 (b)(c) 9,610 10,130 
12 month U.S. LIBOR + 1.870% 4.282% 10/1/42 (b)(c) 57,574 59,798 
12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (b)(c) 11,159 11,551 
12 month U.S. LIBOR + 1.880% 4.316% 4/1/41 (b)(c) 5,357 5,601 
12 month U.S. LIBOR + 1.910% 4.587% 5/1/41 (b)(c) 21,319 22,158 
12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (b)(c) 12,142 12,561 
12 month U.S. LIBOR + 1.910% 4.734% 6/1/41 (b)(c) 23,814 24,654 
12 month U.S. LIBOR + 1.910% 4.785% 5/1/41 (b)(c) 16,349 17,193 
12 month U.S. LIBOR + 1.920% 4.67% 6/1/36 (b)(c) 5,467 5,690 
12 month U.S. LIBOR + 1.960% 4.821% 6/1/33 (b)(c) 13,860 14,404 
12 month U.S. LIBOR + 2.010% 4.643% 4/1/38 (b)(c) 20,734 21,727 
12 month U.S. LIBOR + 2.040% 4.784% 7/1/36 (b)(c) 17,358 18,074 
12 month U.S. LIBOR + 2.060% 4.2% 3/1/33 (b)(c) 399 416 
12 month U.S. LIBOR + 2.200% 4.325% 12/1/36 (b)(c) 31,073 32,563 
6 month U.S. LIBOR + 1.120% 3% 8/1/37 (b)(c) 9,035 9,206 
6 month U.S. LIBOR + 1.600% 3.58% 12/1/35 (b)(c) 1,366 1,408 
6 month U.S. LIBOR + 1.720% 3.595% 8/1/37 (b)(c) 17,548 18,219 
6 month U.S. LIBOR + 1.720% 3.597% 2/1/37 (b)(c) 10,470 10,887 
6 month U.S. LIBOR + 1.740% 3.83% 5/1/37 (b)(c) 4,527 4,725 
6 month U.S. LIBOR + 1.840% 3.705% 10/1/36 (b)(c) 40,323 42,003 
6 month U.S. LIBOR + 1.860% 3.785% 10/1/35 (b)(c) 20,352 21,199 
6 month U.S. LIBOR + 2.020% 3.995% 6/1/37 (b)(c) 23,387 24,269 
6 month U.S. LIBOR + 2.040% 3.978% 6/1/37 (b)(c) 13,514 14,037 
6 month U.S. LIBOR + 2.680% 4.571% 10/1/35 (b)(c) 12,229 12,776 
U.S. TREASURY 1 YEAR INDEX + 2.030% 4.267% 6/1/33 (b)(c) 29,958 31,233 
U.S. TREASURY 1 YEAR INDEX + 2.260% 4.493% 6/1/33 (b)(c) 53,362 55,342 
U.S. TREASURY 1 YEAR INDEX + 2.410% 4.336% 3/1/35 (b)(c) 113,960 118,642 
2.5% 6/1/31 to 2/1/50 47,466,878 49,818,495 
3% 6/1/31 to 4/1/50 91,727,619 97,336,169 
3.5% 6/1/27 to 4/1/50 (f) 203,197,026 218,484,053 
3.5% 8/1/47 5,599,189 6,034,273 
4% 6/1/33 to 10/1/48 (d)(e) 216,496,188 234,045,175 
4% 4/1/48 131,063 140,165 
4.5% 6/1/25 to 12/1/48 25,586,490 28,153,400 
5% 6/1/20 to 7/1/41 4,629,008 5,300,374 
5.5% 6/1/20 to 6/1/22 26,526 27,196 
6% 6/1/20 to 6/1/39 459,472 534,463 
6.5% 4/1/21 to 9/1/39 764,312 888,522 
7% 8/1/21 to 9/1/36 217,596 252,063 
7.5% 1/1/27 to 7/1/34 61,500 71,785 
8% 7/1/24 to 4/1/32 4,948 5,698 
8.5% 12/1/22 to 1/1/28 3,260 3,641 
TOTAL FREDDIE MAC  642,329,429 
Ginnie Mae - 2.9%   
3.5% 9/20/40 to 12/20/49 218,821,487 236,674,413 
4% 7/20/33 to 6/20/49 342,943,630 370,425,896 
4.5% 6/20/33 to 11/20/47 50,861,619 56,000,307 
5.5% 8/15/33 to 9/15/39 424,326 491,374 
6% to 6% 10/15/30 to 5/15/40 572,914 673,490 
7% to 7% 11/15/22 to 11/15/32 216,859 249,416 
7.5% to 7.5% 2/15/22 to 9/15/31 63,937 71,119 
8% 11/15/21 to 11/15/29 19,373 21,102 
8.5% to 8.5% 10/15/21 to 1/15/31 7,513 8,568 
9% 1/15/23 33 35 
9.5% 3/15/23 3 4 
2.5% 11/20/47 94,474 99,884 
3% 5/15/42 to 2/20/50 16,798,827 18,067,764 
5% 4/15/33 to 6/20/48 31,250,433 34,523,670 
6.5% 3/20/31 to 6/15/37 73,468 85,769 
TOTAL GINNIE MAE  717,392,811 
Uniform Mortgage Backed Securities - 10.3%   
2.5% 6/1/35 (h) 19,500,000 20,403,398 
2.5% 6/1/35 (h) 20,000,000 20,926,562 
2.5% 6/1/35 (h) 7,600,000 7,952,094 
2.5% 6/1/35 (h) 19,750,000 20,664,980 
2.5% 6/1/35 (h) 8,850,000 9,260,004 
2.5% 6/1/35 (h) 22,950,000 24,013,230 
2.5% 6/1/35 (h) 12,150,000 12,712,886 
2.5% 6/1/35 (h) 31,550,000 33,011,652 
2.5% 6/1/35 (h) 37,450,000 39,184,987 
2.5% 6/1/35 (h) 46,300,000 48,444,991 
2.5% 6/1/35 (h) 2,750,000 2,877,402 
2.5% 6/1/35 (h) 2,700,000 2,825,086 
2.5% 6/1/35 (h) 10,600,000 11,091,078 
2.5% 6/1/35 (h) 17,050,000 17,839,894 
2.5% 6/1/35 (h) 600,000 627,797 
2.5% 7/1/35 (h) 38,450,000 40,169,734 
2.5% 7/1/35 (h) 37,450,000 39,125,007 
2.5% 6/1/50 (h) 5,900,000 6,120,098 
2.5% 6/1/50 (h) 6,050,000 6,275,693 
2.5% 6/1/50 (h) 9,600,000 9,958,125 
2.5% 6/1/50 (h) 9,600,000 9,958,125 
2.5% 6/1/50 (h) 6,000,000 6,223,828 
2.5% 6/1/50 (h) 1,600,000 1,659,688 
2.5% 6/1/50 (h) 1,100,000 1,141,035 
2.5% 6/1/50 (h) 42,200,000 43,774,258 
2.5% 6/1/50 (h) 28,700,000 29,770,645 
2.5% 6/1/50 (h) 13,250,000 13,744,287 
2.5% 6/1/50 (h) 13,250,000 13,744,287 
2.5% 6/1/50 (h) 59,300,000 61,512,169 
2.5% 6/1/50 (h) 1,350,000 1,400,361 
2.5% 6/1/50 (h) 14,100,000 14,625,996 
2.5% 6/1/50 (h) 12,750,000 13,225,635 
2.5% 6/1/50 (h) 3,100,000 3,215,645 
2.5% 6/1/50 (h) 3,500,000 3,630,566 
2.5% 6/1/50 (h) 10,700,000 11,099,160 
2.5% 6/1/50 (h) 23,500,000 24,376,660 
2.5% 6/1/50 (h) 3,600,000 3,734,297 
2.5% 6/1/50 (h) 11,800,000 12,240,195 
2.5% 6/1/50 (h) 3,600,000 3,734,297 
2.5% 6/1/50 (h) 34,800,000 36,098,204 
2.5% 6/1/50 (h) 2,200,000 2,282,070 
2.5% 6/1/50 (h) 3,500,000 3,630,566 
2.5% 7/1/50 (h) 65,000,000 67,117,583 
2.5% 7/1/50 (h) 32,000,000 33,042,502 
3% 6/1/50 (h) 69,400,000 73,000,125 
3% 6/1/50 (h) 53,600,000 56,380,500 
3% 6/1/50 (h) 17,250,000 18,144,844 
3% 6/1/50 (h) 13,350,000 14,042,531 
3% 6/1/50 (h) 26,650,000 28,032,469 
3% 6/1/50 (h) 34,550,000 36,342,281 
3% 6/1/50 (h) 16,650,000 17,513,719 
3% 6/1/50 (h) 14,050,000 14,778,844 
3% 6/1/50 (h) 3,800,000 3,997,125 
3% 6/1/50 (h) 33,600,000 35,343,000 
3% 6/1/50 (h) 34,750,000 36,552,656 
3% 6/1/50 (h) 36,500,000 38,393,438 
3% 6/1/50 (h) 37,800,000 39,760,875 
3% 6/1/50 (h) 5,650,000 5,943,094 
3% 6/1/50 (h) 6,800,000 7,152,750 
3% 6/1/50 (h) 7,050,000 7,415,719 
3% 6/1/50 (h) 30,800,000 32,397,750 
3% 6/1/50 (h) 7,100,000 7,468,313 
3% 6/1/50 (h) 8,000,000 8,415,000 
3% 6/1/50 (h) 10,150,000 10,676,531 
3% 6/1/50 (h) 27,650,000 29,084,344 
3% 6/1/50 (h) 15,550,000 16,356,656 
3% 6/1/50 (h) 20,000,000 21,037,500 
3% 6/1/50 (h) 22,500,000 23,667,188 
3% 7/1/50 (h) 17,300,000 18,156,215 
3% 7/1/50 (h) 23,400,000 24,558,117 
3% 7/1/50 (h) 28,250,000 29,648,155 
3% 7/1/50 (h) 38,200,000 40,090,602 
3.5% 6/1/50 (h) 38,600,000 40,724,509 
3.5% 6/1/50 (h) 48,650,000 51,327,652 
3.5% 6/1/50 (h) 37,750,000 39,827,726 
3.5% 6/1/50 (h) 29,950,000 31,598,421 
3.5% 6/1/50 (h) 26,350,000 27,800,280 
3.5% 6/1/50 (h) 20,900,000 22,050,317 
3.5% 6/1/50 (h) 200,800,000 211,851,851 
3.5% 6/1/50 (h) 34,400,000 36,293,345 
3.5% 6/1/50 (h) 8,850,000 9,337,096 
3.5% 6/1/50 (h) 18,350,000 19,359,967 
3.5% 6/1/50 (h) 10,250,000 10,814,151 
3.5% 6/1/50 (h) 21,350,000 22,525,085 
3.5% 6/1/50 (h) 24,100,000 25,426,442 
3.5% 6/1/50 (h) 16,100,000 16,986,130 
3.5% 6/1/50 (h) 32,000,000 33,761,251 
3.5% 6/1/50 (h) 4,750,000 5,011,436 
3.5% 6/1/50 (h) 6,300,000 6,646,746 
3.5% 6/1/50 (h) 4,850,000 5,116,940 
3.5% 6/1/50 (h) 26,150,000 27,589,272 
3.5% 6/1/50 (h) 6,050,000 6,382,987 
3.5% 6/1/50 (h) 21,450,000 22,630,589 
3.5% 6/1/50 (h) 23,550,000 24,846,171 
3.5% 6/1/50 (h) 38,800,000 40,935,517 
3.5% 6/1/50 (h) 24,850,000 26,217,722 
3.5% 6/1/50 (h) 29,550,000 31,176,405 
3.5% 6/1/50 (h) 16,750,000 17,671,905 
3.5% 6/1/50 (h) 12,350,000 13,029,733 
3.5% 6/1/50 (h) 31,800,000 33,550,243 
3.5% 6/1/50 (h) 4,650,000 4,905,932 
3.5% 6/1/50 (h) 16,000,000 16,880,626 
3.5% 6/1/50 (h) 5,150,000 5,433,451 
3.5% 6/1/50 (h) 43,100,000 45,472,185 
3.5% 6/1/50 (h) 2,700,000 2,848,606 
3.5% 6/1/50 (h) 2,100,000 2,215,582 
4% 6/1/50 (h) 94,250,000 100,309,983 
4% 6/1/50 (h) 23,250,000 24,744,903 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  2,546,118,255 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $5,086,025,396)  5,184,116,606 
Asset-Backed Securities - 2.4%   
AASET Trust:   
Series 2018-1A Class A, 3.844% 1/16/38 (a) $2,404,345 $2,100,188 
Series 2019-1 Class A, 3.844% 5/15/39 (a) 5,292,554 4,382,191 
Series 2019-2:   
Class A, 3.376% 10/16/39 (a) 9,176,193 7,163,865 
Class B, 4.458% 10/16/39 (a) 1,629,753 854,877 
Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 2.4176% 7/22/32 (a)(b)(c) 11,898,000 11,570,186 
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 3.1635% 1/20/33 (a)(b)(c) 4,684,000 4,574,657 
Apollo Aviation Securitization Equity Trust Series 2020-1A:   
Class A, 3.351% 1/16/40 (a) 4,769,057 3,859,071 
Class B, 4.335% 1/16/40 (a) 766,953 398,821 
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 2.5389% 10/15/32 (a)(b)(c) 8,066,000 7,914,303 
Ares LV CLO Ltd. Series 2020-55A Class A1, 3 month U.S. LIBOR + 1.700% 0% 4/15/31 (a)(b)(c) 8,740,000 8,740,000 
Ares Xli Clo Ltd. / Ares Xli Cl Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 2.4189% 1/15/29 (a)(b)(c) 9,695,000 9,477,473 
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 2.0255% 4/17/33 (a)(b)(c) 20,753,000 20,306,811 
Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.360% 0.5283% 10/25/35 (b)(c) 102,263 98,092 
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 3.2332% 1/17/33 (a)(b)(c) 3,961,000 3,881,685 
Blackbird Capital Aircraft Series 2016-1A:   
Class A, 4.213% 12/16/41 (a) 6,520,778 4,997,784 
Class AA, 2.487% 12/16/41 (a) 1,209,250 999,187 
Brazos Higher Education Authority, Inc.:   
Series 2010-1 Class A1, 3 month U.S. LIBOR + 0.900% 1.2595% 5/25/29 (b)(c) 516,218 513,384 
Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.850% 1.8414% 7/25/29 (b)(c) 763,839 761,646 
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 2.2089% 4/15/29 (a)(b)(c) 10,597,000 10,431,613 
Capital One Prime Auto Receivables Trust Series 2019-2 Class A3, 1.92% 5/15/24 4,320,000 4,411,443 
Carvana Auto Receivables Trust Series 2019-4A:   
Class A2, 2.2% 7/15/22 (a) 1,944,000 1,949,007 
Class A3, 2.3% 9/15/23 (a) 2,759,000 2,773,652 
Cascade Funding Mortgage Trust:   
Series 2020-HB2 Class A, 3.4047% 4/25/30 (a) 15,634,254 15,575,266 
Series 2020-HB3 Class A, 2.8115% 5/25/30 (a)(b) 1,800,000 1,804,556 
Castlelake Aircraft Securitization Trust Series 2019-1A:   
Class A, 3.967% 4/15/39 (a) 7,590,661 6,043,274 
Class B, 5.095% 4/15/39 (a) 3,608,108 1,975,159 
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (a) 6,103,437 4,907,657 
Cedar Funding Ltd.:   
Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 2.4753% 10/20/32 (a)(b)(c) 6,412,000 6,236,266 
Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 1.7125% 5/29/32 (a)(b)(c) 4,342,000 4,234,001 
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.5183% 10/25/37 (a)(b)(c) 201,429 199,274 
CNH Equipment Trust Series 2019-C Class A2, 1.99% 3/15/23 4,400,000 4,424,108 
Collegiate Funding Services Education Loan Trust Series 2004-A Class A4, 3 month U.S. LIBOR + 0.340% 1.7146% 9/28/30 (b)(c) 1,153,360 1,142,870 
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (a) 5,447,538 5,417,209 
Consumer Loan Underlying Bond Credit Trust:   
Series 2018-P3 Class A, 3.82% 1/15/26 (a) 2,369,218 2,361,661 
Series 2019-HP1 Class A, 2.59% 12/15/26 (a) 13,762,921 13,491,318 
Series 2019-P1 Class A, 2.94% 7/15/26 (a) 4,845,937 4,836,206 
CPS Auto Receivables Trust Series 2019-D Class A, 2.17% 12/15/22 (a) 1,181,701 1,186,639 
DB Master Finance LLC:   
Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (a) 3,161,235 3,182,289 
Class A2II, 4.03% 11/20/47 (a) 5,377,228 5,357,386 
Series 2019-1A:   
Class A23, 4.352% 5/20/49 (a) 997,463 1,014,290 
Class A2II, 4.021% 5/20/49 (a) 750,330 756,910 
Dell Equipment Finance Trust Series 2019-2 Class A3, 1.91% 10/22/24 (a) 6,600,000 6,660,269 
DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (a) 2,700,000 2,710,529 
Dryden CLO, Ltd. Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 2.4653% 10/20/32 (a)(b)(c) 10,321,000 10,129,659 
Dryden Senior Loan Fund:   
Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 2.4989% 4/15/29 (a)(b)(c) 10,233,000 10,125,830 
Series 2018-70A Class A1, 3 month U.S. LIBOR + 1.170% 2.3461% 1/16/32 (a)(b)(c) 2,909,000 2,823,458 
Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 1.7224% 5/15/32 (a)(b)(c) 7,468,000 7,321,605 
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 2.447% 4/17/33 (a)(b)(c) 7,000,000 6,839,105 
Enterprise Fleet Financing LLC Series 2019-3 Class A2, 2.06% 5/20/25 (a) 10,602,000 10,541,172 
Exeter Automobile Receivables Trust Series 2019-4A Class A, 2.18% 1/17/23 (a) 3,599,112 3,610,410 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.820% 0.9933% 3/25/34 (b)(c) 6 6 
Flagship Credit Auto Trust Series 2019-4 Class A, 2.17% 6/17/24 (a) 1,910,268 1,921,008 
Flatiron CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 1.7056% 11/16/32 (a)(b)(c) 8,949,000 8,779,139 
Ford Credit Auto Owner Trust Series 2019-1 Class A, 3.52% 7/15/30 (a) 2,000,000 2,100,926 
Ford Credit Floorplan Master Owner Trust:   
Series 2018-1 Class B, 3.1% 5/15/23 6,690,000 6,570,883 
Series 2018-4 Class A, 4.06% 11/15/30 1,820,000 1,826,116 
Series 2019-1 Class B, 3.04% 3/15/24 1,170,000 1,128,406 
Series 2019-2 Class A, 3.06% 4/15/26 8,253,000 8,275,343 
Series 2019-3 Class A1, 2.23% 9/15/24 4,320,000 4,295,419 
Series 2019-4 Class A, 2.44% 9/15/26 1,300,000 1,296,662 
GM Financial Automobile Leasing Trust Series 2020-1 Class A2A, 1.67% 4/20/22 7,282,000 7,313,191 
GMF Floorplan Owner Revolving Trust:   
Series 2018-2 Class A2, 3.13% 3/15/23 (a) 6,010,000 6,087,280 
Series 2018-4 Class A2, 1 month U.S. LIBOR + 0.410% 0.5936% 9/15/23 (a)(b)(c) 4,186,000 4,158,067 
Hertz Fleet Lease Funding LP Series 2017-1 Class A1, 1 month U.S. LIBOR + 0.650% 0.8716% 4/10/31 (a)(b)(c) 55,027 54,061 
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) 3,329,035 2,838,847 
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) 4,749,077 3,933,860 
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) 7,887,000 7,936,254 
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 2.0176% 1/22/28 (a)(b)(c) 2,750,000 2,701,795 
Madison Park Funding Ltd.:   
Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 2.3553% 1/20/29 (a)(b)(c) 3,495,000 3,443,596 
Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 2.5189% 7/15/32 (a)(b)(c) 8,593,000 8,438,549 
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 2.5489% 10/15/32 (a)(b)(c) 4,271,000 4,190,680 
Magnetite CLO Ltd.:   
Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 1.9353% 1/18/28 (a)(b)(c) 8,644,711 8,503,629 
Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 2.4153% 4/20/30 (a)(b)(c) 7,329,000 7,196,492 
Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 3.2371% 1/15/33 (a)(b)(c) 23,148,000 22,789,206 
Marlette Funding Trust:   
Series 2019-4A Class A, 2.39% 12/17/29 (a) 3,995,954 3,974,027 
Series 2020-1A Class A, 2.24% 3/15/30 (a) 3,096,085 3,084,354 
Mercedes-Benz Master Owner Trust Series 2019-BA Class A, 2.61% 5/15/24 (a) 10,340,000 10,421,000 
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (a) 3,458,143 3,624,758 
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 2.2053% 10/20/30 (a)(b)(c) 10,553,000 10,333,244 
Mortgage Repurchase Agreement Funding Trust Series 2020-2 Class A1, 1 month U.S. LIBOR + 0.000% 0% 5/29/22 (a)(b)(c) 21,800,000 21,800,000 
Nationstar HECM Loan Trust:   
Series 2018-2A Class A, 3.1877% 7/25/28 (a) 38,663 38,657 
Series 2018-3A Class A 3.5545% 11/25/28 (a) 1,602,335 1,604,285 
Series 2019-1A Class A, 2.6513% 6/25/29 (a) 2,091,834 2,089,498 
Navient Student Loan Trust Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.7683% 7/26/66 (a)(b)(c) 677,928 672,096 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 0.6783% 9/25/35 (b)(c) 104,595 103,930 
Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 2.4349% 7/17/32 (a)(b)(c) 8,594,000 8,439,463 
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (a) 7,081,253 5,501,071 
Prosper Marketplace Issuance Trust:   
Series 2019-1A Class A, 3.54% 4/15/25 (a) 998,870 995,695 
Series 2019-2A Class A, 3.2% 9/15/25 (a) 393,571 392,633 
Series 2019-3A Class A, 3.19% 7/15/25 (a) 6,851,135 6,796,598 
Series 2019-4A Class A, 2.48% 2/17/26 (a) 3,116,238 3,102,202 
Provident Funding Mortgage Trust Series 2020-1 Class A3, 3% 2/25/50 (a) 15,448,771 15,489,722 
RMF Buyout Issuance Trust Series 2020-1 Class A, 2.1582% 2/25/30 (a) 4,682,909 4,692,143 
Santander Retail Auto Lease Trust Series 2019-C Class A2A, 1.89% 9/20/22 (a) 4,152,131 4,176,142 
Sapphire Aviation Finance Series 2020-1A:   
Class A, 3.228% 3/15/40 (a) 10,973,881 9,021,188 
Class B, 4.335% 3/15/40 (a) 913,000 429,678 
SBA Tower Trust Series 2019, 2.836% 1/15/50 (a) 8,715,000 8,963,954 
SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 1.2105% 12/15/27 (a)(b)(c) 1,554,308 1,541,702 
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (a) 6,941,568 6,931,019 
Stratus CLO Ltd. Series 2020-1A Class A, 3 month U.S. LIBOR + 1.980% 3.286% 5/1/28 (a)(b)(c) 15,261,000 15,329,034 
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 2.1353% 1/20/29 (a)(b)(c) 7,106,000 7,005,365 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0283% 9/25/34 (b)(c) 7,249 6,679 
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(b) 9,700,047 8,322,034 
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) 13,238,119 11,406,145 
Towd Point Mortgage Trust:   
Series 2018-3 Class A1, 3.75% 5/25/58 (a) 2,303,442 2,420,965 
Series 2018-6 Class A1A, 3.75% 3/25/58 (a) 359,111 374,800 
Series 2019-1 Class A1, 3.75% 3/25/58 (a) 1,299,526 1,378,307 
Series 2019-MH1 Class A1, 3% 11/25/58 (a) 2,209,249 2,260,967 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 2.4603% 4/6/42 (a)(b)(c) 778,000 501,810 
Upgrade Receivables Trust:   
Series 2018-1A Class A, 3.76% 11/15/24 (a) 7,364 7,353 
Series 2019-1A Class A, 3.48% 3/15/25 (a) 458,630 457,495 
Series 2019-2A Class A, 2.77% 10/15/25 (a) 4,100,061 4,039,771 
Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 2.5689% 4/15/32 (a)(b)(c) 8,606,000 8,451,591 
World Omni Automobile Lease Securitization Trust Series 2020-A Class A2, 1.71% 11/15/22 1,861,000 1,869,508 
TOTAL ASSET-BACKED SECURITIES   
(Cost $601,466,883)  580,898,610 
Collateralized Mortgage Obligations - 0.9%   
Private Sponsor - 0.2%   
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 0.6273% 6/27/36 (a)(b)(c) 81,118 80,358 
BCAP LLC Trust sequential payer Series 2010-RR2 Class 5A2, 5% 12/26/36 (a) 5,970 5,851 
Citigroup Mortgage Loan Trust sequential payer:   
Series 2009-5 Class 5A1, 4.2042% 1/25/37 (a)(b) 4,103 4,083 
Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(b) 141,614 141,684 
CSMC:   
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.7937% 5/27/37 (a)(b)(c) 115,016 108,278 
Series 2014-3R:   
Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (a)(b)(c)(i) 543,242 0 
Class AA1, 1 month U.S. LIBOR + 0.280% 0.7937% 5/27/37 (a)(b)(c) 1,180,888 1,074,257 
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) 54,113 53,948 
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 1.6389% 10/15/54 (a)(b)(c) 3,799,046 3,794,495 
JPMorgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 0.8828% 6/21/36 (a)(b)(c) 9,633 9,586 
Lanark Master Issuer PLC:   
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 2.4528% 12/22/69 (a)(b)(c) 3,268,000 3,261,997 
Series 2019-2A Class 1A, 2.71% 12/22/69 (a) 9,300,000 9,424,890 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 0.6573% 2/25/37 (b)(c) 2,079 2,068 
Nationstar HECM Loan Trust sequential payer Series 2019-2A Class A, 2.2722% 11/26/29 (a) 3,475,781 3,468,218 
New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (a) 5,814,709 5,993,957 
New Residential Mtg Ln Trust 2020 3.5% 10/25/59 (a) 7,549,523 7,830,109 
Permanent Master Issuer PLC floater:   
Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 1.5989% 7/15/58 (a)(b)(c) 2,118,000 2,116,143 
Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 1.7689% 7/15/58 (a)(b)(c) 5,615,000 5,589,120 
Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (a) 4,087,593 4,098,505 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.7849% 7/20/34 (b)(c) 2,606 2,457 
Silverstone Master Issuer PLC floater:   
Series 2015-1A Class 2A2, 3 month U.S. LIBOR + 0.550% 1.659% 1/21/70 (a)(b)(c) 1,282,500 1,282,177 
Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 1.679% 1/21/70 (a)(b)(c) 11,270,000 11,239,785 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.8083% 9/25/43 (b)(c) 105,760 98,376 
Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 4.6197% 9/25/33 (b) 15,250 14,989 
TOTAL PRIVATE SPONSOR  59,695,331 
U.S. Government Agency - 0.7%   
Fannie Mae:   
floater:   
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 0.9683% 2/25/32 (b)(c) 3,935 3,977 
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 1.1821% 3/18/32 (b)(c) 7,147 7,289 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 1.1683% 4/25/32 (b)(c) 8,076 8,225 
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 1.1683% 10/25/32 (b)(c) 10,637 10,827 
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 0.9183% 1/25/32 (b)(c) 3,974 4,011 
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 7.9318% 12/25/33 (b)(j)(k) 144,313 41,865 
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 6.5118% 11/25/36 (b)(j)(k) 97,599 22,956 
Series 2012-154 Class F, 1 month U.S. LIBOR + 0.300% 0.4683% 1/25/43 (b)(c) 1,088,753 1,079,880 
Series 2017-36 Class FB, 1 month U.S. LIBOR + 0.350% 0.5183% 5/25/47 (b)(c) 2,458,751 2,443,073 
Series 2018-32 Class FB, 1 month U.S. LIBOR + 0.300% 0.4683% 5/25/48 (b)(c) 1,500,163 1,487,242 
Series 2018-38 Class FG, 1 month U.S. LIBOR + 0.300% 0.4683% 6/25/48 (b)(c) 5,783,648 5,742,635 
planned amortization class:   
Series 1992-168 Class KB, 7% 10/25/22 2,258 2,373 
Series 1993-207 Class H, 6.5% 11/25/23 39,188 42,264 
Series 1996-28 Class PK, 6.5% 7/25/25 13,414 14,509 
Series 1999-17 Class PG, 6% 4/25/29 75,530 83,567 
Series 1999-32 Class PL, 6% 7/25/29 71,463 80,275 
Series 1999-33 Class PK, 6% 7/25/29 53,220 59,073 
Series 2001-52 Class YZ, 6.5% 10/25/31 6,862 8,140 
Series 2003-28 Class KG, 5.5% 4/25/23 20,943 21,981 
Series 2005-102 Class CO 11/25/35 (l) 27,621 26,039 
Series 2005-39 Class TE, 5% 5/25/35 28,177 31,324 
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 17.1126% 8/25/35 (b)(k) 9,050 12,570 
Series 2005-81 Class PC, 5.5% 9/25/35 76,555 86,305 
Series 2006-12 Class BO 10/25/35 (l) 125,661 118,024 
Series 2006-37 Class OW 5/25/36 (l) 13,175 12,374 
Series 2006-45 Class OP 6/25/36 (l) 43,896 41,282 
Series 2006-62 Class KP 4/25/36 (l) 69,825 66,141 
Series 2012-149:   
Class DA, 1.75% 1/25/43 211,681 216,580 
Class GA, 1.75% 6/25/42 225,750 230,866 
sequential payer:   
Series 1997-41 Class J, 7.5% 6/18/27 11,860 13,688 
Series 1999-25 Class Z, 6% 6/25/29 45,144 51,779 
Series 2001-20 Class Z, 6% 5/25/31 75,080 83,606 
Series 2001-31 Class ZC, 6.5% 7/25/31 40,843 47,598 
Series 2002-16 Class ZD, 6.5% 4/25/32 22,286 26,518 
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 7.3818% 11/25/32 (b)(j)(k) 77,285 12,301 
Series 2012-67 Class AI, 4.5% 7/25/27 (j) 163,052 11,331 
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 6.1528% 12/25/36 (b)(j)(k) 74,292 20,674 
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 6.2718% 5/25/37 (b)(j)(k) 41,426 9,907 
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 19.3239% 9/25/23 (b)(k) 2,398 2,903 
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 7.9318% 3/25/33 (b)(j)(k) 12,478 3,323 
Series 2005-72 Class ZC, 5.5% 8/25/35 527,573 592,916 
Series 2005-79 Class ZC, 5.9% 9/25/35 310,561 359,063 
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 39.6105% 6/25/37 (b)(k) 45,667 100,470 
Series 2007-66:   
Class SA, 39.600% - 1 month U.S. LIBOR 38.5905% 7/25/37 (b)(k) 48,522 106,621 
Class SB, 39.600% - 1 month U.S. LIBOR 38.5905% 7/25/37 (b)(k) 17,047 33,361 
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 6.1818% 3/25/38 (b)(j)(k) 271,626 60,308 
Series 2010-112 Class SG, 6.360% - 1 month U.S. LIBOR 6.1918% 6/25/21 (b)(j)(k) 7 0 
Series 2010-135:   
Class LS, 6.050% - 1 month U.S. LIBOR 5.8818% 12/25/40 (b)(j)(k) 256,691 54,799 
Class ZA, 4.5% 12/25/40 168,527 187,389 
Series 2010-139 Class NI, 4.5% 2/25/40 (j) 165,124 11,347 
Series 2010-150 Class ZC, 4.75% 1/25/41 1,108,209 1,258,161 
Series 2010-17 Class DI, 4.5% 6/25/21 (j) 15 0 
Series 2010-95 Class ZC, 5% 9/25/40 2,388,613 2,733,908 
Series 2010-97 Class CI, 4.5% 8/25/25 (j) 2,735 2 
Series 2011-39 Class ZA, 6% 11/25/32 169,257 198,132 
Series 2011-4 Class PZ, 5% 2/25/41 478,645 549,598 
Series 2011-67 Class AI, 4% 7/25/26 (j) 49,317 3,057 
Series 2011-83 Class DI, 6% 9/25/26 (j) 38,693 1,708 
Series 2012-100 Class WI, 3% 9/25/27 (j) 790,181 50,847 
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.4818% 12/25/30 (b)(j)(k) 276,935 18,413 
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.3818% 6/25/41 (b)(j)(k) 363,687 36,351 
Series 2013-133 Class IB, 3% 4/25/32 (j) 553,740 20,363 
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.8818% 1/25/44 (b)(j)(k) 247,609 41,433 
Series 2013-44 Class DJ, 1.85% 5/25/33 15,514,102 15,773,085 
Series 2013-51 Class GI, 3% 10/25/32 (j) 175,907 13,256 
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 6.5518% 6/25/35 (b)(j)(k) 208,825 49,438 
Series 2015-42 Class IL, 6% 6/25/45 (j) 1,169,070 242,933 
Series 2015-70 Class JC, 3% 10/25/45 1,269,215 1,352,558 
Series 2017-30 Class AI, 5.5% 5/25/47 (j) 552,881 109,554 
Fannie Mae Stripped Mortgage-Backed Securities:   
Series 339 Class 5, 5.5% 7/25/33 (j) 37,190 6,879 
Series 343 Class 16, 5.5% 5/25/34 (j) 32,191 5,390 
Series 348 Class 14, 6.5% 8/25/34 (b)(j) 27,927 6,391 
Series 351:   
Class 12, 5.5% 4/25/34 (b)(j) 18,115 3,364 
Class 13, 6% 3/25/34 (j) 24,947 4,676 
Series 359 Class 19, 6% 7/25/35 (b)(j) 15,422 3,167 
Series 384 Class 6, 5% 7/25/37 (j) 164,786 28,450 
Freddie Mac:   
floater:   
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 0.9836% 1/15/32 (b)(c) 3,283 3,317 
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 1.0836% 3/15/32 (b)(c) 4,483 4,548 
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 1.1836% 3/15/32 (b)(c) 4,585 4,667 
Series 2432:   
Class FE, 1 month U.S. LIBOR + 0.900% 1.0836% 6/15/31 (b)(c) 8,155 8,265 
Class FG, 1 month U.S. LIBOR + 0.900% 1.0836% 3/15/32 (b)(c) 2,562 2,598 
Series 4709 Class FE, 1 month U.S. LIBOR + 0.350% 0.5336% 8/15/47 (b)(c) 1,264,778 1,256,607 
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 0.4336% 5/15/37 (b)(c) 182,231 181,292 
planned amortization class:   
Series 2006-15 Class OP 3/25/36 (l) 135,814 128,278 
Series 2095 Class PE, 6% 11/15/28 83,713 93,010 
Series 2101 Class PD, 6% 11/15/28 5,363 5,939 
Series 2104 Class PG, 6% 12/15/28 5,654 6,296 
Series 2121 Class MG, 6% 2/15/29 33,766 37,505 
Series 2131 Class BG, 6% 3/15/29 179,599 200,006 
Series 2137 Class PG, 6% 3/15/29 26,613 29,667 
Series 2154 Class PT, 6% 5/15/29 61,628 68,696 
Series 2162 Class PH, 6% 6/15/29 11,303 12,509 
Series 2520 Class BE, 6% 11/15/32 76,718 87,760 
Series 2585 Class KS, 7.600% - 1 month U.S. LIBOR 7.4164% 3/15/23 (b)(j)(k) 543 8 
Series 2693 Class MD, 5.5% 10/15/33 348,983 405,312 
Series 2802 Class OB, 6% 5/15/34 108,394 121,001 
Series 3002 Class NE, 5% 7/15/35 198,099 219,845 
Series 3110 Class OP 9/15/35 (l) 74,266 72,192 
Series 3119 Class PO 2/15/36 (l) 160,765 151,905 
Series 3121 Class KO 3/15/36 (l) 25,993 24,798 
Series 3123 Class LO 3/15/36 (l) 91,729 86,718 
Series 3145 Class GO 4/15/36 (l) 89,839 85,346 
Series 3189 Class PD, 6% 7/15/36 168,877 201,891 
Series 3225 Class EO 10/15/36 (l) 48,360 45,582 
Series 3258 Class PM, 5.5% 12/15/36 72,926 81,657 
Series 3415 Class PC, 5% 12/15/37 65,854 74,013 
Series 3786 Class HI, 4% 3/15/38 (j) 112,978 3,557 
Series 3806 Class UP, 4.5% 2/15/41 531,001 580,901 
Series 3832 Class PE, 5% 3/15/41 772,000 869,121 
Series 4135 Class AB, 1.75% 6/15/42 169,978 173,868 
Series 4765 Class PE, 3% 12/15/41 854,071 879,949 
sequential payer:   
Series 2114 Class ZM, 6% 1/15/29 2,724 3,030 
Series 2135 Class JE, 6% 3/15/29 22,222 25,062 
Series 2274 Class ZM, 6.5% 1/15/31 21,810 25,275 
Series 2281 Class ZB, 6% 3/15/30 37,160 41,008 
Series 2303 Class ZV, 6% 4/15/31 16,593 18,563 
Series 2357 Class ZB, 6.5% 9/15/31 133,636 158,420 
Series 2502 Class ZC, 6% 9/15/32 40,971 46,765 
Series 2519 Class ZD, 5.5% 11/15/32 46,350 52,043 
Series 2546 Class MJ, 5.5% 3/15/23 12,973 13,621 
Series 2601 Class TB, 5.5% 4/15/23 6,137 6,435 
Series 2998 Class LY, 5.5% 7/15/25 24,261 25,944 
Series 3871 Class KB, 5.5% 6/15/41 880,411 1,053,489 
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 6.4164% 2/15/36 (b)(j)(k) 54,918 14,490 
Series 1658 Class GZ, 7% 1/15/24 7,659 8,243 
Series 2013-4281 Class AI, 4% 12/15/28 (j) 482,083 26,527 
Series 2017-4683 Class LM, 3% 5/15/47 1,501,874 1,578,861 
Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 8.0164% 11/15/31 (b)(j)(k) 34,680 5,628 
Series 2587 Class IM, 6.5% 3/15/33 (j) 5,342 1,175 
Series 2844:   
Class SC, 46.800% - 1 month U.S. LIBOR 45.6064% 8/15/24 (b)(k) 385 483 
Class SD, 86.400% - 1 month U.S. LIBOR 84.0628% 8/15/24 (b)(k) 705 1,043 
Series 2933 Class ZM, 5.75% 2/15/35 638,395 760,156 
Series 2935 Class ZK, 5.5% 2/15/35 623,268 706,273 
Series 2947 Class XZ, 6% 3/15/35 268,936 310,092 
Series 2996 Class ZD, 5.5% 6/15/35 462,932 551,273 
Series 3237 Class C, 5.5% 11/15/36 700,353 816,080 
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 6.4764% 11/15/36 (b)(j)(k) 217,719 55,086 
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 6.5664% 3/15/37 (b)(j)(k) 327,883 88,380 
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 6.5764% 4/15/37 (b)(j)(k) 459,160 125,816 
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 6.3964% 6/15/37 (b)(j)(k) 165,310 38,880 
Series 3949 Class MK, 4.5% 10/15/34 141,060 154,293 
Series 3955 Class YI, 3% 11/15/21 (j) 8,516 135 
Series 4055 Class BI, 3.5% 5/15/31 (j) 509,595 21,559 
Series 4149 Class IO, 3% 1/15/33 (j) 86,488 8,560 
Series 4314 Class AI, 5% 3/15/34 (j) 145,989 10,969 
Series 4427 Class LI, 3.5% 2/15/34 (j) 924,481 52,447 
Series 4471 Class PA 4% 12/15/40 930,191 989,633 
target amortization class Series 2156 Class TC, 6.25% 5/15/29 31,124 33,683 
Freddie Mac Manufactured Housing participation certificates guaranteed:   
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 1.714% 2/15/24 (b)(c) 9,620 9,647 
planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 7,699 8,871 
sequential payer:   
Series 2043 Class ZH, 6% 4/15/28 23,732 26,322 
Series 2056 Class Z, 6% 5/15/28 47,126 52,344 
Freddie Mac Multi-family Structured pass-thru certificates:   
floater Series 4795 Class FA, 1 month U.S. LIBOR + 0.300% 0.4836% 5/15/48 (b)(c) 4,071,257 4,039,466 
Series 4386 Class AZ, 4.5% 11/15/40 1,659,233 1,833,715 
Freddie Mac Seasoned Credit Risk Transfer Trust:   
sequential payer:   
Series 2018-3 Class MA, 3.5% 8/25/57 13,481,627 14,409,542 
Series 2018-4 Class MA, 3.5% 3/25/58 5,015,095 5,360,275 
Series 2019-1 Class MA, 3.5% 7/25/58 8,628,351 9,222,224 
Series 2018-3 Class M55D, 4% 8/25/57 616,481 647,028 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 6.5079% 6/16/37 (b)(j)(k) 97,491 24,491 
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 0.9909% 3/20/60 (b)(c)(m) 1,094,873 1,094,868 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.7709% 7/20/60 (b)(c)(m) 140,810 139,925 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 1.3163% 9/20/60 (b)(c)(m) 170,948 169,875 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 1.3163% 8/20/60 (b)(c)(m) 176,994 175,907 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 1.3963% 12/20/60 (b)(c)(m) 361,869 360,270 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 1.5163% 12/20/60 (b)(c)(m) 479,230 478,861 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 1.5163% 2/20/61 (b)(c)(m) 846,225 845,848 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 1.5063% 2/20/61 (b)(c)(m) 1,161,664 1,160,908 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 1.5163% 4/20/61 (b)(c)(m) 420,182 419,822 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 1.5163% 5/20/61 (b)(c)(m) 561,238 560,725 
Class FC, 1 month U.S. LIBOR + 0.500% 1.5163% 5/20/61 (b)(c)(m) 476,611 476,195 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 1.5463% 6/20/61 (b)(c)(m) 563,161 563,099 
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 1.5663% 9/20/61 (b)(c)(m) 1,393,142 1,393,601 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.6163% 10/20/61 (b)(c)(m) 654,249 655,243 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.7163% 11/20/61 (b)(c)(m) 603,701 606,057 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.7163% 1/20/62 (b)(c)(m) 393,958 395,451 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.6463% 1/20/62 (b)(c)(m) 570,192 571,450 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.6463% 3/20/62 (b)(c)(m) 363,822 364,139 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.6663% 5/20/61 (b)(c)(m) 21,388 21,436 
Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 1.5463% 7/20/60 (b)(c)(m) 12,649 12,653 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 1.6163% 1/20/64 (b)(c)(m) 541,881 542,635 
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 1.6163% 12/20/63 (b)(c)(m) 1,879,050 1,881,939 
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 1.5163% 6/20/64 (b)(c)(m) 489,744 489,326 
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 1.3163% 3/20/65 (b)(c)(m) 22,075 22,015 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 1.2963% 5/20/63 (b)(c)(m) 23,990 23,910 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 1.2163% 4/20/63 (b)(c)(m) 41,071 40,821 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 1.4163% 12/20/62 (b)(c)(m) 37,576 37,463 
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 0.4208% 10/20/47 (b)(c) 1,324,989 1,314,398 
Series 2018-159 Class F, 1 month U.S. LIBOR + 0.350% 0.5208% 11/20/48 (b)(c) 3,462,714 3,457,378 
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 0.4708% 5/20/48 (b)(c) 1,589,516 1,580,068 
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 0.4708% 6/20/48 (b)(c) 1,866,586 1,855,388 
Series 2018-78 Class AF, 1 month U.S. LIBOR + 0.300% 0.4708% 6/20/48 (b)(c) 2,009,001 2,002,788 
planned amortization class:   
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.6585% 12/20/40 (b)(k) 1,158,415 1,397,306 
Series 2011-136 Class WI, 4.5% 5/20/40 (j) 111,589 7,262 
Series 2016-69 Class WA, 3% 2/20/46 829,066 874,905 
Series 2017-134 Class BA, 2.5% 11/20/46 233,436 243,628 
Series 2017-153 Class GA, 3% 9/20/47 2,299,572 2,420,694 
Series 2017-182 Class KA, 3% 10/20/47 2,155,269 2,266,714 
Series 2018-13 Class Q, 3% 4/20/47 2,837,656 2,967,952 
sequential payer:   
Series 2002-42 Class ZA, 6% 6/20/32 12,796 14,826 
Series 2004-24 Class ZM, 5% 4/20/34 293,743 334,918 
Series 2010-160 Class DY, 4% 12/20/40 2,552,752 2,816,707 
Series 2010-170 Class B, 4% 12/20/40 566,281 624,946 
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 1.5163% 9/20/62 (b)(c)(m) 353,810 353,840 
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 1.6663% 11/20/65 (b)(c)(m) 53,765 53,794 
Series 2017-139 Class BA, 3% 9/20/47 7,901,876 8,468,479 
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 6.3179% 5/16/34 (b)(j)(k) 64,930 14,134 
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 7.0179% 8/17/34 (b)(j)(k) 53,907 13,930 
Series 2010-116 Class QB, 4% 9/16/40 170,756 183,749 
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.7679% 2/16/40 (b)(j)(k) 354,342 67,669 
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 0.7709% 5/20/60 (b)(c)(m) 418,470 415,870 
Series 2011-52 Class HI, 7% 4/16/41 (j) 59,746 12,441 
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.9293% 7/20/41 (b)(j)(k) 215,972 42,254 
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 6.5179% 6/16/42 (b)(j)(k) 216,409 51,557 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 8.439% 4/20/39 (b)(k) 133,994 139,414 
Class ST, 8.800% - 1 month U.S. LIBOR 8.5723% 8/20/39 (b)(k) 518,549 538,489 
Series 2013-149 Class MA, 2.5% 5/20/40 2,927,984 3,062,490 
Series 2014-2 Class BA, 3% 1/20/44 3,865,716 4,167,788 
Series 2014-21 Class HA, 3% 2/20/44 1,715,327 1,807,180 
Series 2014-25 Class HC, 3% 2/20/44 2,647,939 2,884,921 
Series 2014-5 Class A, 3% 1/20/44 2,367,826 2,539,670 
Series 2015-H13 Class HA, 2.5% 8/20/64 (m) 444,374 447,306 
Series 2015-H17 Class HA, 2.5% 5/20/65 (m) 338,772 339,525 
Series 2015-H21 Class HA, 2.5% 6/20/63 (m) 2,461 2,461 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 0.67% 5/20/66 (b)(c)(m) 3,635,318 3,610,704 
Series 2017-186 Class HK, 3% 11/16/45 2,211,859 2,346,509 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.52% 8/20/66 (b)(c)(m) 4,039,552 3,999,219 
Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.1538% 5/20/65 (b)(m) 143,313 150,392 
TOTAL U.S. GOVERNMENT AGENCY  159,376,757 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $214,346,544)  219,072,088 
Commercial Mortgage Securities - 2.6%   
BAMLL Commercial Mortgage Securities Trust:   
sequential payer Series 2019-BPR:   
Class AMP, 3.287% 11/5/32 (a) 10,500,000 10,324,773 
Class ANM, 3.112% 11/5/32 (a) 5,768,000 5,265,912 
Series 2019-BPR:   
Class BNM, 3.465% 11/5/32 (a) 1,295,000 1,046,333 
Class CNM, 3.8425% 11/5/32 (a)(b) 536,000 424,019 
BANK sequential payer:   
Series 2018-BN10:   
Class A4, 3.428% 2/15/61 10,050,000 11,013,542 
Class A5, 3.688% 2/15/61 6,167,000 6,867,725 
Series 2019-BN21 Class A5, 2.851% 10/17/52 1,112,000 1,188,762 
Series 2019-BN23 Class A3, 2.92% 12/15/52 9,000,000 9,694,740 
Series 2019-BN24 Class A3, 2.96% 11/15/62 4,100,000 4,431,361 
Barclays Commercial Mortgage Securities LLC Series 2015-STP Class A, 3.3228% 9/10/28 (a) 67,498 67,470 
Bayview Commercial Asset Trust floater:   
Series 2005-3A:   
Class A2, 1 month U.S. LIBOR + 0.400% 0.5683% 11/25/35 (a)(b)(c) 42,298 36,204 
Class M1, 1 month U.S. LIBOR + 0.440% 0.6083% 11/25/35 (a)(b)(c) 11,315 9,642 
Series 2005-4A:   
Class A2, 1 month U.S. LIBOR + 0.390% 0.5583% 1/25/36 (a)(b)(c) 107,205 96,416 
Class M1, 1 month U.S. LIBOR + 0.450% 0.6183% 1/25/36 (a)(b)(c) 34,609 31,059 
Class M2, 1 month U.S. LIBOR + 0.470% 0.6383% 1/25/36 (a)(b)(c) 13,051 11,614 
Class M3, 1 month U.S. LIBOR + 0.500% 0.6683% 1/25/36 (a)(b)(c) 18,994 16,770 
Series 2006-1:   
Class A2, 1 month U.S. LIBOR + 0.360% 0.5283% 4/25/36 (a)(b)(c) 17,998 15,497 
Class M1, 1 month U.S. LIBOR + 0.380% 0.5483% 4/25/36 (a)(b)(c) 10,883 9,301 
Class M2, 1 month U.S. LIBOR + 0.400% 0.5683% 4/25/36 (a)(b)(c) 11,511 8,762 
Class M6, 1 month U.S. LIBOR + 0.640% 0.8083% 4/25/36 (a)(b)(c) 10,883 8,089 
Series 2006-2A:   
Class M1, 1 month U.S. LIBOR + 0.310% 0.4783% 7/25/36 (a)(b)(c) 16,902 12,811 
Class M2, 1 month U.S. LIBOR + 0.330% 0.4983% 7/25/36 (a)(b)(c) 12,009 9,621 
Class M4, 1 month U.S. LIBOR + 0.420% 0.5883% 7/25/36 (a)(b)(c) 11,342 8,192 
Series 2006-4A:   
Class A2, 1 month U.S. LIBOR + 0.270% 0.4383% 12/25/36 (a)(b)(c) 266,502 233,473 
Class M1, 1 month U.S. LIBOR + 0.290% 0.4583% 12/25/36 (a)(b)(c) 21,418 15,892 
Class M3, 1 month U.S. LIBOR + 0.340% 0.5083% 12/25/36 (a)(b)(c) 14,518 9,981 
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.4383% 3/25/37 (a)(b)(c) 64,384 58,712 
Series 2007-2A:   
Class A1, 1 month U.S. LIBOR + 0.270% 0.4383% 7/25/37 (a)(b)(c) 192,018 167,265 
Class A2, 1 month U.S. LIBOR + 0.320% 0.4883% 7/25/37 (a)(b)(c) 179,727 153,897 
Class M1, 1 month U.S. LIBOR + 0.370% 0.5383% 7/25/37 (a)(b)(c) 61,223 45,917 
Class M2, 1 month U.S. LIBOR + 0.410% 0.5783% 7/25/37 (a)(b)(c) 39,888 29,397 
Class M3, 1 month U.S. LIBOR + 0.490% 0.6583% 7/25/37 (a)(b)(c) 35,064 30,396 
Series 2007-3:   
Class A2, 1 month U.S. LIBOR + 0.290% 0.4583% 7/25/37 (a)(b)(c) 67,651 55,511 
Class M1, 1 month U.S. LIBOR + 0.310% 0.4783% 7/25/37 (a)(b)(c) 35,886 29,082 
Class M2, 1 month U.S. LIBOR + 0.340% 0.5083% 7/25/37 (a)(b)(c) 38,290 30,432 
Class M3, 1 month U.S. LIBOR + 0.370% 0.5383% 7/25/37 (a)(b)(c) 61,813 49,765 
Class M4, 1 month U.S. LIBOR + 0.500% 0.6683% 7/25/37 (a)(b)(c) 97,185 77,291 
Class M5, 1 month U.S. LIBOR + 0.600% 0.7683% 7/25/37 (a)(b)(c) 40,328 29,602 
Benchmark Mortgage Trust:   
sequential payer:   
Series 2018-B4 Class A5, 4.121% 7/15/51 1,260,000 1,449,330 
Series 2019-B10 Class A4, 3.717% 3/15/62 2,283,000 2,579,544 
Series 2019-B11 Class A5, 3.5421% 5/15/52 8,500,000 9,502,242 
Series 2019-B13 Class A4, 2.952% 8/15/57 30,611,000 33,038,694 
Series 2019-B14 Class A5, 3.0486% 12/15/62 5,422,000 5,898,890 
Series 2020-B17 Class A5, 2.289% 3/15/53 13,300,000 13,602,280 
Series 2018-B8 Class A5, 4.2317% 1/15/52 15,369,000 17,903,579 
Series 2019-B12 Class XA, 1.0675% 8/15/52 (b)(j) 75,791,470 4,906,520 
Series 2019-B14 Class XA, 0.7902% 12/15/62 (b)(j) 50,926,062 2,490,987 
Series 2020-B17 Class XA, 1.5424% 3/15/53 (b)(j) 11,998,866 1,081,218 
BX Commercial Mortgage Trust:   
floater Series 2020-BXLP:   
Class B, 1 month U.S. LIBOR + 1.000% 1.1836% 12/15/36 (a)(b)(c) 6,574,000 6,293,994 
Class C, 1 month U.S. LIBOR + 1.120% 1.3036% 12/15/36 (a)(b)(c) 5,396,000 5,112,091 
Class D, 1 month U.S. LIBOR + 1.250% 1.4336% 12/15/36 (a)(b)(c) 6,058,000 5,693,753 
floater sequential payer:   
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 1.0596% 11/15/32 (a)(b)(c) 2,254,000 2,147,895 
Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.9836% 12/15/36 (a)(b)(c) 13,587,000 13,144,459 
BX Trust:   
floater:   
Series 2018-EXCL:   
Class A, 1 month U.S. LIBOR + 1.088% 1.2713% 9/15/37 (a)(b)(c) 11,493,874 10,091,661 
Class B, 1 month U.S. LIBOR + 1.320% 1.5086% 9/15/37 (a)(b)(c) 4,536,936 3,877,954 
Class D, 1 month U.S. LIBOR + 2.620% 2.8086% 9/15/37 (a)(b)(c) 2,186,803 1,568,374 
Series 2018-IND:   
Class B, 1 month U.S. LIBOR + 0.900% 1.0836% 11/15/35 (a)(b)(c) 3,999,800 3,889,464 
Class C, 1 month U.S. LIBOR + 1.100% 1.2836% 11/15/35 (a)(b)(c) 893,200 867,441 
Class F, 1 month U.S. LIBOR + 1.800% 1.9836% 11/15/35 (a)(b)(c) 2,356,900 2,238,706 
Series 2019-IMC:   
Class B, 1 month U.S. LIBOR + 1.300% 1.4836% 4/15/34 (a)(b)(c) 4,437,000 3,947,356 
Class C, 1 month U.S. LIBOR + 1.600% 1.7836% 4/15/34 (a)(b)(c) 2,933,000 2,550,502 
Class D, 1 month U.S. LIBOR + 1.900% 2.0836% 4/15/34 (a)(b)(c) 3,079,000 2,566,686 
Series 2019-XL:   
Class B, 1 month U.S. LIBOR + 1.080% 1.2636% 10/15/36 (a)(b)(c) 4,281,150 4,136,337 
Class C, 1 month U.S. LIBOR + 1.250% 1.4336% 10/15/36 (a)(b)(c) 5,381,771 5,172,754 
Class D, 1 month U.S. LIBOR + 1.450% 1.6336% 10/15/36 (a)(b)(c) 7,623,141 7,298,426 
Class E, 1 month U.S. LIBOR + 1.800% 1.9836% 10/15/36 (a)(b)(c) 10,710,995 10,134,019 
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 1.7836% 12/15/36 (a)(b)(c) 5,747,000 5,343,867 
floater, sequential payer:   
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.1836% 4/15/34 (a)(b)(c) 11,557,000 10,629,385 
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.1036% 10/15/36 (a)(b)(c) 30,552,754 29,940,296 
CGDB Commercial Mortgage Trust floater Series 2019-MOB:   
Class A, 1 month U.S. LIBOR + 0.950% 1.1336% 11/15/36 (a)(b)(c) 4,222,000 4,010,289 
Class B, 1 month U.S. LIBOR + 1.250% 1.4336% 11/15/36 (a)(b)(c) 1,600,000 1,511,749 
CHC Commercial Mortgage Trust floater Series 2019-CHC:   
Class A, 1 month U.S. LIBOR + 1.120% 1.3036% 6/15/34 (a)(b)(c) 21,133,804 20,346,614 
Class B, 1 month U.S. LIBOR + 1.500% 1.6836% 6/15/34 (a)(b)(c) 2,169,638 1,935,853 
Class C, 1 month U.S. LIBOR + 1.750% 1.9336% 6/15/34 (a)(b)(c) 2,451,422 2,107,433 
Citigroup Commercial Mortgage Trust:   
sequential payer:   
Series 2017-P7 Class AAB, 3.509% 4/14/50 740,000 791,658 
Series 2020-GC46 Class A5, 2.717% 2/15/53 20,180,000 21,463,339 
Series 2015-GC33 Class XA, 0.8915% 9/10/58 (b)(j) 1,620,162 61,041 
Series 2016-P6 Class XA, 0.7875% 12/10/49 (b)(j) 1,641,825 47,866 
COMM Mortgage Trust:   
sequential payer:   
Series 2014-CR18 Class A5, 3.828% 7/15/47 2,137,000 2,297,490 
Series 2017-CD4 Class ASB, 3.317% 5/10/50 2,000,000 2,132,423 
Series 2019-GC44 Class A5, 2.95% 8/15/57 11,300,000 12,201,715 
Series 2014-CR20 Class XA, 1.0257% 11/10/47 (b)(j) 390,605 14,198 
Series 2014-LC17 Class XA, 0.7666% 10/10/47 (b)(j) 1,367,196 34,215 
Series 2014-UBS6 Class XA, 0.8907% 12/10/47 (b)(j) 982,994 29,946 
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 1.0636% 12/15/31 (a)(b)(c) 1,667,000 1,604,202 
Credit Suisse Mortgage Trust:   
floater Series 2019-ICE4:   
Class A, 1 month U.S. LIBOR + 0.980% 1.1636% 5/15/36 (a)(b)(c) 36,210,000 35,370,544 
Class B, 1 month U.S. LIBOR + 1.230% 1.4136% 5/15/36 (a)(b)(c) 6,081,000 5,882,863 
Class C, 1 month U.S. LIBOR + 1.430% 1.6136% 5/15/36 (a)(b)(c) 7,314,000 7,002,373 
Series 2018-SITE:   
Class A, 4.284% 4/15/36 (a) 4,971,000 4,847,256 
Class B, 4.5349% 4/15/36 (a) 1,471,000 1,400,326 
Class C, 4.782% 4/15/36 (a)(b) 955,000 886,955 
Class D, 4.782% 4/15/36 (a)(b) 1,909,000 1,710,760 
Freddie Mac:   
sequential payer:   
Series 2020-K104 Class A2, 2.253% 1/25/30 8,100,000 8,810,361 
Series K069 Class A2, 3.187% 9/25/27 3,630,000 4,109,978 
Series K073 Class A2, 3.35% 1/25/28 6,811,000 7,804,347 
Series K734 Class A2, 3.208% 2/25/26 2,438,000 2,696,129 
GS Mortgage Securities Trust:   
floater Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 1.6336% 9/15/31 (a)(b)(c) 20,025,000 18,487,911 
sequential payer:   
Series 2014-GC18 Class AAB, 3.648% 1/10/47 900,157 928,427 
Series 2019-GC39 Class A4, 3.567% 5/10/52 1,800,000 2,014,432 
Series 2020-GC45 Class A5, 2.9106% 2/13/53 17,280,000 18,606,974 
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (a) 3,500,000 3,577,050 
JPMBB Commercial Mortgage Securities Trust Series 2013-C14 Class A/S, 4.4093% 8/15/46 3,700,000 3,862,176 
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2019-COR6 Class A4, 3.0565% 11/13/52 2,872,000 3,113,322 
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-C6 Class A/S, 4.1166% 5/15/45 500,000 511,928 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.1836% 9/15/29 (a)(b)(c) 6,400,000 6,160,167 
Series 2018-WPT:   
Class AFX, 4.2475% 7/5/33 (a) 84,000 86,431 
Class CFX, 4.9498% 7/5/33 (a) 767,000 775,045 
Class DFX, 5.3503% 7/5/33 (a) 1,180,000 1,172,721 
Class EFX, 5.5422% 7/5/33 (a) 1,614,000 1,557,512 
Ladder Capital Commercial Mortgage Securities Trust:   
sequential payer Series 2014-909 Class A, 3.388% 5/15/31 (a) 12,000,000 12,039,988 
Series 2014-909 Class B, 3.59% 5/15/31 (a) 7,769,000 7,733,847 
Morgan Stanley BAML Trust:   
sequential payer Series 2017-C33 Class A4, 3.337% 5/15/50 13,400,000 14,372,214 
Series 2015-C25 Class XA, 1.0859% 10/15/48 (b)(j) 994,621 40,638 
Morgan Stanley Capital I Trust:   
floater:   
Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 1.0336% 8/15/33 (a)(b)(c) 213,000 203,871 
Series 2019-AGLN Class A, 1 month U.S. LIBOR + 0.950% 1.1336% 3/15/34 (a)(b)(c) 8,620,000 8,252,177 
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (a)(b)(c) 9,700,000 9,250,036 
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) 16,247,000 15,449,973 
Series 2011-C3 Class AJ, 5.2444% 7/15/49 (a)(b) 5,300,000 5,453,922 
Series 2018-H4 Class A4, 4.31% 12/15/51 2,991,000 3,450,963 
Series 2019-MEAD:   
Class B, 3.1771% 11/10/36 (a) 1,783,000 1,677,573 
Class C, 3.1771% 11/10/36 (a) 1,712,000 1,537,831 
MSCG Trust Series 2016-SNR:   
Class B, 4.181% 11/15/34 (a) 30,056 29,081 
Class C, 5.205% 11/15/34 (a) 948,600 924,694 
NYT Mortgage Trust floater Series 2019-NYT Class A, 1 month U.S. LIBOR + 1.200% 1.3836% 12/15/35 (a)(b)(c) 20,822,000 19,866,997 
RETL floater Series 2019-RVP:   
Class A, 1 month U.S. LIBOR + 1.150% 1.3336% 3/15/36 (a)(b)(c) 1,165,311 1,101,916 
Class B, 1 month U.S. LIBOR + 1.550% 1.7336% 3/15/36 (a)(b)(c) 2,800,000 2,508,593 
Class C, 1 month U.S. LIBOR + 2.100% 2.2836% 3/15/36 (a)(b)(c) 10,537,000 9,183,209 
UBS Commercial Mortgage Trust:   
sequential payer Series 2017-C7 Class ASB, 3.586% 12/15/50 1,000,000 1,083,907 
Series 2017-C7 Class XA, 1.052% 12/15/50 (b)(j) 1,241,140 69,364 
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.988% 4/10/46 (a)(b)(c) 113,853 116,101 
Wells Fargo Commercial Mortgage Trust:   
sequential payer:   
Series 2015-C26 Class A4, 3.166% 2/15/48 11,250,000 11,897,785 
Series 2015-C29 Class ASB, 3.4% 6/15/48 6,165,972 6,415,488 
Series 2016-LC24 Class A3, 2.684% 10/15/49 4,700,000 4,888,402 
Series 2017-C40 Class ASB, 3.395% 10/15/50 1,000,000 1,073,467 
Series 2018-C44 Class ASB, 4.167% 5/15/51 1,000,000 1,119,928 
Series 2019-C52 Class A5, 2.892% 8/15/52 3,829,000 4,091,779 
Series 2019-C54 Class ASB, 3.063% 12/15/52 1,000,000 1,072,432 
Series 2015-SG1 Class ASB, 3.556% 9/15/48 5,200,000 5,429,991 
Series 2017-C42 Class XA, 0.8881% 12/15/50 (b)(j) 1,456,703 76,841 
Series 2018-C48 Class A5, 4.302% 1/15/52 3,836,000 4,449,204 
WF-RBS Commercial Mortgage Trust floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.9036% 6/15/46 (a)(b)(c) 104,171 104,639 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $657,769,794)  647,646,802 
Municipal Securities - 0.2%   
Illinois Gen. Oblig.:   
Series 2003: $ $ 
4.95% 6/1/23 4,114,909 4,099,725 
5.1% 6/1/33 22,095,000 21,306,209 
Series 2010-1, 6.63% 2/1/35 2,035,000 2,124,418 
Series 2010-3:   
6.725% 4/1/35 2,710,000 2,822,004 
7.35% 7/1/35 1,385,000 1,492,975 
Series 2010-5, 6.2% 7/1/21 590,000 593,322 
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 11,609,000 13,598,434 
TOTAL MUNICIPAL SECURITIES   
(Cost $47,115,159)  46,037,087 
Foreign Government and Government Agency Obligations - 0.1%   
State of Qatar:   
3.4% 4/16/25 (a) 4,110,000 4,395,131 
3.75% 4/16/30 (a) 5,210,000 5,792,869 
4.4% 4/16/50 (a) 4,845,000 5,753,438 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $14,142,757)  15,941,438 
Bank Notes - 0.1%   
Capital One NA 2.95% 7/23/21 3,754,000 3,817,700 
Discover Bank:   
3.1% 6/4/20 $4,072,000 $4,072,312 
3.2% 8/9/21 4,613,000 4,659,865 
4.682% 8/9/28 (b) 2,954,000 2,956,363 
KeyBank NA 6.95% 2/1/28 619,000 780,417 
PNC Bank NA 2.45% 11/5/20 4,575,000 4,603,060 
RBS Citizens NA 2.55% 5/13/21 1,236,000 1,256,243 
Regions Bank 6.45% 6/26/37 4,251,000 5,637,831 
Synchrony Bank 3.65% 5/24/21 4,817,000 4,883,605 
TOTAL BANK NOTES   
(Cost $31,501,442)  32,667,396 
 Shares Value 
Fixed-Income Funds - 51.3%   
Bank Loan Funds - 2.3%   
Fidelity Floating Rate High Income Fund (n) 63,553,686 $554,823,681 
High Yield Fixed-Income Funds - 2.5%   
Fidelity High Income Fund (n) 23,106,975 189,708,266 
Fidelity New Markets Income Fund (n) 31,628,922 437,744,286 
TOTAL HIGH YIELD FIXED-INCOME FUNDS  627,452,552 
Inflation-Protected Bond Funds - 1.7%   
Fidelity Inflation-Protected Bond Index Fund (n) 39,534,157 417,876,035 
Intermediate-Term Bond Funds - 37.8%   
Fidelity Global Credit Fund (n) 2,727,864 26,242,053 
Fidelity SAI Total Bond Fund (n) 860,170,253 9,212,423,374 
Fidelity Sustainability Bond Index Fund (n) 2,318,779 25,576,136 
Fidelity U.S. Bond Index Fund (n) 8,101,740 101,109,716 
TOTAL INTERMEDIATE-TERM BOND FUNDS  9,365,351,279 
Investment Grade Fixed-Income Funds - 2.0%   
Fidelity Corporate Bond Fund (n) 40,452,566 502,825,401 
Long Government Bond Funds - 4.5%   
Fidelity SAI Long-Term Treasury Bond Index Fund (n) 83,495,506 1,107,985,358 
Sector Funds - 0.5%   
Fidelity Advisor Real Estate Income Fund Class Z (n) 12,616,986 130,711,979 
TOTAL FIXED-INCOME FUNDS   
(Cost $12,106,616,637)  12,707,026,285 
 Principal Amount Value 
Preferred Securities - 0.1%   
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
MPLX LP 6.875% (b)(o) 734,000 641,686 
FINANCIALS - 0.1%   
Banks - 0.1%   
Bank of America Corp. 6.25% (b)(o) 4,113,000 4,344,155 
Bank of Nova Scotia 4.65% (b)(o) 13,095,000 12,545,466 
Barclays Bank PLC 7.625% 11/21/22 4,883,000 5,260,354 
Barclays PLC 7.875% (Reg. S) (b)(o) 695,000 715,137 
Citigroup, Inc. 4.7% (b)(o) 520,000 461,132 
JPMorgan Chase & Co. 4.6% (b)(o) 1,175,000 1,061,201 
Royal Bank of Scotland Group PLC 7.5% (b)(o) 476,000 472,297 
Wells Fargo & Co. 5.9% (b)(o) 671,000 685,327 
  25,545,069 
INDUSTRIALS - 0.0%   
Trading Companies & Distributors - 0.0%   
AerCap Holdings NV 5.875% 10/10/79 (b) 1,785,000 1,240,983 
TOTAL PREFERRED SECURITIES   
(Cost $28,422,599)  27,427,738 
 Shares Value 
Money Market Funds - 6.2%   
Fidelity Cash Central Fund 0.11% (p) 1,034,267,295 1,034,474,149 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.12% (n)(q) 502,472,950 502,472,950 
TOTAL MONEY MARKET FUNDS   
(Cost $1,536,947,060)  1,536,947,099 

Purchased Swaptions - 0.0%    
 Expiration Date Notional Amount Value 
Put Options - 0.0%    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.0375% and receive quarterly a floating rate based on 3-month LIBOR, expiring March 2032 3/7/22 8,800,000 $205,959 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.78% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/15/24 4,600,000 45,463 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.785% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/24/24 27,200,000 270,246 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.82% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/18/24 33,500,000 318,582 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 2,800,000 46,012 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.2% and receive quarterly a floating rate based on 3-month LIBOR, expiring July 2029 7/18/24 43,600,000 244,919 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.741% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/12/24 16,000,000 159,140 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to pay semi-annually a fixed rate of 2.313% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/6/24 12,300,000 57,311 
TOTAL PUT OPTIONS   1,347,632 
Call Options - 0.0%    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.0375% and pay quarterly a floating rate based on 3-month LIBOR, expiring March 2032 3/7/22 8,800,000 402,150 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.78% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/15/24 4,600,000 245,198 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.785% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/24/24 27,200,000 1,454,021 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.82% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/18/24 33,500,000 1,836,475 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 2,800,000 110,076 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.2% and pay quarterly a floating rate based on 3-month LIBOR, expiring July 2029 7/18/24 43,600,000 3,099,171 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.741% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/12/24 16,000,000 831,185 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to receive semi-annually a fixed rate of 2.313% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/6/24 12,300,000 939,614 
TOTAL CALL OPTIONS   8,917,890 
TOTAL PURCHASED SWAPTIONS    
(Cost $8,431,114)   10,265,522 
TOTAL INVESTMENT IN SECURITIES - 110.0%    
(Cost $26,288,865,369)   27,254,106,818 
NET OTHER ASSETS (LIABILITIES) - (10.0)%   (2,479,792,116) 
NET ASSETS - 100%   $24,774,314,702 

TBA Sale Commitments   
 Principal Amount Value 
Uniform Mortgage Backed Securities   
2.5% 6/1/35 $(17,100,000) $(17,892,211) 
2.5% 6/1/35 (6,600,000) (6,905,765) 
2.5% 6/1/35 (10,450,000) (10,934,129) 
2.5% 6/1/35 (76,400,000) (79,939,467) 
2.5% 6/1/35 (19,900,000) (20,821,929) 
2.5% 6/1/35 (16,450,000) (17,212,097) 
2.5% 6/1/35 (46,300,000) (48,444,991) 
2.5% 6/1/35 (2,750,000) (2,877,402) 
2.5% 6/1/35 (2,700,000) (2,825,086) 
2.5% 6/1/35 (10,600,000) (11,091,078) 
2.5% 6/1/35 (17,050,000) (17,839,894) 
2.5% 7/1/35 (37,450,000) (39,125,007) 
2.5% 6/1/50 (65,000,000) (67,424,806) 
2.5% 6/1/50 (32,000,000) (33,193,750) 
3% 6/1/50 (54,600,000) (57,432,375) 
3% 6/1/50 (23,100,000) (24,298,313) 
3% 6/1/50 (6,400,000) (6,732,000) 
3% 6/1/50 (48,000,000) (50,490,000) 
3% 6/1/50 (58,900,000) (61,955,438) 
3% 6/1/50 (10,400,000) (10,939,500) 
3% 6/1/50 (6,550,000) (6,889,781) 
3% 6/1/50 (10,400,000) (10,939,500) 
3% 6/1/50 (6,500,000) (6,837,188) 
3% 6/1/50 (40,400,000) (42,495,750) 
3% 6/1/50 (7,100,000) (7,468,313) 
3% 6/1/50 (8,000,000) (8,415,000) 
3% 6/1/50 (10,150,000) (10,676,531) 
3% 6/1/50 (27,650,000) (29,084,344) 
3% 6/1/50 (15,550,000) (16,356,656) 
3% 6/1/50 (2,700,000) (2,840,063) 
3% 6/1/50 (10,800,000) (11,360,250) 
3% 6/1/50 (23,400,000) (24,613,875) 
3% 6/1/50 (17,300,000) (18,197,438) 
3% 6/1/50 (28,250,000) (29,715,469) 
3% 6/1/50 (38,200,000) (40,181,622) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $854,284,541)  $(854,447,018) 

Written Swaptions    
 Expiration Date Notional Amount Value 
Put Swaptions    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.775% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/3/24 9,700,000 $(101,459) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.97% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/1/24 19,000,000 (140,274) 
TOTAL PUT SWAPTIONS   (241,733) 
Call Swaptions    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.775% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/3/24 9,700,000 (513,183) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.97% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/1/24 19,000,000 (1,164,748) 
TOTAL CALL SWAPTIONS   (1,677,931) 
TOTAL WRITTEN SWAPTIONS   $(1,919,664) 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Treasury Contracts      
CBOT Long Term U.S. Treasury Bond Contracts (United States) 499 Sept. 2020 $89,009,125 $(152,814) $(152,814) 
Sold      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 2,435 Sept. 2020 338,617,188 (463,703) (463,703) 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 1,781 Sept. 2020 393,322,719 (59,147) (59,147) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 269 Sept. 2020 33,793,125 (44,673) (44,673) 
TOTAL SOLD     (567,523) 
TOTAL FUTURES CONTRACTS     $(720,337) 

The notional amount of futures purchased as a percentage of Net Assets is 0.4%

The notional amount of futures sold as a percentage of Net Assets is 3.1%

Swaps

Underlying Reference Maturity Date Clearinghouse / Counterparty Fixed Payment Received/(Paid) Payment Frequency Notional Amount Value Upfront Premium Received/(Paid) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps         
Buy Protection         
CMBX N.A. AAA Index Series 12 Aug. 2061 Citigroup Global Markets Ltd. (0.5%) Monthly $1,830,000 $17,534 $(60,355) $(42,821) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Citigroup Global Markets Ltd. (0.5%) Monthly 2,200,000 21,079 (28,895) (7,816) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Citigroup Global Markets Ltd. (0.5%) Monthly 8,150,000 78,088 (114,090) (36,002) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Citigroup Global Markets Ltd. (0.5%) Monthly 3,100,000 29,702 (39,429) (9,727) 
CMBX N.A. AAA Index Series 12 Aug. 2061 JPMorgan Securities LLC (0.5%) Monthly 2,510,000 24,049 (31,083) (7,034) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly 1,630,000 15,618 (77,105) (61,487) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly 14,170,000 135,768 (505,013) (369,245) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly 6,800,000 65,154 (189,949) (124,795) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly 630,000 6,036 (14,976) (8,940) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly 3,180,000 30,469 (15,311) 15,158 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly 8,460,000 81,059 (71,097) 9,962 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly 9,300,000 89,107 (104,201) (15,094) 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly 20,000,000 191,628 (141,836) 49,792 
TOTAL CREDIT DEFAULT SWAPS      $785,291 $(1,393,340) $(608,049) 

Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount Value Upfront Premium Received/(Paid)(2) Unrealized Appreciation/(Depreciation) 
Interest Rate Swaps          
1% Semi - annual 3-month LIBOR(3) Quarterly LCH Jun. 2022 $70,710,000 $132,357 $0 $132,357 
1.25% Semi - annual 3-month LIBOR(3) Quarterly LCH Jun. 2025 59,850,000 288,746 0 288,746 
3-month LIBOR(3) Quarterly 1.25% Semi - annual LCH Jun. 2030 43,115,000 (331,688) 0 (331,688) 
TOTAL INTEREST RATE SWAPS       $89,415 $0 $89,415 

 (1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

 (2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

 (3) Represents floating rate.

Legend

 (a) 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 $1,761,217,617 or 7.1% of net assets.

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

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

 (d) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $896,498.

 (e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $4,416,086.

 (f) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,483,093.

 (g) Security or a portion of the security has been segregated as collateral for open options. At period end, the value of securities pledged amounted to $341,159.

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

 (i) Level 3 security

 (j) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

 (k) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

 (l) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

 (m) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

 (n) Affiliated Fund

 (o) Security is perpetual in nature with no stated maturity date.

 (p) 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.

 (q) The rate quoted is the annualized seven-day yield of the fund at period end.

Affiliated Central Funds

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

Fund Income earned 
Fidelity Cash Central Fund $6,535,297 
Fidelity Specialized High Income Central Fund 898,845 
Total $7,434,142 

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.

Fiscal year to date information regarding the Fund’s investments in non-Money Market Central Funds, including the ownership percentage, is presented below.

Fund Value, beginning of period Purchases Sales Proceeds(a) Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Specialized High Income Central Fund $233,291,657 $-- $238,156,796 $9,525,452 $(4,660,313) $-- 0.0% 
Total $233,291,657 $-- $238,156,796 $9,525,452 $(4,660,313) $--  

 (a) Includes the value of securities delivered through in-kind transactions, if applicable.

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.

Affi-
liate 		Value, beginning of period Purchases Sales Proceeds(a) Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Advisor Re-
al Est-
ate Inc-
ome Fund Cla-
ss Z 		$-- $125,000,000 $-- $-- $-- $5,711,979 $130,711,979 
Fidelity Cap-
ital & Inc-
ome Fund 		-- 50,000,000 50,000,000 66,303 -- -- -- 
Fidelity Cor-
por-
ate Bo-
nd Fu-
nd 		-- 476,740,651 -- 1,744,617 -- 26,084,750 502,825,401 
Fidelity Floa-
ting Rate High Inc-
ome Fund 		346,073,841 250,003,468 -- 20,003,892 -- (41,253,628) 554,823,681 
Fidelity Glo-
bal Cre-
dit Fund 		-- 25,590,962 -- 590,962 -- 651,091 26,242,053 
Fidelity High Inc-
ome Fund 		-- 201,103,316 20,000,000 1,110,657 25,284 8,579,666 189,708,266 
Fidelity Inf-
lat-
ion-
Pro-
tec-
ted Bo-
nd In-
dex Fu-
nd 		81,897,580 576,053,528 260,000,000 9,380,280 3,695,136 16,229,791 417,876,035 
Fidelity Inv-
est-
me-
nts Mon-
ey Mar-
ket Gov-
ern-
me-
nt Por-
tfo-
lio Ins-
tit-
uti-
on-
al Cla-
ss 0
.12
% 		122,960,870 7,115,846,669 6,736,334,589 1,982,470 -- -- 502,472,950 
Fidelity New Mar-
kets Inc-
ome Fund 		153,694,426 312,610,815 -- 12,611,115 -- (28,560,955) 437,744,286 
Fidelity SAI Lo-
ng-
Te-
rm Tre-
as-
ury Bo-
nd Ind-
ex Fu-
nd 		-- 1,059,145,793 75,000,000 10,234,773 (457,203) 124,296,768 1,107,985,358 
Fidelity SAI Tot-
al Bo-
nd Fu-
nd 		6,623,960,852 2,436,172,894 49,536,068 366,041,516 (3,913,856) 205,739,552 9,212,423,374 
Fidelity SAI U.S. Tre-
asu-
ry Bo-
nd Ind-
ex Fu-
nd 		1,746,084,906 865,417,474 2,815,703,176 38,750,435 257,408,890 (53,208,094) -- 
Fidelity Sus-
tai-
nab-
ili-
ty Bo-
nd In-
dex Fu-
nd 		-- 25,090,753 -- 90,758 -- 485,383 25,576,136 
Fidelity U.S. Bo-
nd Ind-
ex Fu-
nd 		354,222,366 672,503,890 954,246,428 12,702,256 37,636,928 (9,007,040) 101,109,716 
Total $9,428,894,841 $14,191,280,213 10,960,820,261 $475,310,034 $294,395,179 $255,749,263 $13,209,499,235 

 (a) Includes the value of securities delivered through in-kind transactions, if applicable.

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 May 31, 2020, 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:     
Corporate Bonds $4,624,737,805 $-- $4,624,737,805 $-- 
U.S. Government and Government Agency Obligations 1,621,322,342 -- 1,621,322,342 -- 
U.S. Government Agency - Mortgage Securities 5,184,116,606 -- 5,184,116,606 -- 
Asset-Backed Securities 580,898,610 -- 580,898,610 -- 
Collateralized Mortgage Obligations 219,072,088 -- 219,072,088 -- 
Commercial Mortgage Securities 647,646,802 -- 647,646,802 -- 
Municipal Securities 46,037,087 -- 46,037,087 -- 
Foreign Government and Government Agency Obligations 15,941,438 -- 15,941,438 -- 
Bank Notes 32,667,396 -- 32,667,396 -- 
Fixed-Income Funds 12,707,026,285 12,707,026,285 -- -- 
Preferred Securities 27,427,738 -- 27,427,738 -- 
Money Market Funds 1,536,947,099 1,536,947,099 -- -- 
Purchased Swaptions 10,265,522 -- 10,265,522 -- 
Total Investments in Securities: $27,254,106,818 $14,243,973,384 $13,010,133,434 $-- 
Derivative Instruments:     
Assets     
Swaps $496,015 $-- $496,015 $-- 
Total Assets $496,015 $-- $496,015 $-- 
Liabilities     
Futures Contracts $(720,337) $(720,337) $-- $-- 
Swaps (1,014,649) -- (1,014,649) -- 
Written Swaptions (1,919,664) -- (1,919,664) -- 
Total Liabilities $(3,654,650) $(720,337) $(2,934,313) $-- 
Total Derivative Instruments: $(3,158,635) $(720,337) $(2,438,298) $-- 
Total Liabilities     
TBA Sale Commitments $(854,447,018) $-- $(854,447,018) $-- 
Total Other Financial Instruments: $(854,447,018) $-- $(854,447,018) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2020. 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 
Credit Risk   
Swaps(a) $74,912 $(682,961) 
Total Credit Risk 74,912 (682,961) 
Interest Rate Risk   
Futures Contracts(b) 0 (720,337) 
Purchased Swaptions(c) 10,265,522 0 
Swaps(d) 421,103 (331,688) 
Written Swaptions(e) 0 (1,919,664) 
Total Interest Rate Risk 10,686,625 (2,971,689) 
Total Value of Derivatives $10,761,537 $(3,654,650) 

 (a) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.

 (b) 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).

 (c) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.

 (d) For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in Total accumulated earnings (loss).

 (e) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.

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


Financial Statements

Statement of Assets and Liabilities

  May 31, 2020 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $12,645,301,672) 		$13,010,133,434  
Fidelity Central Funds (cost $1,034,474,110) 1,034,474,149  
Other affiliated issuers (cost $12,609,089,587) 13,209,499,235  
Total Investment in Securities (cost $26,288,865,369)  $27,254,106,818 
Cash  1,002,858 
Receivable for investments sold  58,780,392 
Receivable for premium on written options  1,612,210 
Receivable for TBA sale commitments  854,284,541 
Receivable for fund shares sold  34,707,645 
Dividends receivable  29,227,220 
Interest receivable  59,185,097 
Distributions receivable from Fidelity Central Funds  106,156 
Bi-lateral OTC swaps, at value  785,291 
Prepaid expenses  80,479 
Total assets  28,293,878,707 
Liabilities   
Payable for investments purchased   
Regular delivery $106,095,091  
Delayed delivery 2,544,620,035  
TBA sale commitments, at value 854,447,018  
Payable for swaps 141,836  
Payable for fund shares redeemed 8,414,503  
Distributions payable 883,571  
Accrued management fee 1,183,984  
Payable for daily variation margin on futures contracts 680,363  
Payable for daily variation margin on centrally cleared OTC swaps 4,055  
Written options, at value (premium receivable $1,612,210) 1,919,664  
Other payables and accrued expenses 1,173,885  
Total liabilities  3,519,564,005 
Net Assets  $24,774,314,702 
Net Assets consist of:   
Paid in capital  $23,121,434,792 
Total accumulated earnings (loss)  1,652,879,910 
Net Assets  $24,774,314,702 
Net Asset Value, offering price and redemption price per share ($24,774,314,702 ÷ 2,263,322,999 shares)  $10.95 

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


Statement of Operations

  Year ended May 31, 2020 
Investment Income   
Dividends:   
Unaffiliated issuers  $1,457,303 
Affiliated issuers  343,716,490 
Interest  274,698,135 
Income from Fidelity Central Funds  7,434,142 
Total income  627,306,070 
Expenses   
Management fee $65,978,610  
Accounting fees and expenses 139,639  
Custodian fees and expenses 254,381  
Independent trustees' fees and expenses 236,035  
Registration fees 1,940,818  
Audit 84,637  
Legal 53,577  
Miscellaneous 217,152  
Total expenses before reductions 68,904,849  
Expense reductions (54,085,140)  
Total expenses after reductions  14,819,709 
Net investment income (loss)  612,486,361 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 489,830,186  
Fidelity Central Funds 9,455,784  
Other affiliated issuers 294,395,179  
Futures contracts (19,874,141)  
Swaps (487,769)  
Written options (598,064)  
Capital gain distributions from underlying funds:   
Affiliated issuers 131,593,544  
Total net realized gain (loss)  904,314,719 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 114,894,414  
Fidelity Central Funds (4,660,313)  
Other affiliated issuers 255,749,263  
Futures contracts (41,888)  
Swaps (291,625)  
Written options (294,994)  
Delayed delivery commitments 3,948,733  
Total change in net unrealized appreciation (depreciation)  369,303,590 
Net gain (loss)  1,273,618,309 
Net increase (decrease) in net assets resulting from operations  $1,886,104,670 

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


Statement of Changes in Net Assets

 Year ended May 31, 2020 For the period
October 16, 2018 (commencement of operations) to May 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $612,486,361 $276,260,785 
Net realized gain (loss) 904,314,719 89,710,064 
Change in net unrealized appreciation (depreciation) 369,303,590 594,228,957 
Net increase (decrease) in net assets resulting from operations 1,886,104,670 960,199,806 
Distributions to shareholders (870,231,562) (256,473,495) 
Share transactions   
Proceeds from sales of shares 13,153,308,317 17,598,568,820 
Reinvestment of distributions 789,311,102 246,045,283 
Cost of shares redeemed (7,137,434,535) (1,595,083,704) 
Net increase (decrease) in net assets resulting from share transactions 6,805,184,884 16,249,530,399 
Total increase (decrease) in net assets 7,821,057,992 16,953,256,710 
Net Assets   
Beginning of period 16,953,256,710 – 
End of period $24,774,314,702 $16,953,256,710 
Other Information   
Shares   
Sold 1,238,104,414 1,753,157,417 
Issued in reinvestment of distributions 74,193,651 24,075,678 
Redeemed (668,720,512) (157,487,649) 
Net increase (decrease) 643,577,553 1,619,745,446 

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


Financial Highlights

Strategic Advisers Fidelity Core Income Fund

   
Years ended May 31, 2020 2019 A 
Selected Per–Share Data   
Net asset value, beginning of period $10.47 $10.00 
Income from Investment Operations   
Net investment income (loss)B .302 .209 
Net realized and unrealized gain (loss) .613 .445 
Total from investment operations .915 .654 
Distributions from net investment income (.299) (.182) 
Distributions from net realized gain (.136) (.002) 
Total distributions (.435) (.184) 
Net asset value, end of period $10.95 $10.47 
Total ReturnC,D 8.94% 6.60% 
Ratios to Average Net AssetsE,F,G   
Expenses before reductions .32% .37%H 
Expenses net of fee waivers, if any .07% .12%H 
Expenses net of all reductions .07% .12%H 
Net investment income (loss) 2.83% 3.30%H 
Supplemental Data   
Net assets, end of period (000 omitted) $24,774,315 $16,953,257 
Portfolio turnover rateG 247% 124%H,I 

 A For the period October 16, 2018 (commencement of operations) to May 31, 2019.

 B Calculated based on average shares outstanding during the period.

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.

 G Amounts do not include the activity of Underlying Funds.

 H Annualized

 I Portfolio turnover rate excludes securities received or delivered in-kind.

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


Notes to Financial Statements

For the period ended May 31, 2020

1. Organization.

Strategic Advisers Fidelity Core Income Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. 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 Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

2. 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 – Investments 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 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 – 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. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations 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. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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. Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 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 May 31, 2020 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying 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. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. 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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $1,760 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.

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 May 31, 2020, 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 short-term gain distributions from the Underlying funds, swaps, futures and options transactions, market discount, partnerships, deferred trustees compensation and losses deferred due to wash sales and futures transactions.

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 $1,171,513,765 
Gross unrealized depreciation (203,426,561) 
Net unrealized appreciation (depreciation) $968,087,204 
Tax Cost $26,284,828,258 

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

Undistributed ordinary income $303,041,749 
Undistributed long-term capital gain $391,001,125 
Net unrealized appreciation (depreciation) on securities and other investments $958,838,795 

The tax character of distributions paid was as follows:

 May 31, 2020 May 31, 2019(a) 
Ordinary Income $870,231,562 $ 256,473,495 

 (a) For the period October 16, 2018 (commencement of operations) to May 31, 2019.

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. 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.

To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.

Restricted Securities (including Private Placements). The Fund 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 is included at the end of the Fund's Schedule of Investments.

3. 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, options and swaps. 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, to gain exposure to certain types of assets 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 risks:

Credit Risk Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
 
Interest Rate Risk Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. 

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. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options and bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.

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.

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Credit Risk   
Swaps $4,379,166 $(602,201) 
Total Credit Risk $4,379,166 $(602,201) 
Interest Rate Risk   
Futures Contracts $(19,874,141) $(41,888) 
Purchased Options 9,518,035 981,336 
Written Options (598,064) (294,994) 
Swaps (4,866,935) 310,576 
Total Interest Rate Risk (15,821,105) 955,030 
Totals $(11,441,939) $352,829 

A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.

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 bond market and fluctuations in interest rates.

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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.

Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, are noted in the table below.

 Purchases ($) Sales ($) 
Strategic Advisers Fidelity Core Income Fund 33,400,026,248 25,308,904,303 

Prior Fiscal Year Unaffiliated Exchanges In-Kind. During the prior period, the Fund received investments, including accrued interest, and cash valued at $11,732,065,150 in exchange for 1,175,557,630 shares of the Fund. The amount of in-kind exchanges is included in share transactions in the accompanying Statement of Changes in Net Assets.

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .31% of the Fund's average net assets.

During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.

Sub-Adviser. FIAM LLC (an affiliate of the investment adviser) served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

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. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. For the period, the fees were equivalent to less than .005%.

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

Reallocation of Underlying Fund Investments. During the period, the investment adviser reallocated investments of the Fund. This involved a taxable redemption of the Fund's interest in Fidelity Specialized High Income Central Fund. The Fund redeemed 2,350,309 shares of Fidelity Specialized High Income Central Fund in exchange for investments, including accrued interest, and cash with a value of $238,156,796. The net realized gains of $9,525,452 on the Fund's redemptions of Fidelity Specialized High Income Central Fund shares is included in "Net realized gain (loss) on Investment securities: Fidelity Central Funds" in the accompanying Statement of Operations. The Fund recognized net gains on the exchanges for federal income tax purposes.

Prior Fiscal Year Affiliated Exchanges In-Kind. During the prior period, the Fund completed an exchange in-kind with Fidelity SAI Total Bond Fund. The Fund delivered investments, including accrued interest, and cash valued at $5,539,897,218 in exchange for 553,989,722 shares of Fidelity SAI Total Bond Fund. The Fund generally did not recognize gain or loss for federal income tax purposes.

Prior Fiscal Year Reallocation of Underlying Fund Investments. During the prior period, the investment adviser reallocated investments of the Fund. This involved a taxable redemption of the Fund's interest in Fidelity Mortgage Backed Securities Central Fund. The Fund redeemed 13,696,583 shares of Fidelity Mortgage Backed Securities Central Fund in exchange for investments and cash with a value of $1,470,054,216. The Fund realized gains of $44,157,751 on the Fund's redemptions of Fidelity Mortgage Backed Securities Central Fund shares. The Fund recognized net gains on the exchanges for federal income tax purposes.

Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $1,183.

6. Investments in Fidelity Central Funds.

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

Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the 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 each Fund.

The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense RatioA 
Fidelity Specialized High Income Central Fund FMR Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. Loans & Direct Debt Instruments
Restricted Securities 		Less than .005% 

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:

 Amount 
Strategic Advisers Fidelity Core Income Fund $49,683 

8. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2022. During the period, this waiver reduced the Fund's management fee by $54,077,959.

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $7,181.

9. Other.

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

The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of 10% or more of the total outstanding shares of the following Underlying Funds.

Fund % of shares held 
Fidelity Corporate Bond Fund 18% 
Fidelity Global Credit Fund 30% 
Fidelity SAI Long-Term Treasury Bond Index Fund 100% 
Fidelity SAI Total Bond Fund 59% 
Fidelity Sustainability Bond Index Fund 21% 

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 Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity Core Income Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity Core Income Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020 and the statement of changes in net assets and the financial highlights for the year ended May 31, 2020 and for the period October 16, 2018 (commencement of operations) through May 31, 2019, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year ended May 31, 2020, and the changes in its net assets and the financial highlights for the year ended May 31, 2020 and for the period October 16, 2018 (commencement of operations) through May 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

July 17, 2020



We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds.  Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict.  Each of the Trustees oversees 14 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.  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. 

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.

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 may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. 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, may be 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. Robert A. Lawrence 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. Mary C. Farrell serves as the lead Independent Trustee 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 asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds 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.

The Trustees primarily operate as a full Board, but also operate in 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 has charged Strategic Advisers 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 Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee.  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.  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+

Robert A. Lawrence (1952)

Year of Election or Appointment: 2016

Trustee

Chairman of the Board of Trustees

Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).

Charles S. Morrison (1960)

Year of Election or Appointment: 2020

Trustee

Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.

 * 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 Strategic Advisers. 

 + 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+

Peter C. Aldrich (1944)

Year of Election or Appointment: 2006

Trustee

Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.

Mary C. Farrell (1949)

Year of Election or Appointment: 2013

Trustee

Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.

Karen Kaplan (1960)

Year of Election or Appointment: 2006

Trustee

Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).

Heidi L. Steiger (1953)

Year of Election or Appointment: 2017

Trustee

Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).

 + 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 a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.  Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Ralph F. Cox (1932)

Year of Election or Appointment: 2020

Member of the Advisory Board

Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.

Howard E. Cox, Jr. (1944)

Year of Election or Appointment: 2009

Member of the Advisory Board

Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.

Christine Marcks (1955)

Year of Election or Appointment: 2019

Member of the Advisory Board

Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown 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).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

Assistant Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). 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).

James D. Gryglewicz (1972)

Year of Election or Appointment: 2015

Chief Compliance Officer

Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).

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 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).  Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan. 

Christina H. Lee (1975)

Year of Election or Appointment: 2020

Secretary and Chief Legal Officer

Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2020

Assistant Secretary

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

Chris Maher (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of 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).

Stacie M. Smith (1974)

Year of Election or Appointment: 2020

President and Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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 (December 1, 2019 to May 31, 2020).

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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

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

 Annualized Expense Ratio-A Beginning
Account Value
December 1, 2019 		Ending
Account Value
May 31, 2020 		Expenses Paid
During Period-B
December 1, 2019
to May 31, 2020 
Actual .07% $1,000.00 $1,051.10 $.36 
Hypothetical-C  $1,000.00 $1,024.65 $.35 

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

 B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's 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 May 31, 2020, $391,001,125, or, if subsequently determined to be different, the net capital gain of such year.

A total of 19.95% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.

Liquidity Risk Management Program

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

The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.

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

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

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

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

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

COI-ANN-0720
1.9887939.101

Strategic Advisers® Core Fund

Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public



Annual Report

May 31, 2020

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


Fidelity Investments

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


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 Contract and Management Fees

Liquidity Risk Management Program


To view a fund's 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. © 2020 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended May 31, 2020 Past 1 year Past 5 years Past 10 years 
Strategic Advisers® Core Fund 12.17% 9.01% 12.22% 

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Strategic Advisers® Core Fund on May 31, 2010.

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


Period Ending Values
$31,686Strategic Advisers® Core Fund
$34,408S&P 500® Index

Management's Discussion of Fund Performance

Market Recap:  The S&P 500® index gained 12.84% for the year ending May 31, 2020, in what was a bumpy ride for U.S. equity investors, marked by a steep but brief decline due to the early-2020 outbreak and spread of the coronavirus, followed by a sharp upturn. Declared a pandemic on March 11, the COVID-19 crisis and containment efforts caused broad contraction in economic activity, along with extreme uncertainty, volatility and dislocation in financial markets. By mid-March, U.S. stocks had entered bear-market territory less than a month after hitting an all-time high and extending the longest-running bull market in American history. Stocks slid in late February, after a surge in COVID-19 cases emerged outside China. The downtrend continued in March (-12.35%), capping the index’s worst quarter since 2008. A historically rapid and expansive U.S. monetary/fiscal-policy response helped provide a partial offset to the economic disruption. This was evident in April, when the index achieved its highest monthly gain (+12.82%) since 1991, boosted by improving infection data, plans for reopening the economy and progress on potential treatments. The stark turnaround continued in May, driven by stocks that do well in an economic recovery, even as high unemployment persisted. By sector, energy shares (-29%) fell hard along with the price of crude oil. Financials (-8%) and industrials (-4%) also notably lagged. In contrast, information technology (+38%) led by a wide margin, followed by health care (+21%), communication services and consumer discretionary (each +16%).

Comments from Lead Portfolio Manager John Stone:  For the fiscal year, the Fund gained 12.17%, trailing the benchmark S&P 500®. During a period when value stocks lagged growth stocks by an outsized margin, underlying managers pursuing value-oriented strategies underperformed. The Fund's managers using fundamentally driven strategies emphasizing bottom-up stock selection did the best. Sub-advisers LSV Asset Management (-5.4%) and Brandywine Global Investment Management (-0.1%) were the biggest detractors versus the benchmark. Both managers' value-focused investment styles were out of favor. Also, LSV's quantitative approach struggled as market fluctuations made it difficult to identify investable trends. The U.S. Equity strategy from sub-adviser FIAM℠ (+6.5%) also dampened the Fund's relative performance. This manager's relative-value strategy resulted in unfavorable positioning in the energy and information technology sectors, as well as weak security selection across several categories. On the plus side, Fidelity® SAI U.S. Quality Index Fund (+20.3%), which tracks a custom index comprised of companies with stable earnings that are typically less volatile than the broader market, was the top relative contributor. Sub-adviser JPMorgan Investment Management (+15.7% also added value, led by strong picks among technology, communication services and consumer discretionary stocks. In June, we hired sub-adviser PineBridge Investments' (+5.1%) enhanced-index strategy to the Fund. As of May 31, the broader Fund is tilted toward underlying strategies that focus on sectors which have historically performed well during the early stages of an economic recovery, such as industrials, financials, energy and consumer discretionary.

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

Note to shareholders:  On June 3, 2020, the Board of Trustees approved a proposal to merge Strategic Advisers® Core Fund, Strategic Advisers® Growth Fund and Strategic Advisers® Value Fund into a new fund, Strategic Advisers® Large Cap Fund, subject to shareholder approval. A special meeting of the shareholders of each acquired fund (SA Core, Growth and Value) is expected to be held in the fourth quarter of 2020. This reorganization would occur on a tax-free basis, and if approved by shareholders of each acquired fund, is expected to take place on or about November 13, 2020. A combined proxy statement and prospectus containing more information with respect to the reorganization will be provided to shareholders of record of each acquired fund in advance of the meeting.

Investment Summary (Unaudited)

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

Top Ten Holdings as of May 31, 2020

(excluding cash equivalents) % of fund's net assets 
Fidelity SAI U.S. Quality Index Fund 7.8 
Microsoft Corp. 4.8 
Fidelity SAI U.S. Large Cap Index Fund 3.9 
Apple, Inc. 3.8 
Amazon.com, Inc. 3.3 
JPMorgan U.S. Large Cap Core Plus Fund Select Class(a) 2.6 
Alphabet, Inc. Class C 2.0 
PIMCO StocksPLUS Absolute Return Fund Institutional Class 1.9 
Facebook, Inc. Class A 1.7 
Procter & Gamble Co. 1.7 
 33.5 

 (a) The JPMorgan U.S. Large Cap Core Plus Fund seeks to provide a high total return from a portfolio of selected equity securities which includes both long and short positions.

Top Five Market Sectors as of May 31, 2020

(stocks only) % of fund's net assets 
Information Technology 20.3 
Health Care 13.2 
Financials 9.6 
Communication Services 9.0 
Consumer Discretionary 8.7 

Asset Allocation (% of fund's net assets)

As of May 31, 2020  
   Common Stocks 81.6% 
   Large Blend Funds 8.4% 
   Large Growth Funds 8.1% 
   Mid-Cap Blend Funds 0.7% 
   Short-Term Investments and Net Other Assets (Liabilities) 1.2% 


Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.

Schedule of Investments May 31, 2020

Showing Percentage of Net Assets

Common Stocks - 81.6%   
 Shares Value 
COMMUNICATION SERVICES - 9.0%   
Diversified Telecommunication Services - 0.7%   
AT&T, Inc. 1,720,866 $53,105,925 
CenturyLink, Inc. 146,756 1,442,611 
Verizon Communications, Inc. 2,187,037 125,492,183 
Vonage Holdings Corp. (a) 207,800 2,001,114 
  182,041,833 
Entertainment - 1.6%   
Activision Blizzard, Inc. 1,648,801 118,680,696 
DouYu International Holdings Ltd. ADR (b) 340,700 3,066,300 
Electronic Arts, Inc. (a) 319,078 39,208,305 
Live Nation Entertainment, Inc. (a) 40,772 2,004,352 
Netflix, Inc. (a) 388,785 163,184,728 
Spotify Technology SA (a) 9,600 1,736,928 
Take-Two Interactive Software, Inc. (a) 43,610 5,938,374 
The Walt Disney Co. 524,569 61,531,944 
Vivendi SA 1,788,416 40,892,745 
  436,244,372 
Interactive Media & Services - 4.5%   
Alphabet, Inc.:   
Class A (a) 154,176 221,014,380 
Class C (a) 383,018 547,302,081 
ANGI Homeservices, Inc. Class A (a)(b) 39,600 429,660 
Facebook, Inc. Class A (a) 2,040,762 459,355,119 
Match Group, Inc. (a)(b) 32,600 2,902,704 
Twitter, Inc. (a) 15,628 483,999 
Wise Talent Information Technology Co. Ltd. (a) 446,200 1,057,193 
  1,232,545,136 
Media - 2.0%   
Charter Communications, Inc. Class A (a) 291,745 158,709,280 
Comcast Corp. Class A 7,148,021 283,061,632 
Discovery Communications, Inc.:   
Class A (a)(b) 129,011 2,805,989 
Class C (non-vtg.) (a) 748,950 14,671,931 
DISH Network Corp. Class A (a) 52,322 1,655,991 
Fox Corp.:   
Class A 36,200 1,055,954 
Class B 26,551 764,138 
Interpublic Group of Companies, Inc. 246,900 4,224,459 
Liberty Broadband Corp. Class C (a) 343,573 46,938,943 
Liberty Global PLC Class C (a) 146,100 3,014,043 
Liberty Media Corp. Liberty Formula One Group Series C (a) 126,900 4,397,085 
Omnicom Group, Inc. 116,119 6,362,160 
Tegna, Inc. 64,900 760,628 
ViacomCBS, Inc. Class B 137,252 2,846,606 
  531,268,839 
Wireless Telecommunication Services - 0.2%   
T-Mobile U.S., Inc. (a) 491,272 49,146,851 
TOTAL COMMUNICATION SERVICES  2,431,247,031 
CONSUMER DISCRETIONARY - 8.7%   
Auto Components - 0.2%   
Aptiv PLC 309,730 23,338,156 
BorgWarner, Inc. 326,996 10,512,921 
Cooper Tire & Rubber Co. 55,800 1,435,734 
Gentex Corp. 28,600 756,184 
Lear Corp. 49,700 5,270,685 
Magna International, Inc. Class A (sub. vtg.) 332,600 14,025,316 
The Goodyear Tire & Rubber Co. 186,300 1,417,743 
  56,756,739 
Automobiles - 0.2%   
Ferrari NV (b) 117,000 19,739,070 
Ford Motor Co. 553,700 3,161,627 
General Motors Co. 805,442 20,844,839 
Harley-Davidson, Inc. 100,900 2,153,206 
Tesla, Inc.(a) 21,605 18,040,175 
Thor Industries, Inc. 1,210 104,302 
  64,043,219 
Distributors - 0.0%   
Genuine Parts Co. 17,400 1,451,334 
LKQ Corp. (a) 193,135 5,303,487 
  6,754,821 
Diversified Consumer Services - 0.0%   
Afya Ltd. 105,134 2,065,883 
Hotels, Restaurants & Leisure - 1.2%   
Brinker International, Inc. 44,600 1,175,210 
Chipotle Mexican Grill, Inc. (a) 583 585,280 
Darden Restaurants, Inc. 56,900 4,373,334 
Domino's Pizza, Inc. 4,750 1,832,740 
Hilton Worldwide Holdings, Inc. 257,904 20,454,366 
Hyatt Hotels Corp. Class A 4,100 225,869 
Las Vegas Sands Corp. 161,919 7,762,397 
Marriott International, Inc. Class A 204,600 18,107,100 
McDonald's Corp. 715,317 133,277,863 
MGM Mirage, Inc. 217,700 3,740,086 
Royal Caribbean Cruises Ltd. (b) 24,500 1,270,815 
Starbucks Corp. 293,791 22,912,760 
Wyndham Destinations, Inc. 61,680 1,961,424 
Wynn Resorts Ltd. 135,200 11,259,456 
Yum! Brands, Inc. 1,083,186 97,194,280 
  326,132,980 
Household Durables - 0.2%   
D.R. Horton, Inc. 221,846 12,268,084 
Garmin Ltd. 26,842 2,420,343 
Lennar Corp. Class A 215,473 13,027,498 
Mohawk Industries, Inc. (a) 70,700 6,589,240 
PulteGroup, Inc. 312,824 10,626,631 
Whirlpool Corp. 105,723 12,879,176 
  57,810,972 
Internet & Direct Marketing Retail - 3.9%   
Alibaba Group Holding Ltd. sponsored ADR (a) 96,408 19,994,055 
Amazon.com, Inc. (a) 362,125 884,443,236 
eBay, Inc. 323,594 14,736,471 
Expedia, Inc. 11,600 921,968 
Ocado Group PLC (a) 28,900 782,001 
The Booking Holdings, Inc. (a) 76,280 125,054,958 
  1,045,932,689 
Leisure Products - 0.0%   
Hasbro, Inc. 57,035 4,192,643 
Multiline Retail - 0.3%   
Big Lots, Inc. 13,500 523,125 
Dillard's, Inc. Class A (b) 19,700 591,197 
Dollar General Corp. 150,731 28,866,494 
Dollar Tree, Inc. (a) 272,142 26,634,538 
Kohl's Corp. 121,838 2,341,726 
Macy's, Inc. (b) 103,200 656,352 
Target Corp. 253,246 30,979,583 
  90,593,015 
Specialty Retail - 2.3%   
Advance Auto Parts, Inc. 20,227 2,818,026 
American Eagle Outfitters, Inc. 110,600 1,013,096 
AutoZone, Inc. (a) 21,052 24,164,749 
Best Buy Co., Inc. 325,725 25,435,865 
Burlington Stores, Inc. (a) 91,500 19,184,805 
CarMax, Inc. (a) 177,900 15,664,095 
Gap, Inc. 101,600 904,240 
Lowe's Companies, Inc. 807,647 105,276,786 
O'Reilly Automotive, Inc. (a) 212,364 88,606,755 
Office Depot, Inc. 40,900 101,023 
Penske Automotive Group, Inc. 60,300 2,156,328 
Ross Stores, Inc. 341,829 33,143,740 
Sleep Number Corp. (a) 40,400 1,259,268 
The Home Depot, Inc. 746,813 185,568,094 
TJX Companies, Inc. 1,080,454 57,004,753 
Ulta Beauty, Inc. (a) 172,471 42,084,649 
Williams-Sonoma, Inc. 9,300 773,853 
  605,160,125 
Textiles, Apparel & Luxury Goods - 0.4%   
Columbia Sportswear Co. 69,400 5,070,364 
Hanesbrands, Inc. 45,523 448,857 
NIKE, Inc. Class B 721,675 71,142,722 
Ralph Lauren Corp. 33,008 2,492,434 
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) 16,000 501,120 
Tapestry, Inc. 339,000 4,610,400 
VF Corp. 178,600 10,019,460 
  94,285,357 
TOTAL CONSUMER DISCRETIONARY  2,353,728,443 
CONSUMER STAPLES - 5.3%   
Beverages - 1.2%   
Anheuser-Busch InBev SA NV ADR (b) 33,800 1,584,544 
Constellation Brands, Inc. Class A (sub. vtg.) 314,062 54,238,507 
Diageo PLC sponsored ADR 22,400 3,149,664 
Keurig Dr. Pepper, Inc. 868,030 24,235,398 
Molson Coors Beverage Co. Class B 94,200 3,575,832 
Monster Beverage Corp. (a) 661,840 47,592,914 
PepsiCo, Inc. 598,296 78,705,839 
The Coca-Cola Co. 2,129,902 99,423,825 
  312,506,523 
Food & Staples Retailing - 0.7%   
Costco Wholesale Corp. 247,519 76,352,186 
Kroger Co. 259,450 8,463,259 
Performance Food Group Co. (a) 51,400 1,369,810 
Sprouts Farmers Market LLC (a) 54,280 1,364,056 
Sysco Corp. 424,273 23,402,899 
Walgreens Boots Alliance, Inc. 287,000 12,323,780 
Walmart, Inc. (c) 628,360 77,954,342 
  201,230,332 
Food Products - 0.7%   
Archer Daniels Midland Co. 66,700 2,621,977 
Campbell Soup Co. 45,855 2,337,688 
Conagra Brands, Inc. 1,652,317 57,484,108 
General Mills, Inc. 30,927 1,949,638 
Ingredion, Inc. 43,100 3,630,313 
Kellogg Co. 40,800 2,664,648 
Mondelez International, Inc. 1,297,883 67,645,662 
Pilgrim's Pride Corp. (a) 119,600 2,472,132 
Post Holdings, Inc. (a) 91,900 8,000,814 
The a2 Milk Co. Ltd. (a) 187,816 2,217,093 
The Hershey Co. 25,867 3,509,635 
The J.M. Smucker Co. 63,570 7,242,530 
The Kraft Heinz Co. 141,300 4,305,411 
Tyson Foods, Inc. Class A 508,330 31,231,795 
  197,313,444 
Household Products - 1.9%   
Church & Dwight Co., Inc. 197,448 14,822,421 
Colgate-Palmolive Co. 110,872 8,019,372 
Energizer Holdings, Inc. 3,100 136,028 
Kimberly-Clark Corp. 233,025 32,959,056 
Procter & Gamble Co. 3,832,003 444,205,788 
Reckitt Benckiser Group PLC 53,326 4,776,226 
Spectrum Brands Holdings, Inc. 13,800 653,016 
  505,571,907 
Personal Products - 0.1%   
Estee Lauder Companies, Inc. Class A 90,092 17,790,467 
Unilever NV 25,800 1,333,290 
  19,123,757 
Tobacco - 0.7%   
Altria Group, Inc. 3,185,200 124,382,060 
British American Tobacco PLC sponsored ADR 241,800 9,691,344 
Philip Morris International, Inc. 869,405 63,779,551 
  197,852,955 
TOTAL CONSUMER STAPLES  1,433,598,918 
ENERGY - 2.6%   
Energy Equipment & Services - 0.1%   
Baker Hughes Co. Class A 221,797 3,661,868 
Halliburton Co. 1,445,700 16,986,975 
Helmerich & Payne, Inc. 39,991 805,019 
Oceaneering International, Inc. (a) 219,767 1,410,904 
SBM Offshore NV 75,400 1,028,646 
Schlumberger Ltd. 298,588 5,514,920 
Subsea 7 SA 343,200 1,970,070 
TechnipFMC PLC 231,067 1,709,896 
  33,088,298 
Oil, Gas & Consumable Fuels - 2.5%   
Africa Oil Corp. (a)(b) 527,000 405,723 
Aker Bp ASA 34,300 550,981 
Apache Corp. 257,200 2,775,188 
Cabot Oil & Gas Corp. 77,602 1,539,624 
Canadian Natural Resources Ltd. 199,000 3,635,000 
Cenovus Energy, Inc. (Canada) 2,292,800 9,991,502 
Cheniere Energy, Inc. (a) 22,700 1,006,745 
Chevron Corp. 1,570,423 144,007,789 
Concho Resources, Inc. 183,800 10,020,776 
ConocoPhillips Co. 2,165,829 91,354,667 
Diamondback Energy, Inc. 398,396 16,963,702 
Enbridge, Inc. 605,204 19,638,870 
EOG Resources, Inc. 1,361,834 69,412,679 
Equinor ASA sponsored ADR 1,094,700 15,971,673 
Exxon Mobil Corp. 1,716,208 78,035,978 
Galp Energia SGPS SA Class B 160,000 1,903,711 
Gibson Energy, Inc. 26,100 403,769 
Hess Corp. 737,600 35,013,872 
HollyFrontier Corp. 96,612 3,038,447 
Kinder Morgan, Inc. 261,500 4,131,700 
Kosmos Energy Ltd. 701,900 1,277,458 
Magellan Midstream Partners LP 332,108 15,057,777 
Marathon Petroleum Corp. 398,866 14,016,151 
MEG Energy Corp. (a) 512,500 1,191,125 
Noble Energy, Inc. 33,804 295,109 
Occidental Petroleum Corp. 28,319 366,731 
PBF Energy, Inc. Class A 124,900 1,326,438 
Phillips 66 Co. 276,353 21,627,386 
Pioneer Natural Resources Co. 315,529 28,902,456 
Shell Midstream Partners LP (b) 45,900 619,191 
Suncor Energy, Inc. 710,975 12,171,892 
Targa Resources Corp. 214,300 3,833,827 
TC Energy Corp. 70,250 3,161,953 
The Williams Companies, Inc. 88,764 1,813,449 
Total SA sponsored ADR 1,131,644 42,527,182 
Tourmaline Oil Corp. 33,400 331,853 
Valero Energy Corp. 333,813 22,245,298 
  680,567,672 
TOTAL ENERGY  713,655,970 
FINANCIALS - 9.6%   
Banks - 3.9%   
Bank of America Corp. 6,534,874 157,621,161 
CIT Group, Inc. 74,500 1,351,430 
Citigroup, Inc. 2,574,303 123,334,857 
Citizens Financial Group, Inc. 232,100 5,593,610 
Comerica, Inc. 91,400 3,322,390 
Commerce Bancshares, Inc. 13,400 853,982 
Cullen/Frost Bankers, Inc. 6,700 508,999 
East West Bancorp, Inc. 15,000 524,250 
EFG Eurobank Ergasias SA (a) 2,844,900 1,200,033 
Fifth Third Bancorp 2,914,663 56,515,316 
First Horizon National Corp. 421,100 3,937,285 
First Republic Bank 155,355 16,804,750 
Huntington Bancshares, Inc. 390,200 3,468,878 
JPMorgan Chase & Co. 2,863,390 278,636,481 
KeyCorp 2,187,568 25,922,681 
M&T Bank Corp. 81,477 8,608,860 
PNC Financial Services Group, Inc. 1,346,516 153,556,685 
Regions Financial Corp. 764,600 8,647,626 
Signature Bank 25,600 2,634,496 
Societe Generale Series A 44,700 661,240 
SVB Financial Group (a) 132,037 28,354,946 
Synovus Financial Corp. 57,300 1,099,587 
Truist Financial Corp. 513,399 18,882,815 
U.S. Bancorp 638,310 22,698,304 
Wells Fargo & Co. 4,460,844 118,078,541 
Zions Bancorp NA 20,400 671,262 
  1,043,490,465 
Capital Markets - 2.4%   
Ameriprise Financial, Inc. 104,240 14,600,897 
Bank of New York Mellon Corp. 550,230 20,452,049 
BlackRock, Inc. Class A 110,897 58,624,590 
Cboe Global Markets, Inc. 96,953 10,321,616 
Charles Schwab Corp. 1,898,340 68,169,389 
CME Group, Inc. 161,700 29,526,420 
E*TRADE Financial Corp. 451,104 20,543,276 
Eaton Vance Corp. (non-vtg.) 13,300 479,465 
Goldman Sachs Group, Inc. 621,159 122,051,532 
Intercontinental Exchange, Inc. 677,062 65,844,280 
KKR & Co. LP 427,500 11,863,125 
Legg Mason, Inc. 4,600 229,218 
LPL Financial 9,700 692,483 
MarketAxess Holdings, Inc. 13,523 6,877,663 
Moody's Corp. 11,008 2,943,649 
Morgan Stanley 1,906,104 84,249,797 
MSCI, Inc. 3,187 1,048,045 
Northern Trust Corp. 199,700 15,778,297 
Raymond James Financial, Inc. 167,400 11,597,472 
S&P Global, Inc. 42,336 13,760,047 
SEI Investments Co. 17,300 938,006 
State Street Corp. 474,547 28,928,385 
T. Rowe Price Group, Inc. 100,407 12,139,206 
TD Ameritrade Holding Corp. 511,600 19,067,332 
Tradeweb Markets, Inc. Class A 180,762 11,923,062 
Virtu Financial, Inc. Class A 251,570 5,999,945 
  638,649,246 
Consumer Finance - 0.6%   
360 Finance, Inc. ADR (a) 74,100 744,705 
Ally Financial, Inc. 932,600 16,264,544 
American Express Co. 349,021 33,181,426 
Capital One Financial Corp. 1,357,345 92,353,754 
Credit Acceptance Corp. (a)(b) 2,300 850,586 
Discover Financial Services 371,399 17,645,166 
Encore Capital Group, Inc. (a) 2,500 79,425 
Navient Corp. 115,400 858,576 
OneMain Holdings, Inc. 344,100 8,027,853 
Shriram Transport Finance Co. Ltd. 167,300 1,266,395 
SLM Corp. 434,992 3,297,239 
Synchrony Financial 50,467 1,028,013 
  175,597,682 
Diversified Financial Services - 1.0%   
AXA Equitable Holdings, Inc. 2,586,699 49,431,818 
Berkshire Hathaway, Inc.:   
Class A (a) 1 278,640 
Class B (a) 1,063,646 197,391,425 
Jefferies Financial Group, Inc. 36,000 527,400 
Voya Financial, Inc. 263,900 11,888,695 
  259,517,978 
Insurance - 1.7%   
AFLAC, Inc. 310,901 11,338,559 
Alleghany Corp. 1,700 872,270 
Allstate Corp. 169,359 16,565,004 
American Financial Group, Inc. 32,900 1,981,896 
American International Group, Inc. 2,104,007 63,246,450 
Aon PLC 20,336 4,005,175 
Arch Capital Group Ltd. (a) 48,500 1,368,670 
Arthur J. Gallagher & Co. 26,138 2,464,291 
Assurant, Inc. 24,169 2,479,256 
Assured Guaranty Ltd. 46,100 1,195,373 
Axis Capital Holdings Ltd. 35,700 1,340,178 
Chubb Ltd. 743,062 90,608,980 
Everest Re Group Ltd. 18,600 3,690,426 
Fairfax Financial Holdings Ltd. (sub. vtg.) 4,900 1,361,153 
First American Financial Corp. 11,800 595,782 
FNF Group 32,900 1,049,510 
Globe Life, Inc. 28,300 2,179,666 
Hanover Insurance Group, Inc. 4,100 411,435 
Hartford Financial Services Group, Inc. 348,270 13,335,258 
Lincoln National Corp. 133,900 5,078,827 
Loews Corp. 35,600 1,183,344 
Markel Corp. (a) 1,680 1,507,666 
Marsh & McLennan Companies, Inc. 264,954 28,063,928 
MetLife, Inc. 1,234,342 44,448,655 
Old Republic International Corp. 25,900 403,781 
Progressive Corp. 961,832 74,715,110 
Prudential Financial, Inc. 124,100 7,565,136 
Reinsurance Group of America, Inc. 18,700 1,697,025 
RenaissanceRe Holdings Ltd. 4,600 772,156 
The Travelers Companies, Inc. 247,526 26,480,331 
Unum Group 96,100 1,455,915 
W.R. Berkley Corp. 18,400 1,066,280 
Willis Group Holdings PLC 201,371 40,858,176 
  455,385,662 
Mortgage Real Estate Investment Trusts - 0.0%   
Annaly Capital Management, Inc. 427,600 2,634,016 
Thrifts & Mortgage Finance - 0.0%   
MGIC Investment Corp. 1,267,200 10,403,712 
New York Community Bancorp, Inc. 55,900 561,795 
Radian Group, Inc. 133,900 2,126,332 
  13,091,839 
TOTAL FINANCIALS  2,588,366,888 
HEALTH CARE - 13.2%   
Biotechnology - 2.4%   
AbbVie, Inc. 2,074,408 192,235,389 
Acceleron Pharma, Inc. (a) 40,000 3,953,200 
ADC Therapeutics SA (a)(b) 68,500 2,531,075 
Alexion Pharmaceuticals, Inc. (a) 427,142 51,214,326 
Alnylam Pharmaceuticals, Inc. (a) 40,400 5,464,908 
Amgen, Inc. 443,037 101,765,599 
Arcutis Biotherapeutics, Inc. (a)(b) 50,000 1,677,500 
Argenx SE ADR (a) 28,000 6,140,400 
Ascendis Pharma A/S sponsored ADR (a) 44,000 6,401,560 
BELLUS Health, Inc. (a) 140,000 1,468,600 
Biogen, Inc. (a) 190,011 58,350,478 
Crinetics Pharmaceuticals, Inc. (a)(b) 31,000 506,540 
Gilead Sciences, Inc. 384,604 29,933,729 
Gritstone Oncology, Inc. (a)(b) 93,400 603,364 
Heron Therapeutics, Inc. (a) 13,800 251,436 
Incyte Corp. (a) 168,949 17,217,593 
Innovent Biologics, Inc. (a)(d) 340,000 1,867,103 
Insmed, Inc. (a) 36,200 879,298 
Intercept Pharmaceuticals, Inc. (a) 75,400 5,448,404 
Neurocrine Biosciences, Inc. (a) 34,000 4,241,840 
ORIC Pharmaceuticals, Inc. (a)(b) 60,000 1,741,200 
Passage Bio, Inc. (b) 28,000 616,840 
Principia Biopharma, Inc. (a) 45,000 2,875,050 
Regeneron Pharmaceuticals, Inc. (a) 33,636 20,612,477 
Revolution Medicines, Inc. (b) 60,000 1,843,200 
Sarepta Therapeutics, Inc. (a) 40,000 6,090,800 
TG Therapeutics, Inc. (a) 70,000 1,305,500 
Turning Point Therapeutics, Inc. (a)(b) 28,000 1,939,000 
Twist Bioscience Corp. (a) 50,000 1,897,500 
United Therapeutics Corp. (a) 4,700 554,365 
Vertex Pharmaceuticals, Inc. (a) 392,395 112,994,064 
Xencor, Inc. (a) 50,000 1,512,500 
Zymeworks, Inc. (a) 55,000 2,096,600 
  648,231,438 
Health Care Equipment & Supplies - 2.4%   
Abbott Laboratories 523,860 49,724,791 
Alcon, Inc. (Switzerland) (a) 105,393 6,780,743 
Align Technology, Inc. (a) 10,375 2,548,308 
Baxter International, Inc. 691,482 62,240,295 
Becton, Dickinson & Co. 379,088 93,608,200 
Boston Scientific Corp. (a) 3,098,565 117,714,484 
Danaher Corp. 260,967 43,479,712 
DexCom, Inc. (a) 1,307 494,451 
Edwards Lifesciences Corp. (a) 32,333 7,265,872 
Genmark Diagnostics, Inc. (a) 360,000 3,416,400 
Hologic, Inc. (a) 313,895 16,636,435 
Insulet Corp. (a) 41,500 7,825,655 
Intuitive Surgical, Inc. (a) 129,900 75,345,897 
Masimo Corp. (a) 26,000 6,244,940 
Medtronic PLC 112,532 11,093,405 
Nanosonics Ltd. (a) 300,000 1,445,747 
Nevro Corp. (a) 14,000 1,758,400 
OraSure Technologies, Inc. (a) 180,000 2,617,200 
Penumbra, Inc. (a) 42,800 7,379,576 
Quidel Corp. (a) 28,000 4,900,000 
ResMed, Inc. 19,984 3,213,827 
Stryker Corp. 187,587 36,716,404 
Tandem Diabetes Care, Inc. (a) 22,000 1,829,300 
The Cooper Companies, Inc. 16,692 5,291,030 
Zimmer Biomet Holdings, Inc. 650,587 82,195,162 
  651,766,234 
Health Care Providers & Services - 3.5%   
1Life Healthcare, Inc. (a)(b) 65,000 2,099,500 
AmerisourceBergen Corp. 41,700 3,975,678 
Anthem, Inc. 199,435 58,655,828 
Cardinal Health, Inc. 275,397 15,061,462 
Centene Corp. (a) 1,200,598 79,539,618 
Cigna Corp. 1,114,524 219,917,876 
Covetrus, Inc. (a) 57,700 881,656 
CVS Health Corp. 609,344 39,954,686 
DaVita HealthCare Partners, Inc. (a) 43,217 3,498,848 
HCA Holdings, Inc. 437,611 46,780,616 
Henry Schein, Inc. (a) 83,363 5,061,801 
Humana, Inc. 209,785 86,148,210 
Laboratory Corp. of America Holdings (a) 51,956 9,108,926 
McKesson Corp. 333,570 52,927,552 
Molina Healthcare, Inc. (a) 6,800 1,263,576 
Quest Diagnostics, Inc. 50,400 5,961,312 
UnitedHealth Group, Inc. 1,043,569 318,132,010 
Universal Health Services, Inc. Class B 54,114 5,706,321 
  954,675,476 
Health Care Technology - 0.1%   
Cerner Corp. 69,392 5,058,677 
Inspire Medical Systems, Inc. (a) 35,000 2,853,900 
Veeva Systems, Inc. Class A (a) 20,678 4,525,794 
  12,438,371 
Life Sciences Tools & Services - 0.6%   
10X Genomics, Inc. (a) 36,000 2,806,920 
Agilent Technologies, Inc. 307,300 27,085,422 
Avantor, Inc. 213,660 4,053,130 
Bio-Rad Laboratories, Inc. Class A (a) 2,800 1,375,696 
Bruker Corp. 90,000 3,895,200 
Illumina, Inc. (a) 12,565 4,561,723 
Lonza Group AG 10,000 4,938,207 
Mettler-Toledo International, Inc. (a) 3,554 2,825,430 
Thermo Fisher Scientific, Inc. 338,767 118,294,049 
  169,835,777 
Pharmaceuticals - 4.2%   
AstraZeneca PLC:   
(United Kingdom) 175,000 18,847,464 
sponsored ADR 584,780 31,928,988 
Bayer AG 292,890 20,021,842 
Bristol-Myers Squibb Co. 1,480,032 88,387,511 
Elanco Animal Health, Inc. (a) 1,892,433 40,516,991 
Eli Lilly & Co. 724,850 110,865,808 
GlaxoSmithKline PLC sponsored ADR 490,112 20,545,495 
Jazz Pharmaceuticals PLC (a) 27,790 3,315,903 
Johnson & Johnson 1,545,841 229,943,849 
Mallinckrodt PLC (a)(b) 101,900 287,358 
Merck & Co., Inc. 3,705,889 299,139,360 
MyoKardia, Inc. (a) 34,000 3,477,860 
Nektar Therapeutics (a) 80,000 1,736,000 
Novartis AG sponsored ADR 150,700 13,175,701 
Novo Nordisk A/S Series B sponsored ADR 134,500 8,868,930 
Perrigo Co. PLC 16,300 892,751 
Pfizer, Inc. 3,118,956 119,112,930 
Roche Holding AG (participation certificate) 74,000 25,687,011 
Sanofi SA 124,000 12,129,036 
Sanofi SA sponsored ADR 555,000 27,256,050 
Theravance Biopharma, Inc. (a) 80,000 2,020,000 
Zoetis, Inc. Class A 416,834 58,102,491 
  1,136,259,329 
TOTAL HEALTH CARE  3,573,206,625 
INDUSTRIALS - 7.3%   
Aerospace & Defense - 1.4%   
Airbus Group NV 12,700 811,619 
Curtiss-Wright Corp. 4,900 491,470 
General Dynamics Corp. 256,947 37,727,528 
Harris Corp. 124,230 24,777,674 
Howmet Aerospace, Inc. 100,357 1,312,670 
Huntington Ingalls Industries, Inc. 45,588 9,112,585 
Lockheed Martin Corp. 248,257 96,432,949 
Moog, Inc. Class A 27,100 1,471,259 
Northrop Grumman Corp. 348,192 116,713,958 
Raytheon Technologies Corp. 601,903 38,834,782 
Safran SA 8,600 828,686 
Spirit AeroSystems Holdings, Inc. Class A 57,800 1,252,526 
Textron, Inc. 589,100 18,244,427 
The Boeing Co. 298,524 43,539,725 
  391,551,858 
Air Freight & Logistics - 0.5%   
C.H. Robinson Worldwide, Inc. 158,207 12,835,334 
FedEx Corp. 146,700 19,153,152 
United Parcel Service, Inc. Class B 963,933 96,113,759 
XPO Logistics, Inc. (a) 25,700 2,025,417 
  130,127,662 
Airlines - 0.1%   
Alaska Air Group, Inc. 190,486 6,512,716 
American Airlines Group, Inc. (b) 66,000 693,000 
Delta Air Lines, Inc. 185,860 4,685,531 
JetBlue Airways Corp. (a) 149,800 1,508,486 
Ryanair Holdings PLC sponsored ADR (a) 11,900 854,063 
United Airlines Holdings, Inc. (a)(b) 349,841 9,809,542 
  24,063,338 
Building Products - 0.3%   
Allegion PLC 20,745 2,068,277 
Carrier Global Corp. (a) 117,688 2,409,073 
Fortune Brands Home & Security, Inc. 221,700 13,514,832 
Johnson Controls International PLC 582,238 18,288,096 
Masco Corp. 65,219 3,042,466 
Owens Corning 13,000 682,500 
Trane Technologies PLC 497,032 44,837,257 
  84,842,501 
Commercial Services & Supplies - 0.2%   
Cintas Corp. 19,149 4,748,186 
Copart, Inc. (a) 26,279 2,349,080 
Deluxe Corp. 49,200 1,147,836 
Herman Miller, Inc. 68,300 1,572,266 
IAA Spinco, Inc. (a) 17,000 697,000 
Waste Connection, Inc. (United States) 361,496 33,995,084 
  44,509,452 
Construction & Engineering - 0.3%   
Jacobs Engineering Group, Inc. 1,022,534 85,913,307 
Quanta Services, Inc. 17,100 631,503 
  86,544,810 
Electrical Equipment - 0.4%   
Acuity Brands, Inc. 25,500 2,196,825 
AMETEK, Inc. 273,000 25,036,830 
Eaton Corp. PLC 513,695 43,612,706 
Emerson Electric Co. 266,700 16,274,034 
Hubbell, Inc. Class B 28,400 3,476,728 
Sensata Technologies, Inc. PLC (a) 19,000 677,350 
Sunrun, Inc. (a) 62,400 1,042,080 
Vertiv Holdings Co. (a) 67,021 853,177 
Vertiv Holdings LLC (e) 450,000 5,728,500 
Vivint Solar, Inc. (a)(b) 1,094,128 8,227,843 
  107,126,073 
Industrial Conglomerates - 1.7%   
3M Co. 101,108 15,817,336 
Carlisle Companies, Inc. 6,500 779,090 
General Electric Co. 13,747,572 90,321,548 
Honeywell International, Inc. 1,943,633 283,478,873 
Roper Technologies, Inc. 146,528 57,702,726 
  448,099,573 
Machinery - 1.1%   
AGCO Corp. 72,900 4,026,267 
Allison Transmission Holdings, Inc. 102,200 3,854,984 
Caterpillar, Inc. 134,322 16,136,102 
Cummins, Inc. 272,361 46,192,426 
Deere & Co. 166,655 25,351,559 
Dover Corp. 34,689 3,373,505 
Flowserve Corp. 413,500 10,792,350 
Fortive Corp. 713,037 43,480,996 
Gardner Denver Holdings, Inc. (a) 540,936 15,254,395 
ITT, Inc. 9,800 565,460 
Lincoln Electric Holdings, Inc. 6,400 525,888 
Meritor, Inc. (a) 117,300 2,390,574 
Oshkosh Corp. 64,300 4,618,026 
Otis Worldwide Corp. 324,353 17,077,185 
PACCAR, Inc. 435,820 32,189,665 
Parker Hannifin Corp. 114,500 20,606,565 
Pentair PLC 19,400 759,316 
Snap-On, Inc. 69,251 8,981,162 
Stanley Black & Decker, Inc. 239,010 29,983,805 
Timken Co. 62,900 2,675,766 
Trinity Industries, Inc. 89,300 1,783,321 
Westinghouse Air Brake Co. 266,456 16,272,468 
  306,891,785 
Professional Services - 0.2%   
CoStar Group, Inc. (a) 12,400 8,144,320 
Equifax, Inc. 137,200 21,068,432 
IHS Markit Ltd. 68,811 4,779,612 
Manpower, Inc. 42,800 2,959,192 
RELX PLC (London Stock Exchange) 131,020 3,031,505 
Robert Half International, Inc. 65,247 3,310,633 
TransUnion Holding Co., Inc. 56,724 4,894,714 
Verisk Analytics, Inc. 2,626 453,458 
  48,641,866 
Road & Rail - 1.1%   
AMERCO 2,400 774,000 
CSX Corp. 525,042 37,582,506 
J.B. Hunt Transport Services, Inc. 210,100 25,142,667 
Kansas City Southern 5,042 758,922 
Knight-Swift Transportation Holdings, Inc. Class A 221,700 9,224,937 
Lyft, Inc. (a) 445,254 13,918,640 
Norfolk Southern Corp. 511,214 91,144,344 
Ryder System, Inc. 59,100 2,024,766 
Uber Technologies, Inc. 74,200 2,694,944 
Union Pacific Corp. 679,537 115,426,155 
  298,691,881 
Trading Companies & Distributors - 0.0%   
Beijer Ref AB (B Shares) 8,800 260,566 
HD Supply Holdings, Inc. (a) 77,900 2,470,209 
United Rentals, Inc. (a) 23,357 3,244,054 
W.W. Grainger, Inc. 16,491 5,105,943 
  11,080,772 
TOTAL INDUSTRIALS  1,982,171,571 
INFORMATION TECHNOLOGY - 20.3%   
Communications Equipment - 0.8%   
Arista Networks, Inc. (a) 2,001 467,153 
Cisco Systems, Inc. 3,445,789 164,777,630 
Ericsson (B Shares) sponsored ADR 175,700 1,605,898 
Juniper Networks, Inc. 122,000 2,959,720 
Lumentum Holdings, Inc. (a) 2,400 175,968 
Motorola Solutions, Inc. 300,776 40,704,016 
  210,690,385 
Electronic Equipment & Components - 0.4%   
Amphenol Corp. Class A 272,900 26,351,224 
Arrow Electronics, Inc. (a) 39,800 2,749,384 
CDW Corp. 100,340 11,128,709 
Corning, Inc. 133,400 3,040,186 
Flextronics International Ltd. (a) 843,200 8,187,472 
II-VI, Inc. (a) 198,300 9,425,199 
Insight Enterprises, Inc. (a) 37,700 1,932,502 
Jabil, Inc. 796,200 23,822,304 
Keysight Technologies, Inc. (a) 91,001 9,839,938 
Vishay Intertechnology, Inc. 110,800 1,801,608 
  98,278,526 
IT Services - 4.1%   
Accenture PLC Class A 331,361 66,809,005 
Akamai Technologies, Inc. (a) 40,102 4,242,792 
Amdocs Ltd. 169,403 10,547,031 
Automatic Data Processing, Inc. 237,587 34,804,120 
Booz Allen Hamilton Holding Corp. Class A 17,812 1,420,685 
Cognizant Technology Solutions Corp. Class A 471,492 24,989,076 
DXC Technology Co. 101,232 1,438,507 
Fidelity National Information Services, Inc. 604,239 83,886,500 
Fiserv, Inc. (a) 555,201 59,278,811 
FleetCor Technologies, Inc. (a) 255,593 62,311,017 
Gartner, Inc. (a) 14,700 1,788,990 
Genpact Ltd. 379,300 13,635,835 
Global Payments, Inc. 329,373 59,119,160 
GoDaddy, Inc. (a) 131,000 10,119,750 
IBM Corp. 231,644 28,932,336 
Leidos Holdings, Inc. 180,140 18,966,941 
MasterCard, Inc. Class A 712,125 214,271,291 
PayPal Holdings, Inc. (a) 794,214 123,111,112 
Sabre Corp. 247,100 1,722,287 
The Western Union Co. 156,000 3,123,120 
Twilio, Inc. Class A (a) 69,500 13,733,200 
Unisys Corp. (a) 184,600 2,097,056 
VeriSign, Inc. (a) 55,019 12,049,711 
Visa, Inc. Class A 1,345,583 262,711,625 
Worldline SA (a)(d) 28,300 2,108,536 
  1,117,218,494 
Semiconductors & Semiconductor Equipment - 4.2%   
Advanced Micro Devices, Inc. (a) 920,219 49,507,782 
Analog Devices, Inc. 277,704 31,366,667 
Applied Materials, Inc. 1,887,457 106,037,334 
ASML Holding NV 141,764 46,712,656 
Broadcom, Inc. 62,365 18,165,054 
Cirrus Logic, Inc. (a) 57,700 4,182,096 
Intel Corp. 2,660,385 167,418,028 
KLA-Tencor Corp. 13,435 2,364,023 
Lam Research Corp. 244,228 66,837,877 
Marvell Technology Group Ltd. 558,515 18,218,759 
Maxim Integrated Products, Inc. 10,571 609,735 
MediaTek, Inc. 123,000 1,900,264 
Microchip Technology, Inc. 14,017 1,345,912 
Micron Technology, Inc. (a) 1,749,692 83,827,744 
NVIDIA Corp. 529,612 188,022,852 
NXP Semiconductors NV 543,462 52,226,698 
ON Semiconductor Corp. (a) 318,200 5,247,118 
Qorvo, Inc. (a) 32,308 3,383,940 
Qualcomm, Inc. 1,439,131 116,396,915 
Sanken Electric Co. Ltd. 33,593 776,241 
Skyworks Solutions, Inc. 48,500 5,749,190 
STMicroelectronics NV (France) 33,000 819,553 
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR 627,426 31,578,351 
Teradyne, Inc. 39,927 2,675,908 
Texas Instruments, Inc. 825,219 97,986,504 
Xilinx, Inc. 175,800 16,164,810 
  1,119,522,011 
Software - 6.9%   
Adobe, Inc. (a) 177,885 68,770,341 
Autodesk, Inc. (a) 68,249 14,358,225 
CDK Global, Inc. 14,000 550,340 
Ceridian HCM Holding, Inc. (a) 86,800 5,977,916 
Citrix Systems, Inc. 94,000 13,923,280 
Cloudflare, Inc. (a) 133,141 3,870,409 
Dynatrace, Inc. 30,600 1,177,182 
Elastic NV (a) 103,500 8,892,720 
Envestnet, Inc. (a) 100 7,261 
Fortinet, Inc. (a) 11,963 1,665,250 
Intuit, Inc. 148,140 43,008,005 
LivePerson, Inc. (a) 246,444 9,229,328 
Microsoft Corp. 7,117,302 1,304,245,592 
Nortonlifelock, Inc. 1,978,157 45,062,416 
Nuance Communications, Inc. (a) 149,200 3,413,696 
Nutanix, Inc. Class A (a) 14,300 344,058 
Oracle Corp. 762,098 40,978,009 
Parametric Technology Corp. (a) 33,300 2,543,454 
Paylocity Holding Corp. (a) 29,900 3,887,150 
RingCentral, Inc. (a) 3,200 877,600 
Salesforce.com, Inc. (a) 1,116,787 195,203,200 
SAP SE sponsored ADR 115,800 14,833,980 
ServiceNow, Inc. (a) 8,250 3,200,423 
SS&C Technologies Holdings, Inc. 52,137 3,018,472 
SurveyMonkey (a) 75,800 1,527,370 
Synopsys, Inc. (a) 163,749 29,623,832 
VMware, Inc. Class A (a) 65,119 10,176,146 
Workday, Inc. Class A (a) 136,953 25,121,289 
Workiva, Inc. (a) 17,500 779,450 
Yext, Inc. (a) 156,600 2,472,714 
Zendesk, Inc. (a) 132,000 11,319,000 
  1,870,058,108 
Technology Hardware, Storage & Peripherals - 3.9%   
Apple, Inc. 3,229,093 1,026,657,828 
Hewlett Packard Enterprise Co. 387,900 3,766,509 
HP, Inc. 652,149 9,873,536 
NCR Corp. (a) 76,100 1,373,605 
NetApp, Inc. 25,600 1,140,224 
Seagate Technology LLC 89,700 4,757,688 
Western Digital Corp. 212,638 9,434,748 
Xerox Holdings Corp. 120,850 1,919,098 
  1,058,923,236 
TOTAL INFORMATION TECHNOLOGY  5,474,690,760 
MATERIALS - 1.7%   
Chemicals - 1.0%   
Albemarle Corp. U.S. (b) 12,700 971,804 
Amyris, Inc. (a)(b) 1,018,200 3,797,886 
Celanese Corp. Class A 174,509 15,690,104 
CF Industries Holdings, Inc. 271,648 7,978,302 
Corteva, Inc. 98,399 2,687,277 
Dow, Inc. 121,745 4,699,357 
DuPont de Nemours, Inc. 524,562 26,611,030 
Eastman Chemical Co. 447,223 30,446,942 
Ecolab, Inc. 44,092 9,373,077 
FMC Corp. 15,500 1,525,355 
Huntsman Corp. 205,800 3,735,270 
Linde PLC 447,786 90,605,019 
Livent Corp. (a)(b) 505,600 3,407,744 
LyondellBasell Industries NV Class A 181,872 11,596,159 
Nutrien Ltd. 59,600 2,034,499 
PPG Industries, Inc. 309,444 31,461,171 
RPM International, Inc. 90,100 6,737,678 
Sherwin-Williams Co. 23,682 14,063,556 
The Chemours Co. LLC 73,300 960,963 
Trinseo SA 47,700 981,666 
Valvoline, Inc. 306,107 5,617,063 
Westlake Chemical Corp. 217,400 10,369,980 
  285,351,902 
Construction Materials - 0.1%   
Martin Marietta Materials, Inc. 21,066 4,046,568 
Summit Materials, Inc. (a) 496,800 7,546,392 
Vulcan Materials Co. 81,927 8,874,333 
  20,467,293 
Containers & Packaging - 0.4%   
Avery Dennison Corp. 102,200 11,310,474 
Berry Global Group, Inc. (a) 848,826 38,120,776 
Crown Holdings, Inc. (a) 353,289 23,115,699 
International Paper Co. 257,300 8,761,065 
O-I Glass, Inc. 154,700 1,185,002 
Packaging Corp. of America 73,663 7,470,165 
Sealed Air Corp. 156,054 5,009,333 
Sonoco Products Co. 9,500 492,195 
WestRock Co. 49,500 1,388,970 
  96,853,679 
Metals & Mining - 0.2%   
BHP Billiton Ltd. sponsored ADR (b) 101,700 4,790,070 
First Quantum Minerals Ltd. 689,500 4,041,301 
Freeport-McMoRan, Inc. 167,900 1,522,853 
Lundin Mining Corp. 1,122,000 5,166,489 
Newmont Corp. 364,815 21,330,733 
Nucor Corp. 50,394 2,129,650 
Reliance Steel & Aluminum Co. 8,000 776,000 
Steel Dynamics, Inc. 25,800 685,248 
Wheaton Precious Metals Corp. 69,400 2,990,019 
  43,432,363 
Paper & Forest Products - 0.0%   
Domtar Corp. 62,600 1,277,040 
Schweitzer-Mauduit International, Inc. 75,400 2,291,406 
  3,568,446 
TOTAL MATERIALS  449,673,683 
REAL ESTATE - 1.4%   
Equity Real Estate Investment Trusts (REITs) - 1.4%   
Alexandria Real Estate Equities, Inc. 59,900 9,207,828 
American Homes 4 Rent Class A 61,600 1,554,784 
American Tower Corp. 248,281 64,098,706 
Apartment Investment & Management Co. Class A 19,840 731,501 
AvalonBay Communities, Inc. 114,226 17,820,398 
Boston Properties, Inc. 42,305 3,637,384 
Corporate Office Properties Trust (SBI) 153,600 3,835,392 
Crown Castle International Corp. 9,372 1,613,484 
CubeSmart 72,700 2,069,042 
Digital Realty Trust, Inc. 44,718 6,419,716 
Equinix, Inc. (c) 29,450 20,545,204 
Equity Lifestyle Properties, Inc. 156,388 9,742,972 
Equity Residential (SBI) 246,439 14,924,346 
Essex Property Trust, Inc. 47,790 11,601,978 
Extra Space Storage, Inc. 31,801 3,076,747 
Hospitality Properties Trust (SBI) 122,200 824,850 
Host Hotels & Resorts, Inc. 133,600 1,595,184 
JBG SMITH Properties 68,650 2,040,965 
Kimco Realty Corp. 132,311 1,469,975 
Lexington Corporate Properties Trust 31,200 303,264 
Medical Properties Trust, Inc. 63,532 1,148,659 
Omega Healthcare Investors, Inc. 83,300 2,593,962 
Outfront Media, Inc. 137,000 1,923,480 
Park Hotels & Resorts, Inc. 86,500 850,295 
Piedmont Office Realty Trust, Inc. Class A 128,500 2,143,380 
Potlatch Corp. 56,795 1,930,462 
Prologis, Inc. 1,232,725 112,794,338 
Public Storage 14,700 2,980,278 
Realty Income Corp. 29,538 1,633,747 
SBA Communications Corp. Class A 27,444 8,620,984 
Simon Property Group, Inc. 174,085 10,044,705 
SITE Centers Corp. 166,350 943,205 
SL Green Realty Corp. 137,937 5,809,906 
Ventas, Inc. 518,053 18,105,952 
VEREIT, Inc. 453,100 2,482,988 
VICI Properties, Inc. 48,600 953,532 
Weyerhaeuser Co. 616,421 12,445,540 
  364,519,133 
Real Estate Management & Development - 0.0%   
CBRE Group, Inc. (a) 88,676 3,899,970 
Cushman & Wakefield PLC (a) 252,300 2,586,075 
  6,486,045 
TOTAL REAL ESTATE  371,005,178 
UTILITIES - 2.5%   
Electric Utilities - 1.9%   
American Electric Power Co., Inc. 290,200 24,739,550 
Duke Energy Corp. 264,388 22,639,544 
Edison International 109,500 6,363,045 
Entergy Corp. 278,528 28,359,721 
Evergy, Inc. 255,331 15,751,369 
Exelon Corp. 527,165 20,195,691 
FirstEnergy Corp. 54,200 2,290,492 
NextEra Energy, Inc. 986,278 252,053,206 
NRG Energy, Inc. 1,747,808 63,008,478 
OGE Energy Corp. 23,100 723,492 
Pinnacle West Capital Corp. 51,701 4,027,508 
Southern Co. 846,288 48,297,656 
Xcel Energy, Inc. 498,290 32,403,799 
  520,853,551 
Gas Utilities - 0.1%   
Atmos Energy Corp. 127,400 13,094,172 
UGI Corp. 166,897 5,314,000 
  18,408,172 
Independent Power and Renewable Electricity Producers - 0.0%   
NextEra Energy Partners LP 39,300 2,008,623 
The AES Corp. 502,119 6,271,466 
Vistra Energy Corp. 321,360 6,568,598 
  14,848,687 
Multi-Utilities - 0.5%   
Ameren Corp. 399,600 29,862,108 
CenterPoint Energy, Inc. 124,600 2,215,388 
CenterPoint Energy, Inc. (e) 108,819 1,741,322 
Dominion Energy, Inc. 155,085 13,183,776 
DTE Energy Co. 3,209 345,192 
NiSource, Inc. 815,055 19,422,761 
Public Service Enterprise Group, Inc. 251,215 12,822,014 
Sempra Energy 451,752 57,060,795 
  136,653,356 
TOTAL UTILITIES  690,763,766 
TOTAL COMMON STOCKS   
(Cost $14,900,588,560)  22,062,108,833 
Convertible Preferred Stocks - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Internet & Direct Marketing Retail - 0.0%   
The Honest Co., Inc. Series D (a)(e)(f)   
(Cost $1,468,003) 32,084 1,468,164 
Equity Funds - 17.2%   
Large Blend Funds - 8.4%   
Fidelity SAI U.S. Large Cap Index Fund (g) 64,400,039 1,056,804,634 
JPMorgan U.S. Large Cap Core Plus Fund Select Class (h) 28,680,102 698,647,292 
PIMCO StocksPLUS Absolute Return Fund Institutional Class 49,982,553 507,322,916 
TOTAL LARGE BLEND FUNDS  2,262,774,842 
Large Growth Funds - 8.1%   
Fidelity Growth Company Fund (g) 3,266,803 80,232,680 
Fidelity SAI U.S. Momentum Index Fund (g) 1,193,650 16,973,699 
Fidelity SAI U.S. Quality Index Fund (g) 141,991,912 2,101,480,276 
TOTAL LARGE GROWTH FUNDS  2,198,686,655 
Mid-Cap Blend Funds - 0.7%   
Fidelity Mid Cap Index Fund (g) 8,730,205 184,207,331 
TOTAL EQUITY FUNDS   
(Cost $3,722,389,322)  4,645,668,828 
Other - 0.0%   
Commodity Funds - Broad Basket - 0.0%   
Fidelity SAI Inflation-Focused Fund (g)   
(Cost $6,500,000) 831,202 7,015,345 
U.S. Treasury Obligations - 0.0%   
U.S. Treasury Bills, yield at date of purchase 0% to 0.26% 8/20/20 to 2/25/21 (i)   
(Cost $5,233,210) 5,235,000 5,232,492 
Money Market Funds - 1.2%   
Fidelity Cash Central Fund 0.11% (j) 39,111,541 39,119,363 
Fidelity Securities Lending Cash Central Fund 0.10% (j)(k) 51,687,030 51,692,199 
Invesco Government & Agency Portfolio Institutional Class .12% (l) 221,716,147 221,716,147 
TOTAL MONEY MARKET FUNDS   
(Cost $312,524,259)  312,527,709 
TOTAL INVESTMENT IN SECURITIES - 100.0%   
(Cost $18,948,703,354)  27,034,021,371 
NET OTHER ASSETS (LIABILITIES) - 0.0%  (7,940,102) 
NET ASSETS - 100%  $27,026,081,269 

Written Options       
 Counterparty Number of Contracts Notional Amount Exercise Price Expiration Date Value 
Call Options       
Equinix, Inc. Chicago Board Options Exchange 34 $2,371,942 $700.00 6/19/20 $(60,180) 
Walmart, Inc. Chicago Board Options Exchange 526 6,525,556 120.00 6/19/20 (281,410) 
TOTAL WRITTEN OPTIONS      $(341,590) 

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) 295 June 2020 $44,869,500 $5,979,719 $5,979,719 

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

Legend

 (a) Non-income producing

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

 (c) Security or a portion of the security is pledged as collateral for call options written. At period end, the value of securities pledged amounted to $8,897,498.

 (d) 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 $3,975,639 or 0.0% of net assets.

 (e) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $8,937,986 or 0.0% of net assets.

 (f) Level 3 security

 (g) Affiliated Fund

 (h) The JPMorgan U.S. Large Cap Core Plus Fund seeks to provide a high total return from a portfolio of selected equity securities which includes both long and short positions.

 (i) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $3,747,719.

 (j) 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.

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

 (l) The rate quoted is the annualized seven-day yield of the fund at period end.

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost 
CenterPoint Energy, Inc. 5/7/20 $1,749,810 
The Honest Co., Inc. Series D 8/12/15 $1,468,003 
Vertiv Holdings LLC 2/6/20 $4,500,000 

Affiliated Central Funds

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

Fund Income earned 
Fidelity Cash Central Fund $1,384,260 
Fidelity Securities Lending Cash Central Fund 768,858 
Total $2,153,118 

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.

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Growth Company Fund $57,616,055 $2,583,440 $-- $2,583,440 $-- $20,033,185 $80,232,680 
Fidelity Mid Cap Index Fund -- 165,000,000 -- -- -- 19,207,331 184,207,331 
Fidelity SAI Inflation-Focused Fund -- 6,500,000 -- -- -- 515,345 7,015,345 
Fidelity SAI U.S. Large Cap Index Fund 1,207,289,362 4,056,342,539 4,203,964,199 3,800,629 (84,591,215) 81,728,147 1,056,804,634 
Fidelity SAI U.S. Momentum Index Fund 318,762,606 5,598,578 325,000,000 5,598,578 57,264,409 (39,651,894) 16,973,699 
Fidelity SAI U.S. Quality Index Fund 2,148,868,718 294,790,234 440,000,000 294,790,254 (4,746,381) 102,567,705 2,101,480,276 
Total $3,732,536,741 $4,530,814,791 $4,968,964,199 $306,772,901 $(32,073,187) $184,399,819 $3,446,713,965 

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 May 31, 2020, 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 $2,431,247,031 $2,389,297,093 $41,949,938 $-- 
Consumer Discretionary 2,355,196,607 2,353,728,443 -- 1,468,164 
Consumer Staples 1,433,598,918 1,427,489,402 6,109,516 -- 
Energy 713,655,970 711,752,259 1,903,711 -- 
Financials 2,588,366,888 2,587,705,648 661,240 -- 
Health Care 3,573,206,625 3,489,715,962 83,490,663 -- 
Industrials 1,982,171,571 1,980,531,266 1,640,305 -- 
Information Technology 5,474,690,760 5,473,871,207 819,553 -- 
Materials 449,673,683 449,673,683 -- -- 
Real Estate 371,005,178 371,005,178 -- -- 
Utilities 690,763,766 689,022,444 1,741,322 -- 
Equity Funds 4,645,668,828 4,645,668,828 -- -- 
Other 7,015,345 7,015,345 -- -- 
Other Short-Term Investments 5,232,492 -- 5,232,492 -- 
Money Market Funds 312,527,709 312,527,709 -- -- 
Total Investments in Securities: $27,034,021,371 $26,889,004,467 $143,548,740 $1,468,164 
Derivative Instruments:     
Assets     
Futures Contracts $5,979,719 $5,979,719 $-- $-- 
Total Assets $5,979,719 $5,979,719 $-- $-- 
Liabilities     
Written Options $(341,590) $(341,590) $-- $-- 
Total Liabilities $(341,590) $(341,590) $-- $-- 
Total Derivative Instruments: $5,638,129 $5,638,129 $-- $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2020. 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) $5,979,719 $0 
Written Options(b) 0 (341,590) 
Total Equity Risk 5,979,719 (341,590) 
Total Value of Derivatives $5,979,719 $(341,590) 

 (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).

 (b) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.

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


Financial Statements

Statement of Assets and Liabilities

  May 31, 2020 
Assets   
Investment in securities, at value (including securities loaned of $50,891,583) — See accompanying schedule:
Unaffiliated issuers (cost $16,131,454,830) 		$23,496,495,844  
Fidelity Central Funds (cost $90,808,112) 90,811,562  
Other affiliated issuers (cost $2,726,440,412) 3,446,713,965  
Total Investment in Securities (cost $18,948,703,354)  $27,034,021,371 
Foreign currency held at value (cost $2,019,816)  2,031,709 
Receivable for investments sold  102,452,628 
Receivable for fund shares sold  8,793,026 
Dividends receivable  35,758,074 
Interest receivable  24,221 
Distributions receivable from Fidelity Central Funds  78,821 
Receivable for daily variation margin on futures contracts  57,525 
Other receivables  290,653 
Total assets  27,183,508,028 
Liabilities   
Payable to custodian bank $619,101  
Payable for investments purchased 89,290,434  
Payable for fund shares redeemed 11,073,506  
Accrued management fee 4,111,904  
Written options, at value (premium received $234,365) 341,590  
Other payables and accrued expenses 290,506  
Collateral on securities loaned 51,699,718  
Total liabilities  157,426,759 
Net Assets  $27,026,081,269 
Net Assets consist of:   
Paid in capital  $19,007,589,924 
Total accumulated earnings (loss)  8,018,491,345 
Net Assets  $27,026,081,269 
Net Asset Value, offering price and redemption price per share ($27,026,081,269 ÷ 1,477,889,462 shares)  $18.29 

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


Statement of Operations

  Year ended May 31, 2020 
Investment Income   
Dividends:   
Unaffiliated issuers  $453,231,722 
Affiliated issuers  46,370,495 
Interest  3,599,771 
Income from Fidelity Central Funds (including $768,858 from security lending)  2,153,118 
Total income  505,355,106 
Expenses   
Management fee $117,699,434  
Independent trustees' fees and expenses 292,533  
Commitment fees 64,061  
Total expenses before reductions 118,056,028  
Expense reductions (66,625,576)  
Total expenses after reductions  51,430,452 
Net investment income (loss)  453,924,654 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (net of foreign taxes of $34) 215,756,405  
Fidelity Central Funds 4,179  
Other affiliated issuers (32,073,187)  
Foreign currency transactions (145,815)  
Futures contracts 613,157  
Written options 505,497  
Capital gain distributions from underlying funds:   
Unaffiliated issuers 310,077,352  
Affiliated issuers 260,402,406  
Total net realized gain (loss)  755,139,994 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (net of decrease in deferred foreign taxes of $17,806) 1,631,135,086  
Affiliated issuers 184,399,819  
Assets and liabilities in foreign currencies 41,769  
Futures contracts 6,433,550  
Written options 868,541  
Total change in net unrealized appreciation (depreciation)  1,822,878,765 
Net gain (loss)  2,578,018,759 
Net increase (decrease) in net assets resulting from operations  $3,031,943,413 

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


Statement of Changes in Net Assets

 Year ended May 31, 2020 Year ended May 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $453,924,654 $401,940,208 
Net realized gain (loss) 755,139,994 1,119,683,471 
Change in net unrealized appreciation (depreciation) 1,822,878,765 (833,935,766) 
Net increase (decrease) in net assets resulting from operations 3,031,943,413 687,687,913 
Distributions to shareholders (1,621,230,881) (1,958,616,581) 
Share transactions   
Proceeds from sales of shares 5,134,133,462 4,801,967,086 
Reinvestment of distributions 1,597,215,641 1,950,874,827 
Cost of shares redeemed (5,836,940,101) (5,745,550,235) 
Net increase (decrease) in net assets resulting from share transactions 894,409,002 1,007,291,678 
Total increase (decrease) in net assets 2,305,121,534 (263,636,990) 
Net Assets   
Beginning of period 24,720,959,735 24,984,596,725 
End of period $27,026,081,269 $24,720,959,735 
Other Information   
Shares   
Sold 291,290,156 274,509,591 
Issued in reinvestment of distributions 84,035,568 116,221,097 
Redeemed (325,208,146) (321,143,205) 
Net increase (decrease) 50,117,578 69,587,483 

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


Financial Highlights

Strategic Advisers Core Fund

      
Years ended May 31, 2020 2019 2018 2017 2016 
Selected Per–Share Data      
Net asset value, beginning of period $17.31 $18.40 $17.32 $15.07 $16.12 
Income from Investment Operations      
Net investment income (loss)A .32 .29 .25 .22 .19 
Net realized and unrealized gain (loss) 1.81 .08 2.18 2.48 (.37) 
Total from investment operations 2.13 .37 2.43 2.70 (.18) 
Distributions from net investment income (.29) (.29) (.24) (.19) (.19) 
Distributions from net realized gain (.87) (1.17) (1.11) (.26) (.68) 
Total distributions (1.15)B (1.46) (1.35) (.45) (.87) 
Net asset value, end of period $18.29 $17.31 $18.40 $17.32 $15.07 
Total ReturnC 12.17% 2.41% 14.59% 18.22% (1.10)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .45% .45% .47% .46% .43% 
Expenses net of fee waivers, if any .20% .20% .21% .21% .18% 
Expenses net of all reductions .20% .20% .21% .21% .18% 
Net investment income (loss) 1.74% 1.65% 1.41% 1.40% 1.32% 
Supplemental Data      
Net assets, end of period (000 omitted) $27,026,081 $24,720,960 $24,984,597 $23,157,908 $23,636,860 
Portfolio turnover rateF 90% 84% 98% 100% 85% 

 A Calculated based on average shares outstanding during the period.

 B Total distributions of $1.15 per share is comprised of distributions from net investment income of $.286 and distributions from net realized gain of $.868 per share.

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

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.

 F Amounts do not include the activity of Underlying Funds.

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


Notes to Financial Statements

For the period ended May 31, 2020

1. Organization.

Strategic Advisers Core Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. 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 Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

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

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

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

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. U.S. government and government agency obligations 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.

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. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price 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. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 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 May 31, 2020 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $289,511 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.

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 May 31, 2020, 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests.

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

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

Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, certain foreign taxes, certain conversion ratio adjustments, passive foreign investment companies (PFIC), market discount, partnerships, deferred trustees compensation, losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation $8,641,020,470 
Gross unrealized depreciation (1,076,176,793) 
Net unrealized appreciation (depreciation) $7,564,843,677 
Tax Cost $19,468,836,104 

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

Undistributed ordinary income $176,700,948 
Undistributed long-term capital gain $354,832,247 
Net unrealized appreciation (depreciation) on securities and other investments $7,564,872,766 

The Fund intends to elect to defer to its next fiscal year $77,625,106 of capital losses recognized during the period November 1, 2019 to May 31, 2020.

The tax character of distributions paid was as follows:

 May 31, 2020 May 31, 2019 
Ordinary Income $517,260,745 $ 593,572,387 
Long-term Capital Gains 1,103,970,136 1,365,044,194 
Total $1,621,230,881 $ 1,958,616,581 

Restricted Securities (including Private Placements). The Fund 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 is included at the end of the Fund's Schedule of Investments.

3. 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 and options. 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 and exchange-traded options 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.

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Equity Risk   
Futures Contracts 613,157 6,433,550 
Written Options 505,497 868,541 
Total Equity Risk 1,118,654 7,302,091 

A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.

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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.

The Fund used exchange-traded written covered call options to manage its exposure to the market. When the Fund writes a covered call option, the Fund holds the underlying instrument which must be delivered to the holder upon the exercise of the option.

Upon entering into a written options contract, the Fund will receive a premium. Premiums received are reflected as a liability on the Statement of Assets and Liabilities. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When a written option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining the gain or loss realized on that investment. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction are greater or less than the premium received. When an option expires, gains and losses are realized to the extent of premiums received. The net realized gain (loss) on closed and expired written options and the change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Writing call options tends to decrease exposure to the underlying instrument and risk of loss is the change in value in excess of the premium received.

Any open options at period end are presented in the Schedule of Investments under the caption "Written Options" and are representative of volume of activity during the period.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, are noted in the table below.

 Purchases ($) Sales ($) 
Strategic Advisers Core Fund 23,401,665,317 23,030,694,472 

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .45% of the Fund's average net assets. The investment adviser pays all other expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses. The management fee is reduced by an amount equal to the fees and expenses paid by the Fund to the independent Trustees.

During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.

Sub-Advisers. AllianceBernstein, L.P. (AB), Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, J.P. Morgan Investment Management, Inc., LSV Asset Management, Invesco Advisers, Inc., FIAM LLC (an affiliate of the investment adviser), PineBridge Investments, LLC and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

Aristotle Capital Management, LLC, ClearBridge Investments, LLC, Geode Capital Management, LLC, Loomis Sayles & Company, L.P. and Boston Partners Global Investors, Inc. have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

In June 2020, the Board approved the appointment of Principal Global Investors, LLC as an additional sub-adviser for the Fund.

Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

 Amount 
Strategic Advisers Core Fund $295,425 

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $83,696.

6. Investments in Fidelity Central Funds.

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

The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Commitment fees on the Statement of Operations, and are as follows:

 Amount 
Strategic Advisers Core Fund $ 64,061 

During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's 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.

9. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2022. During the period, this waiver reduced the Fund's management fee by $ 65,328,020.

In addition, the investment adviser has voluntarily agreed to waive a portion of the Fund's management fee. During the period, this waiver reduced the Fund's management fee by $1,117,992.

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $63,343.

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $116,221.

10. Other.

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

The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of 10% or more of the total outstanding shares of the following Underlying Funds.

Fund  % of shares held 
Fidelity SAI U.S. Quality Index Fund  25% 
Fidelity SAI Inflation-Focused Fund  24% 

11. Proposed Reorganization.

The Board of Trustees of Fidelity Rutland Square Trust II has approved an Agreement and Plan of Reorganization (the Agreement) between each of Strategic Advisers Core Fund, Strategic Advisers Growth Fund and Strategic Advisers Value Fund (each an "Acquired Fund" and, together, the "Acquired Funds") and Strategic Advisers Large Cap Fund, a new series of Fidelity Rutland Square Trust II. The Agreement provides for the transfer of all the assets and the assumption of all the liabilities of each Acquired Fund in exchange for shares of Strategic Advisers Large Cap Fund equal in value to the net assets of each respective Acquired Fund on the day the reorganization is effective.

A meeting of the shareholders of each Acquired Fund is expected to be held during the fourth quarter of 2020 to vote on the reorganization. If approved by shareholders, the reorganization is expected to become effective on or about November 13, 2020. The reorganization is expected to qualify as a tax-free transaction for federal income tax purposes with no gain or loss recognized by the funds or their shareholders.

12. Coronavirus (COVID-19) Pandemic.

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

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Core Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Core Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2020 and the financial highlights for each of the five years in the period ended May 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian, issuers of privately offered securities and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

July 10, 2020



We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds.  Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict.  Each of the Trustees oversees 14 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.  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. 

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.

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 may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. 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, may be 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. Robert A. Lawrence 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. Mary C. Farrell serves as the lead Independent Trustee 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 asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds 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.

The Trustees primarily operate as a full Board, but also operate in 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 has charged Strategic Advisers 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 Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee.  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.  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+

Robert A. Lawrence (1952)

Year of Election or Appointment: 2016

Trustee

Chairman of the Board of Trustees

Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).

Charles S. Morrison (1960)

Year of Election or Appointment: 2020

Trustee

Mr. Morrison also serves as Trustee of other Fidelity® funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.

 * 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 Strategic Advisers. 

 + 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+

Peter C. Aldrich (1944)

Year of Election or Appointment: 2006

Trustee

Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.

Mary C. Farrell (1949)

Year of Election or Appointment: 2013

Trustee

Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.

Karen Kaplan (1960)

Year of Election or Appointment: 2006

Trustee

Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).

Heidi L. Steiger (1953)

Year of Election or Appointment: 2017

Trustee

Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).

 + 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 a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.  Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Howard E. Cox, Jr. (1944)

Year of Election or Appointment: 2009

Member of the Advisory Board

Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.

Christine Marcks (1955)

Year of Election or Appointment: 2019

Member of the Advisory Board

Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown 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).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

Assistant Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). 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).

James D. Gryglewicz (1972)

Year of Election or Appointment: 2015

Chief Compliance Officer

Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).

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 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).  Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan. 

Christina H. Lee (1975)

Year of Election or Appointment: 2020

Secretary and Chief Legal Officer

Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2020

Assistant Secretary

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

Chris Maher (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of 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).

Stacie M. Smith (1974)

Year of Election or Appointment: 2020

President and Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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 (December 1, 2019 to May 31, 2020).

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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.

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

 Annualized Expense Ratio-A Beginning
Account Value
December 1, 2019 		Ending
Account Value
May 31, 2020 		Expenses Paid
During Period-B
December 1, 2019
to May 31, 2020 
Actual .20% $1,000.00 $974.70 $.99 
Hypothetical-C  $1,000.00 $1,024.00 $1.01 

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

 B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's 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 May 31, 2020, $1,050,052,165, or, if subsequently determined to be different, the net capital gain of such year.

The fund designates 100% and 65% of the dividends distributed in July and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

The fund designates 100% and 68% of the dividends distributed in July 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 3% of the dividends distributed in July and December, respectively during the fiscal year as a section 199A dividend.

The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.

Board Approval of Investment Advisory Contract and Management Fees

Strategic Advisers Core Fund

At its March 2020 meeting, the Board of Trustees, including the Independent Trustees (together, the Board) voted at an in-person meeting to approve an investment sub-advisory agreement (the Sub-Advisory Agreement) among Strategic Advisers LLC (Strategic Advisers), ClearBridge Investments, LLC (ClearBridge), and Fidelity Rutland Square Trust II, on behalf of the fund.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Sub-Advisory Agreement.

In considering whether to approve the Sub-Advisory Agreement, 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 approval of the Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the sub-advisory fees to be charged under the Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.

Nature, Extent, and Quality of Services Provided.  The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also took into consideration the fund's investment objective, strategies and related investment philosophy and current sub-adviser lineup. The Board also considered the structure of ClearBridge's portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of ClearBridge's investment staff, their use of technology, and ClearBridge's approach to managing and compensating its investment personnel. The Board noted that ClearBridge's analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated fundamental and/or quantitative analysis. Additionally, in its deliberations, the Board considered ClearBridge's trading 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 services to be performed by ClearBridge under the Sub-Advisory Agreement and (ii) the resources to be devoted to the fund's compliance policies and procedures.

Investment Performance.  The Board also considered the historical investment performance of ClearBridge and the portfolio managers in managing accounts under a similar investment mandate.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Sub-Advisory Agreement should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.  In reviewing the Sub-Advisory Agreement, the Board considered the amount and nature of fees to be paid by the fund to the fund's investment adviser, Strategic Advisers, the amount and nature of fees to be paid by Strategic Advisers to ClearBridge and the projected change in the fund's management fee and total operating expenses, if any, as a result of hiring ClearBridge.

The Board considered that the approval of the Sub-Advisory Agreement will not initially result in any changes to the fund’s management fee or total net expenses because Strategic Advisers does not expect to allocate assets to ClearBridge at this time. As a result, the fund’s management fee and total net expenses are expected to continue to rank below the competitive peer group medians presented to the Board in the June 2019 management contract renewal materials. The Board considered that to the extent Strategic Advisers allocates assets to ClearBridge in the future, the fund’s maximum aggregate annual management fee rate may not exceed 1.00% of the fund’s average daily net assets and the Sub-Advisory Agreement will not result in a change to the maximum aggregate annual management fee payable by the fund or Strategic Advisers’ portion of the management fee. The Board considered Strategic Advisers’ contractual agreement to waive its 0.25% portion of the fund’s management fee through September 30, 2022. In addition, the Board considered that Strategic Advisers’ portion of the management fee will continue to be all-inclusive and that Strategic Advisers will continue to pay the fund’s other operating expenses, with certain limited exceptions, out of its portion of the management fee.

Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Because the Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the Sub-Advisory Agreement.

Potential Fall-Out Benefits.  The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to the fund's sub-advisers, if any, as a result of their respective relationships with the fund, during its annual renewal of the fund's advisory agreement with Strategic Advisers and the fund's sub-advisory agreements. With respect to ClearBridge, the Board considered management's representation that it does not anticipate that the hiring of ClearBridge will have a significant impact on the potential for fall-out benefits to Strategic Advisers or its affiliates.

Possible Economies of Scale.  The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers and the fund's sub-advisory agreements. The Board noted that the Sub-Advisory Agreement provides for breakpoints that reduce sub-advisory fees paid to ClearBridge as assets allocated to ClearBridge achieve certain levels.

Conclusion.  Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Sub-Advisory Agreement should be approved because the Sub-Advisory Agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Liquidity Risk Management Program

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

The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.

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

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

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

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

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

SAI-COR-ANN-0720
1.902940.111

Strategic Advisers® Growth Fund

Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public



Annual Report

May 31, 2020

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


Fidelity Investments

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


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 Contract and Management Fees

Liquidity Risk Management Program


To view a fund's 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. © 2020 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended May 31, 2020 Past 1 year Past 5 years Life of fundA 
Strategic Advisers® Growth Fund 26.60% 12.94% 14.51% 

 A From June 2, 2010

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Strategic Advisers® Growth Fund on June 2, 2010, when the fund started.

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


Period Ending Values
$38,780Strategic Advisers® Growth Fund
$43,932Russell 1000® Growth Index

Management's Discussion of Fund Performance

Market Recap:  The S&P 500® index gained 12.84% for the year ending May 31, 2020, in what was a bumpy ride for U.S. equity investors, marked by a steep but brief decline due to the early-2020 outbreak and spread of the coronavirus, followed by a sharp upturn. Declared a pandemic on March 11, the COVID-19 crisis and containment efforts caused broad contraction in economic activity, along with extreme uncertainty, volatility and dislocation in financial markets. By mid-March, U.S. stocks had entered bear-market territory less than a month after hitting an all-time high and extending the longest-running bull market in American history. Stocks slid in late February, after a surge in COVID-19 cases emerged outside China. The downtrend continued in March (-12.35%), capping the index’s worst quarter since 2008. A historically rapid and expansive U.S. monetary/fiscal-policy response helped provide a partial offset to the economic disruption. This was evident in April, when the index achieved its highest monthly gain (+12.82%) since 1991, boosted by improving infection data, plans for reopening the economy and progress on potential treatments. The stark turnaround continued in May, driven by stocks that do well in an economic recovery, even as high unemployment persisted. By sector, energy shares (-29%) fell hard along with the price of crude oil. Financials (-8%) and industrials (-4%) also notably lagged. In contrast, information technology (+38%) led by a wide margin, followed by health care (+21%), communication services and consumer discretionary (each +16%).

Comments from Lead Portfolio Manager John Stone:  For the fiscal year, the Fund advanced 26.60%, outpacing the 26.25% gain of the benchmark Russell 1000® Growth Index. This period, Fidelity® Growth Company Fund, which follows an aggressive-growth approach, was the principal driver behind our strong relative performance. Fidelity Growth Company Fund (+39.3%) was the portfolio's largest holding on May 31 and it outpaced the Russell benchmark by 11 percentage points. Security selection in the information technology, health care and consumer discretionary sectors fueled this manager's outsized contribution. Elsewhere, the Large Cap Growth strategy from sub-adviser ClearBridge Investments – which was added to the portfolio in April – also aided performance versus the benchmark. On the downside, sub-adviser ClariVest Asset Management (+22.2%) was the biggest relative detractor. The dual emphasis on valuation and momentum inherent in ClariVest’s quantitative strategy weighed on its performance this period, resulting in negative stock picks across several sectors. Janus Henderson Enterprise Fund (+6.4%), a mid-cap growth strategy, struggled due to overweighted exposure to lagging cyclical sectors, including industrials and financials. Investment choices in technology also worked against this fund's relative result. In addition to hiring ClearBridge during the period, we added Principal Blue Chip Fund, an opportunistic growth approach that gravitates toward companies where members of management are also major shareholders. Conversely, we ended the Fund's sub-advisory relationship with MFS Investment Management during the period. As of May 31, the broader Fund is tilted toward underlying strategies that focus on companies exhibiting high rates of sales and earnings growth.

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

Note to shareholders:  On June 3, 2020, the Board of Trustees approved a proposal to merge Strategic Advisers® Core Fund, Strategic Advisers® Growth Fund and Strategic Advisers® Value Fund into a new fund, Strategic Advisers® Large Cap Fund, subject to shareholder approval. A special meeting of the shareholders of each acquired fund (SA Core, Growth and Value) is expected to be held in the fourth quarter of 2020. This reorganization would occur on a tax-free basis, and if approved by shareholders of each acquired fund, is expected to take place on or about November 13, 2020. A combined proxy statement and prospectus containing more information with respect to the reorganization will be provided to shareholders of record of each acquired fund in advance of the meeting.

Investment Summary (Unaudited)

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

Top Ten Holdings as of May 31, 2020

(excluding cash equivalents)

 % of fund's net assets 
Fidelity Growth Company Fund 33.3 
Janus Henderson Enterprise Fund 6.8 
Amazon.com, Inc. 3.8 
Microsoft Corp. 3.6 
Apple, Inc. 2.6 
Fidelity SAI U.S. Quality Index Fund 2.4 
Visa, Inc. Class A 2.4 
Facebook, Inc. Class A 2.3 
Principal Blue Chip Fund Institutional Class 1.8 
Fidelity Contrafund 1.6 
 60.6 

Top Five Market Sectors as of May 31, 2020

(stocks only)

 % of fund's net assets 
Information Technology 20.8 
Health Care 8.6 
Consumer Discretionary 8.1 
Communication Services 6.3 
Industrials 3.7 

Asset Allocation (% of fund's net assets)

As of May 31, 2020 
   Common Stocks 52.7% 
   Preferred Stocks 0.1% 
   Large Blend Funds 0.9% 
   Large Growth Funds 39.1% 
   Mid-Cap Growth Funds 6.8% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.4% 


Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.

Schedule of Investments May 31, 2020

Showing Percentage of Net Assets

Common Stocks - 52.7%   
 Shares Value 
COMMUNICATION SERVICES - 6.3%   
Entertainment - 0.8%   
Activision Blizzard, Inc. 280,100 $20,161,598 
The Walt Disney Co. 429,585 50,390,321 
  70,551,919 
Interactive Media & Services - 5.3%   
Alphabet, Inc.:   
Class A (a) 91,041 130,509,094 
Class C (a) 92,124 131,637,826 
Facebook, Inc. Class A (a) 926,055 208,445,720 
  470,592,640 
Media - 0.2%   
Comcast Corp. Class A 514,906 20,390,278 
TOTAL COMMUNICATION SERVICES  561,534,837 
CONSUMER DISCRETIONARY - 8.0%   
Auto Components - 0.1%   
Aptiv PLC 115,137 8,675,573 
Hotels, Restaurants & Leisure - 0.9%   
Domino's Pizza, Inc. 35,600 13,735,904 
Starbucks Corp. 371,575 28,979,134 
Yum China Holdings, Inc. 327,589 15,180,474 
Yum! Brands, Inc. 240,308 21,562,837 
  79,458,349 
Household Durables - 0.3%   
Lennar Corp. Class A 241,600 14,607,136 
PulteGroup, Inc. 388,000 13,180,360 
  27,787,496 
Internet & Direct Marketing Retail - 5.1%   
Alibaba Group Holding Ltd. sponsored ADR (a) 486,370 100,868,274 
Amazon.com, Inc. (a) 139,979 341,880,510 
The Booking Holdings, Inc. (a) 8,413 13,792,440 
  456,541,224 
Multiline Retail - 0.3%   
Target Corp. 188,080 23,007,826 
Specialty Retail - 1.3%   
Advance Auto Parts, Inc. 182,231 25,388,423 
AutoZone, Inc. (a) 15,200 17,447,472 
The Home Depot, Inc. 280,470 69,691,186 
Ulta Beauty, Inc. (a) 32,126 7,839,065 
  120,366,146 
TOTAL CONSUMER DISCRETIONARY  715,836,614 
CONSUMER STAPLES - 2.9%   
Beverages - 1.2%   
Anheuser-Busch InBev SA NV ADR 193,048 9,050,090 
Keurig Dr. Pepper, Inc. 347,694 9,707,616 
Monster Beverage Corp. (a) 999,566 71,878,791 
The Coca-Cola Co. 251,746 11,751,503 
  102,388,000 
Food & Staples Retailing - 1.0%   
Costco Wholesale Corp. 185,181 57,122,783 
Sprouts Farmers Market LLC (a) 407,600 10,242,988 
Walmart, Inc. 208,574 25,875,690 
  93,241,461 
Food Products - 0.2%   
Campbell Soup Co. 343,600 17,516,728 
Household Products - 0.5%   
Colgate-Palmolive Co. 357,712 25,873,309 
Procter & Gamble Co. 150,160 17,406,547 
  43,279,856 
TOTAL CONSUMER STAPLES  256,426,045 
ENERGY - 0.1%   
Energy Equipment & Services - 0.1%   
Schlumberger Ltd. 642,014 11,857,999 
FINANCIALS - 1.2%   
Capital Markets - 0.9%   
Bank of New York Mellon Corp. 168,100 6,248,277 
Charles Schwab Corp. 288,291 10,352,530 
FactSet Research Systems, Inc. 91,298 28,075,048 
Goldman Sachs Group, Inc. 41,900 8,232,931 
SEI Investments Co. 511,053 27,709,294 
  80,618,080 
Consumer Finance - 0.2%   
American Express Co. 164,812 15,668,677 
Insurance - 0.1%   
MetLife, Inc. 221,700 7,983,417 
TOTAL FINANCIALS  104,270,174 
HEALTH CARE - 8.6%   
Biotechnology - 2.1%   
AbbVie, Inc. 302,666 28,048,058 
Alexion Pharmaceuticals, Inc. (a) 142,669 17,106,013 
Amgen, Inc. 236,349 54,289,365 
BioMarin Pharmaceutical, Inc. (a) 128,010 13,639,466 
Regeneron Pharmaceuticals, Inc. (a) 107,502 65,878,301 
Vertex Pharmaceuticals, Inc. (a) 36,400 10,481,744 
  189,442,947 
Health Care Equipment & Supplies - 0.8%   
Alcon, Inc. (a) 154,006 9,785,541 
Intuitive Surgical, Inc. (a) 32,717 18,976,842 
Stryker Corp. 42,000 8,220,660 
The Cooper Companies, Inc. 25,298 8,018,960 
Varian Medical Systems, Inc. (a) 91,389 11,093,711 
Zimmer Biomet Holdings, Inc. 96,800 12,229,712 
  68,325,426 
Health Care Providers & Services - 1.9%   
Centene Corp. (a) 257,674 17,070,903 
CVS Health Corp. 271,900 17,828,483 
Laboratory Corp. of America Holdings (a) 54,000 9,467,280 
McKesson Corp. 101,800 16,152,606 
UnitedHealth Group, Inc. 351,667 107,205,685 
  167,724,957 
Health Care Technology - 0.5%   
Cerner Corp. 415,725 30,306,353 
Veeva Systems, Inc. Class A (a) 74,800 16,371,476 
  46,677,829 
Life Sciences Tools & Services - 1.0%   
Illumina, Inc. (a) 70,766 25,691,596 
Thermo Fisher Scientific, Inc. 182,779 63,824,599 
  89,516,195 
Pharmaceuticals - 2.3%   
Bristol-Myers Squibb Co. 499,435 29,826,258 
Eli Lilly & Co. 70,139 10,727,760 
Merck & Co., Inc. 362,602 29,269,233 
Novartis AG sponsored ADR 365,200 31,929,436 
Novo Nordisk A/S Series B sponsored ADR 244,238 16,105,054 
Roche Holding AG sponsored ADR 1,236,646 53,608,604 
Zoetis, Inc. Class A 208,952 29,125,819 
  200,592,164 
TOTAL HEALTH CARE  762,279,518 
INDUSTRIALS - 3.7%   
Aerospace & Defense - 0.9%   
Northrop Grumman Corp. 34,800 11,664,960 
Raytheon Technologies Corp. 367,222 23,693,163 
The Boeing Co. 301,224 43,933,520 
  79,291,643 
Air Freight & Logistics - 0.8%   
C.H. Robinson Worldwide, Inc. 135,035 10,955,390 
Expeditors International of Washington, Inc. 492,749 37,631,241 
United Parcel Service, Inc. Class B 197,437 19,686,443 
  68,273,074 
Building Products - 0.2%   
Carrier Global Corp. (a) 526,579 10,779,072 
Trane Technologies PLC 136,432 12,307,531 
  23,086,603 
Commercial Services & Supplies - 0.2%   
Copart, Inc. (a) 198,200 17,717,098 
Industrial Conglomerates - 0.1%   
Honeywell International, Inc. 83,102 12,120,427 
Machinery - 0.7%   
Cummins, Inc. 61,500 10,430,400 
Deere & Co. 286,922 43,646,575 
Gardner Denver Holdings, Inc. (a) 120,386 3,394,885 
Otis Worldwide Corp. 49,179 2,589,274 
  60,061,134 
Professional Services - 0.2%   
IHS Markit Ltd. 254,589 17,683,752 
Road & Rail - 0.2%   
Uber Technologies, Inc. 468,217 17,005,641 
Trading Companies & Distributors - 0.4%   
United Rentals, Inc. (a) 108,283 15,039,426 
W.W. Grainger, Inc. 57,340 17,753,611 
  32,793,037 
TOTAL INDUSTRIALS  328,032,409 
INFORMATION TECHNOLOGY - 20.8%   
Communications Equipment - 0.6%   
Cisco Systems, Inc. 1,032,696 49,383,523 
Electronic Equipment & Components - 0.2%   
Keysight Technologies, Inc. (a) 124,834 13,498,300 
IT Services - 5.2%   
Akamai Technologies, Inc. (a) 216,409 22,896,072 
Automatic Data Processing, Inc. 82,025 12,015,842 
Booz Allen Hamilton Holding Corp. Class A 134,200 10,703,792 
Fidelity National Information Services, Inc. 316,893 43,994,283 
Fiserv, Inc. (a) 265,114 28,306,222 
FleetCor Technologies, Inc. (a) 39,500 9,629,705 
Global Payments, Inc. 98,650 17,706,689 
MasterCard, Inc. Class A 190,765 57,399,281 
PayPal Holdings, Inc. (a) 306,411 47,496,769 
Visa, Inc. Class A 1,103,499 215,447,145 
  465,595,800 
Semiconductors & Semiconductor Equipment - 3.5%   
Broadcom, Inc. 34,435 10,029,882 
Intel Corp. 250,895 15,788,822 
KLA-Tencor Corp. 101,710 17,896,892 
Lam Research Corp. 47,800 13,081,426 
Micron Technology, Inc. (a) 208,417 9,985,258 
NVIDIA Corp. 359,082 127,481,292 
Qualcomm, Inc. 792,288 64,080,253 
Teradyne, Inc. 301,200 20,186,424 
Texas Instruments, Inc. 275,134 32,669,411 
  311,199,660 
Software - 8.7%   
Adobe, Inc. (a) 187,586 72,520,748 
Autodesk, Inc. (a) 351,391 73,925,639 
Microsoft Corp. 1,759,907 322,502,958 
Nutanix, Inc. Class A (a) 279,050 6,713,943 
Oracle Corp. 1,209,538 65,036,858 
Palo Alto Networks, Inc. (a) 63,533 14,947,409 
Salesforce.com, Inc. (a) 635,397 111,061,042 
Splunk, Inc. (a) 120,760 22,442,038 
SS&C Technologies Holdings, Inc. 180,301 10,438,526 
Synopsys, Inc. (a) 226,444 40,965,984 
VMware, Inc. Class A (a) 99,899 15,611,217 
Workday, Inc. Class A (a) 122,453 22,461,554 
  778,627,916 
Technology Hardware, Storage & Peripherals - 2.6%   
Apple, Inc. 725,377 230,626,363 
TOTAL INFORMATION TECHNOLOGY  1,848,931,562 
MATERIALS - 0.2%   
Chemicals - 0.2%   
Ecolab, Inc. 88,737 18,863,711 
REAL ESTATE - 0.9%   
Equity Real Estate Investment Trusts (REITs) - 0.7%   
American Tower Corp. 145,400 37,537,918 
Equinix, Inc. 31,222 21,781,404 
Medical Properties Trust, Inc. 480,416 8,685,921 
  68,005,243 
Real Estate Management & Development - 0.2%   
CBRE Group, Inc. (a) 367,037 16,142,287 
TOTAL REAL ESTATE  84,147,530 
TOTAL COMMON STOCKS   
(Cost $2,340,929,824)  4,692,180,399 
Convertible Preferred Stocks - 0.1%   
CONSUMER DISCRETIONARY - 0.1%   
Diversified Consumer Services - 0.1%   
Airbnb, Inc. Series D (a)(b)(c)   
(Cost $4,024,850) 98,859 6,355,645 
Equity Funds - 46.8%   
Large Blend Funds - 0.9%   
Fidelity SAI U.S. Large Cap Index Fund (d) 4,953,880 81,293,175 
Large Growth Funds - 39.1%   
Fidelity Contrafund (d) 10,108,354 144,953,803 
Fidelity Growth Company Fund (d) 120,728,015 2,965,080,055 
Fidelity SAI U.S. Momentum Index Fund (d) 231,701 3,294,795 
Fidelity SAI U.S. Quality Index Fund (d) 14,559,510 215,480,751 
Principal Blue Chip Fund Institutional Class 5,468,630 156,293,451 
TOTAL LARGE GROWTH FUNDS  3,485,102,855 
Mid-Cap Growth Funds - 6.8%   
Janus Henderson Enterprise Fund 4,588,861 603,572,898 
TOTAL EQUITY FUNDS   
(Cost $2,364,475,500)  4,169,968,928 
Money Market Funds - 0.4%   
Invesco Government & Agency Portfolio Institutional Class .12% (e)   
(Cost $39,109,592) 39,109,592 39,109,592 
TOTAL INVESTMENT IN SECURITIES - 100.0%   
(Cost $4,748,539,766)  8,907,614,564 
NET OTHER ASSETS (LIABILITIES) - 0.0%  (2,104,705) 
NET ASSETS - 100%  $8,905,509,859 

Legend

 (a) Non-income producing

 (b) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $6,355,645 or 0.1% of net assets.

 (c) Level 3 security

 (d) Affiliated Fund

 (e) The rate quoted is the annualized seven-day yield of the fund at period end.

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost 
Airbnb, Inc. Series D 4/16/14 $4,024,850 

Affiliated Central Funds

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

Fund Income earned 
Fidelity Securities Lending Cash Central Fund $25,868 
Total $25,868 

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.

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Contrafund $523,366,843 $20,630,825 $432,363,022 $18,950,883 $(12,384,105) $45,703,262 $144,953,803 
Fidelity Growth Company Fund 2,301,681,826 143,204,848 250,183,216 103,204,849 7,780,199 762,596,398 2,965,080,055 
Fidelity SAI U.S. Large Cap Index Fund 25,922,833 2,212,341,424 2,168,644,669 2,574,345 7,344,796 4,328,791 81,293,175 
Fidelity SAI U.S. Momentum Index Fund 466,705,072 7,992,273 470,000,000 7,992,273 16,791,573 (18,194,123) 3,294,795 
Fidelity SAI U.S. Quality Index Fund 979,028,121 124,012,826 887,611,107 123,034,639 190,686,954 (190,636,043) 215,480,751 
Total $4,296,704,695 $2,508,182,196 $4,208,802,014 $255,756,989 $210,219,417 $603,798,285 $3,410,102,579 

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 May 31, 2020, 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 $561,534,837 $561,534,837 $-- $-- 
Consumer Discretionary 722,192,259 715,836,614 -- 6,355,645 
Consumer Staples 256,426,045 256,426,045 -- -- 
Energy 11,857,999 11,857,999 -- -- 
Financials 104,270,174 104,270,174 -- -- 
Health Care 762,279,518 762,279,518 -- -- 
Industrials 328,032,409 328,032,409 -- -- 
Information Technology 1,848,931,562 1,848,931,562 -- -- 
Materials 18,863,711 18,863,711 -- -- 
Real Estate 84,147,530 84,147,530 -- -- 
Equity Funds 4,169,968,928 4,169,968,928 -- -- 
Money Market Funds 39,109,592 39,109,592 -- -- 
Total Investments in Securities: $8,907,614,564 $8,901,258,919 $-- $6,355,645 

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


Financial Statements

Statement of Assets and Liabilities

  May 31, 2020 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $3,043,720,079) 		$5,497,511,985  
Affiliated issuers (cost $1,704,819,687) 3,410,102,579  
Total Investment in Securities (cost $4,748,539,766)  $8,907,614,564 
Cash  223 
Receivable for investments sold  923,242 
Receivable for fund shares sold  2,742,204 
Dividends receivable  4,699,596 
Interest receivable  2,808 
Distributions receivable from Fidelity Central Funds  716 
Prepaid expenses  33,645 
Other receivables  145,791 
Total assets  8,916,162,789 
Liabilities   
Payable for investments purchased $5,894,994  
Payable for fund shares redeemed 3,665,446  
Accrued management fee 847,390  
Other payables and accrued expenses 245,100  
Total liabilities  10,652,930 
Net Assets  $8,905,509,859 
Net Assets consist of:   
Paid in capital  $4,116,614,302 
Total accumulated earnings (loss)  4,788,895,557 
Net Assets  $8,905,509,859 
Net Asset Value, offering price and redemption price per share ($8,905,509,859 ÷ 452,953,854 shares)  $19.66 

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


Statement of Operations

  Year ended May 31, 2020 
Investment Income   
Dividends:   
Unaffiliated issuers  $54,555,552 
Affiliated issuers  142,109,759 
Interest  776,447 
Income from Fidelity Central Funds (including $25,868 from security lending)  25,868 
Total income  197,467,626 
Expenses   
Management fee $33,269,453  
Accounting fees 106,560  
Custodian fees and expenses 54,400  
Independent trustees' fees and expenses 107,543  
Registration fees 81,113  
Audit 76,618  
Legal 35,856  
Miscellaneous 85,248  
Total expenses before reductions 33,816,791  
Expense reductions (23,513,811)  
Total expenses after reductions  10,302,980 
Net investment income (loss)  187,164,646 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 691,141,132  
Fidelity Central Funds (24)  
Other affiliated issuers 210,219,417  
Capital gain distributions from underlying funds:   
Unaffiliated issuers 14,059,313  
Affiliated issuers 113,647,230  
Total net realized gain (loss)  1,029,067,068 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 366,839,946  
Fidelity Central Funds 1  
Other affiliated issuers 603,798,285  
Total change in net unrealized appreciation (depreciation)  970,638,232 
Net gain (loss)  1,999,705,300 
Net increase (decrease) in net assets resulting from operations  $2,186,869,946 

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


Statement of Changes in Net Assets

 Year ended May 31, 2020 Year ended May 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $187,164,646 $105,994,035 
Net realized gain (loss) 1,029,067,068 1,379,589,003 
Change in net unrealized appreciation (depreciation) 970,638,232 (1,315,652,665) 
Net increase (decrease) in net assets resulting from operations 2,186,869,946 169,930,373 
Distributions to shareholders (1,100,482,013) (1,480,968,534) 
Share transactions   
Proceeds from sales of shares 877,543,694 1,698,381,942 
Reinvestment of distributions 1,079,040,445 1,473,929,838 
Cost of shares redeemed (3,571,407,776) (4,028,460,404) 
Net increase (decrease) in net assets resulting from share transactions (1,614,823,637) (856,148,624) 
Total increase (decrease) in net assets (528,435,704) (2,167,186,785) 
Net Assets   
Beginning of period 9,433,945,563 11,601,132,348 
End of period $8,905,509,859 $9,433,945,563 
Other Information   
Shares   
Sold 49,858,065 93,996,420 
Issued in reinvestment of distributions 59,906,152 86,200,709 
Redeemed (199,218,907) (222,537,369) 
Net increase (decrease) (89,454,690) (42,340,240) 

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


Financial Highlights

Strategic Advisers Growth Fund

      
Years ended May 31, 2020 2019 2018 2017 2016 
Selected Per–Share Data      
Net asset value, beginning of period $17.39 $19.84 $17.93 $16.51 $17.60 
Income from Investment Operations      
Net investment income (loss)A .36 .18 .13 .15 .13 
Net realized and unrealized gain (loss) 4.01 (.05)B 3.31 2.89 (.23) 
Total from investment operations 4.37 .13 3.44 3.04 (.10) 
Distributions from net investment income (.18) (.13) (.14) (.15) (.12) 
Distributions from net realized gain (1.92) (2.45) (1.39) (1.47) (.88) 
Total distributions (2.10) (2.58) (1.53) (1.62) (.99)C 
Net asset value, end of period $19.66 $17.39 $19.84 $17.93 $16.51 
Total ReturnD 26.60% 1.30% 20.30% 19.87% (.62)% 
Ratios to Average Net AssetsE,F      
Expenses before reductions .36% .38% .49% .54% .57% 
Expenses net of fee waivers, if any .11% .13% .24% .28% .32% 
Expenses net of all reductions .11% .13% .24% .28% .32% 
Net investment income (loss) 1.99% .98% .72% .89% .79% 
Supplemental Data      
Net assets, end of period (000 omitted) $8,905,510 $9,433,946 $11,601,132 $10,964,954 $10,962,597 
Portfolio turnover rateG 57% 48% 38% 38% 30% 

 A Calculated based on average shares outstanding during the period.

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

 C Total distributions of $.99 per share is comprised of distributions from net investment income of $.115 and distributions from net realized gain of $.876 per share.

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.

 G Amounts do not include the activity of Underlying Funds.

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


Notes to Financial Statements

For the period ended May 31, 2020

1. Organization.

Strategic Advisers Growth Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. 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 Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

2. 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 – Investments 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 following summarizes the significant accounting policies of the Fund:

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

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

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

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

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

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. If an unaffiliated open-end mutual fund’s NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board’s fair value pricing policies and is categorized as Level 2 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 May 31, 2020 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying 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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $145,791 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.

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 May 31, 2020, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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

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

Book-tax differences are primarily due to short-term gain distributions from the Underlying Funds, deferred trustees compensation 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 $4,197,325,186 
Gross unrealized depreciation (58,592,876) 
Net unrealized appreciation (depreciation) $4,138,732,310 
Tax Cost $4,768,882,254 

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

Undistributed ordinary income $136,538,663 
Undistributed long-term capital gain $513,770,376 
Net unrealized appreciation (depreciation) on securities and other investments $4,138,732,310 

The tax character of distributions paid was as follows:

 May 31, 2020 May 31, 2019 
Ordinary Income $94,870,910 $ 76,054,930 
Long-term Capital Gains 1,005,611,103 1,404,913,604 
Total $1,100,482,013 $ 1,480,968,534 

Restricted Securities (including Private Placements). The Fund 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 is included at the end of the Fund's Schedule of Investments.

3. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Growth Fund 5,260,963,923 7,640,422,731 

4. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .95% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .35% of the Fund's average net assets.

During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.

Sub-Advisers. ClariVest Asset Management LLC, ClearBridge Investments, LLC, FIAM LLC (an affiliate of the investment adviser), Loomis Sayles & Company, L.P. and Massachusetts Financial Services Company (MFS) (through April 9, 2020) each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

Geode Capital Management, LLC (Geode) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, Geode has not been allocated any portion of the Fund's assets. Geode in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

In June 2020, the Board approved the appointment of Principal Global Investors, LLC as an additional sub-adviser for the Fund.

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. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. For the period, the fees were equivalent to less than .005%.

Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

 Amount 
Strategic Advisers Growth Fund $15,600 

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

5. Investments in Fidelity Central Funds.

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

The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.

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 as follows:

 Amount 
Strategic Advisers Growth Fund $23,877 

During the period, there were no borrowings on this line of credit.

7. Security Lending.

The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. At period end, there were no security loans outstanding. 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.

8. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2022. During the period, this waiver reduced the Fund's management fee by $23,462,556.

In addition, through arrangements with the Fund's custodian and transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $1,231 and $1,159, respectively.

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of operating expenses in the amount of $48,865.

9. Other.

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

10. Proposed Reorganization.

The Board of Trustees of Fidelity Rutland Square Trust II has approved an Agreement and Plan of Reorganization (the Agreement) between each of Strategic Advisers Core Fund, Strategic Advisers Growth Fund and Strategic Advisers Value Fund (each an "Acquired Fund" and, together, the "Acquired Funds") and Strategic Advisers Large Cap Fund, a new series of Fidelity Rutland Square Trust II. The Agreement provides for the transfer of all the assets and the assumption of all the liabilities of each Acquired Fund in exchange for shares of Strategic Advisers Large Cap Fund equal in value to the net assets of each respective Acquired Fund on the day the reorganization is effective.

A meeting of the shareholders of each Acquired Fund is expected to be held during the fourth quarter of 2020 to vote on the reorganization. If approved by shareholders, the reorganization is expected to become effective on or about November 13, 2020. The reorganization is expected to qualify as a tax-free transaction for federal income tax purposes with no gain or loss recognized by the funds or their shareholders.

11. Coronavirus (COVID-19) Pandemic.

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

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Growth Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Growth Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2020 and the financial highlights for each of the five years in the period ended May 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian, issuers of privately offered securities and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

July 16, 2020



We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds.  Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict.  Each of the Trustees oversees 14 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.  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. 

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.

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 may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. 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, may be 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. Robert A. Lawrence 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. Mary C. Farrell serves as the lead Independent Trustee 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 asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds 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.

The Trustees primarily operate as a full Board, but also operate in 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 has charged Strategic Advisers 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 Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee.  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.  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+

Robert A. Lawrence (1952)

Year of Election or Appointment: 2016

Trustee

Chairman of the Board of Trustees

Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).

Charles S. Morrison (1960)

Year of Election or Appointment: 2020

Trustee

Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.

 * 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 Strategic Advisers. 

 + 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+

Peter C. Aldrich (1944)

Year of Election or Appointment: 2006

Trustee

Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.

Mary C. Farrell (1949)

Year of Election or Appointment: 2013

Trustee

Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.

Karen Kaplan (1960)

Year of Election or Appointment: 2006

Trustee

Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).

Heidi L. Steiger (1953)

Year of Election or Appointment: 2017

Trustee

Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).

 + 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 a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.  Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Ralph F. Cox (1932)

Year of Election or Appointment: 2020

Member of the Advisory Board

Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.

Howard E. Cox, Jr. (1944)

Year of Election or Appointment: 2009

Member of the Advisory Board

Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.

Christine Marcks (1955)

Year of Election or Appointment: 2019

Member of the Advisory Board

Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown 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).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

Assistant Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). 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).

James D. Gryglewicz (1972)

Year of Election or Appointment: 2015

Chief Compliance Officer

Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).

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 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).  Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan. 

Christina H. Lee (1975)

Year of Election or Appointment: 2020

Secretary and Chief Legal Officer

Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2020

Assistant Secretary

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

Chris Maher (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of 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).

Stacie M. Smith (1974)

Year of Election or Appointment: 2020

President and Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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 (December 1, 2019 to May 31, 2020).

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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

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

 Annualized Expense Ratio-A Beginning
Account Value
December 1, 2019 		Ending
Account Value
May 31, 2020 		Expenses Paid
During Period-B
December 1, 2019
to May 31, 2020 
Actual .11% $1,000.00 $1,099.40 $.58 
Hypothetical-C  $1,000.00 $1,024.45 $.56 

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

 B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's 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 May 31, 2020, $1,012,798,471, or, if subsequently determined to be different, the net capital gain of such year.

The fund designates 90% and 100% of the dividends distributed in July and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

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

The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Strategic Advisers Growth Fund

At its March 2020 meeting, the Board of Trustees, including the Independent Trustees (together, the Board) voted at an in-person meeting to approve an investment sub-advisory agreement (the Sub-Advisory Agreement) among Strategic Advisers LLC (Strategic Advisers), ClearBridge Investments, LLC (ClearBridge), and Fidelity Rutland Square Trust II, on behalf of the fund.

The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information it believed relevant to the approval of the Sub-Advisory Agreement.

In considering whether to approve the Sub-Advisory Agreement, 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 approval of the Sub-Advisory Agreement is in the best interests of the fund and its shareholders and that the approval of such agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the sub-advisory fees to be charged under the Sub-Advisory Agreement bear a reasonable relationship to the services to be rendered and will be based upon services provided that will be in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. The Board's decision to approve the Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.

Nature, Extent, and Quality of Services Provided.  The Board considered the backgrounds of the investment personnel that will provide services to the fund, and also took into consideration the fund's investment objective, strategies and related investment philosophy and current sub-adviser lineup. The Board also considered the structure of ClearBridge's portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of ClearBridge's investment staff, their use of technology, and ClearBridge's approach to managing and compensating its investment personnel. The Board noted that ClearBridge's analysts have extensive resources, tools and capabilities which allow them to conduct sophisticated fundamental and/or quantitative analysis. Additionally, in its deliberations, the Board considered ClearBridge's trading 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 services to be performed by ClearBridge under the Sub-Advisory Agreement and (ii) the resources to be devoted to the fund's compliance policies and procedures.

Investment Performance.  The Board also considered the historical investment performance of ClearBridge and the portfolio managers in managing accounts under a similar investment mandate.

Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under the Sub-Advisory Agreement should benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses.  In reviewing the Sub-Advisory Agreement, the Board considered the amount and nature of fees to be paid by the fund to the fund's investment adviser, Strategic Advisers, the amount and nature of fees to be paid by Strategic Advisers to ClearBridge and the projected change in the fund's management fee and total operating expenses, if any, as a result of hiring ClearBridge.

The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 0.95% of the fund's average daily net assets and that the Sub-Advisory Agreement will not result in a change to the maximum aggregate annual management fee payable by the fund or Strategic Advisers' portion of the management fee. The Board considered Strategic Advisers' contractual agreement to waive its 0.25% portion of the fund's management fee through September 30, 2022. The Board also considered that after allocating assets to ClearBridge, the fund's management fee and total net expenses are expected to increase, but will continue to rank below the competitive peer group medians presented to the Board in the June 2019 management contract renewal materials.

Based on its review, the Board concluded that the fund's management fee structure and any changes to projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.

Because the Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund or Strategic Advisers' portion of the management fee, the Board did not consider the costs of services and profitability to be significant factors in its decision to approve the Sub-Advisory Agreement.

Potential Fall-Out Benefits.  The Board considered that it reviews information regarding the potential of direct and indirect benefits to Strategic Advisers and its affiliates from their relationships with the fund, including non-advisory fee compensation paid to affiliates of Strategic Advisers, if any, as well as information regarding potential fall-out benefits accruing to the fund's sub-advisers, if any, as a result of their respective relationships with the fund, during its annual renewal of the fund's advisory agreement with Strategic Advisers and the fund's sub-advisory agreements. With respect to ClearBridge, the Board considered management's representation that it does not anticipate that the hiring of ClearBridge will have a significant impact on the potential for fall-out benefits to Strategic Advisers or its affiliates.

Possible Economies of Scale.  The Board considered that it reviews whether there have been economies of scale in connection with the management of the fund during its annual renewal of the fund's advisory agreement with Strategic Advisers and the fund's sub-advisory agreements. The Board noted that the Sub-Advisory Agreement provides for breakpoints that reduce sub-advisory fees paid to ClearBridge as assets allocated to ClearBridge achieve certain levels.

Conclusion.  Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Sub-Advisory Agreement should be approved because the Sub-Advisory Agreement is in the best interests of the fund and its shareholders. The Board also concluded that the sub-advisory fees to be charged thereunder will be based on services provided that will be in addition to, rather than duplicative of, services provided under the advisory contract of any underlying fund in which the fund may invest. In addition, the Board concluded that the approval of the Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.

Liquidity Risk Management Program

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

The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.

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

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

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

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

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

SGF-ANN-0720
1.907404.111

Strategic Advisers® Fidelity® Emerging Markets Fund

Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public



Annual Report

May 31, 2020

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


Fidelity Investments

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Liquidity Risk Management Program


To view a fund's proxy voting 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. © 2020 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended May 31, 2020 Past 1 year Life of fundA 
Strategic Advisers® Fidelity® Emerging Markets Fund (1.58)% 4.30% 

 A From October 30, 2018

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Strategic Advisers® Fidelity® Emerging Markets Fund on October 30, 2018, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the MSCI Emerging Markets Index performed over the same period.


Period Ending Values
$10,691Strategic Advisers® Fidelity® Emerging Markets Fund
$10,305MSCI Emerging Markets Index

Management's Discussion of Fund Performance

Market Recap:  Emerging-markets stocks returned -4.37% for the 12 months ending May 31, 2020, as measured by the MSCI Emerging Markets Index, lagging international developed-market equities, in U.S.-dollar terms. Emerging-markets equities gained 7.11% in the second half of 2019, ending the year with a particularly strong December (+7.48%). However, the early-2020 outbreak and spread of a novel coronavirus sent emerging-markets stocks tumbling, along with other equity markets around the world, in late February. Declared a pandemic on March 11, the COVID-19 crisis and containment efforts caused broad contraction in economic activity, along with extreme uncertainty, volatility and dislocation in financial markets. The index returned -23.59% for the first quarter of 2020, before rebounding in April with a 9.16% gain, due in part to expansive fiscal- and monetary-policy efforts around the world to partially offset the economic disruption. Currency fluctuation had a meaningful drag on emerging-markets stocks, as the U.S. dollar strengthened versus most emerging-markets currencies. Among notable country components within the index, Brazil (-34%), South Africa (-27%) and Indonesia (-25%) were hit hard. Conversely, China (+12%), where the coronavirus outbreak originated, rebounded before period end, due largely to the country’s significant containment efforts. Taiwan (+19%) and Russia (-2%) also held up relatively well. By sector, financials (-24%) and energy (-21%) fared worst, whereas information technology (+22%), health care (+18%) and consumer discretionary (+15%) led the way.

Comments from Co-Portfolio Managers Wilfred Chilangwa and Antonio Martinez:  For the fiscal year, the Fund returned -1.58%, outpacing the -4.37% result of the benchmark MSCI Emerging Markets (EM) Index. The portfolio benefited from an emphasis on growth strategies, as growth stocks outpaced their value counterparts during the period. Stylistic tilts toward company quality and momentum also helped. Fidelity® Emerging Markets Fund (+9%) outpaced the benchmark by an outsized margin and was the top relative contributor. This fund’s strategy incorporates elements of both GARP (growth at a reasonable price) and earnings momentum. It had broadly positive security selection the past 12 months, led by picks in the information technology and consumer-related sectors. A substantial amount of this fund’s top stock picks occurred in China. Three additional strategies contributed roughly equally versus the benchmark: Select Emerging Markets Equity (+0.2%) and Concentrated Emerging Markets (+1%) from sub-adviser FIAM®, and Global Emerging Markets (+1%) from sub-adviser FIL®. All three benefited from strong investment choices within China, South Africa and Taiwan. On the downside, Fidelity® SAI® Emerging Markets Low Volatility Index Fund (-10%) was the primary relative detractor, due to underweighted exposure to China, along with adverse selection effects among consumer discretionary, technology and communication services stocks. The Emerging Markets All Cap mandate from FIAM also dampened the Fund's relative performance. We eliminated this strategy in February 2020 due to a portfolio manager change. Other positioning shifts in the Fund included the introduction of two value-oriented exchange-traded funds: Invesco FTSE RAFI Emerging Markets and Schwab Fundamental Emerging Markets Large Company Index. These were added to provide a measure of balance to the Fund's growth emphasis. We also added Fidelity SAI Emerging Markets Value Index Fund for the same purpose.

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 Ten Holdings as of May 31, 2020

 % of fund's net assets 
Fidelity SAI Emerging Markets Index Fund 28.3 
Fidelity Emerging Markets Fund 11.3 
Fidelity SAI Emerging Markets Low Volatility Index Fund 5.6 
Tencent Holdings Ltd. 2.9 
Alibaba Group Holding Ltd. sponsored ADR 2.9 
Schwab Fundamental Emerging Markets Large Co. Index ETF 2.3 
Taiwan Semiconductor Manufacturing Co. Ltd. 1.9 
Samsung Electronics Co. Ltd. 1.8 
Invesco FTSE RAFI Emerging Markets ETF 1.1 
Naspers Ltd. Class N 0.9 
 59.0 

Asset Allocation (% of fund's net assets)

As of May 31, 2020  
   Common Stocks 39.6% 
   Preferred Stocks 0.9% 
   Diversifed Emerging Markets Funds 45.2% 
   Emerging Markets Equity Funds 0.7% 
   Investment Companies 3.4% 
   Short-Term Investments and Net Other Assets (Liabilities) 10.2% 


Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.

Schedule of Investments May 31, 2020

Showing Percentage of Net Assets

Common Stocks - 39.6%   
 Shares Value 
COMMUNICATION SERVICES - 4.3%   
Diversified Telecommunication Services - 0.1%   
China Tower Corp. Ltd. (H Shares) (a) 4,802,000 $975,284 
HKBN Ltd. 359,000 616,522 
PT Telekomunikasi Indonesia Tbk Series B 9,382,000 2,024,596 
  3,616,402 
Entertainment - 0.7%   
Bilibili, Inc. ADR (b) 134,105 4,349,025 
CD Projekt RED SA 49,755 5,008,930 
HUYA, Inc. ADR (b)(c) 57,119 886,487 
International Games Systems Co. Ltd. 108,000 2,018,085 
NetEase, Inc. ADR 10,858 4,157,528 
Nexon Co. Ltd. 195,100 4,063,189 
  20,483,244 
Interactive Media & Services - 3.2%   
Baidu.com, Inc. sponsored ADR (b) 11,511 1,226,497 
Tencent Holdings Ltd. 1,575,700 85,333,402 
Yandex NV Series A (b) 230,140 9,258,532 
  95,818,431 
Wireless Telecommunication Services - 0.3%   
America Movil S.A.B. de CV:   
Series L 373,500 249,455 
Series L sponsored ADR 75,275 998,147 
Bharti Airtel Ltd. (b) 703,081 5,138,847 
China Mobile Ltd. 466,000 3,294,966 
  9,681,415 
TOTAL COMMUNICATION SERVICES  129,599,492 
CONSUMER DISCRETIONARY - 7.8%   
Automobiles - 0.1%   
Great Wall Motor Co. Ltd. (H Shares) 373,500 237,871 
Hyundai Motor Co. 15,188 1,207,989 
  1,445,860 
Diversified Consumer Services - 0.3%   
New Oriental Education & Technology Group, Inc. sponsored ADR (b) 54,393 6,524,984 
TAL Education Group ADR (b) 30,147 1,702,100 
  8,227,084 
Hotels, Restaurants & Leisure - 0.2%   
Haidilao International Holding Ltd. (a) 29,000 141,071 
Sands China Ltd. 56,400 221,544 
Shangri-La Asia Ltd. 3,946,000 3,395,808 
Yum China Holdings, Inc. 42,902 1,988,079 
  5,746,502 
Household Durables - 0.9%   
Haier Electronics Group Co. Ltd. 1,645,000 4,605,804 
Haier Smart Home Co. Ltd. (A Shares) 4,395,666 10,192,759 
Midea Group Co. Ltd. (A Shares) 1,401,600 11,590,239 
  26,388,802 
Internet & Direct Marketing Retail - 4.8%   
Alibaba Group Holding Ltd. 7,100 183,584 
Alibaba Group Holding Ltd. sponsored ADR (b) 408,957 84,813,592 
Baozun, Inc. sponsored ADR (b)(c) 17,567 465,350 
Ctrip.com International Ltd. ADR (b) 2,280 60,580 
JD.com, Inc. sponsored ADR (b) 269,988 14,668,448 
MakeMyTrip Ltd. (b) 66,059 1,023,254 
Meituan Dianping Class B (b) 514,000 9,789,668 
Naspers Ltd. Class N 160,554 26,137,066 
Pinduoduo, Inc. ADR (b) 90,600 6,058,422 
  143,199,964 
Leisure Products - 0.0%   
Goodbaby International Holdings Ltd. (b) 794,000 64,886 
Specialty Retail - 0.4%   
Zhongsheng Group Holdings Ltd. Class H 2,342,000 12,117,102 
Textiles, Apparel & Luxury Goods - 1.1%   
adidas AG 26,000 6,895,395 
Anta Sports Products Ltd. 1,714,000 15,360,910 
Best Pacific International Holdings Ltd. 2,643,000 408,979 
Li Ning Co. Ltd. 2,726,500 9,236,677 
Regina Miracle International Holdings Ltd. (a) 227,000 71,669 
Shenzhou International Group Holdings Ltd. 157,200 1,891,653 
  33,865,283 
TOTAL CONSUMER DISCRETIONARY  231,055,483 
CONSUMER STAPLES - 3.5%   
Beverages - 1.4%   
China Resources Beer Holdings Co. Ltd. 2,186,000 11,657,114 
Fomento Economico Mexicano S.A.B. de CV unit 181,000 1,224,053 
Kweichow Moutai Co. Ltd. (A Shares) 103,362 19,791,167 
Shanghai Bairun Investment Holding Group Co. Ltd. (A Shares) 713,600 4,737,170 
Thai Beverage PCL 8,191,300 3,652,689 
Tsingtao Brewery Co. Ltd. (H Shares) 302,000 2,101,773 
  43,163,966 
Food & Staples Retailing - 0.9%   
C.P. ALL PCL (For. Reg.) 2,616,500 5,798,908 
Dairy Farm International Holdings Ltd. 29,700 125,334 
President Chain Store Corp. 72,000 709,934 
Sun Art Retail Group Ltd. 4,191,000 6,451,133 
Wal-Mart de Mexico SA de CV Series V 4,764,900 11,893,716 
X5 Retail Group NV GDR (Reg. S) 39,453 1,158,340 
  26,137,365 
Food Products - 0.9%   
Angel Yeast Co. Ltd. (A Shares) 91,900 544,402 
China Mengniu Dairy Co. Ltd. 3,901,000 14,070,014 
Delfi Ltd. 603,300 341,619 
Gruma S.A.B. de CV Series B 314,600 3,122,378 
Inner Mongoli Yili Industries Co. Ltd. (A Shares) 734,767 2,928,876 
Unified-President Enterprises Corp. 1,766,201 4,290,415 
WH Group Ltd. (a) 134,000 116,573 
  25,414,277 
Household Products - 0.2%   
C&S Paper Co. Ltd. (A Shares) 1,617,500 4,586,949 
Personal Products - 0.1%   
Hengan International Group Co. Ltd. 89,500 737,039 
Natura & Co. Holding SA 484,300 3,374,299 
  4,111,338 
TOTAL CONSUMER STAPLES  103,413,895 
ENERGY - 1.6%   
Energy Equipment & Services - 0.2%   
China Oilfield Services Ltd. (H Shares) 3,186,000 2,789,376 
SPT Energy Group, Inc. (b) 166,000 6,808 
Yantai Jereh Oilfield Services (A Shares) 504,800 1,802,137 
  4,598,321 
Oil, Gas & Consumable Fuels - 1.4%   
China Shenhua Energy Co. Ltd. (H Shares) 126,000 230,795 
CNOOC Ltd. 2,056,000 2,348,901 
CNOOC Ltd. sponsored ADR 38,982 4,448,626 
Lukoil PJSC 81,430 6,124,970 
Lukoil PJSC 1,483 110,525 
Lukoil PJSC sponsored ADR 87,613 6,504,389 
NOVATEK OAO GDR (Reg. S) 10,885 1,575,060 
PetroChina Co. Ltd. (H Shares) 1,068,000 368,452 
Petroleo Brasileiro SA - Petrobras (ON) 1,371,600 5,356,547 
Pilipinas Shell Petroleum Corp. 3,083,800 1,046,060 
Reliance Industries Ltd. 711,471 13,780,545 
Reliance Industries Ltd. rights (b) 50,414 148,031 
  42,042,901 
TOTAL ENERGY  46,641,222 
FINANCIALS - 7.6%   
Banks - 5.2%   
Absa Group Ltd. 467,283 2,172,914 
Axis Bank Ltd. 627,573 3,195,347 
Banco do Brasil SA 550,500 3,181,497 
Bancolombia SA sponsored ADR 54,090 1,398,767 
Bank of China Ltd. (H Shares) 6,800,000 2,499,557 
Capitec Bank Holdings Ltd. 15,918 772,100 
China Construction Bank Corp. (H Shares) 11,483,000 9,056,566 
China Merchants Bank Co. Ltd. (H Shares) 3,068,500 14,458,960 
Credicorp Ltd. 5,050 691,850 
Credicorp Ltd. (United States) 15,070 2,076,947 
E.SUN Financial Holdings Co. Ltd. 4,091,779 3,638,624 
Emirates NBD Bank PJSC 976,161 2,296,130 
Grupo Financiero Banorte S.A.B. de CV Series O 3,996,845 12,121,483 
Guaranty Trust Bank PLC 5,116,748 317,662 
Guaranty Trust Bank PLC GDR (Reg. S) 104,407 292,340 
Hana Financial Group, Inc. 79,798 1,926,706 
HDFC Bank Ltd. 335,312 4,246,405 
HDFC Bank Ltd. sponsored ADR 357,919 14,971,752 
ICICI Bank Ltd. 730,439 3,196,974 
Industrial & Commercial Bank of China Ltd. (H Shares) 29,167,000 18,891,987 
Kasikornbank PCL (For. Reg.) 328,200 1,008,713 
KB Financial Group, Inc. 164,535 4,513,301 
Kotak Mahindra Bank Ltd. 116,914 1,892,768 
Mega Financial Holding Co. Ltd. 380,000 389,903 
National Bank of Abu Dhabi PJSC (b) 848,214 2,558,624 
OTP Bank PLC 123,091 4,082,187 
PT Bank Central Asia Tbk 5,976,886 10,616,030 
PT Bank Mandiri (Persero) Tbk 12,664,700 3,891,908 
PT Bank Rakyat Indonesia Tbk 10,359,700 2,097,681 
Qatar National Bank SAQ (b) 357,368 1,735,311 
Sberbank of Russia 2,213,986 6,362,706 
Sberbank of Russia sponsored ADR 429,549 4,853,904 
Shinhan Financial Group Co. Ltd. 330,620 8,122,287 
TCS Group Holding PLC GDR 65,745 1,141,333 
  154,671,224 
Capital Markets - 0.3%   
BM&F BOVESPA SA 683,500 5,834,272 
CITIC Securities Co. Ltd. (H Shares) 316,500 574,815 
Hong Kong Exchanges and Clearing Ltd. 9,700 341,376 
Huatai Securities Co. Ltd. (H Shares) (a) 417,200 658,517 
Noah Holdings Ltd. sponsored ADR (b) 51,054 1,354,463 
  8,763,443 
Consumer Finance - 0.1%   
Shriram Transport Finance Co. Ltd. 386,766 2,927,666 
Diversified Financial Services - 0.1%   
Chailease Holding Co. Ltd. 1,005,910 3,910,325 
Insurance - 1.5%   
AIA Group Ltd. 1,844,800 15,138,027 
China Life Insurance Co. Ltd. (H Shares) 4,444,000 8,421,036 
China Pacific Insurance (Group) Co. Ltd. (H Shares) 576,000 1,600,996 
HDFC Standard Life Insurance Co. Ltd. (a)(b) 272,535 1,885,991 
Hyundai Fire & Marine Insurance Co. Ltd. 188,563 3,711,117 
ICICI Lombard General Insurance Co. Ltd. (a) 151,440 2,605,357 
Ping An Insurance Group Co. of China Ltd. (H Shares) 1,001,500 9,910,972 
  43,273,496 
Thrifts & Mortgage Finance - 0.4%   
Housing Development Finance Corp. Ltd. 538,719 11,820,395 
TOTAL FINANCIALS  225,366,549 
HEALTH CARE - 1.3%   
Biotechnology - 0.4%   
Hualan Biological Engineer, Inc. (A Shares) 1,005,708 5,802,663 
Innovent Biologics, Inc. (a)(b) 984,500 5,406,360 
  11,209,023 
Health Care Equipment & Supplies - 0.1%   
Peijia Medical Ltd. (a)(b) 67,000 220,427 
Shenzhen Mindray Bio-Medical Electronics Co. Ltd. (A Shares) 105,200 4,109,392 
  4,329,819 
Health Care Providers & Services - 0.0%   
Aier Eye Hospital Group Co. Ltd. (A Shares) 32,409 177,819 
Aster DM Healthcare Ltd. (a)(b) 1,192 1,415 
  179,234 
Life Sciences Tools & Services - 0.0%   
Pharmaron Beijing Co. Ltd. (H Shares) (a) 56,900 465,231 
WuXi AppTec Co. Ltd. (H Shares) (a) 38,080 405,031 
Wuxi Biologics (Cayman), Inc. (a)(b) 41,000 647,462 
  1,517,724 
Pharmaceuticals - 0.8%   
CSPC Pharmaceutical Group Ltd. 750,000 1,478,470 
Hansoh Pharmaceutical Group Co. Ltd. (a) 992,000 4,334,759 
Jiangsu Hengrui Medicine Co. Ltd. (A Shares) 47,616 525,045 
Lijun International Pharmaceutical Holding Ltd. 278,000 171,385 
Richter Gedeon PLC 575,700 12,538,085 
Sino Biopharmaceutical Ltd. 1,347,000 2,128,438 
Yunnan Baiyao Group Co. Ltd. (A Shares) 126,400 1,561,659 
  22,737,841 
TOTAL HEALTH CARE  39,973,641 
INDUSTRIALS - 2.4%   
Aerospace & Defense - 0.3%   
Elbit Systems Ltd. (Israel) 57,565 7,999,920 
Airlines - 0.0%   
Azul SA sponsored ADR (b) 27,367 218,389 
Wizz Air Holdings PLC (a)(b) 1,688 68,378 
  286,767 
Construction & Engineering - 0.2%   
China Railway Construction Corp. Ltd. (H Shares) 1,077,500 967,472 
Larsen & Toubro Ltd. 489,602 6,037,054 
Sinopec Engineering Group Co. Ltd. (H Shares) 301,000 126,569 
  7,131,095 
Electrical Equipment - 0.1%   
Voltronic Power Technology Corp. 68,062 1,739,647 
Zhuzhou CRRC Times Electric Co. Ltd. (H Shares) 119,900 311,983 
  2,051,630 
Machinery - 1.2%   
Airtac International Group 394,000 6,770,663 
Estun Automation Co. Ltd. (A Shares) 271,190 377,684 
HIWIN Technologies Corp. 319,180 3,264,329 
Sany Heavy Industry Co. Ltd. (A Shares) 2,699,306 6,932,401 
Shenzhen Inovance Technology Co. Ltd. (A Shares) 1,993,600 9,589,168 
Techtronic Industries Co. Ltd. 461,000 4,021,712 
TK Group Holdings Ltd. 2,552,000 764,416 
Weichai Power Co. Ltd.:   
(A Shares) 1,490,200 2,722,646 
(H Shares) 299,000 517,968 
Zoomlion Heavy Industry Science and Technology Co. Ltd. (H Shares) 212,000 174,442 
  35,135,429 
Marine - 0.0%   
SITC International Holdings Co. Ltd. 466,773 442,702 
Professional Services - 0.2%   
Sporton International, Inc. 656,000 4,268,411 
Road & Rail - 0.3%   
Localiza Rent A Car SA 623,755 4,497,890 
Rumo SA (b) 1,260,300 5,321,020 
  9,818,910 
Transportation Infrastructure - 0.1%   
Grupo Aeroportuario Norte S.A.B. de CV 521,400 2,294,917 
Shanghai International Airport Co. Ltd. (A Shares) 139,100 1,410,830 
  3,705,747 
TOTAL INDUSTRIALS  70,840,611 
INFORMATION TECHNOLOGY - 7.4%   
Electronic Equipment & Components - 1.0%   
AVIC Jonhon OptronicTechnology Co. Ltd. 732,450 3,588,746 
Chaozhou Three-Circle Group Co. (A Shares) 97,500 271,712 
China Railway Signal & Communications Corp. (H Shares) (a) 399,000 176,940 
Hangzhou Hikvision Digital Technology Co. Ltd. (A Shares) 43,400 167,039 
Hollysys Automation Technologies Ltd. 9,494 118,580 
Hon Hai Precision Industry Co. Ltd. (Foxconn) 1,491,000 3,771,157 
Largan Precision Co. Ltd. 55,000 7,038,106 
LG Innotek Co. Ltd. 35,627 4,264,889 
Samsung SDI Co. Ltd. 5,394 1,571,599 
Sunny Optical Technology Group Co. Ltd. 213,800 2,873,236 
Unimicron Technology Corp. 2,808,000 3,757,242 
Yageo Corp. 253,000 3,127,782 
Zhejiang Dahua Technology Co. Ltd.:   
(A Shares) 6,200 12,926 
Class A 49,100 102,365 
  30,842,319 
IT Services - 0.2%   
Infosys Ltd. 145,105 1,326,203 
Infosys Ltd. sponsored ADR 681,773 6,204,134 
  7,530,337 
Semiconductors & Semiconductor Equipment - 3.8%   
MediaTek, Inc. 1,313,000 20,284,928 
Realtek Semiconductor Corp. 311,000 2,682,555 
Semiconductor Manufacturing International Corp. (b) 92,500 202,796 
SK Hynix, Inc. 284,837 18,840,414 
Taiwan Semiconductor Manufacturing Co. Ltd. 5,819,000 56,673,800 
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR 279,346 14,059,484 
  112,743,977 
Software - 0.2%   
Globant SA (b) 31,800 4,458,678 
Kingsoft Corp. Ltd. 102,000 332,895 
  4,791,573 
Technology Hardware, Storage & Peripherals - 2.2%   
Samsung Electronics Co. Ltd. 1,302,972 53,614,154 
Samsung Electronics Co. Ltd. unit 10,959 11,232,975 
  64,847,129 
TOTAL INFORMATION TECHNOLOGY  220,755,335 
MATERIALS - 3.0%   
Chemicals - 0.5%   
LG Chemical Ltd. 19,987 6,334,394 
PhosAgro OJSC GDR (Reg. S) 122,515 1,690,707 
Sinofert Holdings Ltd. 1,322,000 109,759 
Sociedad Quimica y Minera de Chile SA (PN-B) sponsored ADR 141,579 3,450,280 
Solar Industries India Ltd. (b) 262,600 3,099,239 
  14,684,379 
Construction Materials - 0.3%   
Anhui Conch Cement Co. Ltd.:   
(A Shares) 61,400 488,636 
(H Shares) 50,000 377,025 
CEMEX S.A.B. de CV sponsored ADR 2,232,600 5,358,240 
JK Cement Ltd. 318,900 4,927,860 
  11,151,761 
Containers & Packaging - 0.0%   
Greatview Aseptic Pack Co. Ltd. 502,148 186,065 
Metals & Mining - 1.8%   
Alrosa Co. Ltd. 2,394,030 2,246,238 
AngloGold Ashanti Ltd. 397,154 9,677,772 
Grupo Mexico SA de CV Series B 2,095,791 4,487,504 
Impala Platinum Holdings Ltd. 1,484,256 9,904,960 
MMC Norilsk Nickel PJSC 11,356 3,590,258 
MMC Norilsk Nickel PJSC sponsored ADR 370,663 11,612,872 
Novolipetsk Steel OJSC GDR (Reg. S) 35,584 683,924 
POSCO 29,815 4,408,865 
Sibanye Stillwater Ltd. (b) 900,593 1,653,842 
Vale SA (b) 436,500 4,335,307 
Vale SA sponsored ADR (b) 74,600 728,096 
Zijin Mining Group Co. Ltd. (H Shares) 98,000 39,137 
  53,368,775 
Paper & Forest Products - 0.4%   
Suzano Papel e Celulose SA 1,595,100 11,316,921 
TOTAL MATERIALS  90,707,901 
REAL ESTATE - 0.5%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
Link (REIT) 70,000 528,618 
Real Estate Management & Development - 0.5%   
Ayala Land, Inc. 7,545,700 4,784,276 
China Overseas Land and Investment Ltd. 1,574,000 4,827,112 
China Resources Land Ltd. 186,000 741,733 
China Vanke Co. Ltd. (H Shares) 117,800 384,557 
Hemisphere Properties India Ltd. (b)(d) 372,400 796,962 
Longfor Properties Co. Ltd. (a) 414,500 1,895,565 
Sun Hung Kai Properties Ltd. 60,000 702,760 
  14,132,965 
TOTAL REAL ESTATE  14,661,583 
UTILITIES - 0.2%   
Electric Utilities - 0.0%   
Cheung Kong Infrastructure Holdings Ltd. 72,500 364,307 
Gas Utilities - 0.2%   
China Gas Holdings Ltd. 1,471,200 5,201,208 
China Resource Gas Group Ltd. 98,000 536,868 
  5,738,076 
Independent Power and Renewable Electricity Producers - 0.0%   
Huadian Power International Corp. Ltd. (H Shares) 484,000 149,054 
Water Utilities - 0.0%   
SIIC Environment Holdings Ltd. 520,000 85,698 
TOTAL UTILITIES  6,337,135 
TOTAL COMMON STOCKS   
(Cost $1,112,428,632)  1,179,352,847 
Nonconvertible Preferred Stocks - 0.9%   
COMMUNICATION SERVICES - 0.1%   
Diversified Telecommunication Services - 0.1%   
Telefonica Brasil SA sponsored ADR 185,100 1,623,327 
ENERGY - 0.2%   
Oil, Gas & Consumable Fuels - 0.2%   
Petroleo Brasileiro SA - Petrobras sponsored ADR 856,866 6,537,888 
FINANCIALS - 0.6%   
Banks - 0.6%   
Banco Bradesco SA (PN) 338,272 1,201,255 
Itau Unibanco Holding SA 2,019,409 8,718,997 
Sberbank of Russia 47,774 123,336 
Sberbank of Russia 2,607,999 6,732,951 
  16,776,539 
INDUSTRIALS - 0.0%   
Airlines - 0.0%   
Azul SA (b) 549,600 1,470,736 
TOTAL NONCONVERTIBLE PREFERRED STOCKS   
(Cost $37,607,408)  26,408,490 
Equity Funds - 45.9%   
Diversified Emerging Markets Funds - 45.2%   
Fidelity Emerging Markets Fund (e) 10,409,345 335,597,285 
Fidelity SAI Emerging Markets Index Fund (e) 69,595,052 842,100,133 
Fidelity SAI Emerging Markets Low Volatility Index Fund (e) 19,210,902 166,174,301 
TOTAL DIVERSIFIED EMERGING MARKETS FUNDS  1,343,871,719 
Emerging Markets Equity Funds - 0.7%   
Fidelity SAI Emerging Markets Value Index Fund (e) 2,100,000 21,609,000 
TOTAL EQUITY FUNDS   
(Cost $1,419,021,934)  1,365,480,719 
Investment Companies - 3.4%   
Investment Companies - 3.4%   
Invesco FTSE RAFI Emerging Markets ETF 1,970,580 33,223,979 
Schwab Fundamental Emerging Markets Large Co. Index ETF (c) 3,017,652 68,198,935 
TOTAL INVESTMENT COMPANIES   
(Cost $125,576,921)  101,422,914  
U.S. Treasury Obligations - 1.0%   
U.S. Treasury Bills, yield at date of purchase 0.12% to 0.63% 6/4/20 to 8/13/20 (f)   
(Cost $29,363,719) 29,370,000 29,362,914 
Money Market Funds - 8.8%   
Fidelity Cash Central Fund 0.11% (g) 2,759,106 2,759,657 
Fidelity Securities Lending Cash Central Fund 0.10% (g)(h) 1,360,696 1,360,832 
Invesco Government & Agency Portfolio Institutional Class .12% (i) 257,714,674 257,714,674 
TOTAL MONEY MARKET FUNDS   
(Cost $261,815,020)  261,835,163 
TOTAL INVESTMENT IN SECURITIES - 99.6%   
(Cost $2,985,813,634)  2,963,863,047 
NET OTHER ASSETS (LIABILITIES) - 0.4%  12,524,453 
NET ASSETS - 100%  $2,976,387,500 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Equity Index Contracts      
ICE E-mini MSCI Emerging Markets Index Contracts (United States) 5,427 June 2020 $253,142,415 $33,142,063 $33,142,063 

The notional amount of futures purchased as a percentage of Net Assets is 8.5%

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $210,107,805.

Security Type Abbreviations

ETF – Exchange-Traded Fund

Legend

 (a) 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 $20,076,030 or 0.7% of net assets.

 (b) Non-income producing

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

 (d) Level 3 security

 (e) Affiliated Fund

 (f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $29,068,918.

 (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.

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

 (i) The rate quoted is the annualized seven-day yield of the fund at period end.

Affiliated Central Funds

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

Fund Income earned 
Fidelity Cash Central Fund $377,941 
Fidelity Securities Lending Cash Central Fund 83,126 
Total $461,067 

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.

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Emerging Markets Fund $282,308,645 $35,612,442 $-- $5,612,442 $-- $17,676,198 $335,597,285 
Fidelity SAI Emerging Markets Index Fund 539,214,411 467,339,855 109,250,000 15,613,590 1,370,077 (56,574,210) 842,100,133 
Fidelity SAI Emerging Markets Low Volatility Index Fund 84,223,808 105,413,469 -- 2,413,469 -- (23,462,976) 166,174,301 
Fidelity SAI Emerging Markets Value Index Fund -- 21,000,000 -- -- -- 609,000 21,609,000 
Total $905,746,864 $629,365,766 $109,250,000 $23,639,501 $1,370,077 $(61,751,988) $1,365,480,719 

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 May 31, 2020, 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 $131,222,819 $38,978,049 $92,244,770 $-- 
Consumer Discretionary 231,055,483 140,295,796 90,759,687 -- 
Consumer Staples 103,413,895 68,280,249 35,133,646 -- 
Energy 53,179,110 41,309,808 11,869,302 -- 
Financials 242,143,088 124,205,290 117,937,798 -- 
Health Care 39,973,641 24,716,078 15,257,563 -- 
Industrials 72,311,347 64,984,083 7,327,264 -- 
Information Technology 220,755,335 160,495,668 60,259,667 -- 
Materials 90,707,901 60,760,218 29,947,683 -- 
Real Estate 14,661,583 4,784,276 9,080,345 796,962 
Utilities 6,337,135 -- 6,337,135 -- 
Equity Funds 1,365,480,719 1,365,480,719 -- -- 
Investment Companies 101,422,914 101,422,914 -- -- 
Other Short-Term Investments 29,362,914 -- 29,362,914 -- 
Money Market Funds 261,835,163 261,835,163 -- -- 
Total Investments in Securities: $2,963,863,047 $2,457,548,311 $505,517,774 $796,962 
Derivative Instruments:     
Assets     
Futures Contracts $33,142,063 $33,142,063 $-- $-- 
Total Assets $33,142,063 $33,142,063 $-- $-- 
Total Derivative Instruments: $33,142,063 $33,142,063 $-- $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2020. 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) $33,142,063 $0 
Total Equity Risk 33,142,063 0 
Total Value of Derivatives $33,142,063 $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

  May 31, 2020 
Assets   
Investment in securities, at value (including securities loaned of $1,327,981) — See accompanying schedule:
Unaffiliated issuers (cost $1,562,691,359) 		$1,594,261,839  
Fidelity Central Funds (cost $4,100,346) 4,120,489  
Other affiliated issuers (cost $1,419,021,929) 1,365,480,719  
Total Investment in Securities (cost $2,985,813,634)  $2,963,863,047 
Foreign currency held at value (cost $2,033,355)  1,967,885 
Receivable for investments sold  9,827,641 
Receivable for fund shares sold  4,398,362 
Dividends receivable  1,544,782 
Interest receivable  28,540 
Distributions receivable from Fidelity Central Funds  8,073 
Receivable for daily variation margin on futures contracts  4,233,060 
Prepaid expenses  10,006 
Other receivables  306,100 
Total assets  2,986,187,496 
Liabilities   
Payable to custodian bank $919,148  
Payable for investments purchased 5,825,674  
Payable for fund shares redeemed 908,017  
Accrued management fee 457,545  
Other payables and accrued expenses 329,837  
Collateral on securities loaned 1,359,775  
Total liabilities  9,799,996 
Net Assets  $2,976,387,500 
Net Assets consist of:   
Paid in capital  $3,098,173,546 
Total accumulated earnings (loss)  (121,786,046) 
Net Assets  $2,976,387,500 
Net Asset Value, offering price and redemption price per share ($2,976,387,500 ÷ 288,437,924 shares)  $10.32 

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


Statement of Operations

  Year ended May 31, 2020 
Investment Income   
Dividends:   
Unaffiliated issuers  $27,852,057 
Affiliated issuers  23,639,501 
Non-Cash dividends  13,895,957 
Interest  3,063,381 
Income from Fidelity Central Funds (including $83,126 from security lending)  461,067 
Income before foreign taxes withheld  68,911,963 
Less foreign taxes withheld  (3,088,375) 
Total income  65,823,588 
Expenses   
Management fee $11,750,999  
Accounting fees 74,802  
Custodian fees and expenses 345,662  
Independent trustees' fees and expenses 27,809  
Registration fees 319,535  
Audit 63,948  
Legal 6,465  
Miscellaneous 17,942  
Total expenses before reductions 12,607,162  
Expense reductions (6,649,423)  
Total expenses after reductions  5,957,739 
Net investment income (loss)  59,865,849 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (net of foreign taxes of $133,447) (72,130,827)  
Fidelity Central Funds 4,731  
Other affiliated issuers 1,370,077  
Foreign currency transactions (2,393,634)  
Futures contracts (45,344,880)  
Total net realized gain (loss)  (118,494,533) 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (net of decrease in deferred foreign taxes of $16,272) 2,853,808  
Fidelity Central Funds 95  
Other affiliated issuers (61,751,988)  
Assets and liabilities in foreign currencies (61,255)  
Futures contracts 37,879,730  
Total change in net unrealized appreciation (depreciation)  (21,079,610) 
Net gain (loss)  (139,574,143) 
Net increase (decrease) in net assets resulting from operations  $(79,708,294) 

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


Statement of Changes in Net Assets

 Year ended May 31, 2020 For the period
October 30, 2018 (commencement of operations) to May 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $59,865,849 $25,053,053 
Net realized gain (loss) (118,494,533) (17,638,458) 
Change in net unrealized appreciation (depreciation) (21,079,610) 32,205,353 
Net increase (decrease) in net assets resulting from operations (79,708,294) 39,619,948 
Distributions to shareholders (58,777,125) (21,398,596) 
Share transactions   
Proceeds from sales of shares 1,609,511,839 2,070,722,339 
Reinvestment of distributions 56,678,011 21,366,662 
Cost of shares redeemed (495,169,459) (166,457,825) 
Net increase (decrease) in net assets resulting from share transactions 1,171,020,391 1,925,631,176 
Total increase (decrease) in net assets 1,032,534,972 1,943,852,528 
Net Assets   
Beginning of period 1,943,852,528 – 
End of period $2,976,387,500 $1,943,852,528 
Other Information   
Shares   
Sold 149,103,119 194,955,636 
Issued in reinvestment of distributions 4,725,743 2,130,275 
Redeemed (46,868,850) (15,607,999) 
Net increase (decrease) 106,960,012 181,477,912 

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


Financial Highlights

Strategic Advisers Fidelity Emerging Markets Fund

   
Years ended May 31, 2020 2019 A 
Selected Per–Share Data   
Net asset value, beginning of period $10.71 $10.00 
Income from Investment Operations   
Net investment income (loss)B .26C .18 
Net realized and unrealized gain (loss) (.39) .67 
Total from investment operations (.13) .85 
Distributions from net investment income (.26) (.14) 
Total distributions (.26) (.14) 
Net asset value, end of period $10.32 $10.71 
Total ReturnD,E (1.58)% 8.63% 
Ratios to Average Net AssetsF,G,H   
Expenses before reductions .49% .57%I 
Expenses net of fee waivers, if any .24% .32%I 
Expenses net of all reductions .23% .31%I 
Net investment income (loss) 2.35%C 2.82%I 
Supplemental Data   
Net assets, end of period (000 omitted) $2,976,388 $1,943,853 
Portfolio turnover rateH 49% 125%I 

 A For the period October 30, 2018 (commencement of operations) to May 31, 2019.

 B Calculated based on average shares outstanding during the period.

 C Net investment income per share reflects a large, non-recurring dividend which amounted to $.06 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 1.80%.

 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 Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 G Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.

 H Amounts do not include the activity of Underlying Funds.

 I Annualized

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


Notes to Financial Statements

For the period ended May 31, 2020

1. Organization.

Strategic Advisers Fidelity Emerging Markets Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. 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 Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

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

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

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

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. U.S. government and government agency obligations 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. ETFs are valued at their last 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 but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 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. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 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 May 31, 2020 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying Funds and distributions from ETFs, 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. Large, non-recurring dividends recognized by the Fund are presented separately on the Statement of Operations in "Non-cash Dividends" and the impact of these dividends is presented in the Financial Highlights. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $8 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.

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 May 31, 2020, 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.

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

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

Book-tax differences are primarily due to futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), market discount, deferred trustees compensation, 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 $195,899,316 
Gross unrealized depreciation (235,463,450) 
Net unrealized appreciation (depreciation) $(39,564,134) 
Tax Cost $3,003,427,181 

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

Capital loss carryforward $(82,127,579) 
Net unrealized appreciation (depreciation) on securities and other investments $(39,620,703) 

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

No expiration  
Short-term $(75,892,074) 
Long-term (6,235,505) 
Total capital loss carryforward $(82,127,579) 

The tax character of distributions paid was as follows:

 May 31, 2020 May 31, 2019(a) 
Ordinary Income $58,777,125 $ 21,398,596 

 (a) For the period October 30, 2018 (commencement of operations) to May 31, 2019.

Restricted Securities (including Private Placements). The Fund 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 is included at the end of the Fund's Schedule of Investments.

3. 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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

4. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Fidelity Emerging Markets Fund 2,129,030,736 1,114,740,994 

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.20% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .46% of the Fund's average net assets.

During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.

Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and FIL Investment Advisors each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

Geode Capital Management, LLC (Geode) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, Geode has not been allocated any portion of the Fund's assets. Geode in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

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. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. For the period, the fees were equivalent to less than .005%.

Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

 Amount 
Strategic Advisers Fidelity Emerging Markets Fund $2,130 

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $2,022.

6. Investments in Fidelity Central Funds.

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

The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:

 Amount 
Strategic Advisers Fidelity Emerging Markets Fund $5,933 

During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's 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.

9. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2022. During the period, this waiver reduced the Fund's management fee by $6,381,550.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $132,111 for the period.

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $135,762.

10. Other.

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

The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of 10% or more of the total outstanding shares of the following Underlying Funds.

Fund % of shares held 
Fidelity SAI Emerging Markets Index Fund 22% 
Fidelity SAI Emerging Markets Low Volatility Index Fund 20% 
Fidelity SAI Emerging Markets Value Index Fund 84% 

11. Coronavirus (COVID-19) Pandemic.

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

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity Emerging Markets Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity Emerging Markets Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020 and the statement of changes in net assets and the financial highlights for the year ended May 31, 2020 and for the period October 30, 2018 (commencement of operations) through May 31, 2019, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year ended May 31, 2020, and the changes in its net assets and the financial highlights for the year ended May 31, 2020 and for the period October 30, 2018 (commencement of operations) through May 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

July 16, 2020



We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds.  Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict.  Each of the Trustees oversees 14 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.  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. 

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.

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 may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. 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, may be 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. Robert A. Lawrence 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. Mary C. Farrell serves as the lead Independent Trustee 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 asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds 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.

The Trustees primarily operate as a full Board, but also operate in 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 has charged Strategic Advisers 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 Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee.  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.  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+

Robert A. Lawrence (1952)

Year of Election or Appointment: 2016

Trustee

Chairman of the Board of Trustees

Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).

Charles S. Morrison (1960)

Year of Election or Appointment: 2020

Trustee

Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.

 * 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 Strategic Advisers. 

 + 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+

Peter C. Aldrich (1944)

Year of Election or Appointment: 2006

Trustee

Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.

Mary C. Farrell (1949)

Year of Election or Appointment: 2013

Trustee

Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.

Karen Kaplan (1960)

Year of Election or Appointment: 2006

Trustee

Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).

Heidi L. Steiger (1953)

Year of Election or Appointment: 2017

Trustee

Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).

 + 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 a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.  Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Ralph F. Cox (1932)

Year of Election or Appointment: 2020

Member of the Advisory Board

Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.

Howard E. Cox, Jr. (1944)

Year of Election or Appointment: 2009

Member of the Advisory Board

Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.

Christine Marcks (1955)

Year of Election or Appointment: 2019

Member of the Advisory Board

Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown 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).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

Assistant Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). 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).

James D. Gryglewicz (1972)

Year of Election or Appointment: 2015

Chief Compliance Officer

Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).

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 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).  Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan. 

Christina H. Lee (1975)

Year of Election or Appointment: 2020

Secretary and Chief Legal Officer

Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2020

Assistant Secretary

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

Chris Maher (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of 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).

Stacie M. Smith (1974)

Year of Election or Appointment: 2020

President and Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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 (December 1, 2019 to May 31, 2020).

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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.

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

 Annualized Expense Ratio-A Beginning
Account Value
December 1, 2019 		Ending
Account Value
May 31, 2020 		Expenses Paid
During Period-B
December 1, 2019
to May 31, 2020 
Actual .23% $1,000.00 $920.20 $1.10 
Hypothetical-C  $1,000.00 $1,023.85 $1.16 

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

 B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

 C 5% return per year before expenses

Distributions (Unaudited)

The fund designates 4% and 1% of the dividends distributed in July and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

The fund designates 95% and 49% of the dividends distributed in July 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 amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are $0.0181 and $0.0031 for the dividend paid July 15, 2019 and $0.2669 and $0.0259 for the dividend paid December 31, 2019.

The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.

Liquidity Risk Management Program

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

The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.

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

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

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

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

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

STE-ANN-0720
1.9890707.101

Strategic Advisers® Value Fund

Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public



Annual Report

May 31, 2020

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


Fidelity Investments

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Liquidity Risk Management Program


To view a fund's proxy voting 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. © 2020 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended May 31, 2020 Past 1 year Past 5 years Past 10 years 
Strategic Advisers® Value Fund (1.32)% 4.32% 9.63% 

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Strategic Advisers® Value Fund on December 30, 2008, 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
$25,069Strategic Advisers® Value Fund
$25,577Russell 1000® Value Index

Management's Discussion of Fund Performance

Market Recap:  The S&P 500® index gained 12.84% for the year ending May 31, 2020, in what was a bumpy ride for U.S. equity investors, marked by a steep but brief decline due to the early-2020 outbreak and spread of the coronavirus, followed by a sharp upturn. Declared a pandemic on March 11, the COVID-19 crisis and containment efforts caused broad contraction in economic activity, along with extreme uncertainty, volatility and dislocation in financial markets. By mid-March, U.S. stocks had entered bear-market territory less than a month after hitting an all-time high and extending the longest-running bull market in American history. Stocks slid in late February, after a surge in COVID-19 cases emerged outside China. The downtrend continued in March (-12.35%), capping the index’s worst quarter since 2008. A historically rapid and expansive U.S. monetary/fiscal-policy response helped provide a partial offset to the economic disruption. This was evident in April, when the index achieved its highest monthly gain (+12.82%) since 1991, boosted by improving infection data, plans for reopening the economy and progress on potential treatments. The stark turnaround continued in May, driven by stocks that do well in an economic recovery, even as high unemployment persisted. By sector, energy shares (-29%) fell hard along with the price of crude oil. Financials (-8%) and industrials (-4%) also notably lagged. In contrast, information technology (+38%) led by a wide margin, followed by health care (+21%), communication services and consumer discretionary (each +16%).

Comments from Lead Portfolio Manager John Stone:  For the fiscal year, the Fund returned -1.32%, outpacing the -1.64% result of the benchmark Russell 1000® Value Index. The broader portfolio was substantially overweighted in the information technology sector – the best-performing index category – and underweighted in energy, the poorest-performing group. This positioning helped the Fund stay ahead of the benchmark, despite posting a negative return. Sub-adviser Brandywine Global Investment Management (-0.5%) was the top contributor versus the benchmark. This manager's emphasis on higher-quality, large-cap value stocks – particularly in technology and health care – boosted its performance. Fidelity® SAI® U.S. Low Volatility Index Fund (+8.9%) also added considerable value this period. This fund seeks to replicate the performance of a custom index of large-cap U.S. stocks that, in aggregate, have exhibited lower volatility than the broad equity market. On the downside, sub-adviser LSV Asset Management (-5.1%) was the biggest relative detractor. LSV employs a quantitative, deep-value approach and this period, this process struggled as market fluctuations made it difficult to identify investable trends. Additionally, holdings in industry groups that declined sharply amid the coronavirus pandemic, such as airlines and retailers, also hampered LSV's performance. Sub-adviser JPMorgan Investment Management (-6.8%) underperformed due to adverse positioning in financials and poor picks among industrials stocks. As of May 31, the broader Fund is tilted toward underlying strategies that focus on sectors which have historically performed well during the early stages of an economic recovery, such as industrials, financials, energy and consumer discretionary.

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

Note to shareholders:  On June 3, 2020, the Board of Trustees approved a proposal to merge Strategic Advisers® Core Fund, Strategic Advisers® Growth Fund and Strategic Advisers® Value Fund into a new fund, Strategic Advisers® Large Cap Fund, subject to shareholder approval. A special meeting of the shareholders of each acquired fund (SA Core, Growth and Value) is expected to be held in the fourth quarter of 2020. This reorganization would occur on a tax-free basis, and if approved by shareholders of each acquired fund, is expected to take place on or about November 13, 2020. A combined proxy statement and prospectus containing more information with respect to the reorganization will be provided to shareholders of record of each acquired fund in advance of the meeting.

Investment Summary (Unaudited)

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

Top Ten Holdings as of May 31, 2020

(excluding cash equivalents) % of fund's net assets 
Fidelity SAI U.S. Large Cap Index Fund 6.1 
Fidelity SAI U.S. Low Volatility Index Fund 5.7 
JPMorgan Chase & Co. 2.5 
Bank of America Corp. 2.4 
Intel Corp. 2.2 
Verizon Communications, Inc. 2.2 
Pfizer, Inc. 2.0 
Invesco Diversified Dividend Fund Class R6 1.7 
AT&T, Inc. 1.6 
Merck & Co., Inc. 1.6 
 28.0 

Top Five Market Sectors as of May 31, 2020

(stocks only) % of fund's net assets 
Financials 21.0 
Health Care 13.8 
Information Technology 11.3 
Industrials 9.5 
Communication Services 6.0 

Asset Allocation (% of fund's net assets)

As of May 31, 2020* 
   Common Stocks 84.3% 
   Large Blend Funds 11.8% 
   Large Value Funds 2.3% 
   Short-Term Investments and Net Other Assets (Liabilities) 1.6% 


 * Assets allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date indicated above.

Schedule of Investments May 31, 2020

Showing Percentage of Net Assets

Common Stocks - 84.3%   
 Shares Value 
COMMUNICATION SERVICES - 6.0%   
Diversified Telecommunication Services - 3.8%   
AT&T, Inc. 4,629,400 $142,863,284 
Verizon Communications, Inc. 3,295,323 189,085,634 
  331,948,918 
Entertainment - 0.2%   
Electronic Arts, Inc. (a) 120,400 14,794,752 
Interactive Media & Services - 0.2%   
Alphabet, Inc. Class A (a) 7,196 10,315,610 
Twitter, Inc. (a) 247,000 7,649,590 
  17,965,200 
Media - 1.8%   
Charter Communications, Inc. Class A (a) 22,570 12,278,080 
Comcast Corp. Class A 2,433,477 96,365,689 
Discovery Communications, Inc.:   
Class A (a)(b) 63,100 1,372,425 
Class C (non-vtg.) (a) 254,978 4,995,019 
DISH Network Corp. Class A (a) 256,410 8,115,377 
Entercom Communications Corp. Class A 625,195 1,044,076 
Fox Corp. Class A 124,600 3,634,582 
Interpublic Group of Companies, Inc. 133,770 2,288,805 
Nexstar Broadcasting Group, Inc. Class A 91,251 7,602,121 
Omnicom Group, Inc. 89,719 4,915,704 
Tegna, Inc. 471,200 5,522,464 
ViacomCBS, Inc. Class B 458,687 9,513,168 
  157,647,510 
TOTAL COMMUNICATION SERVICES  522,356,380 
CONSUMER DISCRETIONARY - 6.0%   
Auto Components - 0.6%   
Aptiv PLC 105,229 7,929,005 
BorgWarner, Inc. 391,316 12,580,809 
Cooper Tire & Rubber Co. 265,127 6,821,718 
Gentex Corp. 98,267 2,598,179 
Lear Corp. 176,456 18,713,159 
Magna International, Inc. Class A 18,395 775,901 
The Goodyear Tire & Rubber Co. 685,300 5,215,133 
  54,633,904 
Automobiles - 0.7%   
Ford Motor Co. 2,037,000 11,631,270 
General Motors Co. 1,186,424 30,704,653 
Harley-Davidson, Inc. (b) 401,872 8,575,948 
Thor Industries, Inc. 124,030 10,691,386 
  61,603,257 
Distributors - 0.1%   
Genuine Parts Co. 59,853 4,992,339 
LKQ Corp. (a) 126,300 3,468,198 
  8,460,537 
Hotels, Restaurants & Leisure - 0.3%   
Brinker International, Inc. 342,271 9,018,841 
Hyatt Hotels Corp. Class A 14,179 781,121 
Royal Caribbean Cruises Ltd. (b) 94,500 4,901,715 
Wyndham Destinations, Inc. 228,000 7,250,400 
Wyndham Hotels & Resorts, Inc. 41,208 1,892,683 
  23,844,760 
Household Durables - 1.1%   
D.R. Horton, Inc. 151,979 8,404,439 
Lennar Corp.:   
Class A 361,103 21,832,287 
Class B 6,200 278,256 
Mohawk Industries, Inc. (a) 79,003 7,363,080 
Newell Brands, Inc. 358,406 4,713,039 
PulteGroup, Inc. 615,307 20,901,979 
Sony Corp. sponsored ADR (b) 179,000 11,592,040 
Whirlpool Corp. 174,522 21,260,270 
  96,345,390 
Internet & Direct Marketing Retail - 0.6%   
eBay, Inc. 841,000 38,299,140 
The Booking Holdings, Inc. (a) 5,618 9,210,262 
  47,509,402 
Multiline Retail - 0.6%   
Big Lots, Inc. 160,800 6,231,000 
Dillard's, Inc. Class A (b) 109,300 3,280,093 
Kohl's Corp. 524,755 10,085,791 
Macy's, Inc. (b) 348,100 2,213,916 
Nordstrom, Inc. (b) 232,156 3,744,676 
Target Corp. 230,200 28,160,366 
  53,715,842 
Specialty Retail - 1.7%   
Advance Auto Parts, Inc. 27,500 3,831,300 
American Eagle Outfitters, Inc. 464,400 4,253,904 
AutoZone, Inc. (a) 32,895 37,758,855 
Best Buy Co., Inc. 502,105 39,209,379 
CarMax, Inc. (a) 67,311 5,926,734 
Dick's Sporting Goods, Inc. 233,200 8,409,192 
Foot Locker, Inc. 71,661 1,985,010 
Lowe's Companies, Inc. 40,818 5,320,626 
Murphy U.S.A., Inc. (a) 52,406 6,084,337 
Office Depot, Inc. 579,800 1,432,106 
Penske Automotive Group, Inc. 177,500 6,347,400 
Sleep Number Corp. (a) 162,100 5,052,657 
The Home Depot, Inc. 33,557 8,338,243 
TJX Companies, Inc. 99,969 5,274,364 
Williams-Sonoma, Inc. 71,848 5,978,472 
  145,202,579 
Textiles, Apparel & Luxury Goods - 0.3%   
Carter's, Inc. 111,600 9,587,556 
Columbia Sportswear Co. 102,847 7,514,002 
Ralph Lauren Corp. 98,129 7,409,721 
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) 55,200 1,728,864 
Tapestry, Inc. 137,087 1,864,383 
  28,104,526 
TOTAL CONSUMER DISCRETIONARY  519,420,197 
CONSUMER STAPLES - 4.6%   
Beverages - 0.4%   
Coca-Cola European Partners PLC 73,126 2,756,850 
Keurig Dr. Pepper, Inc. 180,734 5,046,093 
Molson Coors Beverage Co. Class B 443,782 16,845,965 
The Coca-Cola Co. 226,000 10,549,680 
  35,198,588 
Food & Staples Retailing - 1.3%   
Kroger Co. 1,361,702 44,418,719 
Sysco Corp. 139,475 7,693,441 
Walgreens Boots Alliance, Inc. 1,446,467 62,111,293 
  114,223,453 
Food Products - 2.0%   
Archer Daniels Midland Co. 229,500 9,021,645 
Conagra Brands, Inc. 719,100 25,017,489 
Ingredion, Inc. 201,900 17,006,037 
Kellogg Co. 140,559 9,179,908 
Pilgrim's Pride Corp. (a) 270,400 5,589,168 
Post Holdings, Inc. (a) 101,652 8,849,823 
The J.M. Smucker Co. 286,945 32,691,644 
The Kraft Heinz Co. 1,029,600 31,371,912 
Tyson Foods, Inc. Class A 519,012 31,888,097 
  170,615,723 
Household Products - 0.4%   
Energizer Holdings, Inc. (b) 199,467 8,752,612 
Kimberly-Clark Corp. 45,303 6,407,656 
Procter & Gamble Co. 140,058 16,235,523 
  31,395,791 
Personal Products - 0.0%   
Coty, Inc. Class A 617,960 2,243,195 
Tobacco - 0.5%   
Philip Morris International, Inc. 641,349 47,049,363 
TOTAL CONSUMER STAPLES  400,726,113 
ENERGY - 4.3%   
Oil, Gas & Consumable Fuels - 4.3%   
Cabot Oil & Gas Corp. 967,479 19,194,783 
Chevron Corp. 970,346 88,980,728 
Concho Resources, Inc. 71,600 3,903,632 
ConocoPhillips Co. 1,253,168 52,858,626 
Diamondback Energy, Inc. 80,461 3,426,029 
EQT Corp. 369,163 4,924,634 
Equitrans Midstream Corp. (b) 621,671 5,029,318 
Gulfport Energy Corp. (a) 1,106,553 1,670,895 
Kinder Morgan, Inc. 1,456,406 23,011,215 
Marathon Petroleum Corp. 726,489 25,528,823 
PBF Energy, Inc. Class A 522,862 5,552,794 
Phillips 66 Co. 789,048 61,750,896 
Pioneer Natural Resources Co. 106,000 9,709,600 
Royal Dutch Shell PLC Class A sponsored ADR (b) 85,724 2,738,882 
The Williams Companies, Inc. 547,161 11,178,499 
Total SA sponsored ADR 79,439 2,985,318 
Valero Energy Corp. 725,670 48,358,649 
  370,803,321 
FINANCIALS - 21.0%   
Banks - 9.8%   
Bank of America Corp. 8,757,069 211,220,504 
BOK Financial Corp. 69,000 3,514,860 
CIT Group, Inc. 251,200 4,556,768 
Citigroup, Inc. 2,294,173 109,913,828 
Citizens Financial Group, Inc. 1,075,564 25,921,092 
Commerce Bancshares, Inc. 150,161 9,569,761 
Cullen/Frost Bankers, Inc. 83,768 6,363,855 
East West Bancorp, Inc. 187,500 6,553,125 
Fifth Third Bancorp 1,168,258 22,652,523 
First Republic Bank 44,589 4,823,192 
Huntington Bancshares, Inc. 878,237 7,807,527 
JPMorgan Chase & Co. 2,267,594 220,659,572 
KeyCorp 1,651,496 19,570,228 
M&T Bank Corp. 164,300 17,359,938 
Mitsubishi UFJ Financial Group, Inc. sponsored ADR 990,000 4,128,300 
PNC Financial Services Group, Inc. 477,423 54,445,319 
Regions Financial Corp. 2,571,460 29,083,213 
Signature Bank 21,465 2,208,963 
SVB Financial Group (a) 21,300 4,574,175 
Truist Financial Corp. 801,355 29,473,837 
U.S. Bancorp 899,631 31,990,878 
Wells Fargo & Co. 889,020 23,532,359 
Zions Bancorp NA 70,161 2,308,648 
  852,232,465 
Capital Markets - 3.9%   
Ameriprise Financial, Inc. 422,573 59,189,800 
Bank of New York Mellon Corp. 379,625 14,110,661 
BlackRock, Inc. Class A 63,977 33,820,801 
Charles Schwab Corp. 867,520 31,152,643 
Eaton Vance Corp. (non-vtg.) 45,900 1,654,695 
Goldman Sachs Group, Inc. 240,734 47,301,824 
Invesco Ltd. 251,820 2,007,005 
LPL Financial 33,335 2,379,786 
Morgan Stanley 1,546,056 68,335,675 
Northern Trust Corp. 173,848 13,735,730 
Raymond James Financial, Inc. 57,222 3,964,340 
SEI Investments Co. 59,652 3,234,331 
State Street Corp. 536,900 32,729,424 
T. Rowe Price Group, Inc. 206,875 25,011,188 
  338,627,903 
Consumer Finance - 1.4%   
American Express Co. 447,325 42,527,188 
Capital One Financial Corp. 841,856 57,279,882 
Credit Acceptance Corp. (a)(b) 7,787 2,879,788 
Discover Financial Services 340,900 16,196,159 
Navient Corp. 619,200 4,606,848 
  123,489,865 
Diversified Financial Services - 0.7%   
AXA Equitable Holdings, Inc. 191,800 3,665,298 
Berkshire Hathaway, Inc. Class B (a) 257,510 47,788,706 
Jefferies Financial Group, Inc. 123,918 1,815,399 
Voya Financial, Inc. 61,007 2,748,365 
  56,017,768 
Insurance - 5.0%   
AFLAC, Inc. 689,732 25,154,526 
Alleghany Corp. 13,855 7,109,001 
Allstate Corp. 487,215 47,654,499 
American Financial Group, Inc. 97,800 5,891,472 
American International Group, Inc. 488,609 14,687,587 
Arch Capital Group Ltd. (a) 166,800 4,707,096 
Assurant, Inc. 24,700 2,533,726 
Assured Guaranty Ltd. 196,950 5,106,914 
Axis Capital Holdings Ltd. 161,900 6,077,726 
Chubb Ltd. 421,864 51,442,096 
CNA Financial Corp. 37,800 1,142,694 
Everest Re Group Ltd. 106,295 21,089,991 
Fairfax Financial Holdings Ltd. 17,863 4,970,558 
First American Financial Corp. 40,500 2,044,845 
FNF Group 113,337 3,615,450 
Globe Life, Inc. 97,482 7,508,064 
Hanover Insurance Group, Inc. 14,200 1,424,970 
Hartford Financial Services Group, Inc. 455,977 17,459,359 
Lincoln National Corp. 531,900 20,174,967 
Loews Corp. 677,640 22,524,754 
Markel Corp. (a) 5,762 5,170,934 
Marsh & McLennan Companies, Inc. 122,411 12,965,773 
MetLife, Inc. 897,616 32,323,152 
Old Republic International Corp. 89,000 1,387,510 
Progressive Corp. 369,961 28,738,570 
Prudential Financial, Inc. 420,508 25,634,168 
Reinsurance Group of America, Inc. 44,273 4,017,775 
RenaissanceRe Holdings Ltd. 16,000 2,685,760 
The Travelers Companies, Inc. 380,861 40,744,510 
Unum Group 383,000 5,802,450 
W.R. Berkley Corp. 63,415 3,674,899 
  435,465,796 
Mortgage Real Estate Investment Trusts - 0.1%   
Annaly Capital Management, Inc. 1,012,900 6,239,464 
Thrifts & Mortgage Finance - 0.1%   
New York Community Bancorp, Inc. 192,398 1,933,600 
Radian Group, Inc. 448,300 7,119,004 
  9,052,604 
TOTAL FINANCIALS  1,821,125,865 
HEALTH CARE - 13.8%   
Biotechnology - 3.3%   
AbbVie, Inc. 407,348 37,748,939 
Alexion Pharmaceuticals, Inc. (a) 293,400 35,178,660 
Amgen, Inc. 465,456 106,915,243 
Biogen, Inc. (a) 147,600 45,326,484 
Gilead Sciences, Inc. 824,868 64,199,476 
  289,368,802 
Health Care Equipment & Supplies - 0.7%   
Alcon, Inc. (a)(b) 164,000 10,420,560 
Danaher Corp. 107,000 17,827,270 
Medtronic PLC 314,406 30,994,143 
Zimmer Biomet Holdings, Inc. 26,923 3,401,452 
  62,643,425 
Health Care Providers & Services - 3.9%   
AmerisourceBergen Corp. 246,997 23,548,694 
Anthem, Inc. 153,237 45,068,534 
Cardinal Health, Inc. 381,300 20,853,297 
Cigna Corp. 227,086 44,808,610 
CVS Health Corp. 529,000 34,686,530 
DaVita HealthCare Partners, Inc. (a) 57,300 4,639,008 
HCA Holdings, Inc. 405,504 43,348,378 
Henry Schein, Inc. (a) 60,364 3,665,302 
Laboratory Corp. of America Holdings (a) 39,976 7,008,592 
McKesson Corp. 275,339 43,688,039 
Molina Healthcare, Inc. (a) 23,500 4,366,770 
Quest Diagnostics, Inc. 199,467 23,592,957 
UnitedHealth Group, Inc. 73,433 22,386,050 
Universal Health Services, Inc. Class B 159,200 16,787,640 
  338,448,401 
Life Sciences Tools & Services - 0.1%   
Avantor, Inc. 177,418 3,365,619 
Bio-Rad Laboratories, Inc. Class A (a) 9,700 4,765,804 
  8,131,423 
Pharmaceuticals - 5.8%   
Bristol-Myers Squibb Co. 839,072 50,109,380 
Elanco Animal Health, Inc. (a) 344,000 7,365,040 
GlaxoSmithKline PLC sponsored ADR 143,111 5,999,213 
Jazz Pharmaceuticals PLC (a) 123,900 14,783,748 
Johnson & Johnson 593,521 88,286,249 
Merck & Co., Inc. 1,717,493 138,636,035 
Novartis AG sponsored ADR 204,933 17,917,292 
Perrigo Co. PLC 56,000 3,067,120 
Pfizer, Inc. 4,534,473 173,171,524 
  499,335,601 
TOTAL HEALTH CARE  1,197,927,652 
INDUSTRIALS - 9.5%   
Aerospace & Defense - 2.0%   
Curtiss-Wright Corp. 16,900 1,695,070 
General Dynamics Corp. 211,454 31,047,791 
Huntington Ingalls Industries, Inc. 108,330 21,654,084 
Lockheed Martin Corp. 116,066 45,084,677 
Moog, Inc. Class A 100,300 5,445,287 
Northrop Grumman Corp. 85,703 28,727,646 
Raytheon Technologies Corp. 304,703 19,659,438 
Spirit AeroSystems Holdings, Inc. Class A 166,500 3,608,055 
Textron, Inc. 408,600 12,654,342 
Vectrus, Inc. (a) 37,733 2,072,296 
  171,648,686 
Air Freight & Logistics - 0.6%   
FedEx Corp. 59,700 7,794,432 
United Parcel Service, Inc. Class B 288,855 28,801,732 
XPO Logistics, Inc. (a) 200,000 15,762,000 
  52,358,164 
Airlines - 0.3%   
Delta Air Lines, Inc. 430,000 10,840,300 
Southwest Airlines Co. 172,372 5,533,141 
United Airlines Holdings, Inc. (a)(b) 319,300 8,953,172 
  25,326,613 
Building Products - 0.5%   
Allegion PLC 96,000 9,571,200 
Carrier Global Corp. (a) 117,001 2,395,010 
Fortune Brands Home & Security, Inc. 56,560 3,447,898 
Johnson Controls International PLC 540,900 16,989,669 
Masco Corp. 117,136 5,464,394 
Owens Corning 160,989 8,451,923 
  46,320,094 
Commercial Services & Supplies - 0.0%   
Deluxe Corp. 166,100 3,875,113 
Construction & Engineering - 0.0%   
Quanta Services, Inc. 58,702 2,167,865 
Electrical Equipment - 0.7%   
AMETEK, Inc. 29,635 2,717,826 
Eaton Corp. PLC 402,067 34,135,488 
Emerson Electric Co. 243,400 14,852,268 
Hubbell, Inc. Class B 22,392 2,741,229 
Sensata Technologies, Inc. PLC (a) 65,493 2,334,825 
  56,781,636 
Industrial Conglomerates - 1.0%   
3M Co. 209,242 32,733,818 
Carlisle Companies, Inc. 66,366 7,954,629 
Honeywell International, Inc. 331,023 48,279,705 
  88,968,152 
Machinery - 3.3%   
AGCO Corp. 245,838 13,577,633 
Allison Transmission Holdings, Inc. 270,991 10,221,781 
Caterpillar, Inc. 401,902 48,280,487 
Cummins, Inc. 323,086 54,795,386 
Deere & Co. 169,260 25,747,831 
Dover Corp. 234,063 22,762,627 
Illinois Tool Works, Inc. 42,116 7,263,325 
ITT, Inc. 104,473 6,028,092 
Lincoln Electric Holdings, Inc. 22,000 1,807,740 
Middleby Corp. (a) 67,787 4,616,295 
Oshkosh Corp. 389,223 27,953,996 
Otis Worldwide Corp. 111,026 5,845,519 
PACCAR, Inc. 142,549 10,528,669 
Parker Hannifin Corp. 107,970 19,431,361 
Pentair PLC 66,719 2,611,382 
Snap-On, Inc. 22,594 2,930,216 
Timken Co. 197,300 8,393,142 
Trinity Industries, Inc. (b) 447,800 8,942,566 
Xylem, Inc. 129,000 8,557,860 
  290,295,908 
Professional Services - 0.1%   
Manpower, Inc. 24,300 1,680,102 
Robert Half International, Inc. 75,155 3,813,365 
  5,493,467 
Road & Rail - 0.7%   
AMERCO 8,039 2,592,578 
CSX Corp. 320,500 22,941,390 
Kansas City Southern 38,091 5,733,457 
Knight-Swift Transportation Holdings, Inc. Class A 70,320 2,926,015 
Norfolk Southern Corp. 93,141 16,606,109 
Union Pacific Corp. 36,689 6,231,994 
  57,031,543 
Trading Companies & Distributors - 0.3%   
HD Supply Holdings, Inc. (a) 275,700 8,742,447 
United Rentals, Inc. (a) 58,192 8,082,287 
W.W. Grainger, Inc. 22,179 6,867,062 
  23,691,796 
TOTAL INDUSTRIALS  823,959,037 
INFORMATION TECHNOLOGY - 11.3%   
Communications Equipment - 1.6%   
Cisco Systems, Inc. 2,671,605 127,756,151 
CommScope Holding Co., Inc. (a) 571,506 5,892,227 
Juniper Networks, Inc. 136,219 3,304,673 
  136,953,051 
Electronic Equipment & Components - 0.4%   
Arrow Electronics, Inc. (a) 215,478 14,885,220 
Corning, Inc. 276,100 6,292,319 
Jabil, Inc. 58,700 1,756,304 
Vishay Intertechnology, Inc. 507,400 8,250,324 
  31,184,167 
IT Services - 1.3%   
Cognizant Technology Solutions Corp. Class A 215,300 11,410,900 
CSG Systems International, Inc. 185,800 8,797,630 
DXC Technology Co. 162,100 2,303,441 
IBM Corp. 539,260 67,353,574 
PayPal Holdings, Inc. (a) 98,419 15,255,929 
The Western Union Co. 163,446 3,272,189 
  108,393,663 
Semiconductors & Semiconductor Equipment - 5.3%   
Analog Devices, Inc. 94,749 10,701,900 
Applied Materials, Inc. 823,602 46,269,960 
Broadcom, Inc. 164,000 47,768,280 
Cirrus Logic, Inc. (a) 85,700 6,211,536 
Intel Corp. 3,074,911 193,504,149 
KLA-Tencor Corp. 39,655 6,977,694 
Lam Research Corp. 140,141 38,352,387 
Microchip Technology, Inc. (b) 133,000 12,770,660 
Micron Technology, Inc. (a) 643,119 30,811,831 
NXP Semiconductors NV 77,757 7,472,448 
ON Semiconductor Corp. (a) 215,547 3,554,370 
Qorvo, Inc. (a) 94,024 9,848,074 
Qualcomm, Inc. 147,097 11,897,205 
Skyworks Solutions, Inc. 175,400 20,791,916 
Texas Instruments, Inc. 101,065 12,000,458 
  458,932,868 
Software - 1.8%   
Adobe, Inc. (a) 54,500 21,069,700 
ANSYS, Inc. (a) 57,000 16,131,000 
CDK Global, Inc. 48,311 1,899,105 
Microsoft Corp. 198,590 36,391,618 
Oracle Corp. 1,446,449 77,775,563 
SS&C Technologies Holdings, Inc. 66,942 3,875,607 
  157,142,593 
Technology Hardware, Storage & Peripherals - 0.9%   
Hewlett Packard Enterprise Co. 1,762,380 17,112,710 
HP, Inc. 1,909,200 28,905,288 
NCR Corp. (a) 236,200 4,263,410 
NetApp, Inc. 88,000 3,919,520 
Seagate Technology LLC 343,000 18,192,720 
Western Digital Corp. 104,634 4,642,611 
Xerox Holdings Corp. 282,500 4,486,100 
  81,522,359 
TOTAL INFORMATION TECHNOLOGY  974,128,701 
MATERIALS - 3.7%   
Chemicals - 2.0%   
AdvanSix, Inc. (a) 59,849 708,612 
Albemarle Corp. U.S. 43,700 3,343,924 
Cabot Corp. 215,400 7,694,088 
Celanese Corp. Class A 278,605 25,049,376 
Corteva, Inc. 583,165 15,926,236 
DuPont de Nemours, Inc. 171,726 8,711,660 
Eastman Chemical Co. 399,867 27,222,945 
FMC Corp. 82,922 8,160,354 
Huntsman Corp. 826,700 15,004,605 
LyondellBasell Industries NV Class A 539,031 34,368,617 
PPG Industries, Inc. 120,613 12,262,724 
RPM International, Inc. 136,000 10,170,080 
The Chemours Co. LLC 279,700 3,666,867 
  172,290,088 
Construction Materials - 0.3%   
CRH PLC sponsored ADR 159,505 5,129,681 
Martin Marietta Materials, Inc. 102,764 19,739,937 
  24,869,618 
Containers & Packaging - 0.8%   
Avery Dennison Corp. 30,256 3,348,432 
Ball Corp. 109,418 7,797,127 
Crown Holdings, Inc. (a) 55,800 3,650,994 
Graphic Packaging Holding Co. 532,730 7,708,603 
International Paper Co. 396,735 13,508,827 
Packaging Corp. of America 131,413 13,326,592 
Sealed Air Corp. 61,900 1,986,990 
Sonoco Products Co. 32,556 1,686,726 
WestRock Co. 604,402 16,959,520 
  69,973,811 
Metals & Mining - 0.5%   
Barrick Gold Corp. 643,422 15,442,128 
Freeport-McMoRan, Inc. 577,700 5,239,739 
Newmont Corp. 73,907 4,321,342 
Nucor Corp. 124,803 5,274,175 
Reliance Steel & Aluminum Co. 86,764 8,416,108 
Steel Dynamics, Inc. 88,800 2,358,528 
Yamana Gold, Inc. 868,534 4,699,552 
  45,751,572 
Paper & Forest Products - 0.1%   
Domtar Corp. 211,100 4,306,440 
Schweitzer-Mauduit International, Inc. 165,200 5,020,428 
  9,326,868 
TOTAL MATERIALS  322,211,957 
REAL ESTATE - 1.7%   
Equity Real Estate Investment Trusts (REITs) - 1.5%   
American Homes 4 Rent Class A 262,545 6,626,636 
Boston Properties, Inc. 30,780 2,646,464 
Brandywine Realty Trust (SBI) 614,800 5,932,820 
Brixmor Property Group, Inc. 434,789 4,852,245 
EastGroup Properties, Inc. 33,566 3,902,048 
Equity Lifestyle Properties, Inc. 100,000 6,230,000 
Federal Realty Investment Trust (SBI) 64,878 5,184,401 
Hospitality Properties Trust (SBI) 461,800 3,117,150 
Kimco Realty Corp. 318,986 3,543,934 
Lexington Corporate Properties Trust 666,800 6,481,296 
Mid-America Apartment Communities, Inc. 77,919 9,066,655 
Omega Healthcare Investors, Inc. 356,200 11,092,068 
Outfront Media, Inc. 244,260 3,429,410 
Paramount Group, Inc. 715,000 5,512,650 
Park Hotels & Resorts, Inc. 332,200 3,265,526 
Piedmont Office Realty Trust, Inc. Class A 655,900 10,940,412 
Public Storage 53,978 10,943,500 
Rayonier, Inc. 292,715 6,951,981 
Sun Communities, Inc. 47,000 6,447,930 
VEREIT, Inc. 2,035,200 11,152,896 
Weyerhaeuser Co. 244,921 4,944,955 
  132,264,977 
Real Estate Management & Development - 0.2%   
CBRE Group, Inc. (a) 324,057 14,252,027 
TOTAL REAL ESTATE  146,517,004 
UTILITIES - 2.4%   
Electric Utilities - 1.8%   
American Electric Power Co., Inc. 435,524 37,128,421 
Duke Energy Corp. 81,863 7,009,929 
Edison International 228,857 13,298,880 
Entergy Corp. 56,844 5,787,856 
Evergy, Inc. 93,800 5,786,522 
Exelon Corp. 657,000 25,169,670 
FirstEnergy Corp. 176,700 7,467,342 
NextEra Energy, Inc. 64,612 16,512,243 
NRG Energy, Inc. 385,500 13,897,275 
OGE Energy Corp. 79,636 2,494,200 
Pinnacle West Capital Corp. 68,575 5,341,993 
Xcel Energy, Inc. 233,601 15,191,073 
  155,085,404 
Independent Power and Renewable Electricity Producers - 0.3%   
The AES Corp. 256,269 3,200,800 
Vistra Energy Corp. 1,014,305 20,732,394 
  23,933,194 
Multi-Utilities - 0.3%   
CenterPoint Energy, Inc. 100,952 1,794,927 
Public Service Enterprise Group, Inc. 560,128 28,588,933 
  30,383,860 
TOTAL UTILITIES  209,402,458 
TOTAL COMMON STOCKS   
(Cost $5,984,670,882)  7,308,578,685 
Equity Funds - 14.1%   
Large Blend Funds - 11.8%   
Fidelity SAI U.S. Large Cap Index Fund (c) 32,407,040 531,799,524 
Fidelity SAI U.S. Low Volatility Index Fund (c) 33,865,138 489,689,898 
TOTAL LARGE BLEND FUNDS  1,021,489,422 
Large Value Funds - 2.3%   
Fidelity SAI U.S. Value Index Fund (c) 5,950,647 51,830,133 
Invesco Diversified Dividend Fund Class R6 8,586,887 149,755,308 
TOTAL LARGE VALUE FUNDS  201,585,441 
TOTAL EQUITY FUNDS   
(Cost $1,044,429,159)  1,223,074,863 
Money Market Funds - 1.9%   
Fidelity Securities Lending Cash Central Fund 0.10% (d)(e) 52,520,993 52,526,246 
State Street Institutional U.S. Government Money Market Fund Premier Class .12% (f) 109,266,433 109,266,433 
TOTAL MONEY MARKET FUNDS   
(Cost $161,792,679)  161,792,679 
TOTAL INVESTMENT IN SECURITIES - 100.3%   
(Cost $7,190,892,720)  8,693,446,227 
NET OTHER ASSETS (LIABILITIES) - (0.3)%  (27,283,724) 
NET ASSETS - 100%  $8,666,162,503 

Legend

 (a) Non-income producing

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

 (c) Affiliated Fund

 (d) 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.

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

 (f) The rate quoted is the annualized seven-day yield of the fund at period end.

Affiliated Central Funds

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

Fund Income earned 
Fidelity Securities Lending Cash Central Fund $796,564 
Total $796,564 

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.

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity SAI U.S. Large Cap Index Fund $169,787,209 $2,387,190,365 $2,014,017,732 $2,175,464 $(53,613,653) $42,453,335 $531,799,524 
Fidelity SAI U.S. Low Volatility Index Fund 362,888,020 223,673,377 145,363,078 16,681,544 314,467 48,177,112 489,689,898 
Fidelity SAI U.S. Value Index Fund 35,586,584 50,000,000 36,402,643 -- (2,048,135) 4,694,327 51,830,133 
Total $568,261,813 $2,660,863,742 $2,195,783,453 $18,857,008 $(55,347,321) $95,324,774 $1,073,319,555 

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 May 31, 2020, 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 $522,356,380 $522,356,380 $-- $-- 
Consumer Discretionary 519,420,197 519,420,197 -- -- 
Consumer Staples 400,726,113 400,726,113 -- -- 
Energy 370,803,321 370,803,321 -- -- 
Financials 1,821,125,865 1,821,125,865 -- -- 
Health Care 1,197,927,652 1,197,927,652 -- -- 
Industrials 823,959,037 823,959,037 -- -- 
Information Technology 974,128,701 974,128,701 -- -- 
Materials 322,211,957 322,211,957 -- -- 
Real Estate 146,517,004 146,517,004 -- -- 
Utilities 209,402,458 209,402,458 -- -- 
Equity Funds 1,223,074,863 1,223,074,863 -- -- 
Money Market Funds 161,792,679 161,792,679 -- -- 
Total Investments in Securities: $8,693,446,227 $8,693,446,227 $-- $-- 

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


Financial Statements

Statement of Assets and Liabilities

  May 31, 2020 
Assets   
Investment in securities, at value (including securities loaned of $49,664,004) — See accompanying schedule:
Unaffiliated issuers (cost $6,188,365,693) 		$7,567,600,426  
Fidelity Central Funds (cost $52,526,246) 52,526,246  
Other affiliated issuers (cost $950,000,781) 1,073,319,555  
Total Investment in Securities (cost $7,190,892,720)  $8,693,446,227 
Cash  44 
Receivable for investments sold  7,413,389 
Receivable for fund shares sold  2,736,120 
Dividends receivable  21,345,538 
Interest receivable  14,549 
Distributions receivable from Fidelity Central Funds  19,526 
Prepaid expenses  32,777 
Other receivables  146,873 
Total assets  8,725,155,043 
Liabilities   
Payable for investments purchased $1,333,785  
Payable for fund shares redeemed 3,596,909  
Accrued management fee 1,308,763  
Other payables and accrued expenses 224,188  
Collateral on securities loaned 52,528,895  
Total liabilities  58,992,540 
Net Assets  $8,666,162,503 
Net Assets consist of:   
Paid in capital  $6,871,965,970 
Total accumulated earnings (loss)  1,794,196,533 
Net Assets  $8,666,162,503 
Net Asset Value, offering price and redemption price per share ($8,666,162,503 ÷ 532,532,088 shares)  $16.27 

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


Statement of Operations

  Year ended May 31, 2020 
Investment Income   
Dividends:   
Unaffiliated issuers  $236,031,766 
Affiliated issuers  9,188,640 
Interest  1,627,206 
Income from Fidelity Central Funds (including $796,564 from security lending)  796,564 
Total income  247,644,176 
Expenses   
Management fee $40,803,189  
Accounting fees 106,648  
Custodian fees and expenses 87,602  
Independent trustees' fees and expenses 106,120  
Registration fees 77,522  
Audit 77,210  
Legal 36,549  
Miscellaneous 84,050  
Total expenses before reductions 41,378,890  
Expense reductions (23,135,670)  
Total expenses after reductions  18,243,220 
Net investment income (loss)  229,400,956 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 511,887,318  
Fidelity Central Funds 2,332  
Other affiliated issuers (55,347,321)  
Foreign currency transactions 840  
Capital gain distributions from underlying funds:   
Unaffiliated issuers 13,976,292  
Affiliated issuers 9,668,368  
Total net realized gain (loss)  480,187,829 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (738,591,037)  
Affiliated issuers 95,324,774  
Total change in net unrealized appreciation (depreciation)  (643,266,263) 
Net gain (loss)  (163,078,434) 
Net increase (decrease) in net assets resulting from operations  $66,322,522 

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


Statement of Changes in Net Assets

 Year ended May 31, 2020 Year ended May 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $229,400,956 $252,223,912 
Net realized gain (loss) 480,187,829 918,081,275 
Change in net unrealized appreciation (depreciation) (643,266,263) (1,390,415,836) 
Net increase (decrease) in net assets resulting from operations 66,322,522 (220,110,649) 
Distributions to shareholders (902,361,371) (881,905,021) 
Share transactions   
Proceeds from sales of shares 1,961,466,140 1,225,576,742 
Reinvestment of distributions 884,710,851 878,317,765 
Cost of shares redeemed (2,758,964,426) (2,832,648,067) 
Net increase (decrease) in net assets resulting from share transactions 87,212,565 (728,753,560) 
Total increase (decrease) in net assets (748,826,284) (1,830,769,230) 
Net Assets   
Beginning of period 9,414,988,787 11,245,758,017 
End of period $8,666,162,503 $9,414,988,787 
Other Information   
Shares   
Sold 120,359,142 63,933,831 
Issued in reinvestment of distributions 47,041,136 48,812,720 
Redeemed (155,156,790) (147,882,523) 
Net increase (decrease) 12,243,488 (35,135,972) 

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


Financial Highlights

Strategic Advisers Value Fund

      
Years ended May 31, 2020 2019 2018 2017 2016 
Selected Per–Share Data      
Net asset value, beginning of period $18.10 $20.25 $19.26 $17.66 $19.26 
Income from Investment Operations      
Net investment income (loss)A .44 .45 .38 .37 .34 
Net realized and unrealized gain (loss) (.47) (1.01) 2.11 2.29 (.73) 
Total from investment operations (.03) (.56) 2.49 2.66 (.39) 
Distributions from net investment income (.48) (.42) (.36) (.34) (.31) 
Distributions from net realized gain (1.33) (1.18) (1.14) (.72) (.90) 
Total distributions (1.80)B (1.59)C (1.50) (1.06) (1.21) 
Net asset value, end of period $16.27 $18.10 $20.25 $19.26 $17.66 
Total ReturnD (1.32)% (2.53)% 13.38% 15.56% (1.97)% 
Ratios to Average Net AssetsE,F,G      
Expenses before reductions .45% .47% .60% .60% .58% 
Expenses net of fee waivers, if any .20% .22% .35% .35% .33% 
Expenses net of all reductions .20% .22% .35% .35% .33% 
Net investment income (loss) 2.48% 2.34% 1.88% 1.99% 1.94% 
Supplemental Data      
Net assets, end of period (000 omitted) $8,666,163 $9,414,989 $11,245,758 $10,753,496 $11,060,619 
Portfolio turnover rateG 63% 38% 23% 32% 39% 

 A Calculated based on average shares outstanding during the period.

 B Total distributions of $1.80 per share is comprised of distributions from net investment income of $.476 and distributions from net realized gain of $1.326 per share.

 C Total distributions of $1.59 per share is comprised of distributions from net investment income of $.415 and distributions from net realized gain of $1.179 per share.

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.

 G Amounts do not include the activity of Underlying Funds.

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


Notes to Financial Statements

For the period ended May 31, 2020

1. Organization.

Strategic Advisers Value Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. 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 Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

2. 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 – Investments 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 following summarizes the significant accounting policies of the Fund:

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

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

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

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

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

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. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 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 May 31, 2020 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $146,873 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.

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 May 31, 2020, 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

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

Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, foreign currency transactions, passive foreign investment companies (PFIC), deferred trustees compensation 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 $1,993,220,500 
Gross unrealized depreciation (600,813,859) 
Net unrealized appreciation (depreciation) $1,392,406,641 
Tax Cost $7,301,039,586 

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

Undistributed ordinary income $94,936,061 
Undistributed long-term capital gain $307,000,705 
Net unrealized appreciation (depreciation) on securities and other investments $1,392,406,641 

The tax character of distributions paid was as follows:

 May 31, 2020 May 31, 2019 
Ordinary Income $233,781,153 $ 229,552,987 
Long-term Capital Gains 668,580,218 652,352,034 
Total $902,361,371 $ 881,905,021 

3. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Value Fund 5,727,507,684 6,292,975,846 

4. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .70% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .44% of the Fund's average net assets.

During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.

Sub-Advisers. Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, J.P. Morgan Investment Management, Inc., LSV Asset Management and Boston Partners Global Investors, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

FIAM LLC (an affiliate of the investment adviser) and Geode Capital Management, LLC have been retained to serve as a sub-adviser for the Fund. As of the date of the report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

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. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. For the period, the fees were equivalent to less than .005%.

Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

 Amount 
Strategic Advisers Value Fund $3,545 

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

5. Investments in Fidelity Central Funds.

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

The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.

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 as follows:

 Amount 
Strategic Advisers Value Fund $23,580 

During the period, there were no borrowings on this line of credit.

7. Security Lending.

The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's 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.

8. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2022. During the period, this waiver reduced the Fund's management fee by $23,135,411.

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $259.

9. Other.

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

The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of approximately 12% of the total outstanding shares of Fidelity SAI U.S. Low Volatility Index Fund.

10. Proposed Reorganization.

The Board of Trustees of Fidelity Rutland Square Trust II has approved an Agreement and Plan of Reorganization (the Agreement) between each of Strategic Advisers Core Fund, Strategic Advisers Growth Fund and Strategic Advisers Value Fund (each an "Acquired Fund" and, together, the "Acquired Funds") and Strategic Advisers Large Cap Fund, a new series of Fidelity Rutland Square Trust II. The Agreement provides for the transfer of all the assets and the assumption of all the liabilities of each Acquired Fund in exchange for shares of Strategic Advisers Large Cap Fund equal in value to the net assets of each respective Acquired Fund on the day the reorganization is effective.

A meeting of the shareholders of each Acquired Fund is expected to be held during the fourth quarter of 2020 to vote on the reorganization. If approved by shareholders, the reorganization is expected to become effective on or about November 13, 2020. The reorganization is expected to qualify as a tax-free transaction for federal income tax purposes with no gain or loss recognized by the funds or their shareholders.

11. Coronavirus (COVID-19) Pandemic.

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

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Value Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Value Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2020 and the financial highlights for each of the five years in the period ended May 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

July 10, 2020



We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds.  Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict.  Each of the Trustees oversees 14 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.  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. 

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.

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 may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. 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, may be 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. Robert A. Lawrence 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. Mary C. Farrell serves as the lead Independent Trustee 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 asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds 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.

The Trustees primarily operate as a full Board, but also operate in 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 has charged Strategic Advisers 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 Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee.  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.  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+

Robert A. Lawrence (1952)

Year of Election or Appointment: 2016

Trustee

Chairman of the Board of Trustees

Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).

Charles S. Morrison (1960)

Year of Election or Appointment: 2020

Trustee

Mr. Morrison also serves as Trustee of other Fidelity® funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.

 * 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 Strategic Advisers. 

 + 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+

Peter C. Aldrich (1944)

Year of Election or Appointment: 2006

Trustee

Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.

Mary C. Farrell (1949)

Year of Election or Appointment: 2013

Trustee

Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.

Karen Kaplan (1960)

Year of Election or Appointment: 2006

Trustee

Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).

Heidi L. Steiger (1953)

Year of Election or Appointment: 2017

Trustee

Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).

 + 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 a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.  Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Ralph F. Cox (1932)

Year of Election or Appointment: 2020

Member of the Advisory Board

Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.

Howard E. Cox, Jr. (1944)

Year of Election or Appointment: 2009

Member of the Advisory Board

Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.

Christine Marcks (1955)

Year of Election or Appointment: 2019

Member of the Advisory Board

Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown 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).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

Assistant Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). 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).

James D. Gryglewicz (1972)

Year of Election or Appointment: 2015

Chief Compliance Officer

Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).

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 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).  Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan. 

Christina H. Lee (1975)

Year of Election or Appointment: 2020

Secretary and Chief Legal Officer

Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2020

Assistant Secretary

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

Chris Maher (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of 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).

Stacie M. Smith (1974)

Year of Election or Appointment: 2020

President and Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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 (December 1, 2019 to May 31, 2020).

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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.

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

 Annualized Expense Ratio-A Beginning
Account Value
December 1, 2019 		Ending
Account Value
May 31, 2020 		Expenses Paid
During Period-B
December 1, 2019
to May 31, 2020 
Actual .19% $1,000.00 $855.20 $.88 
Hypothetical-C  $1,000.00 $1,024.05 $.96 

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

 B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's 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 May 31, 2020, $539,599,627, or, if subsequently determined to be different, the net capital gain of such year.

The fund designates 100% and 97% of the dividends distributed in July and December, respectively, during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

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

The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.

Liquidity Risk Management Program

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

The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.

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

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

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

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

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

SUF-ANN-0720
1.912897.111

Strategic Advisers® Fidelity® U.S. Total Stock Fund

Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public



Annual Report

May 31, 2020

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


Fidelity Investments

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Liquidity Risk Management Program


To view a fund's proxy voting 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. © 2020 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended May 31, 2020 Past 1 year Life of fundA 
Strategic Advisers® Fidelity® U.S. Total Stock Fund 11.84% 5.01% 

 A From March 20, 2018

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Strategic Advisers® Fidelity® U.S. Total Stock Fund on March 20, 2018, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the Dow Jones U.S. Total Stock Market Index℠ performed over the same period.


Period Ending Values
$11,136Strategic Advisers® Fidelity® U.S. Total Stock Fund
$11,445Dow Jones U.S. Total Stock Market Index℠

Management's Discussion of Fund Performance

Market Recap:  The S&P 500® index gained 12.84% for the year ending May 31, 2020, in what was a bumpy ride for U.S. equity investors, marked by a steep but brief decline due to the early-2020 outbreak and spread of the coronavirus, followed by a sharp upturn. Declared a pandemic on March 11, the COVID-19 crisis and containment efforts caused broad contraction in economic activity, along with extreme uncertainty, volatility and dislocation in financial markets. By mid-March, U.S. stocks had entered bear-market territory less than a month after hitting an all-time high and extending the longest-running bull market in American history. Stocks slid in late February, after a surge in COVID-19 cases emerged outside China. The downtrend continued in March (-12.35%), capping the index’s worst quarter since 2008. A historically rapid and expansive U.S. monetary/fiscal-policy response helped provide a partial offset to the economic disruption. This was evident in April, when the index achieved its highest monthly gain (+12.82%) since 1991, boosted by improving infection data, plans for reopening the economy and progress on potential treatments. The stark turnaround continued in May, driven by stocks that do well in an economic recovery, even as high unemployment persisted. By sector, energy shares (-29%) fell hard along with the price of crude oil. Financials (-8%) and industrials (-4%) also notably lagged. In contrast, information technology (+38%) led by a wide margin, followed by health care (+21%), communication services and consumer discretionary (each +16%).

Comments from Portfolio Manager Barry Golden:  For the fiscal year, the Fund gained 11.84%, outpacing the 11.31% advance of the benchmark Dow Jones U.S. Total Stock Market Index. This period, managers pursuing growth strategies, as well as those with an emphasis on quality characteristics, delivered the best results. Fidelity® Growth Company Fund (+39%), which follows an aggressive-growth approach, was overwhelmingly the top contributor versus the benchmark. The fund surpassed the benchmark by 28 percentage points, led by strong security selection within the information technology, health care and consumer discretionary sectors. Fidelity® SAI® U.S. Quality Index Fund (+20%) also notably contributed. In addition to its quality focus, this fund benefited from a tilt toward growth stocks. Sector-wise, positioning in financials, along with underweighted exposure to the poor-performing energy group, added the most value. On the downside, the Value Discovery (+0.2%) strategy from sub-adviser FIAM℠ was the biggest relative detractor. Its value-driven approach faced a stylistic headwind this period. Additionally, adverse positioning among technology and financials stocks worked against its performance. The Small-Mid Cap Core mandate (-1%), also managed by FIAM, swam against the tide of large-cap stocks substantially outperforming small- and mid-cap equities, and it likewise detracted. During the period, I added a position in Fidelity Magellan Fund (+5%), which follows a high-quality, large-cap growth strategy and further contributed versus the Fund's benchmark. Prior to the coronavirus crisis, I was reducing risk and positioning the portfolio to more closely track the index. After the March selloff, however, I marginally added to the Fund's value and small/mid-cap strategies, but did not substantially increase portfolio's overall level of risk.

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 Ten Holdings as of May 31, 2020

(excluding cash equivalents) % of fund's net assets 
Fidelity SAI U.S. Quality Index Fund 11.1 
Fidelity Growth Company Fund 9.5 
Fidelity Contrafund 7.0 
Fidelity SAI U.S. Large Cap Index Fund 6.2 
Fidelity Large Cap Value Enhanced Index Fund 5.9 
Fidelity Magellan Fund 5.2 
Fidelity SAI U.S. Value Index Fund 3.6 
Fidelity Small Cap Index Fund 2.9 
Fidelity SAI U.S. Momentum Index Fund 2.0 
Fidelity SAI U.S. Low Volatility Index Fund 1.9 
 55.3 

Asset Allocation (% of fund's net assets)

As of May 31, 2020  
   Common Stocks 42.8% 
   Preferred Stocks 0.1% 
   Large Blend Funds 8.1% 
   Large Growth Funds 34.8% 
   Large Value Funds 9.5% 
   Small Blend Funds 3.4% 
   Small Growth Funds 0.5% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.8% 


Asset allocations of funds in the pie chart reflect the categorizations of assets as defined by Morningstar as of the reporting date.

Schedule of Investments May 31, 2020

Showing Percentage of Net Assets

Common Stocks - 42.8%   
 Shares Value 
COMMUNICATION SERVICES - 3.6%   
Diversified Telecommunication Services - 0.2%   
GCI Liberty, Inc. (a) 184,300 $12,751,717 
Verizon Communications, Inc. 920,687 52,829,020 
Vonage Holdings Corp. (a) 520,297 5,010,460 
  70,591,197 
Entertainment - 0.7%   
Activision Blizzard, Inc. 725,800 52,243,084 
DouYu International Holdings Ltd. ADR (b) 762,650 6,863,850 
Electronic Arts, Inc. (a) 208,000 25,559,040 
Lions Gate Entertainment Corp. Class B (a) 1,061,500 7,993,095 
Netflix, Inc. (a) 77,700 32,613,021 
Nihon Falcom Corp. 5,000 61,431 
Spotify Technology SA (a) 21,200 3,835,716 
Take-Two Interactive Software, Inc. (a) 34,698 4,724,827 
The Walt Disney Co. 542,063 63,583,990 
Vivendi SA 870,000 19,892,848 
  217,370,902 
Interactive Media & Services - 1.3%   
Alphabet, Inc.:   
Class A (a) 122,500 175,606,200 
Class C (a) 46,400 66,301,888 
ANGI Homeservices, Inc. Class A (a)(b) 98,900 1,073,065 
Dip Corp. 1,000 23,599 
Eventbrite, Inc. (a) 10,900 93,958 
Facebook, Inc. Class A (a) 763,200 171,788,688 
Match Group, Inc. (a)(b) 84,500 7,523,880 
Wise Talent Information Technology Co. Ltd. (a)(b) 1,100,103 2,606,502 
Yahoo! Japan Corp. 4,927,400 20,103,445 
YY, Inc. ADR (a) 21,300 1,300,365 
  446,421,590 
Media - 1.3%   
AMC Networks, Inc. Class A (a) 9,100 257,257 
Cable One, Inc. 6,900 13,019,541 
Comcast Corp. Class A 5,601,410 221,815,836 
Corus Entertainment, Inc. Class B (non-vtg.) 95,400 223,802 
Discovery Communications, Inc. Class A (a)(b) 823,900 17,919,825 
DISH Network Corp. Class A (a) 74,700 2,364,255 
F@N Communications, Inc. 26,900 118,730 
Fox Corp. Class A 411,733 12,010,252 
Hyundai HCN 486,513 1,757,077 
Interpublic Group of Companies, Inc. 2,423,000 41,457,530 
Liberty Broadband Corp. Class C (a) 180,200 24,618,924 
Liberty Global PLC Class C (a) 326,700 6,739,821 
Liberty Media Corp. Liberty Formula One Group Series C (a) 704,200 24,400,530 
Nexstar Broadcasting Group, Inc. Class A 110,300 9,189,093 
Nippon Television Network Corp. 70,700 815,530 
Pico Far East Holdings Ltd. 1,000,000 129,283 
The New York Times Co. Class A 399,500 15,672,385 
ViacomCBS, Inc.:   
Class A (b) 224,000 5,494,720 
Class B 655,200 13,588,848 
WOWOW INC. 87,000 2,065,186 
WPP PLC 1,817,500 13,832,030 
  427,490,455 
Wireless Telecommunication Services - 0.1%   
Okinawa Cellular Telephone Co. 33,400 1,285,271 
T-Mobile U.S., Inc. (a) 394,100 39,425,764 
  40,711,035 
TOTAL COMMUNICATION SERVICES  1,202,585,179 
CONSUMER DISCRETIONARY - 3.9%   
Auto Components - 0.4%   
Adient PLC (a) 139,900 2,379,699 
Aptiv PLC 190,500 14,354,175 
BorgWarner, Inc. 1,135,800 36,515,970 
Cooper Tire & Rubber Co. 207,200 5,331,256 
Cooper-Standard Holding, Inc. (a) 5,000 52,450 
DaikyoNishikawa Corp. 50,000 281,886 
DTR Automotive Corp. 11,829 235,687 
Eagle Industry Co. Ltd. 71,400 501,842 
G-Tekt Corp. 537,300 5,649,758 
Gentex Corp. 55,700 1,472,708 
Hi-Lex Corp. 100,300 1,233,231 
Hyundai Mobis 97,500 15,667,735 
IJT Technology Holdings Co. Ltd. 325,900 1,420,307 
Lear Corp. 328,700 34,858,635 
Linamar Corp. 168,000 4,665,955 
Strattec Security Corp. 11,700 150,930 
TPR Co. Ltd. 204,200 2,781,490 
  127,553,714 
Automobiles - 0.1%   
Audi AG 6,017 6,946,338 
General Motors Co. 763,800 19,767,144 
Renault SA 34,000 762,571 
Tesla, Inc. (a) 17,300 14,445,500 
  41,921,553 
Distributors - 0.0%   
Arata Corp. 5,000 211,183 
Harima-Kyowa Co. Ltd. (b) 24,100 342,801 
LKQ Corp. (a) 194,200 5,332,732 
Yagi & Co. Ltd. 60,045 881,369 
  6,768,085 
Diversified Consumer Services - 0.1%   
Afya Ltd. 234,784 4,613,506 
Heian Ceremony Service Co. Ltd. 150,800 1,171,778 
MegaStudy Co. Ltd. 79,794 692,932 
Multicampus Co. Ltd. 33,128 860,363 
Service Corp. International 552,442 21,782,788 
ServiceMaster Global Holdings, Inc. (a) 532,200 17,509,380 
  46,630,747 
Hotels, Restaurants & Leisure - 0.3%   
Eldorado Resorts, Inc. (a)(b) 186,961 6,629,637 
Las Vegas Sands Corp. 308,500 14,789,490 
McDonald's Corp. 309,700 57,703,304 
Starbucks Corp. 85,700 6,683,743 
The Restaurant Group PLC 1,119,900 843,677 
Vail Resorts, Inc. 28,500 5,652,405 
Wendy's Co. 580,950 12,350,997 
  104,653,253 
Household Durables - 0.3%   
Cuckoo Holdings Co. Ltd. 22,347 1,568,815 
FJ Next Co. Ltd. 365,500 2,992,596 
Gree Electric Appliances, Inc. of Zhuhai (A Shares) 470,713 3,755,284 
Iida Group Holdings Co. Ltd. 68,900 1,022,208 
Lennar Corp. Class A 241,700 14,613,182 
Mohawk Industries, Inc. (a) 330,400 30,793,280 
Newell Brands, Inc. 449,400 5,909,610 
Toll Brothers, Inc. 533,485 17,236,900 
Whirlpool Corp. 286,700 34,925,794 
  112,817,669 
Internet & Direct Marketing Retail - 0.8%   
Alibaba Group Holding Ltd. sponsored ADR (a) 52,300 10,846,497 
Amazon.com, Inc. (a) 82,500 201,495,525 
Expedia, Inc. 177,700 14,123,596 
Hyundai Home Shopping Network Corp. 4,861 264,324 
Mercari, Inc. (a) 10,000 297,649 
NS Shopping Co. Ltd. 21,105 163,578 
Ocado Group PLC (a) 74,800 2,024,002 
The Booking Holdings, Inc. (a) 31,170 51,100,721 
  280,315,892 
Leisure Products - 0.2%   
Brunswick Corp. 331,492 18,235,375 
Hasbro, Inc. 322,400 23,699,624 
YETI Holdings, Inc. (a)(b) 282,900 9,081,090 
  51,016,089 
Multiline Retail - 0.2%   
Big Lots, Inc. 1,000 38,750 
Dollar General Corp. 138,000 26,428,380 
Dollar Tree, Inc. (a) 247,900 24,261,973 
Macy's, Inc. (b) 40,000 254,400 
Ryohin Keikaku Co. Ltd. 1,000 15,165 
  50,998,668 
Specialty Retail - 1.1%   
Arc Land Sakamoto Co. Ltd. 30,000 331,031 
AT-Group Co. Ltd. 152,100 1,867,313 
AutoNation, Inc. (a) 168,000 6,632,640 
Bed Bath & Beyond, Inc. (b) 361,700 2,629,559 
Best Buy Co., Inc. 371,000 28,971,390 
Burlington Stores, Inc. (a) 196,945 41,293,458 
Dick's Sporting Goods, Inc. 305,200 11,005,512 
Dunelm Group PLC 259,200 3,412,394 
Five Below, Inc. (a) 134,700 14,096,355 
Foot Locker, Inc. 29,600 819,920 
Gap, Inc. 5,000 44,500 
GNC Holdings, Inc. Class A (a)(b) 717,400 541,207 
Hibbett Sports, Inc. (a)(b) 82,800 1,599,696 
Hour Glass Ltd. 1,871,200 847,656 
JB Hi-Fi Ltd. (b) 74,775 1,850,108 
John David Group PLC 982,400 7,988,130 
Ku Holdings Co. Ltd. 47,500 369,535 
Lookers PLC 828,728 256,893 
Lowe's Companies, Inc. 603,680 78,689,688 
Mandarake, Inc. (b) 15,700 72,207 
Sally Beauty Holdings, Inc. (a) 1,075,000 14,018,000 
Samse SA 2,200 300,380 
The Home Depot, Inc. 276,500 68,704,720 
TJX Companies, Inc. 530,500 27,989,180 
Tokatsu Holdings Co. Ltd. 18,700 68,665 
Ulta Beauty, Inc. (a) 84,100 20,521,241 
Urban Outfitters, Inc. (a) 296,400 5,021,016 
Williams-Sonoma, Inc. 257,200 21,401,612 
  361,344,006 
Textiles, Apparel & Luxury Goods - 0.4%   
Capri Holdings Ltd. (a) 70,200 1,055,808 
Carter's, Inc. 21,300 1,829,883 
Columbia Sportswear Co. 417,000 30,466,020 
Embry Holdings Ltd. 280,000 40,514 
Ff Group (a)(c) 2,700 3,597 
Fossil Group, Inc. (a) 20,800 63,440 
G-III Apparel Group Ltd. (a) 5,000 51,650 
Levi Strauss & Co. Class A (b) 1,294,900 17,468,201 
NIKE, Inc. Class B 484,600 47,771,868 
PVH Corp. 491,800 22,362,146 
Sitoy Group Holdings Ltd. 2,613,000 156,615 
Tapestry, Inc. 943,300 12,828,880 
Ted Baker PLC (b) 59,126 111,941 
Wolverine World Wide, Inc. 1,000 20,940 
  134,231,503 
TOTAL CONSUMER DISCRETIONARY  1,318,251,179 
CONSUMER STAPLES - 2.6%   
Beverages - 0.4%   
Anheuser-Busch InBev SA NV ADR (b) 87,500 4,102,000 
Boston Beer Co., Inc. Class A (a) 23,300 13,158,209 
Britvic PLC 588,000 5,217,603 
C&C Group PLC (United Kingdom) 4,373,700 10,392,524 
Constellation Brands, Inc. Class A (sub. vtg.) 163,100 28,167,370 
Diageo PLC sponsored ADR (b) 58,000 8,155,380 
Monster Beverage Corp. (a) 358,700 25,794,117 
The Coca-Cola Co. 609,960 28,472,933 
Yantai Changyu Pioneer Wine Co. Ltd. (B Shares) 690,621 1,326,627 
  124,786,763 
Food & Staples Retailing - 0.8%   
Amsterdam Commodities NV 40,700 855,691 
BJ's Wholesale Club Holdings, Inc. (a) 314,600 11,325,600 
Halows Co. Ltd. 24,400 701,377 
Kroger Co. 177,100 5,777,002 
Nihon Chouzai Co. Ltd. 13,400 214,832 
OM2 Network Co. Ltd. 70,900 887,524 
Performance Food Group Co. (a) 798,000 21,266,700 
Qol Holdings Co. Ltd. 60,100 718,336 
Retail Partners Co. Ltd. (b) 154,400 2,273,515 
Sapporo Clinical Laboratory 8,200 125,610 
Satoh & Co. Ltd. (b) 12,300 171,307 
Sysco Corp. 1,316,900 72,640,204 
U.S. Foods Holding Corp. (a) 1,812,400 34,689,336 
Walgreens Boots Alliance, Inc. 672,000 28,855,680 
Walmart, Inc. (d) 662,700 82,214,562 
  262,717,276 
Food Products - 0.5%   
Axyz Co. Ltd. 10,000 247,207 
Changshouhua Food Co. Ltd. 2,467,000 781,566 
Conagra Brands, Inc. 935,269 32,538,009 
Ingredion, Inc. 29,600 2,493,208 
JC Comsa Corp. 26,800 115,306 
Kaneko Seeds Co. Ltd. 88,900 1,175,496 
Lotte Samkang Co. Ltd. 1,057 309,684 
Mondelez International, Inc. 738,500 38,490,620 
Origin Enterprises PLC 55,420 171,023 
Pickles Corp. 32,500 692,823 
Post Holdings, Inc. (a) 359,177 31,269,950 
Prima Meat Packers Ltd. 14,600 357,266 
S Foods, Inc. 27,400 648,636 
Toyo Sugar Refining Co. Ltd. 39,400 457,039 
TreeHouse Foods, Inc. (a) 335,800 17,700,018 
Tyson Foods, Inc. Class A 560,600 34,443,264 
  161,891,115 
Household Products - 0.4%   
Colgate-Palmolive Co. 40,700 2,943,831 
Energizer Holdings, Inc. 217,800 9,557,064 
Procter & Gamble Co. 919,898 106,634,576 
Spectrum Brands Holdings, Inc. 133,213 6,303,639 
  125,439,110 
Personal Products - 0.0%   
Hengan International Group Co. Ltd. 280,000 2,305,820 
Unilever NV 62,000 3,204,030 
  5,509,850 
Tobacco - 0.5%   
Altria Group, Inc. 4,192,740 163,726,497 
British American Tobacco PLC sponsored ADR (b) 627,314 25,142,745 
KT&G Corp. 23,699 1,613,721 
Scandinavian Tobacco Group A/S (e) 32,565 488,343 
  190,971,306 
TOTAL CONSUMER STAPLES  871,315,420 
ENERGY - 1.9%   
Energy Equipment & Services - 0.1%   
Baker Hughes Co. Class A 196,900 3,250,819 
Carbo Ceramics, Inc. (a)(b) 159,200 1,910 
Geospace Technologies Corp. (a) 39,300 309,684 
High Arctic Energy Services, Inc. 362,600 171,181 
Hoegh LNG Partners LP (b) 279,700 2,900,489 
Liberty Oilfield Services, Inc. Class A 131,300 676,195 
National Oilwell Varco, Inc. 78,500 978,895 
Oceaneering International, Inc. (a) 483,908 3,106,689 
SBM Offshore NV 177,300 2,418,818 
Subsea 7 SA 823,100 4,724,839 
TechnipFMC PLC 54,100 400,340 
Valaris PLC Class A (a)(b) 319,125 106,875 
  19,046,734 
Oil, Gas & Consumable Fuels - 1.8%   
Africa Oil Corp. (a)(b) 1,159,800 892,899 
Aker Bp ASA 76,500 1,228,864 
Apache Corp. 594,200 6,411,418 
Baytex Energy Corp. (a) 2,463,500 751,476 
Bonavista Energy Corp. (a)(b) 877,200 98,752 
Bonterra Energy Corp. (b) 218,300 218,799 
BP PLC sponsored ADR 650,400 15,050,256 
Cabot Oil & Gas Corp. 1,554,200 30,835,328 
Canadian Natural Resources Ltd. 442,100 8,075,546 
Cenovus Energy, Inc. (Canada) 4,262,763 18,576,154 
Cheniere Energy, Inc. (a) 51,100 2,266,285 
Chevron Corp. 183,500 16,826,950 
China Petroleum & Chemical Corp.:   
(H Shares) 27,436,000 12,800,826 
sponsored ADR (H Shares) 9,600 456,288 
CNOOC Ltd. sponsored ADR 19,400 2,213,928 
CNX Resources Corp. (a) 146,900 1,496,911 
ConocoPhillips Co. 100,700 4,247,526 
Delek U.S. Holdings, Inc. 655,728 12,898,170 
Enbridge, Inc. 51,500 1,671,175 
Enterprise Products Partners LP 118,000 2,253,800 
EQT Corp. 1,119,900 14,939,466 
Equinor ASA sponsored ADR (b) 2,748,991 40,107,779 
Exxon Mobil Corp. 3,740,445 170,078,034 
Frontline Ltd. (NY Shares) 10,000 91,300 
Galp Energia SGPS SA Class B 356,000 4,235,756 
GasLog Partners LP (b) 152,822 670,889 
Gibson Energy, Inc. 57,200 884,889 
Golar LNG Partners LP 778,067 1,890,703 
Hess Corp. 1,119,000 53,118,930 
Husky Energy, Inc. 1,175,800 3,313,436 
Imperial Oil Ltd. 140,100 2,188,729 
Kosmos Energy Ltd. 1,671,800 3,042,676 
Magnolia Oil & Gas Corp. Class A (a) 1,811,900 10,056,045 
Marathon Oil Corp. 122,000 651,480 
Marathon Petroleum Corp. 12,800 449,792 
MEG Energy Corp. (a) 1,039,825 2,416,705 
Motor Oil (HELLAS) Corinth Refineries SA 111,300 1,853,228 
Murphy Oil Corp. (b) 280,000 3,346,000 
NuVista Energy Ltd. (a) 5,000 2,760 
Oil & Natural Gas Corp. Ltd. 3,359,500 3,696,983 
Parex Resources, Inc. (a) 2,053,026 23,082,284 
Phillips 66 Co. 144,600 11,316,396 
Pioneer Natural Resources Co. 1,000 91,600 
QEP Resources, Inc. 35,700 30,474 
Seven Generations Energy Ltd. (a) 5,000 10,531 
Shell Midstream Partners LP (b) 100,413 1,354,571 
Sinopec Kantons Holdings Ltd. 5,064,000 1,807,787 
Southwestern Energy Co. (a)(b) 5,028,284 15,135,135 
Star Petroleum Refining PCL 2,366,800 502,229 
Teekay LNG Partners LP 1,185,500 13,230,180 
Thai Oil PCL (For. Reg.) 468,100 632,766 
Total SA sponsored ADR 1,387,900 52,157,282 
Tourmaline Oil Corp. 74,500 740,211 
Tsakos Energy Navigation Ltd. 50,000 133,500 
Unit Corp. (a)(b) 1,616,500 70,318 
Valero Energy Corp. 434,300 28,941,752 
Whiting Petroleum Corp. (a)(b) 23,300 16,308 
World Fuel Services Corp. 112,000 2,853,760 
  608,414,015 
TOTAL ENERGY  627,460,749 
FINANCIALS - 6.4%   
Banks - 2.6%   
Bank of America Corp. 8,362,909 201,713,365 
BankUnited, Inc. 649,481 12,002,409 
Boston Private Financial Holdings, Inc. 974,719 6,696,320 
CIT Group, Inc. 317,900 5,766,706 
Citigroup, Inc. 933,600 44,728,776 
Comerica, Inc. 195,800 7,117,330 
Credit Agricole Atlantique Vendee 7,800 1,175,117 
Cullen/Frost Bankers, Inc. 95,200 7,232,344 
East West Bancorp, Inc. 5,000 174,750 
EFG Eurobank Ergasias SA (a) 5,539,200 2,336,540 
First Citizens Bancshares, Inc. 11,593 4,463,305 
First Foundation, Inc. 700,773 10,441,518 
First Horizon National Corp. 1,890,570 17,676,830 
FNB Corp., Pennsylvania 2,381,255 17,645,100 
Gunma Bank Ltd. 468,400 1,463,682 
Hiroshima Bank Ltd. 65,700 307,650 
Huntington Bancshares, Inc. 1,053,700 9,367,393 
JPMorgan Chase & Co. 864,671 84,141,135 
KeyCorp 588,695 6,976,036 
M&T Bank Corp. 237,400 25,083,684 
NIBC Holding NV (e) 660,726 5,258,757 
Northrim Bancorp, Inc. 5,000 115,350 
Ogaki Kyoritsu Bank Ltd. 51,400 1,083,811 
PNC Financial Services Group, Inc. 578,034 65,918,997 
Shinsei Bank Ltd. 82,500 1,055,207 
Signature Bank 36,100 3,715,051 
Skandiabanken ASA (e) 110,600 735,001 
Societe Generale Series A 83,700 1,238,161 
Sumitomo Mitsui Financial Group, Inc. 615,900 17,874,852 
Synovus Financial Corp. 108,500 2,082,115 
TCF Financial Corp. 667,200 19,295,424 
The Keiyo Bank Ltd. 148,400 712,793 
The San-In Godo Bank Ltd. 142,300 700,647 
Truist Financial Corp. 1,928,345 70,924,529 
U.S. Bancorp 587,327 20,885,348 
Unicaja Banco SA (e) 1,829,300 995,407 
United Community Bank, Inc. 842,499 16,470,855 
Van Lanschot NV (Bearer) 5,800 89,235 
Wells Fargo & Co. 6,321,513 167,330,449 
Western Alliance Bancorp. 243,600 9,293,340 
Yamaguchi Financial Group, Inc. 127,800 763,162 
  873,048,481 
Capital Markets - 1.1%   
Affiliated Managers Group, Inc. 221,800 14,776,316 
Ares Capital Corp. 38,829 572,728 
Bank of New York Mellon Corp. 1,353,000 50,291,010 
BlackRock, Inc. Class A 95,600 50,537,984 
Cboe Global Markets, Inc. 160,700 17,108,122 
Cowen Group, Inc. Class A 345,900 4,520,913 
Daou Data Corp. 1,000 11,159 
Goldman Sachs Group, Inc. 134,300 26,388,607 
Intercontinental Exchange, Inc. 248,200 24,137,450 
Invesco Ltd. 593,700 4,731,789 
KKR & Co. LP 376,200 10,439,550 
Lazard Ltd. Class A 387,408 10,405,779 
Morgan Stanley 688,530 30,433,026 
Morningstar, Inc. 77,900 11,943,628 
Northern Trust Corp. 452,200 35,728,322 
Raymond James Financial, Inc. 71,963 4,985,597 
State Street Corp. 1,112,546 67,820,804 
Virtu Financial, Inc. Class A 659,500 15,729,075 
  380,561,859 
Consumer Finance - 0.9%   
360 Finance, Inc. ADR (a) 138,300 1,389,915 
Aeon Credit Service (Asia) Co. Ltd. 3,946,000 2,677,823 
Ally Financial, Inc. 806,400 14,063,616 
American Express Co. 101,500 9,649,605 
Capital One Financial Corp. 1,455,000 98,998,200 
Discover Financial Services 2,067,500 98,226,925 
Encore Capital Group, Inc. (a)(b) 8,826 280,402 
First Cash Financial Services, Inc. 213,110 14,868,685 
Navient Corp. 92,600 688,944 
OneMain Holdings, Inc. 592,159 13,815,069 
Santander Consumer U.S.A. Holdings, Inc. (b) 185,300 3,063,009 
Shriram Transport Finance Co. Ltd. 331,600 2,510,081 
SLM Corp. 1,741,200 13,198,296 
Synchrony Financial 1,119,900 22,812,363 
  296,242,933 
Diversified Financial Services - 0.3%   
Berkshire Hathaway, Inc.:   
Class A (a) 2 557,280 
Class B (a) 299,400 55,562,652 
Fuyo General Lease Co. Ltd. 92,300 5,289,202 
Ricoh Leasing Co. Ltd. 114,000 3,313,923 
Voya Financial, Inc. 530,910 23,917,496 
  88,640,553 
Insurance - 1.2%   
AFLAC, Inc. 273,400 9,970,898 
Allstate Corp. 212,000 20,735,720 
American International Group, Inc. 730,271 21,951,946 
ASR Nederland NV 92,500 2,536,187 
Assurant, Inc. 211,530 21,698,747 
Axis Capital Holdings Ltd. 443,800 16,660,252 
Brown & Brown, Inc. 469,782 18,885,236 
Chubb Ltd. 385,800 47,044,452 
Db Insurance Co. Ltd. 280,000 9,862,436 
Fairfax Financial Holdings Ltd. (sub. vtg.) 10,000 2,777,863 
First American Financial Corp. 223,400 11,279,466 
Genworth Financial, Inc. Class A 324,100 988,505 
Globe Life, Inc. 131,800 10,151,236 
Hartford Financial Services Group, Inc. 517,600 19,818,904 
Hyundai Fire & Marine Insurance Co. Ltd. 212,600 4,184,190 
Lincoln National Corp. 174,200 6,607,406 
Marsh & McLennan Companies, Inc. 135,100 14,309,792 
MetLife, Inc. 1,869,300 67,313,493 
NN Group NV 150,203 4,610,490 
Prudential Financial, Inc. 69,200 4,218,432 
Selectquote, Inc. 149,800 4,122,496 
Sul America SA unit 10,000 84,047 
The Travelers Companies, Inc. 687,800 73,580,844 
Willis Group Holdings PLC 80,600 16,353,740 
  409,746,778 
Mortgage Real Estate Investment Trusts - 0.1%   
AGNC Investment Corp. 427,400 5,530,556 
Annaly Capital Management, Inc. 759,400 4,677,904 
MFA Financial, Inc. (b) 1,547,900 2,615,951 
Redwood Trust, Inc. 67,500 361,125 
  13,185,536 
Thrifts & Mortgage Finance - 0.2%   
ASAX Co. Ltd. 188,500 1,115,147 
Essent Group Ltd. 957,930 31,659,587 
Genworth Mortgage Insurance Ltd. 232,786 325,843 
MGIC Investment Corp. 4,633,500 38,041,035 
Radian Group, Inc. 374 5,939 
  71,147,551 
TOTAL FINANCIALS  2,132,573,691 
HEALTH CARE - 7.9%   
Biotechnology - 1.7%   
AbbVie, Inc. 108,900 10,091,763 
Acceleron Pharma, Inc. (a) 88,000 8,697,040 
ADC Therapeutics SA (a)(b) 168,600 6,229,770 
Alexion Pharmaceuticals, Inc. (a) 571,100 68,474,890 
Alnylam Pharmaceuticals, Inc. (a) 88,000 11,903,760 
Amgen, Inc. 342,900 78,764,130 
Arcutis Biotherapeutics, Inc. (a)(b) 100,000 3,355,000 
Argenx SE ADR (a) 60,000 13,158,000 
Ascendis Pharma A/S sponsored ADR (a) 96,000 13,967,040 
Aurinia Pharmaceuticals, Inc. (a) 468,700 7,438,269 
BELLUS Health, Inc. (a) 260,000 2,727,400 
Biogen, Inc. (a) 59,000 18,118,310 
Blueprint Medicines Corp. (a) 318,398 20,740,446 
Cell Biotech Co. Ltd. 55,372 714,535 
Crinetics Pharmaceuticals, Inc. (a)(b) 69,800 1,140,532 
Gilead Sciences, Inc. 200,100 15,573,783 
Global Blood Therapeutics, Inc. (a) 345,330 24,145,474 
Gritstone Oncology, Inc. (a)(b) 205,600 1,328,176 
Heron Therapeutics, Inc. (a) 29,900 544,778 
Innovent Biologics, Inc. (a)(e) 700,000 3,844,035 
Insmed, Inc. (a) 144,138 3,501,112 
Intercept Pharmaceuticals, Inc. (a)(b) 87,175 6,299,266 
Neurocrine Biosciences, Inc. (a) 75,000 9,357,000 
ORIC Pharmaceuticals, Inc. (a)(b) 135,000 3,917,700 
Passage Bio, Inc. 85,000 1,872,550 
Principia Biopharma, Inc. (a) 86,700 5,539,263 
PTC Therapeutics, Inc. (a) 218,200 11,064,922 
Regeneron Pharmaceuticals, Inc. (a) 120,900 74,088,729 
Revolution Medicines, Inc. (b) 130,000 3,993,600 
Sarepta Therapeutics, Inc. (a) 285,892 43,532,775 
Seattle Genetics, Inc. (a) 178,500 28,061,985 
TG Therapeutics, Inc. (a) 148,000 2,760,200 
Turning Point Therapeutics, Inc. (a)(b) 60,000 4,155,000 
Twist Bioscience Corp. (a) 110,000 4,174,500 
United Therapeutics Corp. (a) 70,900 8,362,655 
Vertex Pharmaceuticals, Inc. (a) 92,000 26,492,320 
Xencor, Inc. (a) 100,000 3,025,000 
Zymeworks, Inc. (a) 110,311 4,205,055 
  555,360,763 
Health Care Equipment & Supplies - 1.0%   
A&T Corp. (b) 21,000 317,400 
Atricure, Inc. (a) 506,300 24,206,203 
Becton, Dickinson & Co. 226,100 55,830,873 
Boston Scientific Corp. (a) 1,671,921 63,516,279 
Danaher Corp. 114,000 18,993,540 
Fukuda Denshi Co. Ltd. 78,400 5,372,303 
Genmark Diagnostics, Inc. (a) 800,000 7,592,000 
Hologic, Inc. (a) 392,900 20,823,700 
Insulet Corp. (a) 90,000 16,971,300 
Intuitive Surgical, Inc. (a) 39,000 22,621,170 
Masimo Corp. (a) 56,000 13,450,640 
Meridian Bioscience, Inc. (a) 1,000 15,460 
Nanosonics Ltd. (a) 600,000 2,891,494 
Nevro Corp. (a) 30,000 3,768,000 
OraSure Technologies, Inc. (a) 400,000 5,816,000 
Penumbra, Inc. (a) 92,000 15,862,640 
Quidel Corp. (a) 62,000 10,850,000 
STERIS PLC 139,449 23,133,195 
Tandem Diabetes Care, Inc. (a) 318,300 26,466,645 
  338,498,842 
Health Care Providers & Services - 2.9%   
1Life Healthcare, Inc. (a)(b) 140,000 4,522,000 
AmerisourceBergen Corp. 41,100 3,918,474 
Anthem, Inc. 358,000 105,291,380 
Cardinal Health, Inc. 417,700 22,844,013 
Centene Corp. (a) 1,562,300 103,502,375 
Cigna Corp. 875,677 172,788,586 
Covetrus, Inc. (a) 147,500 2,253,800 
CVS Health Corp. 1,723,212 112,991,011 
Humana, Inc. 145,000 59,544,250 
Laboratory Corp. of America Holdings (a) 64,900 11,378,268 
LHC Group, Inc. (a) 157,400 25,579,074 
McKesson Corp. 266,290 42,252,234 
MEDNAX, Inc. (a) 82,600 1,282,778 
Molina Healthcare, Inc. (a) 136,300 25,327,266 
Patterson Companies, Inc. 58,100 1,143,989 
Quest Diagnostics, Inc. 3,700 437,636 
R1 RCM, Inc. (a) 1,257,700 13,344,197 
Tokai Corp. 126,800 3,234,520 
UnitedHealth Group, Inc. 781,800 238,331,730 
Universal Health Services, Inc. Class B 112,000 11,810,400 
  961,777,981 
Health Care Technology - 0.1%   
Inspire Medical Systems, Inc. (a) 75,000 6,115,500 
Livongo Health, Inc. (b) 343,700 20,597,941 
Phreesia, Inc. 348,100 10,206,292 
Veeva Systems, Inc. Class A (a) 24,000 5,252,880 
  42,172,613 
Life Sciences Tools & Services - 0.2%   
10X Genomics, Inc. (a) 80,000 6,237,600 
Bio-Rad Laboratories, Inc. Class A (a) 64,016 31,452,341 
Bruker Corp. 670,400 29,014,912 
ICON PLC (a) 5,200 875,940 
Lonza Group AG 21,000 10,370,235 
  77,951,028 
Pharmaceuticals - 2.0%   
AstraZeneca PLC (United Kingdom) 380,000 40,925,923 
Bayer AG 758,882 51,876,868 
Bristol-Myers Squibb Co. 2,789,000 166,559,080 
Bristol-Myers Squibb Co. rights (a) 727,000 2,391,830 
Dawnrays Pharmaceutical Holdings Ltd. 8,086,000 972,570 
Elanco Animal Health, Inc. (a) 79,000 1,691,390 
Eli Lilly & Co. 314,000 48,026,300 
Genomma Lab Internacional SA de CV (a) 1,500,000 1,367,111 
GlaxoSmithKline PLC sponsored ADR 1,269,358 53,211,487 
Jazz Pharmaceuticals PLC (a) 56,000 6,681,920 
Johnson & Johnson 507,185 75,443,769 
Korea United Pharm, Inc. 41,212 655,566 
Mylan NV (a) 25,000 426,750 
MyoKardia, Inc. (a) 76,000 7,774,040 
Nektar Therapeutics (a)(b) 180,000 3,906,000 
Nippon Chemiphar Co. Ltd. 10,400 264,617 
Reata Pharmaceuticals, Inc. (a) 106,700 15,505,644 
Roche Holding AG (participation certificate) 297,926 103,416,602 
Sanofi SA 270,000 26,409,997 
Sanofi SA sponsored ADR 900,000 44,199,000 
Taro Pharmaceutical Industries Ltd. (a) 11,200 763,168 
Theravance Biopharma, Inc. (a) 180,000 4,545,000 
  657,014,632 
TOTAL HEALTH CARE  2,632,775,859 
INDUSTRIALS - 4.7%   
Aerospace & Defense - 0.8%   
Airbus Group NV 268,200 17,139,861 
General Dynamics Corp. 293,923 43,156,714 
HEICO Corp. Class A 212,246 17,818,052 
Huntington Ingalls Industries, Inc. 151,800 30,343,302 
Lockheed Martin Corp. 196,600 76,367,304 
Raytheon Technologies Corp. 812,669 52,433,404 
Safran SA 22,400 2,158,438 
Teledyne Technologies, Inc. (a) 70,000 26,188,400 
The Boeing Co. 18,400 2,683,640 
Vectrus, Inc. (a) 5,000 274,600 
  268,563,715 
Air Freight & Logistics - 0.3%   
Deutsche Post AG 229,400 7,184,399 
Expeditors International of Washington, Inc. 44,700 3,413,739 
FedEx Corp. 135,330 17,668,685 
Onelogix Group Ltd. 488,862 69,712 
United Parcel Service, Inc. Class B 504,406 50,294,322 
XPO Logistics, Inc. (a) 93,700 7,384,497 
  86,015,354 
Airlines - 0.1%   
Alaska Air Group, Inc. 481,600 16,465,904 
Copa Holdings SA Class A (b) 318,300 13,960,638 
Hawaiian Holdings, Inc. 2,000 28,860 
Ryanair Holdings PLC sponsored ADR (a) 30,900 2,217,693 
  32,673,095 
Building Products - 0.5%   
Apogee Enterprises, Inc. 5,000 103,250 
Carrier Global Corp. (a) 291,620 5,969,461 
Fortune Brands Home & Security, Inc. 1,076,529 65,625,208 
Jeld-Wen Holding, Inc. (a) 261,200 3,560,156 
Johnson Controls International PLC 50,700 1,592,487 
KVK Corp. 5,500 70,940 
Nihon Dengi Co. Ltd. 103,900 3,078,126 
Owens Corning 444,000 23,310,000 
Trane Technologies PLC 660,600 59,592,726 
  162,902,354 
Commercial Services & Supplies - 0.0%   
IAA Spinco, Inc. (a) 42,400 1,738,400 
Nippon Kanzai Co. Ltd. 28,300 486,777 
Steelcase, Inc. Class A 130,800 1,514,664 
VSE Corp. 1,000 26,000 
  3,765,841 
Construction & Engineering - 0.0%   
Arcadis NV 44,800 765,846 
Boustead Projs. Pte Ltd. 2,180,500 1,142,108 
Joban Kaihatsu Co. Ltd. 1,400 63,026 
Kawasaki Setsubi Kogyo Co. Ltd. 23,200 111,219 
Meisei Industrial Co. Ltd. 425,200 2,980,678 
Raiznext Corp. 450,800 5,358,854 
Seikitokyu Kogyo Co. Ltd. 72,400 538,410 
Watanabe Sato Co. Ltd. 4,100 80,217 
  11,040,358 
Electrical Equipment - 0.6%   
Acuity Brands, Inc. 285,100 24,561,365 
Aichi Electric Co. Ltd. (b) 58,100 1,158,283 
AMETEK, Inc. 632,700 58,024,917 
Eaton Corp. PLC 16,800 1,426,320 
Emerson Electric Co. 454,300 27,721,386 
Gerard Perrier Industrie SA 5,000 350,776 
Hubbell, Inc. Class B 55,900 6,843,278 
Iwabuchi Corp. 1,600 91,390 
Regal Beloit Corp. 215,600 17,148,824 
Sensata Technologies, Inc. PLC (a) 28,000 998,200 
Sunrun, Inc. (a) 156,800 2,618,560 
Terasaki Electric Co. Ltd. 33,600 332,744 
Vertiv Holdings Co. (a) 496,900 6,325,537 
Vertiv Holdings LLC (f) 600,000 7,638,000 
Vestas Wind Systems A/S 227,400 23,225,667 
Vivint Solar, Inc. (a)(b) 2,243,782 16,873,241 
  195,338,488 
Industrial Conglomerates - 0.7%   
3M Co. 51,400 8,041,016 
Carlisle Companies, Inc. 206,520 24,753,487 
General Electric Co. 20,776,208 136,499,687 
Mytilineos SA 239,500 1,892,902 
Reunert Ltd. 56,900 140,786 
Roper Technologies, Inc. 87,900 34,615,020 
Siemens AG 253,500 27,949,574 
  233,892,472 
Machinery - 0.8%   
Conrad Industries, Inc. (a) 5,400 50,490 
Crane Co. 1,000 55,720 
Cummins, Inc. 24,800 4,206,080 
Flowserve Corp. 496,527 12,959,355 
Fortive Corp. 870,200 53,064,796 
Fukushima Industries Corp. 4,100 126,028 
Gardner Denver Holdings, Inc. (a) 1,751,253 49,385,335 
Haitian International Holdings Ltd. 1,290,000 2,745,067 
Hy-Lok Corp. 14,316 153,948 
IDEX Corp. 228,727 36,452,222 
ITT, Inc. 94,600 5,458,420 
Koike Sanso Kogyo Co. Ltd. 2,200 43,778 
Nakanishi Manufacturing Co. Ltd. 20,000 175,252 
Nansin Co. Ltd. 32,900 150,093 
Oshkosh Corp. 337,200 24,217,704 
Otis Worldwide Corp. 717,384 37,770,268 
Sakura Rubber Co. Ltd. 20,000 915,202 
Stanley Black & Decker, Inc. 236,000 29,606,200 
The Hanshin Diesel Works Ltd. 4,500 78,696 
Westinghouse Air Brake Co. 113,162 6,910,803 
Yamada Corp. 19,700 391,826 
  264,917,283 
Marine - 0.0%   
Japan Transcity Corp. 280,300 1,346,334 
Professional Services - 0.0%   
ABIST Co. Ltd. 26,000 590,421 
Bertrandt AG 18,100 718,286 
Career Design Center Co. Ltd. 22,100 201,440 
McMillan Shakespeare Ltd. 46,017 265,012 
RELX PLC (London Stock Exchange) 338,764 7,838,228 
Robert Half International, Inc. 5,000 253,700 
SHL-JAPAN Ltd. 34,200 653,271 
  10,520,358 
Road & Rail - 0.6%   
Autohellas SA 51,600 222,241 
CSX Corp. 709,900 50,814,642 
Daqin Railway Co. Ltd. (A Shares) 2,952,141 2,820,919 
J.B. Hunt Transport Services, Inc. 90,400 10,818,168 
Knight-Swift Transportation Holdings, Inc. Class A 528,100 21,974,241 
Landstar System, Inc. 244,920 28,474,399 
Lyft, Inc. (a) 614,183 19,199,361 
Meitetsu Transport Co. Ltd. 5,000 99,680 
NANSO Transport Co. Ltd. 46,700 484,559 
Nikkon Holdings Co. Ltd. 47,600 963,078 
Old Dominion Freight Lines, Inc. 223,709 38,274,373 
Ryder System, Inc. 153,000 5,241,780 
Schneider National, Inc. Class B 840,600 20,317,302 
STEF-TFE Group 3,667 299,186 
Tohbu Network Co. Ltd. 42,500 339,306 
Uber Technologies, Inc. 65,772 2,388,839 
Utoc Corp. 136,300 580,108 
  203,312,182 
Trading Companies & Distributors - 0.3%   
AerCap Holdings NV (a) 88,600 2,856,464 
Beacon Roofing Supply, Inc. (a) 97,600 2,402,912 
Beijer Ref AB (B Shares) 20,000 592,196 
Canox Corp. 78,839 547,549 
Daiichi Jitsugyo Co. Ltd. 5,900 206,523 
Green Cross Co. Ltd. 81,100 585,060 
HD Supply Holdings, Inc. (a) 1,212,180 38,438,228 
Howden Joinery Group PLC 26,900 195,874 
Itochu Corp. 1,926,200 41,258,491 
Kamei Corp. 229,200 2,286,793 
Mitani Shoji Co. Ltd. 56,600 3,406,129 
Mitsubishi Corp. 447,900 10,445,255 
MSC Industrial Direct Co., Inc. Class A 5,000 346,700 
Narasaki Sangyo Co. Ltd. 9,600 157,114 
Nishikawa Keisoku Co. Ltd. 5,800 220,502 
Pla Matels Corp. 49,800 271,061 
Sam Yung Trading Co. Ltd. 2,000 23,049 
Shinsho Corp. 90,900 1,643,609 
United Rentals, Inc. (a) 39,800 5,527,822 
  111,411,331 
Transportation Infrastructure - 0.0%   
Isewan Terminal Service Co. Ltd. 191,300 1,404,883 
Qingdao Port International Co. Ltd. (H Shares) (e) 4,884,814 2,665,846 
  4,070,729 
TOTAL INDUSTRIALS  1,589,769,894 
INFORMATION TECHNOLOGY - 8.1%   
Communications Equipment - 0.3%   
Cisco Systems, Inc. 1,376,400 65,819,448 
CommScope Holding Co., Inc. (a) 317,700 3,275,487 
Ericsson (B Shares) sponsored ADR 461,948 4,222,205 
F5 Networks, Inc. (a) 112,000 16,231,040 
Juniper Networks, Inc. 48,500 1,176,610 
Lumentum Holdings, Inc. (a) 2,400 175,968 
  90,900,758 
Electronic Equipment & Components - 0.6%   
Arrow Electronics, Inc. (a) 20,100 1,388,508 
Avnet, Inc. 552,300 15,044,652 
Cognex Corp. 259,100 14,701,334 
Daido Signal Co. Ltd. 104,500 535,848 
Elematec Corp. 116,200 958,950 
Flextronics International Ltd. (a) 1,752,503 17,016,804 
HAGIAWARA ELECTRIC Co. Ltd. 15,000 309,055 
II-VI, Inc. (a) 502,514 23,884,490 
Insight Enterprises, Inc. (a) 96,031 4,922,549 
Jabil, Inc. 1,828,997 54,723,590 
Kingboard Chemical Holdings Ltd. 1,500,000 3,652,647 
Makus, Inc. 658,447 1,881,048 
New Cosmos Electric Co. Ltd. 6,200 100,952 
PAX Global Technology Ltd. 5,140,000 1,997,048 
Redington India Ltd. 507,144 581,567 
Riken Kieki Co. Ltd. 55,200 1,241,738 
ScanSource, Inc. (a) 33,200 818,380 
TE Connectivity Ltd. 434,200 35,278,750 
Trimble, Inc. (a) 744,000 29,105,280 
  208,143,190 
IT Services - 1.3%   
Amdocs Ltd. 319,500 19,892,070 
Avant Corp. 297,400 3,107,884 
Capgemini SA 103,900 10,622,279 
Cielo SA 365,700 280,290 
Cognizant Technology Solutions Corp. Class A 425,100 22,530,300 
Data Applications Co. Ltd. 5,000 66,484 
DXC Technology Co. 182,012 2,586,391 
E-Credible Co. Ltd. 97,188 1,684,019 
Enea Data AB (a) 67,600 1,034,531 
FDM Group Holdings PLC 5,000 55,575 
Fidelity National Information Services, Inc. 365,267 50,710,018 
Gartner, Inc. (a) 201,100 24,473,870 
Genpact Ltd. 910,340 32,726,723 
Global Payments, Inc. 70,962 12,736,969 
GoDaddy, Inc. (a) 643,104 49,679,784 
IBM Corp. 42,300 5,283,270 
Korea Information & Communication Co. Ltd. (a) 18,423 149,519 
MasterCard, Inc. Class A 42,000 12,637,380 
PayPal Holdings, Inc. (a) 278,062 43,102,391 
Sabre Corp. 579,200 4,037,024 
Twilio, Inc. Class A (a) 256,099 50,605,162 
Unisys Corp. (a) 422,500 4,799,600 
Visa, Inc. Class A 309,057 60,340,289 
WEX, Inc. (a) 134,600 19,931,568 
Worldline SA (a)(e) 66,200 4,932,334 
  438,005,724 
Semiconductors & Semiconductor Equipment - 1.3%   
Advanced Micro Devices, Inc. (a) 205,561 11,059,182 
Analog Devices, Inc. 32,600 3,682,170 
Applied Materials, Inc. 325,923 18,310,354 
Broadcom, Inc. 9,300 2,708,811 
Cirrus Logic, Inc. (a) 71,400 5,175,072 
Intel Corp. 1,172,500 73,785,425 
Lam Research Corp. 22,942 6,278,537 
Marvell Technology Group Ltd. 1,348,360 43,983,503 
MediaTek, Inc. 288,000 4,449,398 
Microchip Technology, Inc. 500 48,010 
Micron Technology, Inc. (a) 805,566 38,594,667 
Miraial Co. Ltd. 30,400 363,915 
NVIDIA Corp. 160,965 57,145,794 
NXP Semiconductors NV 540,242 51,917,256 
ON Semiconductor Corp. (a) 604,450 9,967,381 
Phison Electronics Corp. 44,000 403,751 
Qualcomm, Inc. 960,901 77,717,673 
Sanken Electric Co. Ltd. 94,689 2,188,001 
Skyworks Solutions, Inc. 177,611 21,054,008 
STMicroelectronics NV (France) 162,900 4,045,611 
Xilinx, Inc. 10,771 990,393 
  433,868,912 
Software - 3.3%   
Adobe, Inc. (a) 105,448 40,766,197 
Autodesk, Inc. (a) 156,664 32,958,972 
Blackbaud, Inc. 337,800 19,798,458 
Box, Inc. Class A (a) 1,020,600 20,391,588 
Citrix Systems, Inc. 26,654 3,947,990 
Cloudflare, Inc. (a) 356,529 10,364,298 
Cyient Ltd. 478,727 1,260,374 
Dynatrace, Inc. 74,700 2,873,709 
eBase Co. Ltd. 178,300 2,149,288 
Elastic NV (a) 391,219 33,613,536 
Encourage Technologies Co. Ltd. 5,000 39,455 
Envestnet, Inc. (a) 100 7,261 
HubSpot, Inc. (a) 130,300 26,052,182 
LivePerson, Inc. (a)(b) 537,316 20,122,484 
Micro Focus International PLC sponsored ADR 12,029 58,942 
Microsoft Corp. 2,918,950 534,897,588 
Nortonlifelock, Inc. 1,585,553 36,118,897 
Nuance Communications, Inc. (a) 349,300 7,991,984 
Nutanix, Inc. Class A (a) 35,800 861,348 
Oracle Corp. 680,405 36,585,377 
Parametric Technology Corp. (a) 426,200 32,553,156 
Pluralsight, Inc. (a) 977,000 20,350,910 
Proofpoint, Inc. (a) 179,520 20,872,790 
RealPage, Inc. (a) 393,800 26,707,516 
RingCentral, Inc. (a) 7,995 2,192,629 
Salesforce.com, Inc. (a) 262,770 45,929,568 
SAP SE sponsored ADR (b) 299,756 38,398,744 
Sinosoft Tech Group Ltd. 5,632,000 653,555 
SS&C Technologies Holdings, Inc. 74,995 4,341,836 
SurveyMonkey (a) 177,800 3,582,670 
System Research Co. Ltd. 14,200 249,252 
Tenable Holdings, Inc. (a) 330,900 10,347,243 
Toho System Science Co. Ltd. (b) 11,200 93,052 
Workday, Inc. Class A (a) 58,414 10,714,880 
Workiva, Inc. (a) 338,893 15,094,294 
Yext, Inc. (a)(b) 393,658 6,215,860 
Zendesk, Inc. (a) 336,767 28,877,770 
Zensar Technologies Ltd. 25,000 28,718 
  1,098,064,371 
Technology Hardware, Storage & Peripherals - 1.3%   
Apple, Inc. 1,232,627 391,901,428 
Dell Technologies, Inc. (a) 30 1,489 
Elecom Co. Ltd. 52,100 2,468,645 
HP, Inc. 1,302,717 19,723,135 
NetApp, Inc. 1,000 44,540 
Western Digital Corp. 759,864 33,715,166 
Xerox Holdings Corp. 56,056 890,169 
  448,744,572 
TOTAL INFORMATION TECHNOLOGY  2,717,727,527 
MATERIALS - 1.4%   
Chemicals - 0.6%   
Albemarle Corp. U.S. (b) 177,400 13,574,648 
Amyris, Inc. (a)(b) 2,376,133 8,862,976 
Balchem Corp. 95,400 9,602,010 
C. Uyemura & Co. Ltd. 74,000 4,453,243 
Cabot Corp. 7,400 264,328 
CF Industries Holdings, Inc. 430,810 12,652,890 
DuPont de Nemours, Inc. 1,523,800 77,302,374 
Ecolab, Inc. 20,700 4,400,406 
Innospec, Inc. 185,111 14,270,207 
Isamu Paint Co. Ltd. 2,600 71,603 
KPC Holdings Corp. 7,154 254,888 
Linde PLC 55,500 11,229,870 
Livent Corp. (a)(b) 1,223,914 8,249,180 
LyondellBasell Industries NV Class A 71,800 4,577,968 
NOF Corp. 21,600 767,101 
Nutrien Ltd. 151,300 5,164,760 
PPG Industries, Inc. 45,500 4,625,985 
Scientex Bhd 590,400 1,124,442 
Toho Acetylene Co. Ltd. 92,650 1,101,370 
Yara International ASA 50,300 1,721,038 
Yip's Chemical Holdings Ltd. 450,000 136,800 
  184,408,087 
Construction Materials - 0.1%   
Kunimine Industries Co. Ltd. 5,000 46,270 
Mitani Sekisan Co. Ltd. 16,400 784,682 
Summit Materials, Inc. (a) 1,850,000 28,101,500 
Vulcan Materials Co. 142,700 15,457,264 
  44,389,716 
Containers & Packaging - 0.1%   
Crown Holdings, Inc. (a) 507,230 33,188,059 
Mayr-Melnhof Karton AG 11,200 1,678,396 
Packaging Corp. of America 5,300 537,473 
Silgan Holdings, Inc. 18,100 605,264 
  36,009,192 
Metals & Mining - 0.6%   
ArcelorMittal SA Class A unit 101,800 979,316 
BHP Billiton Ltd. sponsored ADR (b) 317,910 14,973,561 
Chubu Steel Plate Co. Ltd. 169,800 1,002,945 
CI Resources Ltd. 136,202 68,089 
CK-SAN-ETSU Co. Ltd. 38,800 1,160,276 
Compania de Minas Buenaventura SA sponsored ADR 168,400 1,321,940 
First Quantum Minerals Ltd. 1,555,500 9,117,104 
Kaiser Aluminum Corp. 120,400 8,638,700 
Labrador Iron Ore Royalty Corp. 4,700 76,499 
Lundin Mining Corp. 5,400,700 24,868,677 
Mount Gibson Iron Ltd. 4,478,894 2,030,077 
Newmont Corp. 1,569,800 91,786,206 
Pacific Metals Co. Ltd. (b) 58,300 913,598 
Perenti Global Ltd. 2,508,411 1,989,658 
Rio Tinto PLC sponsored ADR 57,800 3,116,576 
Royal Gold, Inc. 167,300 22,284,360 
Teck Resources Ltd. Class B (sub. vtg.) 97,400 925,295 
Wheaton Precious Metals Corp. 156,600 6,746,931 
  191,999,808 
TOTAL MATERIALS  456,806,803 
REAL ESTATE - 1.2%   
Equity Real Estate Investment Trusts (REITs) - 1.0%   
Alexandria Real Estate Equities, Inc. 53,600 8,239,392 
American Homes 4 Rent Class A 174,100 4,394,284 
American Tower Corp. 160,817 41,518,125 
Apartment Investment & Management Co. Class A 551,300 20,326,431 
CoreSite Realty Corp. 204,142 25,481,004 
Corporate Office Properties Trust (SBI) 410,000 10,237,700 
CubeSmart 134,900 3,839,254 
CyrusOne, Inc. 213,100 15,841,854 
Digital Realty Trust, Inc. 81,700 11,728,852 
Empire State Realty Trust, Inc. 1,357,126 8,997,745 
Equinix, Inc. (d) 33,500 23,370,605 
Equity Lifestyle Properties, Inc. 53,800 3,351,740 
Healthcare Trust of America, Inc. 793,560 21,005,533 
Lexington Corporate Properties Trust 211,500 2,055,780 
Medical Properties Trust, Inc. 1,541,530 27,870,862 
Omega Healthcare Investors, Inc. 255,300 7,950,042 
Outfront Media, Inc. 1,004,440 14,102,338 
Potlatch Corp. 109,493 3,721,667 
Prologis, Inc. 232,300 21,255,450 
Public Storage 5,500 1,115,070 
SBA Communications Corp. Class A 50,800 15,957,804 
Simon Property Group, Inc. 219,600 12,670,920 
VICI Properties, Inc. 150,500 2,952,810 
Vornado Realty Trust 256,300 9,280,623 
Weingarten Realty Investors (SBI) 846,200 15,130,056 
Weyerhaeuser Co. 732,300 14,785,137 
  347,181,078 
Real Estate Management & Development - 0.2%   
Arealink Co. Ltd. 25,000 224,164 
CBRE Group, Inc. (a) 917,000 40,329,660 
Cushman & Wakefield PLC (a) 613,900 6,292,475 
Howard Hughes Corp. (a) 187,400 9,491,810 
Nisshin Group Holdings Co. 64,700 246,573 
  56,584,682 
TOTAL REAL ESTATE  403,765,760 
UTILITIES - 1.1%   
Electric Utilities - 0.8%   
Duke Energy Corp. 150,300 12,870,189 
Edison International 207,100 12,034,581 
Entergy Corp. 129,500 13,185,690 
Evergy, Inc. 246,184 15,187,091 
Exelon Corp. 1,267,866 48,571,946 
FirstEnergy Corp. 81,900 3,461,094 
NextEra Energy, Inc. 124,300 31,766,108 
NRG Energy, Inc. 482,300 17,386,915 
PNM Resources, Inc. 544,000 22,206,080 
PPL Corp. 979,800 27,375,612 
Southern Co. 979,900 55,922,893 
  259,968,199 
Gas Utilities - 0.1%   
Atmos Energy Corp. 17,500 1,798,650 
Busan City Gas Co. Ltd. 60,816 1,794,150 
China Resource Gas Group Ltd. 764,000 4,185,377 
Enagas SA 56,000 1,256,310 
Hokuriku Gas Co. 6,200 179,081 
Keiyo Gas Co. Ltd. 3,000 92,911 
Seoul City Gas Co. Ltd. 13,199 796,985 
South Jersey Industries, Inc. 575,730 16,327,703 
YESCO Co. Ltd. 25,028 701,796 
  27,132,963 
Independent Power and Renewable Electricity Producers - 0.0%   
NextEra Energy Partners LP 79,900 4,083,689 
The AES Corp. 377,200 4,711,228 
Vistra Energy Corp. 179,700 3,673,068 
  12,467,985 
Multi-Utilities - 0.2%   
CenterPoint Energy, Inc. (f) 264,644 4,234,833 
CenterPoint Energy, Inc. 172,900 3,074,162 
Dominion Energy, Inc. 309,557 26,315,441 
MDU Resources Group, Inc. 894,600 19,466,496 
Sempra Energy 97,700 12,340,487 
  65,431,419 
TOTAL UTILITIES  365,000,566 
TOTAL COMMON STOCKS   
(Cost $13,464,165,447)  14,318,032,627 
Nonconvertible Preferred Stocks - 0.1%   
FINANCIALS - 0.0%   
Mortgage Real Estate Investment Trusts - 0.0%   
MFA Financial, Inc. 6.50% (a)(g) 194,400 2,744,928 
INFORMATION TECHNOLOGY - 0.1%   
Technology Hardware, Storage & Peripherals - 0.1%   
Samsung Electronics Co. Ltd. 973,850 33,867,202 
UTILITIES - 0.0%   
Electric Utilities - 0.0%   
Companhia Paranaense de Energia-Copel (PN-B) 40,600 481,603 
TOTAL NONCONVERTIBLE PREFERRED STOCKS   
(Cost $41,392,915)  37,093,733 
Equity Funds - 56.3%   
Large Blend Funds - 8.1%   
Fidelity SAI U.S. Large Cap Index Fund (h) 127,080,098 2,085,384,411 
Fidelity SAI U.S. Low Volatility Index Fund (h) 42,548,983 615,258,296 
TOTAL LARGE BLEND FUNDS  2,700,642,707 
Large Growth Funds - 34.8%   
Fidelity Contrafund (h) 163,526,096 2,344,964,212 
Fidelity Growth Company Fund (h) 129,821,441 3,188,414,591 
Fidelity Magellan Fund (h) 162,858,223 1,734,440,075 
Fidelity SAI U.S. Momentum Index Fund (h) 45,997,274 654,081,230 
Fidelity SAI U.S. Quality Index Fund (h) 250,108,647 3,701,607,976 
TOTAL LARGE GROWTH FUNDS  11,623,508,084 
Large Value Funds - 9.5%   
Fidelity Large Cap Value Enhanced Index Fund (h) 168,600,101 1,962,505,180 
Fidelity SAI U.S. Value Index Fund (h) 137,993,818 1,201,926,152 
TOTAL LARGE VALUE FUNDS  3,164,431,332 
Small Blend Funds - 3.4%   
Fidelity Small Cap Discovery Fund (h) 10,018,019 183,429,936 
Fidelity Small Cap Index Fund (h) 54,436,727 962,441,329 
TOTAL SMALL BLEND FUNDS  1,145,871,265 
Small Growth Funds - 0.5%   
Fidelity Small Cap Growth Fund (h) 6,642,688 173,905,565 
TOTAL EQUITY FUNDS   
(Cost $17,492,587,650)  18,808,358,953 
Other - 0.0%   
Commodity Funds - Broad Basket - 0.0%   
Fidelity SAI Inflation-Focused Fund (h)   
(Cost $6,500,000) 831,202 7,015,345 
Money Market Funds - 1.3%   
Fidelity Cash Central Fund 0.11% (i) 200,020,599 200,060,603 
Fidelity Securities Lending Cash Central Fund 0.10% (i)(j) 218,066,988 218,088,795 
TOTAL MONEY MARKET FUNDS   
(Cost $418,145,636)  418,149,398 
TOTAL INVESTMENT IN SECURITIES - 100.5%   
(Cost $31,422,791,648)  33,588,650,056 
NET OTHER ASSETS (LIABILITIES) - (0.5)%  (158,656,308) 
NET ASSETS - 100%  $33,429,993,748 

Written Options       
 Counterparty Number of Contracts Notional Amount Exercise Price Expiration Date Value 
Call Options       
Equinix, Inc. Chicago Board Options Exchange 58 $4,046,254 $700.00 6/19/20 $(102,660) 
Walmart, Inc. Chicago Board Options Exchange 874 10,842,844 120.00 6/19/20 (467,590) 
TOTAL WRITTEN OPTIONS      $(570,250) 

Legend

 (a) Non-income producing

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

 (c) Level 3 security

 (d) Security or a portion of the security is pledged as collateral for call options written. At period end, the value of securities pledged amounted to $14,889,098.

 (e) 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 $18,919,723 or 0.1% of net assets.

 (f) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $11,872,833 or 0.0% of net assets.

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

 (h) Affiliated Fund

 (i) 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.

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

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost 
CenterPoint Energy, Inc. 5/7/20 $4,255,476 
Vertiv Holdings LLC 2/6/20 $6,000,000 

Affiliated Central Funds

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

Fund Income earned 
Fidelity Cash Central Fund $5,297,081 
Fidelity Securities Lending Cash Central Fund 2,295,987 
Total $7,593,068 

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.

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Contrafund $1,541,982,376 $500,796,754 $-- $83,510,669 $-- $302,185,082 $2,344,964,212 
Fidelity Growth Company Fund 1,975,431,920 440,730,638 -- 95,730,638 -- 772,252,033 3,188,414,591 
Fidelity Large Cap Value Enhanced Index Fund 1,533,078,826 540,175,369 -- 65,175,369 -- (110,749,015) 1,962,505,180 
Fidelity Magellan Fund -- 1,685,338,783 -- -- -- 49,101,292 1,734,440,075 
Fidelity SAI Inflation-Focused Fund -- 6,500,000 -- -- -- 515,345 7,015,345 
Fidelity SAI U.S. Large Cap Index Fund -- 5,799,493,454 3,820,531,297 35,957,965 (22,195,087) 128,617,341 2,085,384,411 
Fidelity SAI U.S. Low Volatility Index Fund 563,638,676 23,676,101 -- 23,676,101 -- 27,943,519 615,258,296 
Fidelity SAI U.S. Momentum Index Fund 1,466,830,954 184,847,630 1,059,753,332 34,847,630 (24,959,112) 87,115,090 654,081,230 
Fidelity SAI U.S. Quality Index Fund 2,429,472,096 1,170,511,685 52,818,478 395,511,681 (10,627,043) 165,069,716 3,701,607,976 
Fidelity SAI U.S. Value Index Fund 550,613,983 663,070,236 -- 18,177,712 -- (11,758,067) 1,201,926,152 
Fidelity Small Cap Discovery Fund -- 160,000,000 -- -- -- 23,429,936 183,429,936 
Fidelity Small Cap Growth Fund -- 155,000,000 -- -- -- 18,905,565 173,905,565 
Fidelity Small Cap Index Fund 503,719,722 492,816,160 -- 20,926,341 -- (34,094,553) 962,441,329 
Fidelity Total Market Index Fund 1,297,238,579 621,564,840 2,016,357,078 -- 85,174,780 12,378,879 -- 
 11,862,007,132 12,444,521,650 6,949,460,185 773,514,106 27,393,538 1,430,912,163 18,815,374,298 

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 May 31, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Equities:     
Communication Services $1,202,585,179 $1,166,124,516 $36,460,663 $-- 
Consumer Discretionary 1,318,251,179 1,318,035,288 212,294 3,597 
Consumer Staples 871,315,420 865,024,004 6,291,416 -- 
Energy 627,460,749 608,616,380 18,844,369 -- 
Financials 2,135,318,619 2,107,862,086 27,456,533 -- 
Health Care 2,632,775,859 2,394,959,629 237,816,230 -- 
Industrials 1,589,769,894 1,506,490,544 83,279,350 -- 
Information Technology 2,751,594,729 2,741,245,868 10,348,861 -- 
Materials 456,806,803 456,670,003 136,800 -- 
Real Estate 403,765,760 403,765,760 -- -- 
Utilities 365,482,169 357,061,959 8,420,210 -- 
Equity Funds 18,808,358,953 18,808,358,953 -- -- 
Other 7,015,345 7,015,345 -- -- 
Money Market Funds 418,149,398 418,149,398 -- -- 
Total Investments in Securities: $33,588,650,056 $33,159,379,733 $429,266,726 $3,597 
Derivative Instruments:     
Liabilities     
Written Options $(570,250) $(570,250) $-- $-- 
Total Liabilities $(570,250) $(570,250) $-- $-- 
Total Derivative Instruments: $(570,250) $(570,250) $-- $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2020. 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   
Written Options(a) $0 $(570,250) 
Total Equity Risk 0 (570,250) 
Total Value of Derivatives $0 $(570,250) 

 (a) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.

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


Financial Statements

Statement of Assets and Liabilities

  May 31, 2020 
Assets   
Investment in securities, at value (including securities loaned of $213,291,271) — See accompanying schedule:
Unaffiliated issuers (cost $13,505,558,363) 		$14,355,126,360  
Fidelity Central Funds (cost $418,145,636) 418,149,398  
Other affiliated issuers (cost $17,499,087,649) 18,815,374,298  
Total Investment in Securities (cost $31,422,791,648)  $33,588,650,056 
Foreign currency held at value (cost $23,793)  23,793 
Receivable for investments sold  90,429,432 
Receivable for fund shares sold  49,271,688 
Dividends receivable  32,124,362 
Distributions receivable from Fidelity Central Funds  285,720 
Prepaid expenses  105,971 
Other receivables  14,020 
Total assets  33,760,905,042 
Liabilities   
Payable to custodian bank $1,022,187  
Payable for investments purchased 96,352,972  
Payable for fund shares redeemed 10,334,800  
Accrued management fee 3,250,973  
Written options, at value (premium received $391,794) 570,250  
Other payables and accrued expenses 1,294,946  
Collateral on securities loaned 218,085,166  
Total liabilities  330,911,294 
Net Assets  $33,429,993,748 
Net Assets consist of:   
Paid in capital  $31,466,079,128 
Total accumulated earnings (loss)  1,963,914,620 
Net Assets  $33,429,993,748 
Net Asset Value, offering price and redemption price per share ($33,429,993,748 ÷ 3,165,995,508 shares)  $10.56 

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


Statement of Operations

  Year ended May 31, 2020 
Investment Income   
Dividends:   
Unaffiliated issuers  $266,847,624 
Affiliated issuers  356,298,027 
Income from Fidelity Central Funds (including $2,295,987 from security lending)  7,593,068 
Total income  630,738,719 
Expenses   
Management fee $105,162,278  
Accounting fees 153,828  
Custodian fees and expenses 270,909  
Independent trustees' fees and expenses 303,999  
Registration fees 2,322,706  
Audit 79,656  
Legal 74,483  
Miscellaneous 197,634  
Total expenses before reductions 108,565,493  
Expense reductions (69,908,910)  
Total expenses after reductions  38,656,583 
Net investment income (loss)  592,082,136 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (net of foreign taxes of $2) (399,499,982)  
Fidelity Central Funds 41,015  
Other affiliated issuers 27,393,538  
Foreign currency transactions (99,912)  
Written options 958,946  
Capital gain distributions from underlying funds:   
Affiliated issuers 417,216,079  
Total net realized gain (loss)  46,009,684 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (net of decrease in deferred foreign taxes of $118,765) 885,887,193  
Fidelity Central Funds 1,435  
Other affiliated issuers 1,430,912,163  
Assets and liabilities in foreign currencies (30,358)  
Written options 843,096  
Total change in net unrealized appreciation (depreciation)  2,317,613,529 
Net gain (loss)  2,363,623,213 
Net increase (decrease) in net assets resulting from operations  $2,955,705,349 

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


Statement of Changes in Net Assets

 Year ended May 31, 2020 Year ended May 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $592,082,136 $348,806,724 
Net realized gain (loss) 46,009,684 15,522,252 
Change in net unrealized appreciation (depreciation) 2,317,613,529 (397,686,143) 
Net increase (decrease) in net assets resulting from operations 2,955,705,349 (33,357,167) 
Distributions to shareholders (835,651,420) (408,509,406) 
Share transactions   
Proceeds from sales of shares 15,476,810,855 10,552,036,542 
Reinvestment of distributions 788,436,934 407,855,035 
Cost of shares redeemed (7,367,011,490) (4,743,732,730) 
Net increase (decrease) in net assets resulting from share transactions 8,898,236,299 6,216,158,847 
Total increase (decrease) in net assets 11,018,290,228 5,774,292,274 
Net Assets   
Beginning of period 22,411,703,520 16,637,411,246 
End of period $33,429,993,748 $22,411,703,520 
Other Information   
Shares   
Sold 1,518,664,437 1,069,485,869 
Issued in reinvestment of distributions 71,866,316 45,736,139 
Redeemed (730,138,079) (480,126,871) 
Net increase (decrease) 860,392,674 635,095,137 

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


Financial Highlights

Strategic Advisers Fidelity U.S. Total Stock Fund

    
Years ended May 31, 2020 2019 2018 A 
Selected Per–Share Data    
Net asset value, beginning of period $9.72 $9.96 $10.00 
Income from Investment Operations    
Net investment income (loss)B .22 .18 .01 
Net realized and unrealized gain (loss) .94 (.20) (.05) 
Total from investment operations 1.16 (.02) (.04) 
Distributions from net investment income (.17) (.09)C – 
Distributions from net realized gain (.16) (.13)C – 
Total distributions (.32)D (.22) – 
Net asset value, end of period $10.56 $9.72 $9.96 
Total ReturnE,F 11.84% (.04)% (.40)% 
Ratios to Average Net AssetsG,H,I    
Expenses before reductions .39% .42% .54%J 
Expenses net of fee waivers, if any .14% .17% .29%J,K 
Expenses net of all reductions .14% .17% .29%J,K 
Net investment income (loss) 2.14% 1.81% .55%J 
Supplemental Data    
Net assets, end of period (000 omitted) $33,429,994 $22,411,704 $16,637,411 
Portfolio turnover rateI 52% 61% 126%L,M 

 A For the period March 20, 2018 (commencement of operations) to May 31, 2018.

 B Calculated based on average shares outstanding during the period.

 C The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.

 D Total distributions of $.32 per share is comprised of distributions from net investment income of $.166 and distributions from net realized gain of $.155 per share.

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

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

 G Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.

 I Amounts do not include the activity of Underlying Funds.

 J Annualized

 K Audit fees are not annualized.

 L Portfolio turnover rate excludes securities received or delivered in-kind.

 M Amount not annualized.

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


Notes to Financial Statements

For the period ended May 31, 2020

1. Organization.

Strategic Advisers Fidelity U.S. Total Stock Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. 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 Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

2. 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 – Investments 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 following summarizes the significant accounting policies of the Fund:

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

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

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

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

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

Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price 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 May 31, 2020 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $13,988 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.

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 May 31, 2020, 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests.

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

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

Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, options, foreign currency transactions, passive foreign investment companies (PFIC), certain conversion ratio adjustments, partnerships, deferred trustees compensation and losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation $3,881,771,848 
Gross unrealized depreciation (2,045,770,662) 
Net unrealized appreciation (depreciation) $1,836,001,186 
Tax Cost $31,752,078,620 

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

Undistributed ordinary income $230,608,332 
Net unrealized appreciation (depreciation) on securities and other investments $1,836,020,576 

The Fund intends to elect to defer to its next fiscal year $102,700,301 of capital losses recognized during the period November 1, 2019 to May 31, 2020.

The tax character of distributions paid was as follows:

 May 31, 2020 May 31, 2019 
Ordinary Income $518,460,093 $ 388,841,180 
Long-term Capital Gains 317,191,327 19,668,226 
Total $835,651,420 $ 408,509,406 

Restricted Securities (including Private Placements). The Fund 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 is included at the end of the Fund's Schedule of Investments.

3. 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 options. 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 options 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.

Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.

The Fund used exchange-traded written covered call options to manage its exposure to the market. When the Fund writes a covered call option, the Fund holds the underlying instrument which must be delivered to the holder upon the exercise of the option.

Upon entering into a written options contract, the Fund will receive a premium. Premiums received are reflected as a liability on the Statement of Assets and Liabilities. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When a written option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining the gain or loss realized on that investment. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction are greater or less than the premium received. When an option expires, gains and losses are realized to the extent of premiums received. The net realized gain (loss) on closed and expired written options and the change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Writing call options tends to decrease exposure to the underlying instrument and risk of loss is the change in value in excess of the premium received.

Any open options at period end are presented in the Schedule of Investments under the caption "Written Options" and are representative of volume of activity during the period.

4. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Fidelity U.S. Total Stock Fund 23,557,792,613 14,346,628,908 

5. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .38% of the Fund's average net assets.

During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.

Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

Geode Capital Management, LLC (Geode) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, Geode has not been allocated any portion of the Fund's assets. Geode in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.

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. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. For the period, the fees were equivalent to less than .005%.

Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

 Amount 
Strategic Advisers Fidelity U.S. Total Stock Fund $287,765 

Prior Fiscal Year Affiliated Exchanges In-Kind. During the prior period, the Fund redeemed 7,586,207 shares of Fidelity Large Cap Stock Fund in exchange for investments with a value of $257,324,134. The Fund had a net realized gain of $8,193,103 on the Fund's redemptions of Fidelity Large Cap Stock Fund shares. The Fund recognized net gains on the exchanges for federal income tax purposes.

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $49,190.

6. Investments in Fidelity Central Funds.

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

The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:

 Amount 
Strategic Advisers Fidelity U.S. Total Stock Fund $65,077 

During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's 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.

9. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2022. During the period, this waiver reduced the Fund's management fee by $69,399,387.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $477,273 for the period.

In addition, through arrangements with the Fund's custodian and transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $32,123 and $127.

10. Other.

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

The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of 10% or more of the total outstanding shares of the following Underlying Funds.

Fund % of shares held 
Fidelity Large Cap Value Enhanced Index Fund 56% 
Fidelity SAI Inflation-Focused Fund 24% 
Fidelity SAI U.S. Large Cap Index Fund 15% 
Fidelity SAI U.S. Low Volatility Index Fund 16% 
Fidelity SAI U.S. Momentum Index Fund 39% 
Fidelity SAI U.S. Quality Index Fund 45% 
Fidelity SAI U.S. Value Index Fund 58% 

11. Coronavirus (COVID-19) Pandemic.

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

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity U.S. Total Stock Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity U.S. Total Stock Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes, and the financial highlights for each of the two years in the period ended May 31, 2020 and for the period March 20, 2018 (commencement of operations) through May 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2020 and the financial highlights for each of the two years in the period ended May 31, 2020 and for the period March 20, 2018 (commencement of operations) through May 31, 2018 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

July 16, 2020



We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds.  Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict.  Each of the Trustees oversees 14 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.  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. 

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.

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 may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. 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, may be 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. Robert A. Lawrence 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. Mary C. Farrell serves as the lead Independent Trustee 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 asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds 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.

The Trustees primarily operate as a full Board, but also operate in 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 has charged Strategic Advisers 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 Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee.  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.  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+

Robert A. Lawrence (1952)

Year of Election or Appointment: 2016

Trustee

Chairman of the Board of Trustees

Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).

Charles S. Morrison (1960)

Year of Election or Appointment: 2020

Trustee

Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.

 * 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 Strategic Advisers. 

 + 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+

Peter C. Aldrich (1944)

Year of Election or Appointment: 2006

Trustee

Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.

Mary C. Farrell (1949)

Year of Election or Appointment: 2013

Trustee

Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.

Karen Kaplan (1960)

Year of Election or Appointment: 2006

Trustee

Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).

Heidi L. Steiger (1953)

Year of Election or Appointment: 2017

Trustee

Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).

 + 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 a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.  Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Ralph F. Cox (1932)

Year of Election or Appointment: 2020

Member of the Advisory Board

Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.

Howard E. Cox, Jr. (1944)

Year of Election or Appointment: 2009

Member of the Advisory Board

Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.

Christine Marcks (1955)

Year of Election or Appointment: 2019

Member of the Advisory Board

Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown 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).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

Assistant Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). 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).

James D. Gryglewicz (1972)

Year of Election or Appointment: 2015

Chief Compliance Officer

Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).

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 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).  Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan. 

Christina H. Lee (1975)

Year of Election or Appointment: 2020

Secretary and Chief Legal Officer

Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2020

Assistant Secretary

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

Chris Maher (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of 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).

Stacie M. Smith (1974)

Year of Election or Appointment: 2020

President and Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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 (December 1, 2019 to May 31, 2020).

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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.

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

 Annualized Expense Ratio-A Beginning
Account Value
December 1, 2019 		Ending
Account Value
May 31, 2020 		Expenses Paid
During Period-B
December 1, 2019
to May 31, 2020 
Actual .14% $1,000.00 $979.30 $.69 
Hypothetical-C  $1,000.00 $1,024.30 $.71 

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

 B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's 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 May 31, 2020, $275,346,977, or, if subsequently determined to be different, the net capital gain of such year.

The fund designates 59% and 70% of the dividends distributed in July and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

The fund designates 67% and 75% of the dividends distributed in July 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 11% and 6% of the dividends distributed in July and December, respectively during the fiscal year as a section 199A dividend.

The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.

Liquidity Risk Management Program

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

The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.

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

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

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

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

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

TSF-ANN-0720
1.9887487.102

Strategic Advisers® Tax-Sensitive Short Duration Fund

Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public



Annual Report

May 31, 2020

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


Fidelity Investments

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


Contents

Note to Shareholders

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Liquidity Risk Management Program


To view a fund's proxy voting 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. © 2020 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Note to Shareholders:

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

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

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

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

Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended May 31, 2020 Past 1 year Life of fundA 
Strategic Advisers® Tax-Sensitive Short Duration Fund 1.53% 1.69% 

 A From December 28, 2017

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Strategic Advisers® Tax-Sensitive Short Duration Fund on December 28, 2017, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays Municipal Bond 1 Year (1-2 Y) Index performed over the same period.


Period Ending Values
$10,416Strategic Advisers® Tax-Sensitive Short Duration Fund
$10,560Bloomberg Barclays Municipal Bond 1 Year (1-2 Y) Index

Management's Discussion of Fund Performance

Market Recap:  Tax-exempt municipal bonds posted a gain for the 12 months ending May 31, 2020, an unprecedented period of economic uncertainty and heightened market volatility. The Bloomberg Barclays Municipal Bond Index rose 3.98% for the year, led by higher-quality, longer-term issues. The municipal market rose strongly in summer 2019, bolstered by a series of interest rate cuts by the U.S. Federal Reserve and below-average gross municipal bond issuance. After posting a -0.81% return in September amid concerns about potential interest rate hikes, the municipal market rose just 0.74% in the fourth quarter of 2019, constrained by a meaningful increase in the supply of new municipal bonds. Although the muni market entered 2020 with solid gains in January (+1.80%) and February (+1.29%), it suffered steep declines in March (-3.63%) and April (-1.26%) when the escalation of coronavirus infections in the United States and Europe triggered a global recession and sparked record shareholder outflows from municipal bonds. The muni market staged one of its strongest-ever rebounds in May (+3.18%), as investors returned to the asset class given growing economic optimism amid state reopenings. Sentiment was further boosted by the Fed’s strengthened support for the U.S. economy, especially expanded quantitative easing programs and new lending facilities to provide funds to banks, companies and municipalities.

Comments from Lead Portfolio Manager Chris Heavey:  For the fiscal year, the Fund gained 1.53%, performing about in line with the 1.63% return of the benchmark Strategic Advisers® Tax-Sensitive Short-Duration Composite Index. During the first half of the period, we rebalanced the portfolio by reducing the Fund's allocation to the Ultra Short Fixed Income strategy from sub-adviser Wells Capital Management. This shift increased the Fund's interest rate sensitivity and also positioned the portfolio more conservatively by cutting exposure to lower-rated bonds. The Fund's somewhat longer duration, relative to the benchmark, hurt performance during March's market turmoil, as short-term interest rates rose sharply. The municipal bond market took longer to rebound than the taxable market, mostly due to risk aversion by retail investors, along with a lag in the implementation of the U.S. Federal Reserve's program to bolster liquidity in the tax-exempt market. The market then rebounded strongly in May. Within this environment, the sub-advised strategy from Wells Capital (+1.8%) referenced above and the Limited Term Municipal Income mandate (+2.4%) from sub-adviser FIAM℠ added the most value versus the benchmark. The longer-than-benchmark durations of both of these managers helped the Fund's performance for the period as a whole. Exposure to municipal credit via the Wells Capital strategy provided a further relative boost. On the downside, cash was the portfolio's primary relative detractor the past 12 months. As it relates to positioning shifts, we added JPMorgan Ultra-Short Municipal Fund during the period. As of May 31, we think retail investors have regained a level of comfort in the tax-free market. Also, a large amount of bond maturities are on the near-term horizon, which we believe will support the market's supply-and-demand backdrop.

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 Ten Holdings as of May 31, 2020

(excluding cash equivalents) % of fund's net assets 
JPMorgan Ultra-Short Municipal Fund Class I 3.7 
New York Metropolitan Transportation Authority Rev. 2.8 
Illinois Gen. Oblig. 2.0 
Michigan Fin Auth Rev 1.3 
Denver City & County Airport Rev. 1.2 
Port Arthur Navigation Dist. Environmental Facilities Rev. 1.1 
Clark County Airport Rev. 1.1 
Palm Beach County Health Facs. Auth. Rev. 1.0 
Texas General Obligation 1.0 
New Jersey Transportation Trust Fund Auth. 0.9 

Top Five Sectors as of May 31, 2020

 % of fund's net assets 
General Obligations 18.9 
Transportation 13.6 
Health Care 9.3 
Synthetics 6.7 
Other 6.2 

Quality Diversification (% of fund's net assets)

As of May 31, 2020 
   AAA,AA,A 46.4% 
   BBB 7.4% 
   Not Rated 5.2% 
   Equities 3.9% 
   Short-Term Investments and Net Other Assets 37.1% 


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.

Asset Allocation (% of fund's net assets)

As of May 31, 2020 
   Municipal Bonds 28.7% 
   Short-Term Funds 3.7% 
   Investment Companies 0.2% 
   Short-Term Investments and Net Other Assets (Liabilities) 67.4% 


Schedule of Investments May 31, 2020

Showing Percentage of Net Assets

Municipal Bonds - 56.5%   
 Principal Amount Value 
Alabama - 0.7%   
Alabama Spl. Care Facilities Fing. Auth. Birmingham Rev. Bonds Series 2006 C1, 1.85%, tender 11/1/22 (a) 1,025,000 1,050,963 
Black Belt Energy Gas District:   
(Proj. No. 4) Series 2019 A: $ $ 
4% 6/1/20 1,500,000 1,500,000 
4% 6/1/21 1,250,000 1,282,448 
4% 6/1/23 1,750,000 1,872,710 
Bonds:   
Series 2016 A, 4%, tender 6/1/21 (a) 7,435,000 7,644,528 
Series 2017 A, 4%, tender 7/1/22 (a) 4,040,000 4,263,897 
Health Care Auth. for Baptist Health Series 2006 B, 1.09%, tender 11/15/37 (a) 1,300,000 1,300,000 
Jefferson County Gen. Oblig. Series 2018 B, 5% 4/1/21 270,000 280,240 
Lower Alabama Gas District (No. 2 Proj.) Series 2020, 4% 12/1/21 100,000 103,587 
Mobile County Board of School Commissioners:   
Series 2016 A:   
5% 3/1/22 15,000 16,178 
5% 3/1/23 20,000 22,336 
5% 3/1/24 25,000 28,849 
5% 3/1/25 25,000 29,704 
Series 2016 B:   
5% 3/1/22 80,000 86,283 
5% 3/1/23 405,000 452,308 
5% 3/1/24 45,000 51,927 
Montgomery Med. Clinic Facilities Series 2015:   
5% 3/1/21 10,000 10,241 
5% 3/1/22 70,000 73,891 
Southeast Alabama Gas Supply District Bonds Series 2018 A, 4%, tender 4/1/24(a) 4,000,000 4,331,760 
TOTAL ALABAMA  24,401,850 
Alaska - 0.1%   
Anchorage Gen. Oblig.:   
Series B, 5% 9/1/22 30,000 33,193 
Series C, 5% 9/1/22 20,000 22,128 
Valdez Marine Term. Rev. (BP Pipelines (Alaska), Inc. Proj.):   
Series 2003 B, 5% 1/1/21 3,870,000 3,942,278 
Series 2003 C, 5% 1/1/21 670,000 682,513 
TOTAL ALASKA  4,680,112 
Arizona - 2.2%   
Arizona Ctfs. of Prtn. Series 2019 A:   
5% 10/1/21 140,000 149,061 
5% 10/1/22 150,000 166,349 
5% 10/1/24 195,000 231,629 
Arizona Health Facilities Auth. Hosp. Sys. Rev. Series 2012 A, 5% 2/1/21 500,000 513,363 
Arizona Health Facilities Auth. Rev.:   
(Scottsdale Lincoln Hospitals Proj.) Series 2014 A:   
5% 12/1/21 25,000 26,417 
5% 12/1/22 15,000 16,401 
5% 12/1/23 20,000 22,550 
5% 12/1/24 35,000 40,565 
Bonds Series 2013 A3, SIFMA Municipal Swap Index + 1.850% 1.99%, tender 2/1/23 (a)(b) 2,000,000 2,031,240 
Arizona State Lottery Rev. Series 2019, 5% 7/1/20 145,000 145,568 
Chandler Indl. Dev. Auth. Indl. Dev. Rev. Bonds (Intel Corp. Proj.):   
Series 2005, 2.4%, tender 8/14/23 (a) 5,100,000 5,304,612 
Series 2007, 2.7%, tender 8/14/23 (a)(c) 6,500,000 6,800,950 
Series 2019, 5%, tender 6/3/24 (a)(c) 1,570,000 1,801,889 
Coconino County Poll. Cont. Corp. Rev. Bonds:   
Series 2017 A, 1.875%, tender 3/31/23 (a)(c) 415,000 418,324 
Series 2017 B, 1.65%, tender 3/31/23 (a) 865,000 871,574 
Glendale Gen. Oblig.:   
Series 2015, 5% 7/1/22 (FSA Insured) 20,000 21,976 
Series 2017, 5% 7/1/22 75,000 81,344 
Glendale Trans. Excise Tax Rev.:   
5% 7/1/21 (FSA Insured) 15,000 15,775 
5% 7/1/22 (FSA Insured) 25,000 27,470 
5% 7/1/23 (FSA Insured) 30,000 34,319 
Maricopa County Rev.:   
Bonds:   
Series 2019 B, SIFMA Municipal Swap Index + 0.380% 0.52%, tender 10/18/22 (a)(b) 4,185,000 4,122,183 
Series B, 5%, tender 10/18/22 (a) 2,980,000 3,251,508 
Series 2016 A, 5% 1/1/25 105,000 122,666 
Phoenix Ariz Ind. Dev. Auth. Rev. Series 2015A, 3% 7/1/20 (d) 220,000 219,904 
Phoenix Civic Impt. Board Arpt. Rev.:   
Series 2013, 5% 7/1/21 (c) 2,750,000 2,860,000 
Series 2018:   
5% 7/1/20 (c) 620,000 621,868 
5% 7/1/23 (c) 1,100,000 1,217,535 
Series 2019 B, 5% 7/1/23 (c) 1,000,000 1,105,260 
Phoenix Indl. Solid Waste Disp. Rev. Bonds (Republic Svc., Inc. Proj.) Series 2013, 2.1%, tender 12/1/35 (a)(c) 23,380,000 23,403,597 
Pima County Ctfs. of Prtn. Series 2014:   
5% 12/1/21 50,000 53,493 
5% 12/1/22 55,000 61,333 
5% 12/1/23 75,000 86,880 
Pima County Swr. Sys. Rev. Series 2020 A:   
5% 7/1/22 285,000 312,839 
5% 7/1/23 260,000 297,003 
Scottsdale Indl. Dev. Auth. Hosp. Rev. Series 2006 F, 1.1%, tender 9/1/45 (FSA Insured) (a) 14,725,000 14,725,000 
Western Maricopa Ed. Ctr. District Series 2019 B, 4% 7/1/21 1,365,000 1,419,286 
Yavapai County Indl. Dev. Auth. Series 2019:   
5% 8/1/21 225,000 234,956 
5% 8/1/22 425,000 459,646 
5% 8/1/23 355,000 396,315 
TOTAL ARIZONA  73,692,648 
Arkansas - 0.5%   
Arkansas Dev. Fin. Auth. Multi-family Hsg. Rev.:   
(NLR Rad Family Homes Proj.) Series 2020, 1.2%, tender 9/1/22 (a) 5,000,000 5,060,300 
Bonds:   
(Hsg. Alliance 2 Proj.) Series 2018 B, 2.1%, tender 12/1/20 (a) 2,900,000 2,923,121 
Series 2018 A, 2.1%, tender 12/1/20 (a) 8,000,000 8,063,382 
Little Rock School District Series 2017, 3% 2/1/21 1,470,000 1,496,003 
TOTAL ARKANSAS  17,542,806 
California - 1.8%   
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds:   
Series 2017 G, 2%, tender 4/1/24 (a) 1,120,000 1,145,861 
Series A, 2.95%, tender 4/1/26 (a) 115,000 123,608 
Series B, 2.85%, tender 4/1/25 (a) 95,000 100,853 
Burbank Glendale Pasadena Arpt. Auth. Rev. Series B, 5% 7/1/23 (c) 1,290,000 1,422,909 
California Gen. Oblig.:   
Bonds:   
Series 2012 A, SIFMA Municipal Swap Index + 0.250% 0.39%, tender 6/4/20 (a)(b) 5,995,000 5,965,624 
Series 2013, SIFMA Municipal Swap Index + 0.380% 0.52%, tender 12/1/22 (a)(b) 3,270,000 3,233,605 
Series 2020, 5% 3/1/22 3,180,000 3,440,251 
5.25% 9/1/22 35,000 38,862 
California Infrastructure and Econ. Dev. Bank Rev. Bonds:   
Series 2012 B, 1 month U.S. LIBOR + 0.200% 0.46%, tender 6/1/20 (a)(b) 5,000,000 4,964,597 
Series 2018 A, 1 month U.S. LIBOR + 0.380% 0.502%, tender 8/1/21 (a)(b) 400,000 392,392 
Series 2018 C, 1 month U.S. LIBOR + 0.380% 0.502%, tender 8/1/21 (a)(b) 1,555,000 1,525,424 
Series 2018 D, 1 month U.S. LIBOR + 0.380% 0.502%, tender 8/1/21 (a)(b) 5,500,000 5,395,390 
California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2017 A2, 1.95%, tender 11/1/42 (a)(c)(d) 3,500,000 3,502,406 
California Statewide Cmntys. Dev. Auth. Rev. Series 2007:   
1.09%, tender 7/1/40 (FSA Insured) (a) 4,075,000 4,075,000 
1.09%, tender 7/1/41 (FSA Insured) (a) 2,225,000 2,225,000 
Compton Unified School District Series 2006 D, 0% 6/1/20 (AMBAC Insured) 2,280,000 2,280,000 
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.:   
Series 2017 A1:   
5% 6/1/21 25,000 25,969 
5% 6/1/22 40,000 42,966 
5% 6/1/23 45,000 49,837 
5% 6/1/24 25,000 28,497 
Series A, 0% 6/1/24 (AMBAC Insured) 75,000 71,988 
Long Beach Hbr. Rev. Series 2020 C, 4% 7/15/21 2,500,000 2,595,825 
Los Angeles Dept. Arpt. Rev.:   
Series 2017 B, 5% 5/15/23 (c) 800,000 885,168 
Series F, 5% 5/15/22 (c) 1,400,000 1,506,890 
Oakland Unified School District Alameda County Series 2013, 5.5% 8/1/23 20,000 22,414 
Palomar Pomerado Health Care Dis:   
Series 2006 A, 1.75%, tender 11/1/36 (FSA Insured) (a) 5,125,000 5,125,000 
Series 2006 B, 1.9%, tender 11/1/36 (FSA Insured) (a) 4,925,000 4,925,000 
Series 2006 C, 1.74%, tender 11/1/36 (FSA Insured) (a) 2,400,000 2,400,000 
Port of Oakland Rev. Series 2012 P, 5% 5/1/21 (c) 55,000 56,791 
San Diego Pub. Facilities Fing. Auth. Wtr. Rev. Series 2020 A:   
5% 8/1/20 500,000 503,996 
5% 8/1/21 250,000 264,095 
5% 8/1/22 250,000 275,995 
San Jose Int. Arpt. Rev. Series 2017 A, 5% 3/1/21 (c) 2,550,000 2,622,790 
San Pablo Redev. Agcy. Series 2014 A, 5% 6/15/24 (FSA Insured) 30,000 34,992 
Washington Township Health Care District Rev. Series 2019 A, 5% 7/1/20 400,000 401,238 
TOTAL CALIFORNIA  61,671,233 
Colorado - 1.1%   
Colorado Ctfs. of Prtn. Series 2020 A, 5% 12/15/21 2,000,000 2,144,280 
Colorado Health Facilities Auth.:   
Bonds:   
(Valley View Hosp. Assoc. Proj.) Series 2018, 2.8%, tender 5/15/23 (a) 495,000 518,488 
Series 2019 B:   
5%, tender 8/1/25 (a) 300,000 337,428 
5%, tender 8/1/26 (a) 240,000 275,705 
5%, tender 11/19/26 (a) 1,490,000 1,838,347 
Series 2019 A, 5% 11/1/20 2,000,000 2,039,524 
Series 2019, 4% 1/1/21 650,000 647,807 
Colorado Health Facilities Auth. Retirement Hsg. Rev. (Liberty Heights Proj.) 0% 7/15/22 (Escrowed to Maturity) 620,000 614,383 
Colorado Health Facilities Auth. Rev. Bonds Series 2008 D3, 5%, tender 11/12/21 (a) 115,000 121,751 
Colorado Hsg. & Fin. Auth.:   
Series 2019 F, 4.25% 11/1/49 200,000 223,018 
Series 2019 H, 4.25% 11/1/49 110,000 122,682 
Colorado Reg'l. Trans. District Ctfs. of Prtn.:   
Series 2013 A:   
5% 6/1/20 115,000 115,000 
5% 6/1/23 250,000 282,268 
Series 2014 A, 5% 6/1/23 85,000 95,971 
Colorado Univ. Co. Hosp. Auth. Rev. Bonds Series 2017C-2, 5%, tender 3/1/22 (a) 1,120,000 1,177,669 
Denver City & County Arpt. Rev.:   
(Sub Lien Proj.) Series 2013 A, 5% 11/15/21 (c) 900,000 950,445 
Series 2007, 1%, tender 11/15/25 (a) 1,050,000 1,050,000 
Series 2011 A, 5.25% 11/15/22 (c) 1,750,000 1,861,073 
Series 2012 A:   
5% 11/15/22 (c) 520,000 567,206 
5% 11/15/23 (c) 250,000 273,395 
Series 2013 A, 5% 11/15/22 (c) 500,000 544,755 
Series 2017 A:   
5% 11/15/21 (c) 565,000 596,668 
5% 11/15/22 (c) 3,455,000 3,768,645 
Series 2018 A:   
5% 12/1/20 (c) 8,375,000 8,542,430 
5% 12/1/21 (c) 1,000,000 1,057,760 
5% 12/1/23 (c) 250,000 280,783 
Denver Health & Hosp. Auth. Healthcare Rev. Series 2017 A, 5% 12/1/20 (d) 325,000 330,483 
E-470 Pub. Hwy. Auth. Rev.:   
Bonds Series 2019 A, 1 month U.S. LIBOR + 0.420% 0.536%, tender 9/1/21 (a)(b) 2,250,000 2,225,295 
Series 2000 B, 0% 9/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 805,000 804,066 
Series 2015 A:   
2.35% 9/1/20 100,000 100,464 
5% 9/1/20 275,000 278,072 
Series B:   
0% 9/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,000,000 998,839 
0% 9/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 525,000 521,740 
Pueblo Colo Urban Renewal Auth. Series 2017, 2.75% 6/1/20 155,000 155,000 
Vauxmont Metropolitan District Series 2019:   
5% 12/15/22 100,000 110,186 
5% 12/15/23 120,000 136,433 
TOTAL COLORADO  35,708,059 
Connecticut - 1.8%   
City of New Haven Series A, 5% 8/1/22 1,000,000 1,069,950 
Connecticut Gen. Oblig.:   
Series 2011 B, 5% 5/15/21 830,000 864,235 
Series 2011 D, 5% 11/1/22 185,000 195,595 
Series 2012 C, 5% 6/1/21 510,000 532,016 
Series 2013 D, 5% 8/15/20 190,000 191,678 
Series 2014 A:   
4% 3/1/21 500,000 512,461 
4% 3/1/22 450,000 475,092 
Series 2014 H, 5% 11/15/21 680,000 721,473 
Series 2015 A, 5% 3/15/22 1,035,000 1,112,304 
Series 2015 C, SIFMA Municipal Swap Index + 0.900% 1.04% 6/15/21 (a)(b) 2,500,000 2,509,777 
Series 2015 F, 5% 11/15/20 275,000 280,424 
Series 2016 A, 5% 3/15/26 45,000 53,856 
Series 2016 B:   
5% 5/15/21 1,875,000 1,952,339 
5% 5/15/22 350,000 377,787 
Series 2016 E, 5% 10/15/20 1,080,000 1,097,379 
Series 2016 G:   
3% 11/1/20 335,000 338,275 
5% 11/1/21 1,200,000 1,271,232 
Series 2017 B, 3% 4/15/22 425,000 442,476 
Series 2018 B, 5% 4/15/22 810,000 873,310 
Series 2018 E, 5% 9/15/20 415,000 420,171 
Series 2018 F:   
5% 9/15/20 750,000 759,346 
5% 9/15/21 665,000 701,010 
5% 9/15/22 225,000 245,822 
Series 2019 A, 5% 4/15/23 1,000,000 1,113,250 
Series 2019 B, 5% 2/15/22 6,000,000 6,428,460 
Series B, 4% 6/15/21 250,000 258,635 
Series C, 5% 6/15/21 1,000,000 1,044,844 
Series D, SIFMA Municipal Swap Index + 1.020% 1.16% 8/15/20 (a)(b) 890,000 890,971 
Connecticut Health & Edl. Facilities Auth. Rev.:   
(Connecticut St Univ. Sys. Proj.) Series 2013 N, 5% 11/1/20 2,035,000 2,069,115 
(Stamford Hosp. Proj.) Series 2010 I, 5% 7/1/20 900,000 902,823 
Bonds:   
Series 2014 A, 1.1%, tender 2/7/23 (a) 5,000,000 5,097,900 
Series 2014 B, 1.8%, tender 7/1/24 (a) 345,000 357,803 
Series 2015 A, 2.05%, tender 7/21/21 (a) 9,975,000 10,173,004 
Series 2018 S, 5% 7/1/20 1,200,000 1,203,319 
Series A, 5% 7/1/21 (Escrowed to Maturity) 800,000 840,352 
Series N:   
5% 7/1/21 610,000 640,226 
5% 7/1/22 400,000 417,264 
5% 7/1/23 415,000 439,352 
Connecticut Higher Ed. Supplemental Ln. Auth. Rev.:   
(Chesla Ln. Prog.) Series 2017 A, 5% 11/15/22 (c) 300,000 326,091 
Series 2017 B:   
5% 11/15/21 (c) 655,000 689,813 
5% 11/15/23 (c) 125,000 139,674 
Connecticut Hsg. Fin. Auth.:   
(Ct Gen. Hsg. 9/27/72 Proj.) Series 2012 A, 2.4% 11/15/20 270,000 272,317 
Bonds:   
Series 2017 E-3, 1.5%, tender 10/1/20 (a) 505,000 505,385 
Series 2019 E, 1.625%, tender 11/15/22 (a) 3,000,000 3,011,970 
Series 2013 B2, 4% 11/15/32 50,000 51,571 
Series 2016 F, 1.6% 11/15/20 (c) 565,000 567,678 
Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.:   
Series 2012 A, 5% 1/1/23 480,000 528,802 
Series 2012 B, 5% 1/1/21 325,000 332,946 
Series 2016 A, 5% 9/1/21 700,000 736,582 
Series A:   
4% 5/1/21 250,000 257,338 
5% 1/1/22 200,000 212,904 
5% 5/1/22 680,000 732,782 
Series B, 5% 10/1/21 970,000 1,023,932 
Hartford Gen. Oblig. Series 2012 A, 5% 4/1/21 (FSA Insured) 2,000,000 2,077,908 
Naugatuck Ctfs. of Prtn. (Naugatuck Incineration Facilities Proj.) Series 2014 A, 5% 6/15/20 (c) 315,000 315,499 
New Britain Gen. Oblig. Series 2017 A, 5% 3/1/21 (FSA Insured) 90,000 93,092 
New Haven Gen. Oblig.:   
Series 2016 A, 5% 8/15/25 (FSA Insured) 20,000 22,963 
Series B, 5% 2/1/22 350,000 374,609 
Univ. of Connecticut Gen. Oblig.:   
Series 2016 A, 5% 3/15/22 190,000 203,243 
Series 2019 A, 5% 11/1/25 225,000 266,254 
TOTAL CONNECTICUT  61,618,679 
Delaware, New Jersey - 0.0%   
Delaware River & Bay Auth. Rev. Series 2014 C, 5% 1/1/21 45,000 46,236 
District Of Columbia - 0.6%   
District of Columbia Gen. Oblig. Series 2007 B, 5.25% 6/1/20 (FSA Insured) 600,000 600,000 
District of Columbia Hsg. Fin. Agcy. Multi-family Hsg. Rev. Bonds (Liberty Place Apts. Proj.) Series 2018, 2.13%, tender 12/1/20 (a) 5,000,000 5,038,169 
District of Columbia Income Tax Rev. Series 2020 B, 5% 10/1/22 600,000 667,026 
Metropolitan Washington DC Arpts. Auth. Sys. Rev.:   
Series 2011 C:   
5% 10/1/21 (c) 250,000 263,455 
5% 10/1/22 (c) 430,000 451,552 
5% 10/1/23 (c) 140,000 146,997 
5% 10/1/24 (c) 115,000 120,701 
Series 2012 A:   
5% 10/1/22 (c) 140,000 152,414 
5% 10/1/23 (c) 500,000 543,610 
Series 2013 A, 5% 10/1/20 (c) 2,415,000 2,447,735 
Series 2014 A:   
5% 10/1/20 (c) 540,000 547,320 
5% 10/1/21 (c) 400,000 421,528 
5% 10/1/23 (c) 10,000 11,230 
Series 2017 A, 5% 10/1/26 (c) 145,000 174,899 
Series 2019 A:   
5% 10/1/20 (c) 800,000 810,844 
5% 10/1/21 (c) 130,000 136,997 
5% 10/1/22 (c) 290,000 315,714 
5% 10/1/23 (c) 50,000 56,151 
5% 10/1/25 (c) 155,000 183,177 
Series 2020 A:   
5% 10/1/21 (c)(e) 1,200,000 1,259,760 
5% 10/1/22 (c)(e) 1,750,000 1,898,593 
5% 10/1/23 (c)(e) 925,000 1,035,436 
5% 10/1/24 (c)(e) 530,000 610,004 
5% 10/1/25 (c)(e) 530,000 624,605 
Washington D.C. Metropolitan Transit Auth. Rev. Series 2018, 5% 7/1/20 1,000,000 1,003,590 
TOTAL DISTRICT OF COLUMBIA  19,521,507 
Florida - 2.7%   
Alachua County Health Facilities Auth. Health Facilities Rev. Series 2019 B1, 5% 12/1/20 550,000 562,778 
Brevard County School Board Ctfs. of Prtn.:   
Series 2014, 5% 7/1/21 20,000 20,957 
Series 2015 C:   
5% 7/1/21 15,000 15,718 
5% 7/1/22 80,000 87,323 
5% 7/1/23 65,000 73,650 
Broward County Arpt. Sys. Rev.:   
Series 2012 P1:   
5% 10/1/20 (c) 2,000,000 2,026,100 
5% 10/1/25 (c) 1,000,000 1,074,040 
Series 2012 P2, 5% 10/1/22 230,000 250,116 
Series 2012 Q, 5% 10/1/21 (c) 320,000 336,566 
Series 2013 A, 5% 10/1/20 (c) 300,000 303,915 
Series 2015 A, 5% 10/1/20 (c) 1,750,000 1,772,837 
Series 2015 C:   
5% 10/1/20 (c) 1,000,000 1,013,050 
5% 10/1/24 (c) 110,000 125,937 
Series 2017, 5% 10/1/20 (c) 1,030,000 1,043,441 
Series 2019 A, 5% 10/1/21 (c) 2,185,000 2,298,117 
Series 2019 B:   
5% 10/1/20 (c) 925,000 937,071 
5% 10/1/21 (c) 1,665,000 1,751,197 
5% 10/1/23 (c) 700,000 780,514 
Series 2019, 5% 10/1/20 (c) 2,770,000 2,806,148 
Series A:   
5% 10/1/22 (c) 65,000 70,372 
5% 10/1/23 (c) 90,000 100,352 
Broward County Fin. Auth. Multi-family Hsg. Rev. Bonds Series 2019 B, 1.2%, tender 8/1/21 (a) 4,000,000 4,042,480 
Broward County Port Facilities Rev. Series 2011 B:   
4.625% 9/1/27 (Pre-Refunded to 9/1/21 @ 100) (c) 475,000 498,593 
5% 9/1/20 (c) 165,000 166,265 
5% 9/1/20 (Escrowed to Maturity) (c) 335,000 338,632 
5% 9/1/21 (c) 115,000 119,385 
5% 9/1/21 (Escrowed to Maturity) (c) 240,000 253,037 
Broward County School Board Ctfs. of Prtn.:   
(Broward County School District Proj.) Series 2017 C, 5% 7/1/22 70,000 75,996 
Series 2015 A:   
5% 7/1/21 100,000 104,888 
5% 7/1/22 345,000 374,553 
5% 7/1/23 60,000 67,455 
5% 7/1/24 30,000 34,818 
Series 2015 B:   
5% 7/1/22 100,000 108,566 
5% 7/1/23 60,000 67,455 
5% 7/1/24 25,000 29,015 
Central Florida Expressway Auth. Sr. Lien Rev.:   
Series 2019 A:   
5% 7/1/20 360,000 361,171 
5% 7/1/21 625,000 652,006 
Series 2019 B:   
5% 7/1/20 500,000 501,626 
5% 7/1/21 1,000,000 1,043,210 
Citizens Property Ins. Corp. Series 2012 A1:   
5% 6/1/21 2,715,000 2,833,595 
5% 6/1/22 365,000 395,445 
Escambia County Poll. Cont. Rev. (Gulf Pwr. Co. Proj.) Series 2003, 2.6% 6/1/23 700,000 742,707 
Escambia County Solid Waste Disp. Rev. Bonds (Gulf Pwr. Co. Proj.) Series 2009 1, 1.8%, tender 11/19/20 (a) 400,000 402,350 
Florida Higher Edl. Facilities Fing. Auth. Series 2019:   
5% 10/1/20 225,000 226,754 
5% 10/1/21 450,000 463,779 
Florida Hsg. Fin. Corp. Multi-family Mtg. Rev. Series 2019 A, 2% 8/1/21 2,500,000 2,538,900 
Florida Hsg. Fin. Corp. Rev. Series 2017:   
1.95% 1/1/21 410,000 413,441 
2% 7/1/21 355,000 360,527 
2.05% 1/1/22 275,000 281,399 
Florida Mid-Bay Bridge Auth. Rev. Series 2015 A:   
5% 10/1/21 20,000 20,636 
5% 10/1/22 45,000 47,300 
5% 10/1/23 55,000 58,746 
5% 10/1/24 45,000 48,674 
5% 10/1/25 40,000 43,768 
5% 10/1/26 45,000 49,008 
Greater Orlando Aviation Auth. Arpt. Facilities Rev.:   
Series 2011 B, 4% 10/1/22 (c) 500,000 520,035 
Series 2015 A, 4% 10/1/22 (c) 430,000 457,959 
Series 2016, 5% 10/1/20 (c) 100,000 101,288 
Series 2017 A:   
5% 10/1/25 (c) 20,000 23,670 
5% 10/1/26 (c) 45,000 54,339 
Series 2019 A:   
5% 10/1/20 (c) 1,380,000 1,397,776 
5% 10/1/22 (c) 2,415,000 2,630,321 
5% 10/1/23 (c) 700,000 787,087 
Halifax Hosp. Med. Ctr. Rev. Series 2015, 5% 6/1/23 30,000 33,323 
Hillsborough County Aviation Auth. Rev. Series A, 5% 10/1/25 (c) 520,000 572,494 
Hillsborough County School District Sales Tax Rev. Series 2015 B, 5% 10/1/22 (FSA Insured) 45,000 49,905 
Indian River County School Board Ctfs. of Prtn. Series 2014:   
5% 7/1/20 20,000 20,072 
5% 7/1/22 45,000 48,923 
5% 7/1/23 175,000 197,143 
Jacksonville Elec. Auth. Elec. Sys. Rev.:   
Series 2013 B, 5% 10/1/21 820,000 868,642 
Series 2013 C, 5% 10/1/22 (Escrowed to Maturity) 430,000 477,541 
Series 2013 D, 5% 10/1/20 670,000 679,986 
Series 2014 A:   
5% 10/1/20 770,000 781,476 
5% 10/1/21 1,380,000 1,461,862 
JEA Saint Johns River Pwr. Park Sys. Rev. Series 6, 5% 10/1/20 250,000 250,845 
Lee County Solid Waste Sys. Rev. Series 2016, 5% 10/1/20 (c) 1,425,000 1,444,844 
Manatee County Rev. Series 2013, 5% 10/1/22 20,000 22,175 
Manatee County School District Series 2017, 5% 10/1/24 (FSA Insured) 30,000 35,088 
Miami Dade County Hsg. Multifamily Hsg. Rev. Bonds Series 2020, 1.4%, tender 4/1/22 (a) 4,000,000 4,038,760 
Miami Health Facilities Auth. Rev. Series 2017, 5% 7/1/20 110,000 109,891 
Miami-Dade County Aviation Rev.:   
Series 2012 A:   
5% 10/1/20 (c) 4,150,000 4,203,877 
5% 10/1/21 (c) 335,000 352,249 
5% 10/1/24 (c) 200,000 215,906 
Series 2014:   
5% 10/1/20(c) 1,160,000 1,175,060 
5% 10/1/22 (c) 235,000 254,026 
Series 2015 A, 5% 10/1/21 (c) 255,000 268,130 
Series 2017 B:   
2.75% 10/1/20 (c) 1,150,000 1,156,421 
5% 10/1/20 (c) 2,800,000 2,836,351 
Miami-Dade County Expressway Auth.:   
(Waste Mgmt., Inc. of Florida Proj.):   
5% 7/1/20 20,000 20,065 
5% 7/1/21 345,000 359,907 
5% 7/1/22 45,000 48,699 
5% 7/1/23 45,000 48,825 
Series 2014 A, 5% 7/1/21 250,000 260,803 
Series 2014 B:   
5% 7/1/20 250,000 250,813 
5% 7/1/22 35,000 37,877 
5% 7/1/23 70,000 78,108 
Miami-Dade County Health Facilities Auth. Hosp. Rev. Series 2010, 5.25% 8/1/21 85,000 85,580 
Miami-Dade County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt. of Florida Proj.) Series 2018, 2.85%, tender 8/2/21 (a)(c) 3,960,000 4,012,351 
Miami-Dade County School Board Ctfs. of Prtn.:   
Series 2014 D:   
5% 11/1/20 215,000 218,985 
5% 11/1/21 135,000 143,448 
5% 11/1/22 65,000 71,945 
5% 11/1/23 165,000 189,463 
Series 2015 A:   
5% 5/1/21 415,000 431,888 
5% 5/1/22 605,000 655,941 
5% 5/1/23 1,040,000 1,172,954 
Series 2015 D, 5% 2/1/22 410,000 440,176 
North Broward Hosp. District Rev. Series 2017 B, 5% 1/1/21 380,000 388,482 
Orange County Health Facilities Auth. Series B:   
5% 10/1/20 1,660,000 1,686,200 
5% 10/1/21 1,330,000 1,413,670 
5% 10/1/22 1,295,000 1,409,828 
Orlando & Orange County Expressway Auth. Rev. Series 2012, 5% 7/1/22 305,000 334,725 
Palm Beach County Health Facilities Auth. Hosp. Rev.:   
Series 2014:   
5% 12/1/20 (Escrowed to Maturity) 30,000 30,715 
5% 12/1/21 (Escrowed to Maturity) 35,000 37,445 
5% 12/1/23 (Escrowed to Maturity) 5,000 5,800 
5% 12/1/24 (Escrowed to Maturity) 10,000 12,028 
Series 2019:   
5% 8/15/20 1,700,000 1,713,077 
5% 8/15/21 425,000 444,168 
Palm Beach County School Board Ctfs. of Prtn.:   
(Palm Beach County School District Proj.):   
Series 2018 A, 5% 8/1/21 2,000,000 2,105,260 
Series 2018 B, 5% 8/1/21 1,100,000 1,157,893 
Series 2014 B:   
4% 8/1/21 90,000 93,694 
5% 8/1/21 115,000 121,052 
5% 8/1/22 20,000 22,043 
Pasco County School District Sales Tax Rev. Series 2013:   
5% 10/1/20 20,000 20,262 
5% 10/1/21 120,000 126,245 
5% 10/1/22 20,000 21,749 
Pinellas County Hsg. Fin. Auth. Bonds (Lutheran Apts. Proj.) Series 2019 B, 1.25%, tender 8/1/21 (a) 1,625,000 1,639,024 
Seminole County School Board Ctfs. of Prtn. Series 2016 C:   
5% 7/1/25 20,000 24,361 
5% 7/1/26 25,000 31,311 
Tallahassee Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A, 5% 12/1/21 65,000 68,310 
Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev. Series 2005, 5.5% 10/1/22 (FGIC Insured) 30,000 33,655 
Tampa Solid Waste Sys. Rev. Series 2013, 5% 10/1/20 (Escrowed to Maturity) (c) 585,000 593,976 
Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.):   
Series 2012 A, 5% 9/1/20 40,000 40,464 
Series 2016 A, 5% 9/1/20 150,000 151,740 
Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A:   
4% 10/15/21 390,000 402,246 
4% 10/15/22 300,000 315,480 
5% 10/15/23 590,000 650,788 
5% 10/15/24 1,000,000 1,124,320 
5% 10/15/25 1,000,000 1,145,460 
5% 10/15/26 750,000 875,663 
5% 10/15/27 165,000 194,542 
TOTAL FLORIDA  89,707,348 
Georgia - 2.8%   
Atlanta Arpt. Rev.:   
Series 2019 B, 5% 7/1/22 (c) 445,000 480,524 
5% 1/1/22 20,000 21,326 
Atlanta Urban Residential Fin. Auth. Bonds:   
(Bethel Towers Apt. Proj.) Series 2018, 2.07%, tender 11/1/20 (a) 10,000,000 10,012,015 
(Creekside at Adamsville Place Proj.) Series 2019, 1.95%, tender 5/1/21 (a) 7,000,000 7,082,125 
(Herndon Square Sr. Apts. Proj.) Series 2019, 1.36%, tender 12/1/21 (a) 3,195,000 3,230,848 
Atlanta Urban Residential Fin. Auth. Multi-family Hsg. Rev. Bonds (Parkside Proj.) Series 2019 B, 1.38%, tender 1/1/22 (a) 4,685,000 4,738,784 
Bartow County Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Bowen Proj.):   
Series 2009 1st, 2.75%, tender 3/15/23 (a) 1,500,000 1,552,545 
Series 2013, 1.55%, tender 8/19/22 (a) 2,370,000 2,376,352 
Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/22 1,000,000 1,089,360 
Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds:   
(Georgia Pwr. Co. Plant Vogtle Proj.):   
Series 1994, 2.25%, tender 5/25/23 (a) 1,700,000 1,738,828 
Series 1995 5, 2.05%, tender 11/19/21 (a) 375,000 378,248 
Series 2008, 1.65%, tender 6/18/21 (a) 940,000 942,231 
Series 2012 1st, 1.55%, tender 8/22/22 (a) 2,000,000 2,005,360 
Series 2013 1st, 2.925%, tender 3/12/24 (a) 990,000 1,040,421 
(Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2017 E, 3.25%, tender 2/3/25 (a) 100,000 107,202 
Series 1996, 2.35%, tender 12/11/20 (a) 1,485,000 1,492,058 
Clarke County Hosp. Auth. Series 2016, 5% 7/1/20 190,000 190,724 
Cobb County Kennestone Hosp. Auth. Rev. (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 5% 4/1/21 100,000 103,172 
DeKalb County Hsg. Auth. Multi-family Hsg. Rev. Bonds Series 2019 A, 2%, tender 2/1/21 (a) 9,000,000 9,076,725 
Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (a) 750,000 861,323 
Fulton County Dev. Auth. Hosp. R (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 5% 4/1/21 85,000 87,696 
Fulton County Dev. Auth. (Piedmont Healthcare, Inc. Proj.) Series 2016, 5% 7/1/20 130,000 130,496 
Fulton County Dev. Auth. Rev. Series 2019 C:   
5% 7/1/21 1,000,000 1,051,560 
5% 7/1/22 1,000,000 1,089,360 
5% 7/1/23 1,300,000 1,468,740 
Georgia Hsg. & Fin. Auth. Rev. Series 2016 B-2, 1.45% 6/1/20 (c) 1,000,000 1,000,000 
Georgia Muni. Elec. Auth. Pwr. Rev.:   
(Combined Cycle Proj.) Series 2012 A, 5% 11/1/20 300,000 303,959 
Series 2008 A, 5.25% 1/1/21 140,000 142,734 
Series 2011 A, 5% 1/1/21 4,160,000 4,235,258 
Series 2011 B, 5% 1/1/21 450,000 458,141 
Series 2015 A, 5% 1/1/21 255,000 259,613 
Series 2016 A:   
4% 1/1/21 280,000 283,213 
5% 1/1/22 350,000 366,979 
Series 2019 A:   
5% 1/1/21 600,000 610,855 
5% 1/1/22 1,495,000 1,567,522 
Series C, 5% 1/1/22 1,200,000 1,258,212 
Series GG, 5% 1/1/21 255,000 259,688 
Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.):   
Series 2014 U:   
5% 10/1/22 20,000 22,155 
5% 10/1/23 55,000 63,324 
Series R, 5% 10/1/21 110,000 116,768 
Griffin-Spalding County Hosp. (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 3% 4/1/21 35,000 35,533 
Lagrange-Troup County Hosp. Rev. (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 5% 4/1/21 85,000 87,696 
Main Street Natural Gas, Inc.:   
Bonds:   
Series 2018 A, 4%, tender 9/1/23 (a) 375,000 405,983 
Series 2018 E, SIFMA Municipal Swap Index + 0.570% 0.71%, tender 12/1/23 (a)(b) 11,000,000 10,670,990 
Seroes 2018 B, 1 month U.S. LIBOR + 0.750% 0.998%, tender 9/1/23 (a)(b) 11,500,000 11,151,435 
Series 2019 A, 5% 5/15/22 1,000,000 1,054,970 
Series 2019 C:   
5% 9/1/20 440,000 443,972 
5% 9/1/21 285,000 297,714 
Monroe County Dev. Auth. Poll. Cont. Rev.:   
(Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25 435,000 443,561 
Bonds:   
(Georgia Pwr. Co. Plant Scherer Proj.):   
Series 2009 1, 2.05%, tender 11/19/21 (a) 705,000 711,105 
Series 2009, 2.35%, tender 12/11/20 (a) 2,175,000 2,196,184 
(Gulf Pwr. Co. Plant Scherer Proj.) Series 2002 1, 2%, tender 6/25/20 (a) 975,000 975,938 
Northwest Georgia Hsg. Auth. Multifamily Hsg. Bonds (Meadow Lane Apts. Proj.) Series 2017, 1.7%, tender 9/1/20 (a) 1,500,000 1,503,132 
Private Colleges & Univs. Auth. Rev. (The Savannah College of Arts and Design Projs.) Series 2014, 5% 4/1/21 75,000 77,315 
TOTAL GEORGIA  93,351,972 
Hawaii - 0.0%   
Hawaii Dept. of Budget & Fin. Spl. Purp. Rev. (Queens Health Sys. Proj.) Series 2015 B, SIFMA Municipal Swap Index + 0.140% 0.59%, tender 7/1/39 (a)(b) 575,000 575,000 
State of Hawaii Dept. of Trans. Series 2013:   
5% 8/1/20 (c) 65,000 65,453 
5% 8/1/21 (c) 10,000 10,490 
5% 8/1/21 (FSA Insured) (c) 300,000 314,709 
5% 8/1/22 (c) 45,000 48,138 
5% 8/1/23 (c) 30,000 32,971 
TOTAL HAWAII  1,046,761 
Idaho - 0.2%   
Idaho Health Facilities Auth. Hosp. Rev. Bonds Series 2013 ID, 0.7%, tender 8/3/20 (a) 5,500,000 5,499,996 
Idaho Health Facilities Auth. Rev. Series 2015 D, 5% 12/1/20 500,000 510,881 
Idaho Hsg. & Fin. Assoc. Single Family Mtg.:   
(Idaho St Garvee Proj.) Series 2017 A, 5% 7/15/21 230,000 241,751 
Series 2019 A, 4% 1/1/50 55,000 60,561 
TOTAL IDAHO  6,313,189 
Illinois - 4.1%   
Champaign County Cmnty. Unit Series 2017, 5% 1/1/21 355,000 364,374 
Chicago Board of Ed.:   
Series 1999, 0% 12/1/22 (Berkshire Hathaway Assurance Corp. Insured) (FGIC Insured) 560,000 540,103 
Series 2019 A, 5% 12/1/23 1,000,000 1,022,410 
Chicago Gen. Oblig.:   
Series 2015 C, 5% 1/1/21 (Escrowed to Maturity) 435,000 446,797 
Series 2020 A:   
3% 1/1/21 500,000 497,857 
5% 1/1/21 400,000 402,833 
5% 1/1/25 1,500,000 1,560,990 
Chicago Midway Arpt. Rev.:   
Series 2013 B:   
5% 1/1/22 110,000 116,008 
5% 1/1/23 130,000 141,374 
Series 2014 A:   
5% 1/1/22 (c) 310,000 323,897 
5% 1/1/24 (c) 300,000 332,286 
Series 2014 B:   
5% 1/1/21 10,000 10,203 
5% 1/1/23 225,000 244,685 
Chicago Motor Fuel Tax Rev. Series 2013:   
5% 1/1/21 10,000 10,048 
5% 1/1/22 5,000 5,063 
5% 1/1/23 10,000 10,043 
Chicago O'Hare Int'l. Arpt. Rev.:   
Series 2012 A:   
5% 1/1/21 30,000 30,684 
5% 1/1/25 (c) 500,000 524,985 
Series 2012 B:   
5% 1/1/21 (c) 100,000 101,967 
5% 1/1/22 (c) 1,875,000 1,974,075 
Series 2013 A:   
5% 1/1/21 (c) 1,800,000 1,835,412 
5% 1/1/22 (c) 1,400,000 1,473,976 
5% 1/1/23 (c) 1,440,000 1,564,070 
Series 2013 B, 5% 1/1/22 135,000 143,292 
Series 2013 C, 5% 1/1/22 (c) 700,000 736,988 
Series 2013 D, 5% 1/1/22 70,000 74,299 
Series 2015 B, 5% 1/1/21 1,190,000 1,217,125 
Series 2017 D, 5% 1/1/27 (c) 35,000 41,406 
Series 2018 A, 5% 1/1/21 (c) 250,000 254,918 
Chicago Park District Gen. Oblig.:   
Series 2010 A, 4.5% 1/1/23 400,000 401,432 
Series 2015 B, 5% 1/1/21 425,000 433,961 
Series 2018 E, 5% 11/15/20 290,000 294,799 
Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017:   
5% 6/1/20 860,000 860,000 
5% 6/1/21 635,000 658,268 
5% 6/1/25 25,000 29,130 
Chicago Wastewtr. Transmission Rev. Series 2012, 5% 1/1/23 25,000 26,471 
Cook County Cmnty. Consolidated School District No. 59 Series 2020, 4% 3/1/22 480,000 509,794 
Cook County Gen. Oblig.:   
Series 2010 A, 5.25% 11/15/22 545,000 550,455 
Series 2011 A, 5.25% 11/15/22 20,000 20,634 
Series 2012 C:   
5% 11/15/20 155,000 156,731 
5% 11/15/21 120,000 123,610 
5% 11/15/22 590,000 614,692 
Series 2014 A:   
5% 11/15/20 20,000 20,223 
5% 11/15/21 35,000 36,053 
5% 11/15/22 30,000 31,256 
Series 2016 A, 5% 11/15/21 2,250,000 2,317,680 
Series 2018, 5% 11/15/20 615,000 621,867 
DeKalb County Cmnty. Unit Scd Series 2001, 0% 1/1/21 (AMBAC Insured) 1,175,000 1,169,972 
Illinois Fin. Auth.:   
Series 2013 A:   
5% 6/1/23 345,000 385,051 
5% 6/1/23 (Escrowed to Maturity) 55,000 62,548 
Series 2020 A:   
5% 8/15/21 1,000,000 1,049,050 
5% 8/15/22 750,000 816,128 
Illinois Fin. Auth. Rev.:   
(Bradley Univ. Proj.) Series 2017 C, 5% 8/1/26 35,000 40,878 
(Hosp. Sisters Svcs., Inc. Proj.) Series 2012 C, 5% 8/15/20 690,000 696,594 
Bonds:   
(Ascension Health Cr. Group Proj.) Series 2012 E2, 1.75%, tender 4/1/21 (a) 3,030,000 3,053,013 
Series 2016 B, 1 month U.S. LIBOR + 1.350% 1.609%, tender 6/1/20 (a)(b) 1,090,000 1,090,068 
Series 2017 B, 5%, tender 12/15/22 (a) 265,000 291,786 
Series E, 2.25%, tender 4/29/22 (a) 770,000 790,805 
Series 2011 IL, 5% 12/1/22 (Pre-Refunded to 12/1/21 @ 100) 25,000 26,746 
Series 2012 A:   
5% 10/1/20 400,000 406,273 
5% 5/15/22 250,000 266,275 
5% 5/15/23 30,000 31,922 
Series 2012:   
5% 9/1/20 30,000 30,350 
5% 9/1/21 45,000 47,648 
5% 9/1/22 75,000 82,749 
Series 2015 A:   
5% 11/15/22 1,000,000 1,080,670 
5% 11/15/22 10,000 10,946 
5% 11/15/24 35,000 39,851 
5% 11/15/25 45,000 52,345 
5% 11/15/26 45,000 52,103 
Series 2015 B, 5% 11/15/24 45,000 52,327 
Series 2016 A:   
5% 8/15/20 (Escrowed to Maturity) 10,000 10,096 
5% 2/15/21 15,000 15,422 
5% 8/15/21 (Escrowed to Maturity) 15,000 15,861 
5% 2/15/23 20,000 22,113 
5% 8/15/23 (Escrowed to Maturity) 35,000 40,130 
5% 8/15/24 (Escrowed to Maturity) 50,000 59,484 
Series 2016 C:   
5% 2/15/22 225,000 241,625 
5% 2/15/23 700,000 773,143 
5% 2/15/24 115,000 130,928 
Series 2016:   
5% 5/15/21 740,000 763,976 
5% 7/1/22 65,000 71,392 
5% 5/15/25 10,000 11,521 
5% 5/15/26 20,000 23,470 
5% 5/15/27 25,000 29,196 
Series 2017 A, 5% 7/15/21 500,000 526,300 
Series 2017:   
5% 1/1/23 35,000 39,236 
5% 1/1/25 50,000 60,322 
Series 2019:   
5% 9/1/22 225,000 235,177 
5% 4/1/26 1,000,000 1,185,610 
Illinois Gen. Oblig.:   
Series 2006, 5% 6/1/21 405,000 408,802 
Series 2010:   
5% 1/1/21 (FSA Insured) 35,000 35,064 
5% 1/1/23 (FSA Insured) 250,000 250,443 
Series 2012 A, 4% 1/1/23 30,000 29,606 
Series 2012:   
5% 8/1/20 (FSA Insured) 1,270,000 1,275,116 
5% 8/1/21 55,000 55,598 
5% 8/1/22 760,000 771,468 
5% 8/1/22 (FSA Insured) 2,800,000 2,943,696 
Series 2013:   
5% 7/1/21 140,000 141,417 
5% 7/1/22 375,000 380,456 
Series 2014:   
5% 2/1/21 865,000 870,395 
5% 2/1/22 65,000 65,939 
5% 4/1/23 50,000 50,854 
5% 2/1/25 50,000 50,715 
Series 2016:   
5% 11/1/20 900,000 905,341 
5% 1/1/21 3,325,000 3,343,593 
5% 2/1/21 4,000,000 4,024,948 
5% 11/1/21 1,505,000 1,524,821 
5% 1/1/22 1,650,000 1,672,704 
5% 1/1/26 300,000 304,803 
5% 2/1/26 1,235,000 1,254,995 
Series 2017 A, 5% 12/1/23 750,000 765,660 
Series 2017 D:   
5% 11/1/20 9,000,000 9,053,411 
5% 11/1/21 2,180,000 2,208,711 
5% 11/1/23 420,000 428,560 
Series 2018 A:   
5% 10/1/20 4,200,000 4,220,597 
5% 5/1/21 1,650,000 1,664,162 
5% 10/1/21 1,500,000 1,518,585 
5% 10/1/26 1,340,000 1,363,906 
5.25% 5/1/22 1,500,000 1,531,110 
Series 2018 B, 5% 10/1/20 1,600,000 1,607,847 
Series 2019 A, 5% 11/1/20 4,000,000 4,023,738 
Series 2019 B, 5% 9/1/20 1,260,000 1,264,590 
Series 2020 May:   
4.875% 5/1/21 1,350,000 1,359,727 
5.125% 5/1/22 275,000 280,077 
Illinois Health Facilities Auth. Rev. Series 2003, 1.6% 11/15/22 185,000 187,155 
Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A:   
5% 2/1/21 470,000 484,253 
5% 2/1/22 640,000 688,326 
5% 2/1/23 25,000 27,992 
Illinois Reg'l. Trans. Auth.:   
Series 1994 C, 7.75% 6/1/20 (FGIC Insured) 1,000,000 1,000,000 
Series 2000, 6.25% 7/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 650,000 652,685 
Series 2002 A, 6% 7/1/21 460,000 484,040 
Series 2010A, 5% 7/1/20 465,000 466,162 
Series 2017 A:   
5% 7/1/20 210,000 210,794 
5% 7/1/21 210,000 220,521 
Illinois Sales Tax Rev.:   
Series 2011, 4% 6/15/20 1,635,000 1,635,419 
Series 2013, 5% 6/15/20 2,380,000 2,381,455 
Series 2016 D, 5% 6/15/23 1,500,000 1,533,870 
Illinois State Univ. Revs. Series 2018 A, 5% 4/1/23 (FSA Insured) 290,000 321,480 
Illinois Toll Hwy. Auth. Toll Hwy. Rev. Series 2014 A:   
5% 12/1/20 2,600,000 2,655,264 
5% 12/1/21 690,000 733,580 
5% 12/1/22 1,090,000 1,201,998 
Kane County School District #129, Aurora West Side Series 2014 A, 2.75% 2/1/22 1,000,000 1,030,980 
Kane County School District No. 131:   
Series 2020 A:   
3% 12/1/21 (FSA Insured) 355,000 369,143 
4% 12/1/22 (FSA Insured) 235,000 256,040 
5% 12/1/23 (FSA Insured) 290,000 335,170 
Series 2020 B:   
3% 12/1/21 (FSA Insured) 510,000 530,318 
4% 12/1/22 (FSA Insured) 435,000 473,946 
Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2011, 5.5% 2/1/23 550,000 617,309 
McHenry County Cmnty. School District #200 Series 2006 B:   
0% 1/15/24 105,000 101,348 
0% 1/15/25 110,000 104,487 
0% 1/15/26 80,000 74,419 
McHenry County Conservation District Gen. Oblig. Series 2014, 5% 2/1/23 50,000 55,997 
Metropolitan Pier & Exposition:   
Series 1994, 0% 6/15/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 470,000 457,299 
Series 2012 B, 5% 12/15/22 1,655,000 1,688,083 
Northern Illinois Univ. Revs. Series 2020 B, 5% 4/1/22 (Build America Mutual Assurance Insured) 250,000 264,895 
Railsplitter Tobacco Settlement Auth. Rev.:   
Series 2010:   
5.25% 6/1/20 4,695,000 4,695,000 
5.25% 6/1/21 500,000 520,165 
Series 2017:   
5% 6/1/22 1,920,000 2,063,059 
5% 6/1/23 1,900,000 2,106,302 
Rockford Park District Series 2019 B, 3% 12/15/20 1,165,000 1,178,996 
Skokie Pk District Series 2003, 0% 12/1/22 1,830,000 1,784,817 
Univ. of Illinois Board of Trustees Ctfs. of Prtn.:   
Series 2014 A, 5% 10/1/20 325,000 328,488 
Series 2014 C, 5% 3/15/23 265,000 290,350 
Univ. of Illinois Rev.:   
Series 2005 A, 5.5% 4/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 700,000 721,591 
Series 2011 A, 5% 4/1/21 250,000 256,685 
Series 2011, 5% 4/1/22 350,000 359,272 
Series 2018 A, 5% 4/1/22 1,000,000 1,057,900 
Series 2019 A, 5% 4/1/22 485,000 513,082 
Waukegan Gen. Oblig.:   
Series 2018 A:   
3% 12/30/20 (FSA Insured) 1,000,000 1,014,228 
4% 12/30/21 (FSA Insured) 410,000 432,058 
4% 12/30/22 (FSA Insured) 425,000 460,551 
Series 2018 B, 4% 12/30/22 (FSA Insured) 400,000 434,212 
Western Illinois Univ. Board Rev. Series 2020, 4% 4/1/22 1,200,000 1,267,596 
Whiteside & Lee Counties Cmnty. Unit School District Series 2018 A, 4% 12/1/21 1,325,000 1,391,634 
Will County Cmnty. Consolidated School District Series 2013, 2.3% 1/1/21 2,950,000 2,982,465 
Will County Cmnty. Unit School District No. 200-U Series 2012, 4% 11/1/20 1,910,000 1,937,758 
TOTAL ILLINOIS  138,282,416 
Indiana - 1.3%   
Indiana Bond Bank Series 2020 A, 3% 1/11/21 5,000,000 5,078,905 
Indiana Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 2.95%, tender 10/1/21 (a)(c) 500,000 508,180 
Indiana Fin. Auth. Econ. Dev. Rev. Bonds (Republic Svcs., Inc. Proj.) Series A, 1.15%, tender 6/1/20 (a)(c) 3,000,000 3,000,000 
Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (a) 710,000 736,185 
Indiana Fin. Auth. Hosp. Rev.:   
Bonds:   
Series 2011 H, 1.65%, tender 7/1/22 (a) 3,300,000 3,360,258 
Series 2011 L:   
SIFMA Municipal Swap Index + 0.280% 0.42%, tender 7/2/21 (a)(b) 3,300,000 3,277,263 
SIFMA Municipal Swap Index + 0.280% 0.42%, tender 7/2/21 (a)(b) 3,500,000 3,475,885 
Series 2015 B, 1.65%, tender 7/2/22 (a) 1,190,000 1,207,755 
Series 2013:   
5% 8/15/22 15,000 16,433 
5% 8/15/23 20,000 22,692 
Indiana Fin. Auth. Rev.:   
(Butler Univ. Proj.) Series 2019:   
3% 2/1/22 210,000 214,561 
3% 2/1/23 225,000 231,489 
4% 2/1/24 200,000 213,668 
4% 2/1/25 275,000 296,945 
(DePauw Univ. Proj.) Series 2019:   
5% 7/1/20 450,000 451,208 
5% 7/1/21 565,000 585,120 
5% 7/1/22 600,000 639,690 
Series 2012, 5% 3/1/21 (Escrowed to Maturity) 25,000 25,892 
Series 2016, 4% 9/1/20 130,000 131,132 
Indiana Fin. Auth. Wastewtr. Util. Rev. (CWA Auth. Proj.):   
Series 2012 A:   
5% 10/1/20 20,000 20,312 
5% 10/1/22 35,000 38,728 
Series 2014 A:   
5% 10/1/20 10,000 10,156 
5% 10/1/21 10,000 10,621 
5% 10/1/22 15,000 16,616 
Series 2015 A:   
5% 10/1/24 35,000 41,724 
5% 10/1/25 35,000 41,732 
Indiana Health Facility Fing. Auth. Rev. Bonds:   
Series 2001 A2, 2%, tender 2/1/23 (a) 155,000 160,416 
Series 2005 A-5, 1.35%, tender 8/4/20 (a) 2,430,000 2,432,116 
Series 2017, 1.35%, tender 8/4/20 (a) 155,000 155,135 
Indianapolis Local Pub. Impt.:   
(Indianapolis Arpt. Auth. Proj.) Series 2016 A1:   
5% 1/1/21 (c) 960,000 981,316 
5% 1/1/23 (c) 45,000 48,699 
5% 1/1/24 (c) 60,000 66,634 
5% 1/1/25 (c) 65,000 73,852 
Series 2019, 1.45% 6/1/21 3,000,000 3,002,062 
Indianapolis Multifamily Hsg. Rev. Bonds Series A, 1.4%, tender 9/1/21 (a) 4,000,000 4,038,800 
Lafayette School Corp. Series 2019:   
4% 7/15/20 415,000 416,664 
4% 1/15/21 425,000 433,651 
Lake Central Multi-District School Bldg. Corp. Series 2012 B:   
4% 1/15/21 25,000 25,533 
5% 7/15/20 25,000 25,133 
5% 7/15/21 20,000 20,989 
Michigan City School Bldg. Corp. (Michigan Gen. Oblig. Proj.) Series 2016 A, 5% 7/15/20 530,000 532,886 
Mount Vernon Ind. Envir. Bonds (Southern Indiana Gas & Elec. Co. Proj.) Series 2015, 2.375%, tender 9/1/20 (a)(c) 1,000,000 999,804 
Purdue Univ. Rev. Series 2012 AA, 5% 7/1/27 255,000 280,301 
Whiting Envir. Facilities Rev.:   
(BP Products North America, Inc. Proj.) Series 2009, 5.25% 1/1/21 1,825,000 1,861,707 
Bonds (BP Products North America, Inc. Proj.):   
Series 2015, 5%, tender 11/1/22 (a)(c) 980,000 1,044,386 
Series 2016 A, 5%, tender 3/1/23 (a)(c) 500,000 536,275 
Series 2019 A, 5%, tender 6/5/26 (a)(c) 1,640,000 1,875,274 
TOTAL INDIANA  42,664,783 
Iowa - 0.2%   
Iowa Fin. Auth. Rev. Series 2018 B, 5% 2/15/22 540,000 582,590 
Iowa Fin. Auth. Single Family Mtg. Bonds Series 2018 B, SIFMA Municipal Swap Index + 0.300% 0.44%, tender 6/4/20 (a)(b) 3,500,000 3,486,714 
Iowa Student Ln. Liquidity Corp. Student Ln. Rev.:   
Series 2015 A, 5% 12/1/21 (c) 1,000,000 1,044,390 
Series 2018 A:   
5% 12/1/20 (c) 500,000 507,484 
5% 12/1/21 (c) 500,000 522,195 
5% 12/1/22 (c) 725,000 777,287 
Series 2019 B, 5% 12/1/23 (c) 600,000 658,560 
TOTAL IOWA  7,579,220 
Kansas - 0.2%   
Desoto Usd # 232 Series 2015 A, 5% 9/1/22 35,000 38,700 
Kansas Dept. of Trans. Hwy. Rev.:   
Series 2004 C1, 1 month U.S. LIBOR + 0.300% 0.559% 9/1/21 (a)(b) 5,000,000 4,971,928 
Series 2018 A, 5% 9/1/20 1,020,000 1,032,272 
Univ. of Kansas Hosp. Auth. Health Facilities Rev. Series 2019 B, 5% 3/1/21 500,000 517,179 
Wichita Health Care Facilities Series III, 4% 5/15/21 455,000 450,268 
Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A:   
5% 9/1/22 10,000 11,033 
5% 9/1/23 15,000 17,185 
5% 9/1/25 15,000 18,245 
TOTAL KANSAS  7,056,810 
Kentucky - 1.9%   
Ashland Med. Ctr. Rev.:   
(Ashland Hosp. Corp. D/B/A King's Daughters Med. Ctr. Proj.) Series 2016 A, 5% 2/1/24 30,000 33,305 
(Ashland Hosp. Corp. D/B/A Kings Daughters Med. Ctr. Proj.) Series 2016 A, 5% 2/1/25 20,000 22,697 
Series 2019:   
5% 2/1/21 385,000 393,266 
5% 2/1/22 500,000 526,510 
Carroll County Envir. Facilities Rev. Bonds (Kentucky Utils. Co. Proj.) Series 2008 A, 1.2%, tender 6/1/21 (a)(c) 930,000 923,963 
Kenton County Arpt. Board Arpt. Rev. Series 2016, 5% 1/1/22 285,000 304,369 
Kentucky Bond Dev. Corp. (Lexington Ctr. Corp. Proj.) Series 2018 A, 5% 9/1/21 435,000 459,586 
Kentucky Econ. Dev. Fin. Auth. Bonds Series 2009 B, 2.7%, tender 11/10/21 (a) 345,000 353,856 
Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Series 2017 A:   
5% 6/1/20 110,000 110,000 
5% 6/1/21 230,000 235,467 
Kentucky Higher Ed. Student Ln. Corp. Rev.:   
Series 2019 A1 5% 6/1/23 (c) 250,000 275,900 
Series 2019 A1, 5% 6/1/22 (c) 200,000 214,080 
Kentucky Hsg. Corp. Hsg. Rev. Bonds (Westminster Village Proj.) Series 2019, 2%, tender 4/1/21 (a) 2,000,000 2,027,508 
Kentucky Hsg. Corp. Multi-family Rev. Bonds (City View Park Proj.) Series 2020, 1.16%, tender 8/1/22 (a) 4,000,000 4,035,600 
Kentucky State Property & Buildings Commission Rev.:   
(Kentucky St Proj.) Series D, 5% 5/1/21 530,000 549,234 
(Kentucky St Proj.):   
Series 2005 5% 8/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 3,050,000 3,190,422 
Series 2005, 5% 8/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 460,000 463,013 
(Proj. No. 100) Series 2011 A, 5% 8/1/20 1,155,000 1,162,566 
(Proj. No. 98) Series 2010:   
4% 8/1/20 775,000 778,813 
5% 8/1/21 2,055,000 2,068,727 
Series 2002, 5.5% 8/1/21 (AMBAC Insured) 515,000 541,682 
Series 2005, 5% 8/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 250,000 270,885 
Series 2015 B, 5% 8/1/20 915,000 920,994 
Series 2015, 4% 8/1/20 300,000 301,476 
Series 2017:   
5% 4/1/21 600,000 619,793 
5% 4/1/22 400,000 428,716 
Series 2018:   
5% 5/1/21 1,145,000 1,186,552 
5% 5/1/23 1,415,000 1,565,938 
Series A:   
5% 10/1/21 255,000 268,375 
5% 11/1/21 350,000 369,502 
5% 8/1/22 590,000 616,633 
5% 11/1/25 350,000 406,844 
Series B:   
5% 11/1/20 3,200,000 3,252,972 
5% 11/1/21 975,000 1,029,327 
5% 8/1/22 910,000 987,450 
5% 8/1/23 2,120,000 2,363,927 
Series C, 5% 11/1/21 975,000 1,029,327 
Kentucky, Inc. Pub. Energy:   
Bonds Series 2019 A1, 4%, tender 6/1/25 (a) 1,000,000 1,089,990 
Series 2018 B:   
4% 7/1/20 1,000,000 1,002,114 
4% 7/1/21 1,350,000 1,386,720 
Series A:   
4% 6/1/21 270,000 276,927 
4% 12/1/22 350,000 369,919 
Louisville & Jefferson County:   
Bonds:   
Series 2020 B, 5%, tender 10/1/23 (a) 840,000 925,084 
Series 2020 C, 5%, tender 10/1/26 (a) 2,015,000 2,342,035 
Series 2016 A, 5% 10/1/22 200,000 217,492 
Louisville Reg'l. Arpt. Auth. Sys. Rev. Series 2014 A:   
5% 7/1/21 (c) 1,250,000 1,305,538 
5% 7/1/23 (c) 1,750,000 1,951,583 
5% 7/1/24 (c) 155,000 177,613 
Louisville/Jefferson County Metropolitan Gov. Series 2012 A:   
5% 12/1/28 (Pre-Refunded to 6/1/22 @ 100) 55,000 59,982 
5% 12/1/29 (Pre-Refunded to 6/1/22 @ 100) 230,000 250,833 
Louisville/Jefferson County Metropolitan Govt. Poll. Cont. Rev. Bonds (Louisville Gas and Elec. Co. Proj.):   
Series 2001 B, 2.55%, tender 5/3/21 (a) 2,000,000 2,031,992 
Series 2007 A, 1.65%, tender 6/1/21 (a) 7,250,000 7,313,981 
Series 2007 B, 1.65%, tender 6/1/21 (a) 2,000,000 2,017,650 
Paducah Elec. Plant Board Rev. Series 2019, 5% 10/1/22 2,005,000 2,208,688 
Trimble County Poll. Cont. Rev. Bonds (Louisville Gas and Elec. Co. Proj.):   
Series 2001 A, 2.3%, tender 9/1/21 (a) 600,000 611,448 
Series 2001 B, 2.55%, tender 5/3/21 (a) 2,590,000 2,631,429 
Univ. Louisville Revs. Series 2016 C, 3% 9/1/21 780,000 805,007 
TOTAL KENTUCKY  63,265,300 
Louisiana - 0.5%   
Louisiana Citizens Property Ins. Corp. Assessment Rev. Series 2015, 5% 6/1/21 (FSA Insured) 1,770,000 1,847,316 
Louisiana Gen. Oblig.:   
Series 2012 A, 5% 8/1/22 35,000 38,431 
Series 2014 D1, 5% 12/1/22 30,000 33,375 
Series 2016 B:   
5% 8/1/22 310,000 341,096 
5% 8/1/23 135,000 153,556 
Series 2016 D:   
5% 9/1/22 140,000 154,232 
5% 9/1/24 155,000 183,260 
Louisiana Hsg. Corp. Multifamily Hsg. Rev. Bonds Series 2018, 2.4%, tender 6/1/20 (a) 7,000,000 7,000,000 
Louisiana Offshore Term. Auth. Deepwater Port Rev. Bonds Series 2010 B-1A, 2%, tender 10/1/22 (a) 815,000 807,037 
Louisiana Pub. Facilities Auth. Rev. Series 2009 A, 5.25% 7/1/20 (Escrowed to Maturity) 870,000 873,356 
Louisiana Stadium and Exposition District Series 2013 A:   
5% 7/1/21 35,000 35,678 
5% 7/1/22 20,000 20,609 
New Orleans Aviation Board Rev.:   
(North Term. Proj.) Series 2017 B:   
5% 1/1/22 (c) 280,000 297,654 
5% 1/1/23 (c) 1,055,000 1,153,484 
5% 1/1/24 (c) 5,000 5,631 
5% 1/1/25 (c) 5,000 5,781 
5% 1/1/26 (c) 10,000 11,811 
Series 2017 D2:   
5% 1/1/21 (c) 290,000 296,781 
5% 1/1/22 (c) 345,000 366,752 
5% 1/1/23 (c) 10,000 10,934 
5% 1/1/24 (c) 15,000 16,892 
5% 1/1/25 (c) 10,000 11,562 
St. John Baptist Parish Rev. Bonds (Marathon Oil Corp.) Series 2017, 2%, tender 4/1/23 (a) 2,780,000 2,613,339 
St. Tammany Parish Hosp. Svc. (St. Tammany Parish Hosp. Proj.) Series 2011, 4.5% 7/1/21 (Escrowed to Maturity) 600,000 627,366 
Tobacco Settlement Fing. Corp. Series 2013 A:   
5% 5/15/21 435,000 445,484 
5% 5/15/23 100,000 107,013 
TOTAL LOUISIANA  17,458,430 
Maine - 0.0%   
Maine Fin. Auth. Student Ln. Rev. Series 2019 A, 5% 12/1/23 (FSA Insured) (c) 500,000 561,200 
Maine Health & Higher Edl. Facilities Auth. Rev.:   
(Univ. of New England Proj.) Series 2017 A, 4% 7/1/20 250,000 250,471 
Series 2017 B, 4% 7/1/21 85,000 87,121 
Maine Tpk. Auth. Tpk. Rev. Series 2015:   
5% 7/1/21 50,000 52,556 
5% 7/1/22 40,000 43,819 
TOTAL MAINE  995,167 
Maryland - 1.0%   
Baltimore County Gen. Oblig. Series 2020:   
4% 1/1/21 650,000 656,628 
4% 1/1/22 830,000 852,418 
Baltimore Gen. Oblig. Series 2017 B, 5% 10/15/20 360,000 366,486 
Baltimore Proj. Rev. Series 2017 D:   
5% 7/1/24 70,000 82,472 
5% 7/1/25 75,000 91,185 
County Commissioners of Charles County Consolidated Series 2018, 5% 10/1/20 2,990,000 3,038,304 
Howard County Gen. Oblig. Series A:   
5% 8/15/21 100,000 105,838 
5% 8/15/22 1,000,000 1,106,020 
Maryland Health & Higher Edl. Facilities Auth. Rev.:   
Series 2015:   
5% 7/1/22 20,000 21,571 
5% 7/1/23 20,000 22,272 
5% 7/1/24 45,000 51,584 
5% 7/1/25 40,000 46,819 
Series 2017, 5% 7/1/20 1,330,000 1,335,082 
Series 2019 A:   
5% 10/1/20 500,000 505,517 
5% 10/1/21 380,000 396,576 
Series 2020 A:   
3% 7/1/21 210,000 214,068 
4% 7/1/22 100,000 105,634 
Series 2020 B:   
5% 4/15/21 440,000 455,545 
5% 4/15/23 675,000 748,602 
Maryland St Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev. Series 2019 B:   
1.55% 9/1/20 1,020,000 1,023,096 
1.6% 3/1/21 1,390,000 1,402,221 
4% 9/1/49 280,000 308,641 
Maryland-Nat'l. Cap. Park and Planning Commission Series 2018 A, 5% 11/1/20 675,000 688,654 
Montgomery County Gen. Oblig. Bonds Series 2013 MD, 1.12%, tender 6/1/20 (a) 18,600,000 18,600,000 
TOTAL MARYLAND  32,225,233 
Massachusetts - 0.8%   
Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Series 2019 C, 5% 1/1/21 2,500,000 2,568,843 
Massachusetts Dev. Fin. Agcy. Rev.:   
(Lesley Univ. Proj.) Series 2016, 5% 7/1/20 260,000 260,719 
Bonds Series S3, SIFMA Municipal Swap Index + 0.500% 0.64%, tender 1/26/23 (a)(b) 3,400,000 3,363,960 
Series 2011, 7.25% 1/1/32 (Pre-Refunded to 1/1/21 @ 100) 1,700,000 1,768,680 
Series 2016 A, 5% 7/15/22 30,000 33,091 
Series 2016 I:   
5% 7/1/21 10,000 10,414 
5% 7/1/22 15,000 16,178 
5% 7/1/23 15,000 16,704 
5% 7/1/24 25,000 28,658 
5% 7/1/25 20,000 23,409 
5% 7/1/26 20,000 23,892 
Series 2019 A:   
5% 7/1/20 450,000 451,393 
5% 7/1/21 200,000 208,082 
5% 7/1/22 450,000 484,182 
5% 7/1/24 155,000 176,488 
Massachusetts Edl. Fing. Auth. Rev.:   
Series 2011 J, 5.125% 7/1/22 (c) 2,080,000 2,152,800 
Series 2015 A, 5% 1/1/22 (c) 600,000 629,790 
Series 2016 J:   
5% 7/1/21 (c) 1,465,000 1,514,883 
5% 7/1/22 (c) 1,475,000 1,569,769 
5% 7/1/23 (c) 725,000 792,135 
Series 2016, 4% 7/1/20 (c) 1,950,000 1,953,404 
Series 2017 A, 4% 7/1/20 (c) 95,000 95,166 
Massachusetts Gen. Oblig. Bonds:   
Series 2014 D1, 1.05%, tender 7/1/20 (a) 700,000 700,297 
Series D2, 1.7%, tender 8/1/22 (a) 250,000 256,760 
Massachusetts Health & Edl. Facilities Auth. Rev. (Partners Healthcare Sys., Inc. Proj.) Series 2007 G2, 1.05%, tender 6/5/20 (FSA Insured) (a) 3,930,000 3,930,000 
Massachusetts Hsg. Fin. Agcy. Hsg. Rev.:   
Bonds Series 2017, 1.5%, tender 6/1/20 (a) 340,000 340,175 
Series 2013 163, 2.5% 6/1/20 (c) 1,235,000 1,235,000 
Massachusetts Port Auth. Rev.:   
Series 2017 A:   
5% 7/1/24 (c) 65,000 74,595 
5% 7/1/25 (c) 25,000 29,369 
Series 2019 A, 5% 7/1/20 (c) 2,250,000 2,258,171 
TOTAL MASSACHUSETTS  26,967,007 
Michigan - 1.8%   
Clarkston Cmnty. Schools 5% 5/1/22 35,000 38,017 
Detroit Downtown Dev. Auth. Tax:   
Series 1, 5% 7/1/22 (FSA Insured) 500,000 545,005 
Series A, 5% 7/1/25 (FSA Insured) 550,000 638,325 
Detroit Swr. Disp. Rev. Series 2006 D, 3 month U.S. LIBOR + 0.600% 1.56% 7/1/32 (a)(b) 90,000 88,016 
Ferris State Univ. Rev. Series 2016, 5% 10/1/20 140,000 141,874 
Grand Blanc Cmnty. Schools Series 2013:   
5% 5/1/21 45,000 46,886 
5% 5/1/22 40,000 43,448 
Grand Rapids Pub. Schools 5% 5/1/23 (FSA Insured) 30,000 33,994 
Huron Valley School District Series 2011:   
5% 5/1/21 685,000 712,746 
5% 5/1/22 450,000 469,202 
Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016:   
5% 5/15/22 20,000 21,479 
5% 5/15/24 10,000 11,423 
5% 5/15/25 15,000 17,507 
5% 5/15/26 15,000 17,872 
Kent Hosp. Fin. Auth. Hosp. Facilities Rev. (Spectrum Health Sys. Proj.) Series 2011 A, 5% 11/15/20 165,000 168,178 
Michigan Bldg. Auth. Rev.:   
(Facilities Prog.) Series 2016 I:   
5% 4/15/22 455,000 495,372 
5% 4/15/24 30,000 35,232 
Series I, 5% 10/15/20 2,000,000 2,035,506 
Michigan Fin. Auth. Rev.:   
(Detroit Wtr. and Sewage Dept. Wtr. Supply Sys. Rev. Rfdg. Local Proj.):   
Series 2014 C3, 5% 7/1/22 (FSA Insured) 1,155,000 1,267,058 
Series 2014 D1, 5% 7/1/22 (FSA Insured) 2,845,000 3,121,022 
(Mclaren Health Care Corp. Proj.) 5% 5/15/21 145,000 150,627 
Bonds:   
Series 2013 M1, 1.12%, tender 6/1/20 (a) 7,500,000 7,500,000 
Series 2016 MI2, SIFMA Municipal Swap Index + 0.480% 0.62%, tender 2/1/22 (a)(b) 5,000,000 4,915,500 
Series 2019 B, 3.5%, tender 11/15/22 (a) 5,750,000 6,117,483 
Series 2019 MI2, 5%, tender 2/1/25 (a) 1,605,000 1,902,439 
Series 2012, 5% 11/1/22 350,000 382,613 
Series 2015 A:   
5% 8/1/22 1,050,000 1,138,190 
5% 8/1/23 260,000 291,208 
Series 2015 MI, 5% 12/1/22 300,000 329,964 
Michigan Gen. Oblig. Series 2016:   
5% 3/15/21 275,000 284,695 
5% 3/15/22 50,000 53,968 
5% 3/15/23 85,000 95,313 
Michigan Hosp. Fin. Auth. Rev.:   
Bonds:   
(Ascension Health Cr. Group Proj.) Series F5, 2.4%, tender 3/15/23 (a) 80,000 83,380 
Series 2010 F1, 4%, tender 6/1/23 (a) 200,000 219,636 
Series 2005 A4, 5% 11/1/21 3,805,000 4,051,526 
Series 2008 C:   
5% 12/1/20 500,000 510,881 
5% 12/1/21 500,000 532,355 
Michigan Strategic Fund Ltd. Oblig. Rev.:   
Bonds:   
Series 2008 ET2, 1.45%, tender 9/1/21 (a) 2,700,000 2,716,362 
Series CC, 1.45%, tender 9/1/21 (a) 155,000 155,939 
Series 2019, 4% 11/15/22 730,000 728,635 
Michigan Trunk Line Fund Rev. Series 2020 A:   
5% 11/15/20 2,000,000 2,041,849 
5% 11/15/21 1,500,000 1,599,390 
Novi Cmnty. School District Series I, 4% 5/1/23 550,000 608,493 
Oakland Univ. Rev. Series 2016, 5% 3/1/22 385,000 415,804 
Portage Pub. Schools Series 2016:   
5% 5/1/23 45,000 50,614 
5% 11/1/23 30,000 34,338 
5% 5/1/24 40,000 46,558 
5% 11/1/24 45,000 53,208 
5% 5/1/25 25,000 30,005 
5% 11/1/25 25,000 30,412 
5% 11/1/28 20,000 24,456 
Royal Oak City School District Series 2018:   
5% 5/1/21 250,000 260,856 
5% 5/1/22 440,000 479,345 
Royal Oak Hosp. Fin. Auth. Hosp. Rev. Series 2014 D:   
5% 9/1/21 35,000 36,748 
5% 9/1/23 10,000 11,229 
Saginaw Hosp. Fin. Auth. Hosp. Rev. Series 2020 J:   
5% 7/1/21 285,000 299,598 
5% 7/1/22 455,000 491,810 
5% 7/1/23 250,000 279,280 
Spring Lake Pub. Schools 5% 5/1/21 90,000 93,773 
Wayne County Arpt. Auth. Rev.:   
Series 2011 A:   
4.125% 12/1/22 (FSA Insured) (c) 530,000 548,789 
5% 12/1/21 (c) 8,505,000 8,938,925 
Series 2012 B:   
5% 12/1/20 (c) 300,000 305,182 
5% 12/1/22 (c) 485,000 525,042 
Series 2017 A, 5% 12/1/20 155,000 157,966 
Series 2017 B:   
5% 12/1/20 (c) 355,000 361,132 
5% 12/1/21 (c) 300,000 315,306 
Zeeland Pub. Schools Series 2015, 5% 5/1/21 445,000 463,863 
TOTAL MICHIGAN  60,612,847 
Minnesota - 0.7%   
Apple Valley Sr. Living Series 2016 B:   
4% 1/1/21 150,000 146,481 
4% 1/1/22 155,000 145,478 
Maple Grove Health Care Sys. Rev. Series 2017:   
4% 5/1/21 110,000 112,557 
4% 5/1/22 110,000 115,147 
5% 5/1/23 110,000 120,540 
Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev.:   
Series 2014 A:   
5% 1/1/22 20,000 21,245 
5% 1/1/23 20,000 21,974 
Series 2014 B:   
5% 1/1/21 (c) 50,000 51,081 
5% 1/1/22 (c) 45,000 47,618 
5% 1/1/23 (c) 20,000 21,819 
Series 2019 B:   
5% 1/1/21 (c) 8,000,000 8,172,914 
5% 1/1/22 (c) 3,000,000 3,174,510 
Minneapolis Multi-family Rev. Bonds Series 2019, 1.55%, tender 11/1/21 (a) 4,050,000 4,098,155 
Minnesota Hsg. Fin. Agcy. Bonds Series 2018 D, SIFMA Municipal Swap Index + 0.430% 0.57%, tender 7/3/23 (a)(b) 3,000,000 2,961,720 
Minnesota Rural Wtr. Fin. Auth. Series 2020, 1% 8/1/21 2,000,000 2,009,280 
Moorhead Edl. Facilities Rev. (The Concordia College Corp. Proj.) Series 2016, 5% 12/1/25 65,000 70,546 
Northern Muni. Pwr. Agcy. Elec. Sys. Rev. Series 2017:   
5% 1/1/22 25,000 26,864 
5% 1/1/23 25,000 27,950 
5% 1/1/24 35,000 40,572 
Rochester Health Care Facilities Rev. Bonds (Mayo Foundation Proj.) Series C, 4.5%, tender 11/15/21 (a) 875,000 917,884 
Roseville Independent School District #623 Series 2018A, 5% 2/1/21 1,715,000 1,768,998 
Western Minnesota Muni. Pwr. Agcy. Pwr. Supply Rev. Series 2014 A:   
5% 1/1/22 20,000 21,504 
5% 1/1/23 35,000 39,198 
5% 1/1/24 20,000 23,261 
TOTAL MINNESOTA  24,157,296 
Mississippi - 0.3%   
Mississippi Hosp. Equip. & Facilities Auth.:   
(Forrest County Gen. Hosp. Rfdg. Proj.) Series 2019 B, 5% 1/1/22 350,000 374,360 
Bonds:   
(Baptist Memorial Health Care Proj.) Series 2004 B2, 1.07%, tender 6/1/20 (a) 6,000,000 6,000,000 
Series 2020 A2, 1.98%, tender 6/3/20 (a)(e) 2,500,000 2,500,123 
Series I, 5% 10/1/22 420,000 451,794 
TOTAL MISSISSIPPI  9,326,277 
Missouri - 0.3%   
Cape Girardeau County Indl. Dev. Auth. (Southeast Hosp. Proj.) Series 2017 A:   
5% 3/1/21 10,000 10,208 
5% 3/1/22 15,000 15,701 
5% 3/1/23 20,000 21,369 
5% 3/1/24 15,000 16,372 
5% 3/1/25 15,000 16,620 
5% 3/1/26 20,000 22,391 
Kansas City Santn Swr. Sys. R Series 2018 A, 4% 1/1/21 350,000 357,796 
Missouri Health & Edl. Facilities Rev. Series 2019 A, 5% 2/15/21 775,000 797,200 
Missouri Hsg. Dev. Commission Single Family Mtg. Rev. Series 2019, 4% 5/1/50 65,000 71,891 
Missouri State Pub. Util. Commn Rev. Series 2019, 1.5% 3/1/21 4,000,000 4,010,454 
Saint Louis Arpt. Rev.:   
Series 2017 A, 5% 7/1/23 (FSA Insured) 1,080,000 1,197,472 
Series 2019 B:   
5% 7/1/21 (c) 350,000 364,389 
5% 7/1/22 (c) 365,000 391,240 
5% 7/1/23 (c) 385,000 424,420 
5% 7/1/24 (c) 400,000 451,888 
5% 7/1/25 (c) 420,000 484,478 
Series 2019 C, 5% 7/1/25 660,000 765,151 
Saint Louis Muni. Fin. Corp. Leasehold Rev. Series 2017 B, 4% 6/1/21 (FSA Insured) 320,000 331,290 
TOTAL MISSOURI  9,750,330 
Montana - 0.1%   
Montana Board Hsg. Single Family:   
Series 2019 B, 4% 6/1/50 30,000 33,708 
Series A1, 3.5% 6/1/50 485,000 526,371 
Montana Board of Invt.:   
(Intercap Revolving Prog.) Series 2017, 1%, tender 3/1/21 (a) 1,425,000 1,426,585 
Series 2007, 1%, tender 3/1/21 (a) 1,520,000 1,521,691 
Montana Facility Fin. Auth. Rev. Series 2016, 5% 2/15/21 550,000 567,973 
TOTAL MONTANA  4,076,328 
Nebraska - 0.3%   
Central Plains Energy Proj. Gas Supply:   
Bonds Series 2019, 4%, tender 8/1/25 (a) 1,170,000 1,313,021 
Series 2019:   
4% 8/1/20 2,000,000 2,010,773 
4% 2/1/21 1,150,000 1,175,006 
4% 8/1/21 1,500,000 1,556,985 
4% 2/1/22 1,465,000 1,542,528 
4% 8/1/23 580,000 634,294 
Douglas County Hosp. Auth. #2 Health Facilities Rev. Series 2020:   
5% 11/15/21 100,000 105,620 
5% 11/15/22 130,000 142,198 
Nebraska Invt. Fin. Auth. Single Family Hsg. Rev. Series 2019 B, 4% 9/1/49 (c) 165,000 179,705 
TOTAL NEBRASKA  8,660,130 
Nevada - 1.8%   
Clark County Arpt. Rev.:   
(Sub Lien Proj.) Series 2017 A-1:   
5% 7/1/20 (c) 1,355,000 1,359,150 
5% 7/1/21 (c) 1,825,000 1,899,205 
5% 7/1/22 (c) 85,000 91,384 
Series 2013 A, 5% 7/1/20 (c) 500,000 501,387 
Series 2014 A, 5% 7/1/20 (c) 1,000,000 1,003,063 
Series 2017 C, 5% 7/1/21 (c) 11,325,000 11,741,873 
Series 2019 D:   
5% 7/1/21 5,800,000 6,047,370 
5% 7/1/22 10,000,000 10,761,700 
Clark County McCarran Int'l. Arpt. Passenger Facility Charge Rev.:   
(Clark County Arpt. Rev. Proj.) Series 2017 B, 5% 7/1/21 (c) 800,000 832,528 
Series 2019 E, 5% 7/1/22 275,000 295,947 
Clark County School District:   
Series 2012 A, 5% 6/15/21 560,000 585,113 
Series 2015 B, 5% 6/15/20 500,000 500,831 
Series 2015 D, 5% 6/15/20 210,000 210,349 
Series 2016 A:   
5% 6/15/21 35,000 36,570 
5% 6/15/23 30,000 33,707 
Series 2017 A, 5% 6/15/22 2,000,000 2,169,940 
Series 2017 C:   
5% 6/15/20 925,000 926,537 
5% 6/15/22 300,000 325,491 
Series 2017 D, 5% 6/15/20 230,000 230,382 
Las Vegas New Convention & Visitors Auth. Rev. Series 2019 B, 4% 7/1/20 350,000 351,070 
Nevada Dept. of Bus. & Industry Bonds (Republic Svcs., Inc. Proj.) Series 2001, 1.47%, tender 6/1/20 (a)(c)(d) 6,200,000 6,200,000 
Nevada Gen. Oblig. Series 2013 D1, 5% 3/1/24 60,000 67,570 
Nevada Hsg. Division Bonds Series 2020, 1.19%, tender 4/1/21 (a) 5,000,000 5,023,979 
Washoe County Gas & Wtr. Facilities Bonds (Sierra Pacific Pwr. Co. Proj.) Series 2016 B, 3%, tender 6/1/22 (a) 115,000 119,398 
Washoe County Gas Facilities Rev. Bonds:   
Series 2016 F, 2.05%, tender 4/15/22 (a)(c) 7,900,000 8,031,061 
Series 2016, 2.05%, tender 4/15/22 (a)(c) 1,210,000 1,230,074 
TOTAL NEVADA  60,575,679 
New Hampshire - 0.2%   
Nat'l. Fin. Auth. Solid Bonds (Waste Mgmt., Inc. Proj.) Series 2019 A2, 2.15%, tender 7/1/24 (a)(c) 555,000 558,663 
New Hampshire Bus. Fin. Auth. Wtr. Facility (Pennichuck Wtr. Works, Inc. Proj.) Series 2014 A, 5% 1/1/24 (c) 260,000 289,320 
New Hampshire Health & Ed. Facilities Auth. Rev.:   
(Southern NH Med. Ctr. Proj.) Series 2016, 3% 10/1/21 225,000 232,054 
(Wentworth-Douglas Hosp. Proj.) Series 2011 A, 6% 1/1/34 (Pre-Refunded to 1/1/21 @ 100) 2,710,000 2,798,888 
Series 2012:   
4% 7/1/20 60,000 60,125 
4% 7/1/21 35,000 35,979 
Series 2016:   
3% 10/1/20 280,000 282,223 
5% 10/1/21 25,000 26,466 
5% 10/1/23 425,000 476,837 
New Hampshire Nat'l. Fin. Auth. Bonds (Emerald Renewable Diesel LLC Proj.) Series 2019, 2%, tender 8/31/20 (a)(c)(d) 3,000,000 3,006,610 
TOTAL NEW HAMPSHIRE  7,767,165 
New Jersey - 3.4%   
Camden County Impt. Auth. Health Care Redev. Rev. Series 2014 A:   
5% 2/15/21 55,000 56,328 
5% 2/15/22 55,000 58,172 
5% 2/15/23 70,000 76,256 
Garden State Preservation Trust Open Space & Farmland Preservation:   
Series 2005 C:   
5.25% 11/1/20 (FSA Insured) 1,600,000 1,631,782 
5.25% 11/1/21 (FSA Insured) 1,000,000 1,067,870 
Series B, 0% 11/1/22 (FSA Insured) 680,000 653,106 
New Jersey Econ. Dev. Auth. Series 2014:   
5% 6/15/20 45,000 45,028 
5% 6/15/20 (Escrowed to Maturity) 5,000 5,009 
New Jersey Econ. Dev. Auth. Motor Vehicle Rev. Series A, 5% 7/1/23 (Build America Mutual Assurance Insured) 250,000 265,730 
New Jersey Econ. Dev. Auth. Rev.:   
(New Jersey Transit Corp. Proj.) Series 2017 B, 5% 11/1/22 1,800,000 1,863,468 
(Provident Montclair Proj.) Series 2017:   
4% 6/1/22 (FSA Insured) 20,000 21,117 
5% 6/1/23 (FSA Insured) 25,000 27,769 
5% 6/1/24 (FSA Insured) 20,000 22,875 
Series 2011 EE, 5% 9/1/20 30,000 30,127 
Series 2012 II:   
5% 3/1/21 (Escrowed to Maturity) 150,000 155,408 
5% 3/1/22 135,000 138,557 
5% 3/1/23 625,000 640,894 
Series 2013, 5% 3/1/23 3,895,000 4,048,229 
Series 2015 XX:   
5% 6/15/21 500,000 508,070 
5% 6/15/23 75,000 78,207 
Series 2016 BBB, 5% 6/15/21 1,090,000 1,107,593 
Series 2017 B, 5% 11/1/20 4,180,000 4,209,981 
Series 2017 DDD, 5% 6/15/22 220,000 226,690 
New Jersey Edl. Facility:   
( William Paterson College Proj.) Series 2017 B, 5% 7/1/20 123,000 123,330 
Series 2014:   
5% 6/15/20 240,000 240,147 
5% 6/15/21 240,000 243,874 
Series 2016 A:   
5% 7/1/21 50,000 51,541 
5% 7/1/22 140,000 148,198 
5% 7/1/23 75,000 81,288 
5% 7/1/24 175,000 193,690 
Series 2016 E, 5% 7/1/22 625,000 672,475 
New Jersey Health Care Facilities Fing. Auth. Rev.:   
Series 2016 A:   
5% 7/1/21 5,000 5,207 
5% 7/1/22 5,000 5,393 
5% 7/1/23 15,000 16,704 
5% 7/1/24 25,000 29,091 
5% 7/1/24 20,000 22,926 
5% 7/1/24 10,000 11,463 
5% 7/1/25 10,000 11,705 
5% 7/1/26 5,000 5,973 
5% 7/1/27 5,000 5,948 
Series 2016:   
4% 7/1/20 425,000 425,766 
5% 7/1/21 220,000 227,658 
New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.:   
Series 2011 1, 5% 12/1/20 (c) 4,320,000 4,403,095 
Series 2012 1A, 5% 12/1/20 (c) 2,000,000 2,038,470 
Series 2013:   
4% 12/1/20 (c) 1,055,000 1,070,076 
5% 12/1/21 (c) 1,500,000 1,583,730 
Series 2015 1A:   
5% 12/1/21 (c) 4,500,000 4,751,190 
5% 12/1/22 (c) 200,000 216,408 
Series 2015 A, 5% 12/1/20 (c) 1,700,000 1,732,700 
Series 2017 1A:   
5% 12/1/22 (c) 215,000 232,639 
5% 12/1/23 (c) 45,000 49,696 
Series 2017 1B:   
5% 12/1/20 (c) 1,665,000 1,697,026 
5% 12/1/21 (c) 190,000 200,606 
Series 2018 B:   
5% 12/1/20 (c) 4,475,000 4,561,077 
5% 12/1/21 (c) 835,000 881,610 
Series 2019 A:   
5% 12/1/20 1,150,000 1,172,700 
5% 12/1/22 245,000 268,003 
5% 12/1/23 80,000 90,113 
5% 12/1/24 45,000 51,984 
Series 2020:   
5% 12/1/22 (c)(e) 160,000 172,352 
5% 12/1/23 (c)(e) 545,000 599,740 
New Jersey Hsg. & Mtg. Fin. Agcy.:   
(Spruce Spires Proj.) Bonds Series 2018 B, 2.02%, tender 8/1/20 (a) 5,000,000 5,011,839 
Bonds:   
Series 2019 C, 1.58%, tender 6/1/20 (a) 1,500,000 1,500,000 
Series 2020 A, 0.75%, tender 6/1/22 (a) 2,000,000 2,004,260 
New Jersey Hsg. & Mtg. Fin. Agcy. Multi-family Rev. Series 2017 B, 1.75% 11/1/20 1,800,000 1,810,036 
New Jersey Hsg. & Mtg. Fin. Agcy. Rev.:   
Series 2018 B:   
2.25% 10/1/20 (c) 4,435,000 4,458,370 
2.5% 4/1/21 (c) 4,225,000 4,287,850 
Series 2019 D:   
4% 10/1/22 (c) 1,340,000 1,429,365 
4% 4/1/23 (c) 115,000 124,018 
4% 10/1/23 (c) 125,000 136,353 
4% 4/1/25 (c) 150,000 168,633 
New Jersey Sports & Exposition Auth. Contract Rev. Series 2018 A, 5% 9/1/20 1,000,000 1,010,363 
New Jersey Tobacco Settlement Fing. Corp. Series 2018 A:   
5% 6/1/20 3,275,000 3,275,000 
5% 6/1/21 1,985,000 2,058,111 
5% 6/1/22 2,480,000 2,659,329 
New Jersey Tpk. Auth. Tpk. Rev.:   
Bonds Series 2017 C5, 1 month U.S. LIBOR + 0.460% 0.719%, tender 1/1/21 (a)(b) 5,905,000 5,879,954 
Series 2017 C1, 1 month U.S. LIBOR + 0.340% 0.599% 1/1/21 (a)(b) 195,000 194,038 
New Jersey Trans. Trust Fund Auth.:   
Series 1999 A, 5.75% 6/15/20 35,000 35,031 
Series 2006 A:   
5.25% 12/15/20 275,000 277,925 
5.25% 12/15/20 (FSA Insured) 1,720,000 1,760,765 
Series 2006, 5.25% 12/15/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 165,000 169,478 
Series 2011 B:   
5% 6/15/21 1,250,000 1,270,176 
5.25% 6/15/22 (Pre-Refunded to 6/15/21 @ 100) 345,000 362,764 
Series 2013 A, 5% 6/15/20 395,000 395,242 
Series 2013 AA, 5% 6/15/23 500,000 521,380 
Series 2016 A:   
5% 6/15/20 12,785,000 12,795,650 
5% 6/15/21 1,700,000 1,740,546 
5% 6/15/22 2,720,000 2,843,923 
5% 6/15/27 90,000 98,199 
Series 2016 A-2, 5% 6/15/23 630,000 670,673 
Series 2018 A:   
4% 6/15/20 1,160,000 1,160,553 
5% 6/15/21 3,995,000 4,090,284 
5% 6/15/22 4,175,000 4,365,213 
Series A:   
5% 12/15/24 210,000 222,466 
5% 12/15/25 200,000 213,598 
Series AA, 5% 6/15/20 375,000 375,229 
New Jersey Transit Corp. Ctfs. of Prtn. Series 2014 A, 5% 9/15/21 480,000 506,630 
Rutgers State Univ. Rev. Series Q:   
5% 5/1/21 125,000 130,416 
5% 5/1/22 80,000 86,034 
5% 5/1/23 65,000 72,369 
TOTAL NEW JERSEY  115,405,921 
New Mexico - 0.2%   
Farmington Poll. Cont. Rev. Bonds (Pub. Svc. Co. of New Mexico Proj.) Series 2010 A, 5.2%, tender 6/1/20 (a) 220,000 220,000 
New Mexico Mtg. Fin. Auth. Series 2019 C, 4% 1/1/50 530,000 583,260 
New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev.:   
Bonds Series 2019 A, 5%, tender 5/1/25 (a) 1,000,000 1,163,660 
Series 2019 A:   
4% 5/1/22 140,000 148,492 
4% 5/1/23 580,000 630,373 
4% 11/1/23 245,000 269,559 
4% 11/1/24 250,000 280,498 
4% 5/1/25 960,000 1,077,754 
New Mexico Severance Tax Rev. Series 2015 B, 5% 7/1/21 1,495,000 1,572,755 
TOTAL NEW MEXICO  5,946,351 
New York - 1.8%   
Albany County Arpt. Auth. Arpt. Rev. Series 2020 B, 5% 12/15/21 (c) 500,000 530,645 
Dorm. Auth. New York Univ. Rev.:   
Series 2016 A:   
5% 7/1/22 10,000 10,683 
5% 7/1/24 40,000 44,954 
Series 2017, 4% 12/1/20 (d) 200,000 202,288 
Long Island Pwr. Auth. Elec. Sys. Rev. Bonds Series 2019 B, 1.65%, tender 9/1/24 (a) 800,000 798,968 
New York City Gen. Oblig.:   
Series 2006, 1%, tender 6/1/36 (FSA Insured) (a) 1,000,000 1,000,000 
Series 2007 C-4, 1.5%, tender 1/1/32 (FSA Insured) (a) 225,000 225,000 
Series 2007, 1.15%, tender 6/5/20 (FSA Insured) (a) 4,200,000 4,200,000 
Series 2008 A-3, 1.13%, tender 8/1/26 (FSA Insured) (a) 3,775,000 3,775,000 
Series 2008 C-4, 1.09%, tender 10/1/27 (a) 225,000 225,000 
Series 2013 D, 5% 8/1/23 1,390,000 1,541,441 
Series A, 5% 8/1/22 300,000 330,231 
Series C, 5% 8/1/23 5,000,000 5,704,150 
New York City Hsg. Dev. Corp.:   
Bonds Series 2017 G-2, 2%, tender 12/31/21 (a) 2,630,000 2,635,918 
Series 2017 A2A, 1.9% 5/1/21 615,000 615,296 
New York City Hsg. Dev. Corp. Multifamily Hsg. Bonds:   
Series A3, 1.125%, tender 11/1/24 (a) 2,000,000 1,998,120 
Series B1, 0.8%, tender 12/1/20 (a) 3,000,000 3,000,459 
New York City Transitional Fin. Auth. Rev. Series 1, 5% 11/1/22 400,000 443,352 
New York Dorm. Auth. Personal Income Tax Rev. Series 2012 A, 5% 12/15/23 600,000 667,050 
New York Dorm. Auth. Rev. Bonds Series 2019 B1, 5%, tender 5/1/22 (a) 675,000 712,415 
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Bonds Series 2008 A, SIFMA Municipal Swap Index + 0.450% 0.59%, tender 6/1/22 (a)(b) 1,395,000 1,352,243 
New York Metropolitan Trans. Auth. Rev.:   
Bonds:   
Series 2011 B, 1 month U.S. LIBOR + 0.550% 0.798%, tender 11/1/22 (a)(b) 1,745,000 1,643,284 
Series 2018 A, 5%, tender 11/15/20 (a) 3,000,000 3,014,291 
Series 2005 B, 5.25% 11/15/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 275,000 282,084 
Series 2008 B2, 5% 11/15/21 110,000 112,448 
Series 2012 B, 5% 11/15/22 45,000 46,505 
Series 2012 E, 5% 11/15/21 55,000 56,224 
Series 2012 F:   
5% 11/15/21 765,000 782,021 
5% 11/15/22 1,000,000 1,033,450 
Series 2014 C, 5% 11/15/21 60,000 61,335 
Series 2016 B, 5% 11/15/21 50,000 51,113 
Series 2020 A:   
4% 2/1/22 3,800,000 3,811,362 
5% 2/1/23 4,200,000 4,345,740 
New York St Mtg. Agcy. Homeowner:   
Series 198, 1.65% 10/1/21 (c) 2,245,000 2,275,554 
Series 2014 189, 2.5% 10/1/21 (c) 1,640,000 1,680,770 
New York State Energy Research & Dev. Auth. Poll. Cont. Rev. Series 1999, 3.15%, tender 6/5/20 (AMBAC Insured) (a) 300,000 300,000 
New York State Hsg. Fin. Agcy. Rev. Bonds Series 2019 F, 1.875%, tender 11/1/21 (a) 2,500,000 2,501,200 
New York State Mtg. Agcy. Homeowner Mtg. Series 221, 3.5% 10/1/32 (c) 75,000 80,439 
New York Trans. Dev. Corp. (Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/22 (c) 1,500,000 1,518,195 
Niagara Frontier Trans. Auth. Arpt. Rev. Series 2019 A:   
5% 4/1/22 (c) 700,000 753,578 
5% 4/1/23 (c) 2,575,000 2,838,551 
5% 4/1/24 (c) 1,720,000 1,951,787 
Onondaga County Ind. Dev. Agcy. Swr. Facilities Rev. (Bristol-Meyers Squibb Co. Proj.) 5.75% 3/1/24 (c) 570,000 667,265 
Yonkers Gen. Oblig. Series 2017 C, 5% 10/1/22 (Build America Mutual Assurance Insured) 55,000 60,251 
TOTAL NEW YORK  59,880,660 
New York And New Jersey - 0.5%   
Port Auth. of New York & New Jersey:   
Series 188, 5% 5/1/21 (c) 11,465,000 11,886,419 
Series 2018, 5% 9/15/22 (c) 4,000,000 4,360,600 
TOTAL NEW YORK AND NEW JERSEY  16,247,019 
North Carolina - 0.6%   
Durham Hsg. Auth. MultiFamily Hsg. Rev. Bonds Series 2017, 1.3%, tender 10/1/20 1,000,000 1,002,537 
New Hanover County Hosp. Rev. Series 2017, 5% 10/1/26 290,000 348,635 
North Carolina Cap. Facilities Fin. Agcy. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2010 B, 1.15%, tender 6/3/20 (a)(c) 12,000,000 12,000,000 
North Carolina Eastern Muni. Pwr. Agcy. Pwr. Sys. Rev. Series 1993 B, 6% 1/1/22 (Escrowed to Maturity) 1,750,000 1,906,293 
North Carolina Grant Anticipation Rev. Series 2017:   
5% 3/1/22 80,000 86,489 
5% 3/1/23 80,000 89,858 
North Carolina Hsg. Fin. Agcy. Home Ownership Rev. Series 43, 4% 7/1/50 2,800,000 3,114,552 
North Carolina Med. Care Commission Health Care Facilities Rev. Bonds Series 2019 B, 2.2%, tender 12/1/22 (a) 1,420,000 1,440,249 
North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev. Series 2015 E:   
5% 1/1/22 110,000 118,201 
5% 1/1/23 35,000 38,777 
Raleigh Durham Arpt. Auth. Arpt. Rev.:   
Series 2015 B, 5% 5/1/22 (c) 550,000 590,508 
Series 2017 A:   
5% 5/1/22 (c) 400,000 429,460 
5% 5/1/23 (c) 235,000 259,854 
TOTAL NORTH CAROLINA  21,425,413 
North Dakota - 0.1%   
North Dakota Hsg. Fin. Agcy. Bonds (Home Mtg. Fin. Prog.) Series 2019 B, SIFMA Municipal Swap Index + 0.400% 0.54%, tender 2/1/22 (a)(b) 4,000,000 3,971,960 
Ohio - 1.4%   
Akron Bath Copley Hosp. District Rev.:   
Series 2012, 5% 11/15/20 325,000 330,961 
Series 2016, 5% 11/15/24 45,000 52,094 
Allen County Hosp. Facilities Rev.:   
Bonds (Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) 125,000 135,059 
Series 2010 B, 4.125% 9/1/20 500,000 503,891 
Series 2017 A:   
5% 8/1/21 780,000 815,537 
5% 8/1/22 300,000 325,197 
Series 2020 A:   
5% 12/1/20 1,405,000 1,432,663 
5% 12/1/21 1,000,000 1,058,370 
5% 12/1/22 1,550,000 1,699,157 
5% 12/1/23 1,000,000 1,131,550 
American Muni. Pwr., Inc. Rev. Bonds:   
(Combined Hydroelectric Proj.) Series 2018, 2.25%, tender 8/15/21 (a) 3,000,000 3,026,820 
Series 2019 A, 2.3%, tender 2/15/22 (a) 1,800,000 1,806,300 
Cleveland Arpt. Sys. Rev.:   
Series 2016 A, 5% 1/1/26 (FSA Insured) 10,000 11,519 
Series 2019 B, 5% 1/1/21 (c) 1,700,000 1,738,147 
5% 1/1/24 (FSA Insured) 25,000 28,135 
5% 1/1/25 (FSA Insured) 370,000 426,540 
Cleveland Pub. Pwr. Sys. Rev. Series 2016:   
5% 11/15/21 220,000 235,244 
5% 11/15/21 (FSA Insured) 1,180,000 1,259,084 
Cuyahoga Metropolitan Hsg. Auth. Bonds:   
(Carver Park Phase II Proj.) Series 2018, 2.2%, tender 6/1/20 (a) 4,175,000 4,175,000 
(Riverside Park Phase II Proj.) Series 2019, 2%, tender 4/1/21 (a) 3,000,000 3,029,728 
Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013:   
5% 6/15/22 45,000 48,321 
5% 6/15/23 40,000 44,168 
Franklin County Hosp. Facilities Rev.:   
Bonds (Ohio Health Corp.) Series 2018 B, SIFMA Municipal Swap Index + 0.430% 0.57%, tender 11/15/21 (a)(b) 3,800,000 3,776,934 
Series 2016 C, 5% 11/1/23 60,000 68,567 
Franklin County Multi-family Rev. Bonds Series 2017, 1.77%, tender 6/1/20 (a) 175,000 175,000 
Franklin County Rev. Bonds Series 2013 OH, 0.7%, tender 8/3/20 (a) 8,000,000 7,999,994 
Hamilton County Convention Facilities Auth. Rev. Series 2014, 5% 12/1/21 45,000 47,036 
Hamilton County HealthCare Facilities Rev.:   
(Christ Hosp., OH. Proj.) Series 2012, 5% 6/1/20 220,000 220,000 
Series 2012:   
5% 6/1/21 400,000 417,063 
5.25% 6/1/26 115,000 122,658 
Lucas County Hosp. Rev. Series 2011 D, 4% 11/15/20 2,200,000 2,229,931 
Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019:   
5% 8/1/24 620,000 712,306 
5% 8/1/25 310,000 363,497 
5% 8/1/26 535,000 640,235 
Ohio Higher Edl. Facility Commission Rev.:   
(Case Western Reserve Univ. Proj.) Series 2016, 5% 12/1/22 585,000 640,838 
(Kenyon College, Oh. Proj.) Series 2017, 4% 7/1/20 50,000 50,098 
Ohio Hosp. Facilities Rev. Series 2017 A:   
5% 1/1/21 60,000 61,574 
5% 1/1/22 35,000 37,482 
5% 1/1/23 45,000 49,941 
5% 1/1/24 40,000 45,968 
5% 1/1/25 45,000 53,366 
Ohio Hsg. Fin. Agcy. Multi-family Hsg. Rev. Bonds (Brandt Meadows Apts. Proj.) Series 2019, 2%, tender 9/1/20 (a) 3,700,000 3,711,931 
Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 45,000 50,610 
Ohio Spl. Oblig. Series 2020 A:   
5% 2/1/22 185,000 199,678 
5% 2/1/23 305,000 342,363 
Ross County Hosp. Facilities Rev. (Adena Health Sys. Obligated Group Proj.) Series 2019, 5% 12/1/20 375,000 383,712 
Scioto County Hosp. Facilities Rev.:   
Series 2016:   
5% 2/15/21 15,000 15,466 
5% 2/15/22 25,000 26,878 
5% 2/15/23 45,000 48,402 
5% 2/15/24 35,000 38,365 
5% 2/15/25 35,000 39,082 
5% 2/15/26 405,000 458,897 
Series 2019, 5% 2/15/29 1,000,000 1,106,970 
Univ. of Akron Gen. Receipts Series 2019 A:   
5% 1/1/24 300,000 339,975 
5% 1/1/25 400,000 466,136 
TOTAL OHIO  48,254,438 
Oklahoma - 0.2%   
Beckham Independent School District#6 Elk City Series 2019, 2% 7/1/21 1,405,000 1,424,923 
Canadian Cny Edl. Facilities Auth. (Yukon Pub. Schools Proj.) Series 2019, 5% 12/1/20 2,050,000 2,092,536 
Oklahoma County Fin. Auth. Edl. Facilities (Midwest City- Del City School Dis Proj.) Series 2018, 5% 10/1/21 240,000 254,402 
Oklahoma County Independent School District No. 53 Series 2017, 1.75% 7/1/20 265,000 265,229 
Oklahoma County Independent School District No. 9 Series 2018, 2.5% 6/1/21 1,535,000 1,563,336 
Oklahoma Dev. Fin. Auth. Rev.:   
(Oklahoma City Univ. Proj.) Series 2019, 5% 8/1/23 560,000 608,065 
Series 2004 A, 2.375% 12/1/21 (a) 30,000 30,738 
Oklahoma Hsg. Fin. Agcy. Collateralized Bonds Series 2019, 1.6%, tender 7/1/22 185,000 186,781 
Tulsa County Indl. Auth. Edl. Facilities Lease Rev. Series 2018, 5% 9/1/20 1,500,000 1,516,909 
TOTAL OKLAHOMA  7,942,919 
Oregon - 0.3%   
Oregon Bus. Dev. Commission Bonds Series 250, 5%, tender 3/1/22 (a)(c) 2,970,000 3,161,832 
Oregon Bus. Dev. Commn Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23 (a) 770,000 799,660 
Oregon Facilities Auth. Rev.:   
(Legacy Health Proj.) Series 2011 A, 5.25% 5/1/21 255,000 266,462 
Series 2011 C, 5% 10/1/20 110,000 111,621 
Port of Portland Arpt. Rev. Series 26 C:   
5% 7/1/21 (c) 1,815,000 1,889,016 
5% 7/1/22 (c) 1,300,000 1,396,512 
5% 7/1/23 (c) 2,000,000 2,213,060 
TOTAL OREGON  9,838,163 
Pennsylvania - 3.3%   
Adams County Indl. Dev. Auth. Rev. Series 2010, 5% 8/15/20 490,000 494,632 
Allegheny County Arpt. Auth. Rev.:   
Series 2001, 5% 1/1/21 (Escrowed to Maturity) (c) 1,650,000 1,692,787 
Series 2006 B:   
5% 1/1/21 (Escrowed to Maturity) (c) 690,000 707,893 
5% 1/1/22 (Escrowed to Maturity) (c) 400,000 428,036 
Berks County Muni. Auth. Rev.:   
(Tower Health Proj.) Series 2020 A:   
5% 2/1/21 400,000 406,583 
5% 2/1/22 500,000 519,800 
Bonds (Tower Health Proj.) Series 2020 B1, 5%, tender 2/1/25 (a) 255,000 281,808 
Bethlehem Area School District Auth. Bonds (School District Rfdg. Proj.) Series 2018 A, 1 month U.S. LIBOR + 0.480% 0.599%, tender 11/1/21 (a)(b) 3,990,000 3,935,098 
Butler Area School District Series 2018, 5% 10/1/22 1,250,000 1,379,750 
Chester County Health & Ed. Auth. Rev. Series 2017:   
5% 11/1/20 155,000 153,635 
5% 11/1/21 160,000 155,317 
Chester County Health & Ed. Facilities Auth. Health Sys. Rev. Series C, 3% 9/1/23 245,000 261,890 
Coatesville Area School District Series 2017, 5% 8/1/23 (FSA Insured) 350,000 395,983 
Commonwealth Fing. Auth. Rev.:   
Series 2019 B, 5% 6/1/24 265,000 309,634 
Series 2020 A, 5% 6/1/23 350,000 395,175 
Commonwealth Fing. Auth. Tobacco Series 2018, 5% 6/1/21 1,000,000 1,039,081 
Cumberland County Muni. Auth. Rev. Bonds Series 2014 T1, 3.75%, tender 5/1/44 (a) 1,000,000 1,008,280 
Delaware Valley Reg'l. Fin. Auth. Local Govt. Rev. Bonds SIFMA Municipal Swap Index + 0.420% 0.56%, tender 9/1/22 (a)(b) 5,000,000 4,934,100 
Doylestown Hosp. Auth. Hosp. Rev. Series 2016 B, 5% 7/1/20 150,000 150,390 
Easton Area School District Series 2013 A, 5% 4/1/23 705,000 749,641 
Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A, 5% 7/1/21 1,000,000 1,041,110 
Lehigh County Indl. Dev. Auth. Poll. Cont. Rev. Bonds:   
(PPL Elec. Utils. Corp. Proj.) Series 2016 A, 1.8%, tender 9/1/22 (a) 730,000 731,562 
Series B, 1.8%, tender 8/15/22 (a) 975,000 976,121 
Montgomery County Higher Ed. & Health Auth. Rev.:   
Bonds Series 2017, 3%, tender 5/1/21 (a) 1,225,000 1,242,503 
Series 2014 A:   
5% 10/1/20 30,000 30,321 
5% 10/1/23 5,000 5,506 
Series 2017:   
2% 12/1/20 145,000 143,635 
3% 12/1/21 155,000 152,813 
Series 2019:   
5% 9/1/23 500,000 548,025 
5% 9/1/26 1,250,000 1,446,963 
Montgomery County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Exelon Generation Co. LLC Proj.) Series 2015 A, 2.6%, tender 9/1/20 (a) 1,090,000 1,094,854 
Montgomery County Indl. Dev. Auth. Rev. (Meadowood Sr. Living Proj.) Series 2018 A, 3% 12/1/20 250,000 248,757 
New Kensington-Arnold School District Series 2019 A:   
4% 5/15/21 940,000 972,330 
4% 5/15/22 975,000 1,040,247 
Northeastern Hosp. & Ed. Auth. Series 2016 A, 5% 3/1/21 110,000 111,282 
Octorara Area School District Chester and Lancaster Counties Series 2020, 4% 4/1/23 700,000 768,677 
Pennsylvania Ctfs. Prtn. Series 2018 A, 5% 7/1/20 300,000 301,082 
Pennsylvania Econ. Dev. Fing. Auth. Series 2020 A:   
5% 4/15/21 350,000 362,116 
5% 4/15/22 500,000 535,590 
Pennsylvania Econ. Dev. Fing. Auth. Indl. Dev. Rev. (The Pennsylvania Rapid Bridge Replacement Proj.) Series 2015, 5% 12/31/20 (c) 980,000 996,526 
Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds:   
(Republic Svcs., Inc. Proj.) Series 2019 A, 1.95%, tender 4/1/34 (a)(c) 4,600,000 4,603,163 
(Waste Mgmt., Inc. Proj.) Series 2013, 1.9%, tender 8/1/45 (a)(c) 18,000,000 18,012,404 
(Waste Mgmt., Inc. Proj.):   
Series 2009, 2.8%, tender 12/1/21 (a) 600,000 616,464 
Series 2017 A, 1.7%, tender 8/3/20 (a)(c) 70,000 70,024 
3%, tender 7/1/20 (a)(c) 3,000,000 3,003,918 
Pennsylvania Gen. Oblig. Series 2016, 5% 1/15/22 290,000 311,707 
Pennsylvania Higher Edl. Facilities Auth. Rev.:   
Bonds:   
Series 2014 T3 and T4, 2.875%, tender 5/1/30 (a) 1,000,000 1,000,084 
3%, tender 5/1/33 (a) 1,565,000 1,584,500 
Series 2014:   
5% 12/1/21 5,000 5,360 
5% 12/1/22 20,000 22,223 
Pennsylvania Hsg. Fin. Agcy.:   
Bonds:   
Series 2018 127C, 0.689%, tender 10/1/23 (a)(b) 4,000,000 3,917,720 
Series 2019, 1.4%, tender 1/1/23 (a) 4,500,000 4,579,380 
Series 2018 127A:   
2.15% 10/1/20 (c) 1,710,000 1,717,594 
2.25% 4/1/21 (c) 1,900,000 1,922,751 
Pennsylvania Hsg. Fin. Agcy. Multifamily Hsg. Dev. Rev. Bonds Series 2018, 2.45%, tender 7/1/21 (a) 2,000,000 2,040,600 
Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev. Series 114A, 2.9% 10/1/21 (c) 585,000 601,134 
Pennsylvania Indl. Dev. Auth. Rev. Series 2012, 5% 7/1/21 335,000 351,747 
Pennsylvania Pub. School Bldg. Auth. School Rev. (The School District of Harrisburg Proj.) Series 2016 A, 5% 12/1/21 (FSA Insured) 110,000 117,580 
Pennsylvania Tpk. Commission Tpk. Rev.:   
Series 2018 A1:   
SIFMA Municipal Swap Index + 0.350% 0.49% 12/1/20 (a)(b) 2,800,000 2,797,513 
SIFMA Municipal Swap Index + 0.430% 0.57% 12/1/21 (a)(b) 3,500,000 3,461,325 
Series 2018 B, SIFMA Municipal Swap Index + 0.500% 0.64% 12/1/21 (a)(b) 3,460,000 3,425,296 
Philadelphia Arpt. Rev.:   
Series 2010 D, 5% 6/15/21 (c) 490,000 491,311 
Series 2011 A, 5% 6/15/21 (c) 225,000 233,302 
Series 2017 A, 5% 7/1/24 10,000 11,450 
Series 2017 B:   
5% 7/1/21 (c) 1,300,000 1,349,855 
5% 7/1/22 (c) 620,000 663,518 
5% 7/1/24 (c) 345,000 389,464 
Philadelphia Auth. for Indl. Dev. Series 2020 C, 4% 11/1/24 (e) 535,000 580,208 
Philadelphia Auth. Indl. Dev. Lease Rev. Series 2019:   
5% 10/1/20 1,300,000 1,312,170 
5% 10/1/21 500,000 518,445 
Philadelphia Gas Works Rev.:   
Series 10, 5% 7/1/20 (FSA Insured) 305,000 306,045 
Series 15, 5% 8/1/21 25,000 26,106 
Series 2015 13:   
5% 8/1/20 600,000 603,780 
5% 8/1/21 850,000 887,613 
Series 2016 14, 5% 10/1/20 1,145,000 1,159,557 
Series 2017 15:   
4% 8/1/20 130,000 130,607 
5% 8/1/22 480,000 518,914 
Philadelphia Gen. Oblig.:   
Series 2019 A, 5% 8/1/20 1,530,000 1,540,894 
Series 2019 B, 5% 2/1/21 1,500,000 1,543,040 
Philadelphia Hospitals & Higher Ed. Facilities Auth. Hosp. Rev. Series 2017, 5% 7/1/20 220,000 220,572 
Philadelphia School District Series 2019 A:   
5% 9/1/20 600,000 606,248 
5% 9/1/21 115,000 120,981 
5% 9/1/23 185,000 209,198 
Phoenixville Area School District Gen. Oblig. Series 2016 B, 4% 8/15/21 500,000 521,635 
Pittsburgh Urban Redev. Auth. Rev. Bonds (Crawford Square Apts. Proj.) Series 2018, 0.6%, tender 6/1/20 (a) 4,025,000 4,025,000 
Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev.:   
Bonds Series 2017 C, 1 month U.S. LIBOR + 0.640% 0.953%, tender 6/1/20 (FSA Insured) (a)(b) 3,270,000 3,253,821 
Series 2019 A:   
5% 9/1/23 270,000 309,620 
5% 9/1/26 (FSA Insured) 625,000 786,419 
Quakertown Gen. Auth. Health Facilities Series 2017 A, 3.125% 7/1/21 705,000 687,713 
Reading School District Series 2017:   
5% 3/1/21 (FSA Insured) 50,000 51,687 
5% 3/1/25 (FSA Insured) 5,000 5,969 
5% 3/1/26 (FSA Insured) 5,000 6,125 
5% 3/1/27 (FSA Insured) 5,000 6,280 
5% 3/1/28 (FSA Insured) 5,000 6,283 
Scranton School District:   
Series 2017 A, 5% 6/1/20 135,000 135,000 
Series 2017 B, 5% 6/1/20 120,000 120,000 
TOTAL PENNSYLVANIA  109,650,850 
Rhode Island - 0.1%   
Rhode Is Comm Corp. Spl. Facilities Rev. Series 2018, 5% 7/1/21 685,000 710,742 
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev. Series 2016:   
5% 5/15/22 45,000 47,589 
5% 5/15/23 25,000 27,108 
5% 5/15/24 50,000 55,442 
5% 5/15/25 120,000 135,338 
Rhode Island Health & Edl. Bldg. Corp. Pub. Schools Rev. Series 2015, 5% 5/15/25 (FSA Insured) 130,000 155,988 
Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev. Series 2015, 5% 11/1/20 300,000 304,273 
Rhode Island Hsg. & Mtg. Fin. Corp. Series 2019 70, 4% 10/1/49 105,000 115,676 
Rhode Island Student Ln. Auth. Student Ln. Rev.:   
Series 2019 A, 5% 12/1/28 (c) 490,000 582,311 
Series A, 5% 12/1/20 (c) 250,000 253,805 
Tobacco Settlement Fing. Corp. Series 2015 A:   
5% 6/1/21 555,000 571,331 
5% 6/1/26 75,000 84,419 
5% 6/1/27 20,000 22,458 
TOTAL RHODE ISLAND  3,066,480 
South Carolina - 0.4%   
Charleston County Arpt. District Series 2013 A, 5.25% 7/1/22 (c) 1,235,000 1,335,121 
Greenville County School District Series 2019 C, 4% 6/1/20 5,000,000 5,000,000 
Lancaster County School District ( South Carolina Gen. Oblig. Proj.) Series 2017, 5% 3/1/22 45,000 48,716 
Laurens County Wtr. & Swr. Cmnty. Wtrwks. Series 2020, 1.375% 2/1/22 3,000,000 3,028,560 
Richland County School District #2 Gen. Oblig. (South Carolina Gen. Oblig. Proj.) Series 2015 A, 5% 2/1/23 55,000 61,894 
Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015:   
5% 12/1/23 95,000 107,044 
5% 12/1/26 25,000 29,094 
South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50 145,000 161,243 
South Carolina Ports Auth. Ports Rev. Series 2019 B, 5% 7/1/22 (c) 310,000 331,889 
South Carolina Pub. Svc. Auth. Rev.:   
Series 2012 B, 5% 12/1/20 20,000 20,438 
Series 2012 C, 5% 12/1/20 400,000 408,765 
Series 2014 C:   
5% 12/1/22 25,000 26,968 
5% 12/1/23 110,000 121,362 
Series 2015 A, 5% 12/1/21 225,000 239,663 
Series A, 5% 12/1/23 1,015,000 1,119,839 
TOTAL SOUTH CAROLINA  12,040,596 
South Dakota - 0.0%   
South Dakota Health & Edl. Facilities Auth. Rev. Series 2014 B:   
4% 11/1/20 15,000 15,177 
4% 11/1/21 10,000 10,396 
5% 11/1/22 10,000 10,904 
TOTAL SOUTH DAKOTA  36,477 
Tennessee - 0.5%   
Greeneville Health & Edl. Facilities Board Series 2018 A, 5% 7/1/22 1,000,000 1,063,610 
Memphis Health, Edl. & Hsg. Facilities Board Bonds Series 2018, 2.03%, tender 8/1/20 (a) 7,400,000 7,417,208 
Metropolitan Nashville Arpt. Auth. Rev. Series 2019 B, 5% 7/1/25 (c) 770,000 898,390 
Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev. Bonds Series 2001 B, 1.55%, tender 11/3/20 (a) 3,410,000 3,420,105 
Tennergy Corp. Gas Rev. Bonds Series 2019 A, 5%, tender 10/1/24 (a) 2,050,000 2,351,084 
Tennessee Energy Acquisition Corp.:   
Series 2006 A, 5.25% 9/1/21 1,235,000 1,283,869 
Series 2018, 5% 11/1/22 1,500,000 1,618,095 
TOTAL TENNESSEE  18,052,361 
Texas - 7.1%   
Alamito Pub. Facilities Corp. Bonds:   
(Cramer Three Apts. Proj.) Series 2018, 2.5%, tender 5/1/21 (a) 5,000,000 5,078,440 
(Sandoval Apts. and Valle Verde Apts. Proj.) Series 2018, 2.25%, tender 6/1/20 (a) 3,000,000 3,000,000 
Series 2019, 1.51%, tender 5/1/22 (a) 6,000,000 6,068,280 
Aledo Independent School District Series 2015, 0% 2/15/24 25,000 24,418 
Allen Independent School District Series 2011, 5% 2/15/41 (Pre-Refunded to 2/15/21 @ 100) 860,000 888,853 
Austin Affordable Pfc, Inc. Multifamily Hsg. Rev. Bonds Series 2019, 1.46%, tender 6/1/22 (a) 700,000 714,994 
Austin Arpt. Sys. Rev.:   
Series 2019 B, 5% 11/15/22 (c) 600,000 650,214 
Series 2019:   
5% 11/15/20 (c) 2,615,000 2,670,928 
5% 11/15/22 (c) 385,000 417,221 
Austin-Bergstrom Landhost Ente Series 2017:   
5% 10/1/20 235,000 238,471 
5% 10/1/21 280,000 296,338 
Brownsville Independent School District Series 2017, 4% 8/15/22 1,910,000 2,065,665 
Burleson Independent School District Bonds Series 2018, 2.5%, tender 8/1/22 (a) 5,000,000 5,170,700 
Cap. Area Hsg. Fin. Corp. Multi-family Hsg. Rev. Bonds:   
Series 2018, 2.05%, tender 8/1/20 (a) 10,000,000 10,023,673 
Series 2019, 2.1%, tender 9/1/22 (a) 2,800,000 2,846,732 
Central Reg'l. Mobility Auth.:   
Bonds Series 2015 B, 5%, tender 1/6/21 (a) 1,000,000 1,000,853 
Series 2011, 6% 1/1/41 (Pre-Refunded to 1/1/21 @ 100) 5,720,000 5,909,275 
Series 2016:   
5% 1/1/21 10,000 10,149 
5% 1/1/22 35,000 36,391 
5% 1/1/23 55,000 58,449 
5% 1/1/24 75,000 81,165 
5% 1/1/26 65,000 72,454 
Cypress-Fairbanks Independent School District Bonds:   
Series 2014 B2, 1.4%, tender 8/17/20 (a) 1,700,000 1,702,288 
Series 2014 B3, 1.4%, tender 8/17/20 (a) 2,425,000 2,428,263 
Series 2015 B2, 2.125%, tender 8/16/21 (a) 4,000,000 4,069,760 
Series 2017 A-2, 1.25%, tender 8/15/22 (a) 3,000,000 3,036,300 
Series 2017 A-3, 3%, tender 8/17/20 (a) 630,000 632,940 
Series 2017 A1, 2.125%, tender 8/16/21 (a) 8,180,000 8,322,659 
Dallas County Gen. Oblig. Series 2016 5% 8/15/22 75,000 82,864 
Dallas Fort Worth Int'l. Arpt. Rev.:   
Series 2011 D, 5% 11/1/23 400,000 406,824 
Series 2013 F:   
5% 11/1/21 65,000 68,603 
5% 11/1/22 210,000 228,883 
Series 2014 D, 5% 11/1/21 (c) 2,515,000 2,642,737 
Dallas Independent School District Bonds:   
Series 2016 B5, 5%, tender 2/15/21 (a) 175,000 180,302 
Series 2016, 5%, tender 2/15/22 (a) 5,000 5,404 
Series B6:   
5%, tender 2/15/22 (a) 100,000 108,083 
5%, tender 2/15/22 (a) 100,000 107,318 
Denton Independent School District:   
Bonds Series 2013:   
2%, tender 8/1/20 (a) 465,000 466,247 
2%, tender 8/1/20 (a) 1,065,000 1,067,170 
Series 2016, 0% 8/15/25 35,000 33,894 
El Paso County Hosp. District Series 2013, 5% 8/15/20 1,160,000 1,168,084 
El Paso Independent School District Bonds Series 2020, 2.5%, tender 7/31/27 (a) 2,500,000 2,552,950 
Fort Bend Independent School District Bonds:   
Series 2019 A, 1.95%, tender 8/1/22 (a) 6,450,000 6,590,159 
Series C, 1.35%, tender 8/1/20 (a) 40,000 40,027 
Series D, 1.5%, tender 8/1/21 (a) 70,000 70,526 
Fort Worth Gen. Oblig. Series 2015 A, 5% 3/1/23 35,000 39,487 
Fort Worth Independent School District Series 2015, 5% 2/15/22 35,000 37,879 
Grapevine-Colleyville Independent School District Bonds:   
Series 2012, 2%, tender 8/1/20 (a) 975,000 976,987 
Series B, 2%, tender 8/1/20 (a) 880,000 882,433 
Harlandale Independent School District Bonds Series 2015, 3%, tender 8/15/21 (a) 6,000,000 6,027,240 
Harris County Cultural Ed. Facilities Fin. Corp. Rev.:   
Bonds:   
Series 2019 B, 5%, tender 12/1/22 (a) 5,000,000 5,430,750 
Series 2019 C, SIFMA Municipal Swap Index + 0.420% 0.56%, tender 12/1/22 (a)(b) 3,250,000 3,191,045 
Series 2013 A, 5% 12/1/21 450,000 477,725 
Series 2013 B, SIFMA Municipal Swap Index + 0.900% 1.04% 6/1/22 (a)(b) 600,000 597,210 
Series 2014 A, 5% 12/1/26 120,000 138,148 
Series 2015, 5% 10/1/20 570,000 578,958 
Series 2019 A:   
5% 12/1/20 1,000,000 1,020,750 
5% 12/1/21 1,860,000 1,974,595 
Series 2020, 5% 6/1/22 1,000,000 1,078,230 
Harris County Flood Cont. District Series 2019 A, 4% 10/1/20 5,000,000 5,063,584 
Harris County Gen. Oblig.:   
Series 2012 B, 1.45% 8/15/21 (a) 8,000,000 8,027,120 
Series 2019 A, 4% 10/1/20 5,000,000 5,064,932 
Harris County Health Facilities Dev. Corp. Rev. Series 2005 A4, 1.09%, tender 7/1/31 (FSA Insured) (a) 1,000,000 1,000,000 
Houston Arpt. Sys. Rev.:   
(Houston TX Arpt. Sys. Rev. Subord Proj.) Series 2011 A, 5% 7/1/21 (c) 675,000 703,195 
Series 2011 A, 5% 7/1/22 (c) 410,000 426,523 
Series 2012 A, 5% 7/1/23 (c) 235,000 251,744 
Series 2018 A, 5% 7/1/21 (c) 275,000 289,086 
Series 2018 C:   
5% 7/1/20 (c) 3,760,000 3,771,825 
5% 7/1/21 (c) 335,000 348,993 
Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev. Series 2019, 5% 9/1/20 2,485,000 2,484,739 
Houston Independent School District Bonds:   
Series 2012:   
1.45%, tender 6/1/20 (a) 4,360,000 4,360,000 
2.4%, tender 6/1/21 (a) 2,985,000 3,036,240 
4%, tender 6/1/29 (e) 1,000,000 1,100,690 
Series 2013 B:   
1.45%, tender 6/1/20 (a) 2,385,000 2,385,000 
2.4%, tender 6/1/21 (a) 3,100,000 3,153,214 
Series 2014 A, 2.2%, tender 6/1/20 (a) 3,000,000 3,000,000 
Houston Util. Sys. Rev. Bonds Series 2018 C, 1 month U.S. LIBOR + 0.360% 0.479%, tender 8/1/21 (a)(b) 8,000,000 7,888,160 
Irving Hosp. Auth. Hosp. Rev. Series 2017 A:   
5% 10/15/20 130,000 132,092 
5% 10/15/21 65,000 68,821 
Katy Independent School District Bonds Series 2015 C, 1 month U.S. LIBOR + 0.280% 0.403%, tender 8/16/21 (a)(b) 5,000,000 4,955,500 
Leander Independent School District Series 2013 A:   
0% 8/15/21 550,000 547,910 
0% 8/15/23 1,000,000 983,820 
Love Field Arpt. Modernization Rev. Series 2015, 5% 11/1/23 (c) 375,000 413,959 
Lower Colorado River Auth. Rev.:   
(LCRA Transmission Corp. Proj.) Series 2011 B, 5% 5/15/23 465,000 484,865 
(LCRA Transmission Svcs. Corp. Proj.):   
Series 2019 A, 5% 5/15/21 1,335,000 1,393,862 
Series 2020:   
5% 5/15/21 (e) 1,265,000 1,320,776 
5% 5/15/22 (e) 1,000,000 1,088,770 
5% 5/15/23 (e) 215,000 243,240 
Mansfield Independent School District Series 2016, 5% 2/15/24 95,000 110,981 
Matagorda County Navigation District No. 1 Poll. Cont. Rev. Bonds Series 1996, 1.75%, tender 9/1/20 (a)(c) 2,555,000 2,561,728 
Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2020 A, 1.5%, tender 8/3/20 (a)(c) 300,000 300,008 
New Caney Independent School District Bonds Series 2018, 3%, tender 8/15/21 (a) 1,090,000 1,120,367 
Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/26 55,000 62,614 
North East Texas Independent School District:   
Bonds Series 2013 B, 1.42%, tender 8/1/21 (a) 295,000 295,322 
Series 2018, 5% 8/1/20 1,080,000 1,088,632 
North Harris County Reg'l. Wtr. Auth. Series 2013, 4% 12/15/22 35,000 38,198 
North Texas Tollway Auth. Rev.:   
Series 2011 A, 5.5% 9/1/41 (Pre-Refunded to 9/1/21 @ 100) 1,715,000 1,826,595 
Series 2011 D, 5% 9/1/28 (Pre-Refunded to 9/1/21 @ 100) 2,150,000 2,276,528 
Series 2019 A, 5% 1/1/21 1,700,000 1,745,700 
Northside Independent School District:   
Bonds:   
Series 2017, 1.45%, tender 6/1/20 (a) 1,200,000 1,200,000 
2%, tender 6/1/21 (a) 2,705,000 2,740,697 
Series 2011, 2.125%, tender 8/1/20 (a) 4,745,000 4,755,638 
Prosper Independent School District Bonds Series 2019 B, 2%, tender 8/15/23 (a) 1,000,000 1,028,530 
Sam Rayburn Muni. Pwr. Agcy. Series 2012, 5% 10/1/20 20,000 20,286 
San Antonio Arpt. Sys. Rev.:   
Series 2012, 4% 7/1/20 (c) 1,385,000 1,388,178 
Series 2019 A:   
5% 7/1/20 (c) 500,000 501,527 
5% 7/1/20 (c) 1,000,000 1,003,096 
5% 7/1/21 (c) 640,000 666,310 
5% 7/1/21 (c) 1,330,000 1,383,932 
5% 7/1/22 (c) 275,000 294,418 
5% 7/1/22 (c) 265,000 283,431 
5% 7/1/23 (c) 195,000 214,348 
5% 7/1/25 (c) 400,000 459,104 
5% 7/1/26 (c) 500,000 584,365 
San Antonio Elec. & Gas Sys. Rev. Bonds:   
Series 2015 B, 2%, tender 12/1/21 (a) 3,550,000 3,605,416 
Series 2015 D, 3%, tender 12/1/20 (a) 4,000,000 4,051,206 
San Antonio Hsg. Trust Fin. Corp. Bonds Series 2019, 1.4%, tender 1/1/22 (a) 5,000,000 5,058,950 
San Antonio Pub. Facilities Corp. and Rfdg. Lease (Convention Ctr. Proj.) Series 2012:   
5% 9/15/21 20,000 21,163 
5% 9/15/22 75,000 82,643 
San Antonio Wtr. Sys. Rev. Bonds Series 2013 F, 2%, tender 11/1/21 (a) 1,000,000 1,021,390 
Sherman Independent School District Bonds Series 2018 B:   
3%, tender 7/31/20 (a) 75,000 75,335 
3%, tender 8/1/20 (a) 205,000 205,916 
3%, tender 8/1/20 (a) 3,720,000 3,733,655 
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev.:   
(Scott & White Healthcare Proj.) Series 2013 A:   
5% 8/15/21 15,000 15,840 
5% 8/15/23 20,000 22,623 
Series 2013, 5% 9/1/20 20,000 20,195 
Tarrant County Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev. (MRC Crestview Proj.) Series 2010, 8.125% 11/15/44 (Pre-Refunded to 11/15/20 @ 100) 250,000 258,388 
Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.:   
Series 2016 A, 5% 2/15/26 35,000 42,671 
Series 2017 A, 5% 2/15/24 45,000 51,923 
Texas Dept. of Hsg. & Cmnty. Affairs Multi-family Hsg. Rev. Bonds:   
Series 2018, 1.17%, tender 2/1/21 (a) 3,800,000 3,801,657 
Series 2019, 2.11%, tender 2/1/21 2,880,000 2,906,838 
Series 2020, 1.6%, tender 11/1/20 (a) 2,000,000 2,001,055 
Texas Gen. Oblig.:   
Bonds:   
Series 2019 C2, 1.85%, tender 8/1/22 (a) 265,000 265,488 
Series 2019 E2, 2.25%, tender 8/1/22 (a) 740,000 742,383 
Series 2013 B, 5.25% 8/1/21 (c) 940,000 995,037 
Series 2018, 4% 8/1/21 (c) 790,000 824,784 
Texas State Univ. Sys. Fing. Rev. Series 2019 A, 4% 3/15/21 2,000,000 2,060,791 
Texas Wtr. Dev. Board Rev. Series 2019 A:   
5% 10/15/20 1,340,000 1,364,093 
5% 4/15/21 850,000 885,805 
Tomball Independent School District Bonds Series 2014 B2, 2.125%, tender 8/15/21 (a) 1,000,000 1,017,440 
Travis County Health Facilities Dev. Corp. Rev. (Longhorn Village Proj.) Series 2012 A, 7% 1/1/32 (Pre-Refunded to 1/1/21 @ 100) 1,740,000 1,807,251 
Trinity River Auth. Reg'l. Wastewtr. Sys. Rev. Series 2016, 5% 8/1/23 35,000 40,108 
Univ. of Texas Board of Regents Sys. Rev. Series 2017 C:   
5% 8/15/20 1,090,000 1,100,848 
5% 8/15/21 1,945,000 2,058,316 
TOTAL TEXAS  237,865,786 
Utah - 0.0%   
Salt Lake City Arpt. Rev. Series 2018 A, 5% 7/1/23 (c) 250,000 275,915 
Virginia - 2.6%   
Arlington County IDA Hosp. Facilities Series 2020:   
5% 7/1/23 340,000 379,056 
5% 7/1/24 425,000 487,003 
Charles City County Solid Wt Rev. Bonds Series 2002, 3%, tender 4/1/27 (a)(c) 5,750,000 5,811,307 
Charles City County Econ. Dev. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2003 A, 2.4%, tender 5/2/22 (a)(c) 1,750,000 1,771,665 
Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Series 2019, 5% 11/1/23 2,000,000 2,149,680 
Chesapeake Hosp. Auth. Hosp. Facility Rev. Series 2019, 4% 7/1/20 2,285,000 2,291,987 
Chesapeake Trans. Sys. Toll Road Rev. Series 2012 A:   
4% 7/15/20 15,000 15,061 
5% 7/15/21 10,000 10,489 
Fairfax County Indl. Dev. Auth. Bonds (Inova Health Sys. Proj.) Series 2018 B, 5%, tender 5/15/23 (a) 250,000 282,443 
Fairfax County Redev. & Hsg. Auth. Rev. Bonds Series 2018:   
2.21%, tender 8/1/20 (a)(c) 2,000,000 2,005,456 
2.26%, tender 8/1/20 (a) 2,000,000 2,005,619 
Fredericksburg Econ. Dev. Auth. Rev. Series 2014, 5% 6/15/24 50,000 57,247 
Halifax County Indl. Dev. Auth. Bonds 2.15%, tender 9/1/20 (a) 2,935,000 2,937,094 
Hampton Roads Trans. Accountability Commission Series 2019 A, 5% 7/1/22 14,500,000 15,900,410 
King George County Indl. Dev. Auth. Solid Waste Disp. Fac. Rev. (King George Landfill, Inc. Proj.) Series 2003 A, 2.5% 6/1/23 (a)(c) 735,000 749,516 
Louisa Indl. Dev. Auth. Poll. Cont. Rev. Bonds:   
(Virginia Elec. and Pwr. Co. Proj.):   
Series 2008 A, 1.9%, tender 6/1/23 (a) 2,500,000 2,575,175 
Series 2008 C, 1.8%, tender 4/1/22 (a) 1,600,000 1,639,968 
Series 2008 B, 2.15%, tender 9/1/20 (a) 2,110,000 2,111,505 
Newport New Redev. & Hsg. Multi-family Hsg. Bonds Series 2018, 2.05%, tender 8/1/20 (a) 7,000,000 7,017,085 
Russell County Poll. Cont. (Appalachian Pwr. Co. Proj.) Series K 4.625% 11/1/21 250,000 250,468 
Spotsylvania County Econ. Dev. Bonds (Palmers Creek Apt. Proj.) Series 2019, 1.45%, tender 2/1/22 (a) 5,000,000 5,065,950 
Stafford County Econ. Dev. Auth. Hosp. Facilities Rev. Series 2016:   
5% 6/15/24 25,000 28,624 
5% 6/15/25 20,000 23,386 
5% 6/15/26 35,000 41,771 
Staunton Redev. & Hsg. Auth. M Bonds Series 2019, 1.95%, tender 11/1/20 (a) 5,500,000 5,528,803 
Sussex County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds Series 2003 A, 2.4%, tender 5/2/22 (a)(c) 805,000 814,966 
Virginia Pub. Bldg. Auth. Pub. Facilities Rev.:   
Series 2016 C, 5% 8/1/20 (c) 2,000,000 2,015,616 
Series 2019 B, 5% 8/1/20 (c) 4,030,000 4,061,467 
Series 2020 A, 5% 8/1/22 1,940,000 2,141,275 
Series 2020 B, 5% 8/1/21 2,625,000 2,772,998 
Virginia Pub. School Auth. School Fing. Series 2018 B, 5% 8/1/20 4,670,000 4,707,248 
Virginia Resources Auth. Moral Oblig. (Virginia Pooled Fing. Prog.) Series 2018 C, 5% 11/1/20 1,115,000 1,137,224 
Wise County Indl. Dev. Auth. Waste & Sewage Rev. Bonds:   
(Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 1.875%, tender 5/31/24 (a) 6,205,000 6,205,000 
Series 2009 A, 2.15%, tender 9/1/20 (a) 2,605,000 2,606,859 
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) 300,000 309,906 
TOTAL VIRGINIA  87,909,327 
Washington - 2.2%   
Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Bonds Series 2015 S2A, SIFMA Municipal Swap Index + 0.300% 0.44%, tender 11/1/21 (a)(b) 20,000,000 19,823,800 
Grant County Pub. Util. District #2 Series 2012 A, 5% 1/1/21 (Escrowed to Maturity) 40,000 41,121 
King County Hsg. Auth. Rev.:   
Series 2018, 3.5% 5/1/21 500,000 513,891 
Series 2019:   
3% 11/1/23 1,175,000 1,271,174 
4% 11/1/24 135,000 154,919 
King County Swr. Rev. Bonds Series 2012, 2.6%, tender 12/1/21 (a) 3,600,000 3,651,948 
Pierce County Swr. Rev. Series 2012, 5% 8/1/20 1,280,000 1,290,102 
Port of Seattle Gen. Oblig. Series 2011:   
5.25% 12/1/20 (c) 375,000 384,273 
5.25% 12/1/21 (c) 300,000 314,622 
Port of Seattle Rev.:   
Series 2012 B, 5% 8/1/23 (c) 1,345,000 1,451,941 
Series 2015 C, 5% 4/1/21 (c) 540,000 558,043 
Series 2016 B:   
5% 10/1/21 (c) 60,000 63,733 
5% 10/1/22 (c) 55,000 60,117 
5% 10/1/23 (c) 65,000 73,109 
Series 2017 C, 5% 5/1/22 (c) 5,540,000 5,963,422 
Series 2018 A, 5% 5/1/22 (c) 11,475,000 12,352,034 
Series 2019:   
5% 4/1/21 (c) 1,000,000 1,037,244 
5% 4/1/22 (c) 215,000 230,843 
5% 4/1/23 (c) 215,000 236,816 
Port of Seattle Spl. Facility Rev. Series 2013, 5% 6/1/22 (c) 500,000 540,150 
Seattle Muni. Lt. & Pwr. Rev. Bonds Series 2018 B2, SIFMA Municipal Swap Index + 0.290% 0.43%, tender 11/1/21 (a)(b) 10,000,000 9,933,600 
Tacoma Elec. Sys. Rev.:   
Series 2013 A:   
4% 1/1/21 5,000 5,110 
5% 1/1/21 40,000 41,113 
Series 2017:   
5% 1/1/22 15,000 16,141 
5% 1/1/25 15,000 18,074 
5% 1/1/26 10,000 12,414 
Tobacco Settlement Auth. Rev.:   
Series 2013, 5% 6/1/20 1,190,000 1,190,000 
Series 2018, 5% 6/1/22 215,000 225,580 
Washington Gen. Oblig.:   
Series 2003 C, 0% 6/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 345,000 345,000 
Series R 2020 C:   
5% 7/1/21 1,000,000 1,052,790 
5% 7/1/22 2,500,000 2,752,450 
Washington Health Care Facilities Auth. Rev.:   
(Providence Health Systems Proj.) Series 2012 A, 5% 10/1/24 250,000 272,860 
(Virginia Mason Med. Ctr. Proj.) Series 2017:   
5% 8/15/25 205,000 216,425 
5% 8/15/26 115,000 121,673 
5% 8/15/27 50,000 53,064 
Bonds:   
Series 2012 B, 5%, tender 10/1/21 (a) 250,000 264,140 
Series 2019 B, 5%, tender 8/1/24 (a) 1,095,000 1,204,281 
Series 2012 A, 5% 10/1/22 445,000 488,245 
Washington Hsg. Fin. Commission Multi-family Hsg. Rev. (Columbia Park Apts. Proj.) Series 2019, 1.39%, tender 7/1/21 (a) 5,000,000 5,042,300 
TOTAL WASHINGTON  73,268,562 
West Virginia - 0.4%   
Harrison County Commission Solid Waste Disp. Rev. Bonds (Monongahela Pwr. Co. Proj.) Series 2018 A, 3%, tender 10/15/21 (a)(c) 6,900,000 7,061,529 
Mason Co. Poll. Cont. Rev. (Appalachian Pwr. Co. Proj.) Series 2003 L, 2.75% 10/1/22 2,445,000 2,503,191 
West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. Bonds (Appalachian Pwr. Co. Amos Proj.) Series 2011 A, 1.7%, tender 9/1/20 (a)(c) 2,125,000 2,126,329 
West Virginia Hsg. Dev. Fund Series 2017 A, 2.4% 11/1/22 (c) 960,000 991,776 
TOTAL WEST VIRGINIA  12,682,825 
Wisconsin - 1.3%   
Crosse Resources Recovery Rev. Series 1996, 6% 11/1/21 (c) 1,500,000 1,612,305 
Milwaukee County Arpt. Rev.:   
Series 2013 A:   
5% 12/1/20 (c) 30,000 30,600 
5% 12/1/22 (c) 30,000 32,677 
5.25% 12/1/23 (c) 35,000 39,556 
Series 2016 A, 5% 12/1/22 (c) 1,000,000 1,089,240 
Milwaukee Gen. Oblig. Series 2020 N4, 5% 4/1/22 2,000,000 2,162,640 
Pub. Fin. Auth. Solid Waste Bonds (Waste Mgmt., Inc. Proj.) Series 2017 A, 1.9%, tender 9/1/27 (a)(c) 17,000,000 17,011,715 
Pub. Fin. Auth. Wis Edl. Facilities Series 2018, 5% 7/1/20 (d) 545,000 545,209 
Wisconsin Health & Edl. Facilities:   
(Agnesian Healthcare Proj.) Series 2017, 5% 7/1/21 100,000 104,977 
Bonds:   
(Ascension Health Cr. Group Proj.) Series 2013 B:   
5%, tender 6/1/20 (a) 2,020,000 2,020,000 
5%, tender 6/1/21 (a) 1,905,000 1,983,728 
Series 2018 B, 5%, tender 1/26/22 (a) 5,710,000 6,145,445 
Series 2018 C, SIFMA Municipal Swap Index + 0.450% 0.59%, tender 7/27/22 (a)(b) 3,885,000 3,839,235 
Series 2018 C3, SIFMA Municipal Swap Index + 0.550% 0.69%, tender 7/26/23 (a)(b) 4,000,000 3,941,840 
Series 2014 A, 5% 11/15/21 325,000 347,029 
Series 2014, 5% 5/1/21 15,000 15,526 
Series 2019 A:   
5% 12/1/23 30,000 33,825 
5% 12/1/24 100,000 115,900 
5% 12/1/25 125,000 147,603 
5% 12/1/26 200,000 240,994 
Series 2019, 5% 10/1/21 400,000 417,448 
Series 2020, 4% 7/1/21 820,000 850,889 
Wisconsin Health & Edl. Facilities Auth. Rev.:   
Series 2010, 5% 12/15/20 350,000 351,197 
Series 2012, 5% 10/1/21 30,000 31,309 
Wisconsin Hsg. & Econ. Dev. Auth. Series 2018 A, 2.05% 9/1/20 (c) 1,195,000 1,199,119 
TOTAL WISCONSIN  44,310,006 
Wyoming - 0.1%   
Wyoming Cmnty. Dev. Auth. Hsg. Rev. Bonds Series 2018 4, SIFMA Municipal Swap Index + 0.320% 0.46%, tender 9/1/21 (a)(b) 5,000,000 4,967,350 
TOTAL MUNICIPAL BONDS   
(Cost $1,895,053,322)  1,903,762,197 
Municipal Notes - 26.9%   
Alabama - 0.2%   
Health Care Auth. for Baptist Health Series 2013 B, 1.7% 6/5/20, VRDN (a) 6,705,000 $6,705,000 
Alaska - 0.1%   
Alaska Hsg. Fin. Corp. Series 2002 A, 0.13% 6/1/20 (Liquidity Facility JPMorgan Chase Bank), VRDN (a)(c) 4,900,000 4,900,000 
California - 0.9%   
California Dept. of Wtr. Resources Series 2, 0.24% 9/6/20, CP 4,500,000 4,500,851 
California Health Facilities Fing. Auth. Rev. Participating VRDN Series Floaters XG 01 75, 0.3% 6/5/20 (Liquidity Facility Bank of America NA) (a)(f)(g) 5,300,000 5,300,000 
California Muni. Fin. Auth. Participating VRDN Series XF 10 88, 0.49% 6/5/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 3,600,000 3,600,000 
California Statewide Cmntys. Dev. Auth. Hosp. Rev. Series 2020, 1.2% 8/12/20, CP 5,000,000 5,008,721 
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2002 A2, 0.04% 6/1/20 (Liquidity Facility Bank of America NA), VRDN (a) 3,500,000 3,500,000 
San Diego County Reg'l. Arpt. Auth. Arpt. Rev. Participating VRDN Series XF 28 50, 0.94% 6/5/20 (Liquidity Facility Cr. Suisse AG) (a)(c)(d)(f)(g) 1,300,000 1,300,000 
San Francisco City & County Arpts. Commission Int'l. Arpt. Rev. Participating VRDN Series Floaters XM 06 75, 0.49% 6/5/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(f)(g) 2,775,000 2,775,000 
San Francisco City & County Multi-family Hsg. Rev. Participating VRDN Series DBE 80 49, 0.49% 6/5/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 4,700,000 4,700,000 
Shafter Indl. Dev. Auth. Indl. Dev. Rev. 0.52% 6/5/20, LOC Deutsche Bank AG New York Branch, VRDN (a)(c) 350,000 350,000 
TOTAL CALIFORNIA  31,034,572 
Colorado - 1.7%   
Colorado Ed. Ln. Prog. TRAN Series 2019 A, 3% 6/29/20 5,000,000 5,010,917 
Colorado Edl. & Cultural Facilities Auth. Rev. (Mesivta of Greater Los Angeles Proj.) Series 2005, 0.49% 6/5/20, LOC Deutsche Bank AG, VRDN (a) 785,000 785,000 
Colorado Gen. Fdg. Rev. TRAN Series 2019, 3% 6/26/20 30,000,000 30,058,482 
Denver City & County Arpt. Rev. Participating VRDN:   
Series Floaters XL 00 90, 0.44% 6/5/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(f)(g) 20,100,000 20,100,000 
Series Floaters XM 07 15, 0.44% 6/5/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(f)(g) 1,240,000 1,240,000 
TOTAL COLORADO  57,194,399 
Connecticut - 0.1%   
Oxford Gen. Oblig. BAN Series 2020, 2.5% 1/15/21 2,000,000 2,021,928 
Delaware - 0.2%   
Delaware Econ. Dev. Auth. Rev. (Delmarva Pwr. & Lt. Co. Proj.) Series 1994, 0.17% 6/1/20, VRDN (a)(c) 6,500,000 6,500,000 
Delaware, New Jersey - 0.1%   
Delaware River & Bay Auth. Rev. Participating VRDN Series XF 08 18, 0.3% 6/5/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 2,100,000 2,100,000 
Florida - 2.8%   
Broward County Arpt. Sys. Rev. Participating VRDN:   
Series Floaters XL 00 88, 0.74% 6/5/20 (Liquidity Facility Barclays Bank PLC) (a)(c)(f)(g) 3,780,000 3,780,000 
Series XL 01 36, 0.49% 6/5/20 (Liquidity Facility JPMorgan Chase Bank) (a)(c)(f)(g) 3,000,000 3,000,000 
Broward County Indl. Dev. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2015, 0.21% 6/1/20, VRDN (a)(c) 5,040,000 5,040,000 
Broward County School District TAN Series 2019, 3% 6/30/20 10,000,000 10,022,123 
Hillsborough County Indl. Dev. Auth. Series 2020 D, 0.06% 6/1/20, LOC TD Banknorth, NA, VRDN (a) 4,700,000 4,700,000 
Jacksonville Elec. Auth. Elec. Sys. Rev. Series 2008 3 A, 0.3% 6/5/20 (Liquidity Facility Barclays Bank PLC), VRDN (a) 1,135,000 1,135,000 
Jacksonville Health Care Series 2020, 1.17% 8/10/20, CP 2,000,000 2,003,594 
Lee Memorial Health Sys. Hosp. Rev. Series 2019 B, 1.25% 6/5/23, VRDN (a) 1,000,000 1,000,000 
Miami-Dade County Series A1, 0.33% 8/11/20, LOC Bank of America NA, CP (c) 10,000,000 10,001,013 
Palm Beach County Health Facilities Auth. Rev. Participating VRDN Series Floaters 017, 0.49% 7/10/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 33,540,000 33,540,000 
Saint Lucie County Poll. Cont. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2000, 0.11% 6/1/20, VRDN (a) 5,000,000 5,000,000 
Saint Lucie County Solid Waste Disp. (Florida Pwr. & Lt. Co. Proj.) Series 2003, 0.21% 6/1/20, VRDN (a)(c) 900,000 900,000 
South Miami Health Facilities Auth. Hosp. Rev. Participating VRDN:   
Series XF 25 23, 0.24% 6/5/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 10,000,000 10,000,000 
Series ZM 05 71, 0.24% 6/5/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(g) 5,230,000 5,230,000 
TOTAL FLORIDA  95,351,730 
Georgia - 0.3%   
Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Vogtle Proj.):   
First Series 2009, 0.21% 6/1/20, VRDN (a) 4,590,000 4,590,000 
Series 2012, 0.24% 6/1/20, VRDN (a)(c) 5,385,000 5,385,000 
Monroe County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Scherer Proj.) Series 1997, 0.21% 6/1/20, VRDN (a) 500,000 500,000 
TOTAL GEORGIA  10,475,000 
Idaho - 0.5%   
Idaho Gen. Oblig. TAN Series 2019, 3% 6/30/20 13,500,000 13,527,329 
Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series A, 0.46% 6/5/20 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a) 1,590,000 1,590,000 
TOTAL IDAHO  15,117,329 
Illinois - 0.8%   
Chicago O'Hare Int'l. Arpt. Rev. Participating VRDN Series Floaters XL 00 49, 0.34% 6/1/20 (Liquidity Facility Citibank NA) (a)(c)(f)(g) 750,000 750,000 
Chicago Park District Gen. Oblig. Participating VRDN Series ROC II R 11935, 0.39% 6/5/20 (Liquidity Facility Citibank NA) (a)(f)(g) 2,300,000 2,300,000 
Cook County Gen. Oblig. Participating VRDN Series 2015 XF0124, 0.37% 6/5/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 1,280,000 1,280,000 
Illinois Fin. Auth. Rev. Series 2008 B, 0.15% 6/5/20, VRDN (a) 3,825,000 3,825,000 
Reg'l. Transn Auth. Extend Series 2005 B, 0.9% 6/5/20, VRDN (a) 2,000,000 2,000,000 
Sales Tax Securitization Corp. Participating VRDN Series YX 10 99, 0.29% 6/5/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 18,000,000 18,000,000 
TOTAL ILLINOIS  28,155,000 
Indiana - 0.1%   
Ctr. Grove Multi-Facility School Bldg. Corp. BAN Series 2019, 2.5% 12/15/20 3,200,000 3,203,830 
Indiana Fin. Auth. Rev. (Ascension Health Subordinate Cr. Proj.) Series 2008 E5, 0.11% 6/5/20, VRDN (a) 750,000 750,000 
TOTAL INDIANA  3,953,830 
Kansas - 0.4%   
Baldwin City BAN Series 2020 A, 4.4% 3/1/21 2,000,000 2,060,608 
Wichita Gen. Oblig. BAN Series 298, 4% 10/15/20 10,000,000 10,138,269 
TOTAL KANSAS  12,198,877 
Kentucky - 0.3%   
Louisville & Jefferson County Reg'l. Arpt. Auth. Spl. Facilities Rev. (UPS Worldwide Forwarding, Inc. Proj.):   
Series 1999 A, 0.22% 6/1/20, VRDN (a)(c) 1,100,000 1,100,000 
Series 1999 C, 0.24% 6/1/20, VRDN (a)(c) 8,200,000 8,200,000 
TOTAL KENTUCKY  9,300,000 
Louisiana - 0.9%   
Saint Charles Parish Poll. Cont. Rev. (Shell Oil Co. Proj.) Series 1992 A, 0.11% 6/1/20, VRDN (a)(c) 300,000 300,000 
Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.):   
Series 2010 A1, 0.4% 6/5/20, VRDN (a) 12,010,000 12,010,000 
Series 2010 B1, 0.37% 6/5/20, VRDN (a) 18,050,000 18,050,000 
TOTAL LOUISIANA  30,360,000 
Maryland - 0.8%   
Baltimore Proj. Rev. Bonds Series Floaters G 42, 0.34%, tender 1/4/21 (Liquidity Facility Royal Bank of Canada) (a)(f)(g)(h) 4,500,000 4,500,000 
Maryland Cmnty. Dev. Administration Dept. of Hsg. & Cmnty. Dev. Series 2006 J, 0.15% 6/5/20 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a)(c) 2,500,000 2,500,000 
Maryland Econ. Dev. Corp. Student Hsg. Rev. Participating VRDN Series XF 28 32, 0.36% 6/5/20 (a)(f)(g) 15,000,000 15,000,000 
Maryland Health & Higher Edl. Facilities Auth. Rev. Participating VRDN Series 005, 0.49% 6/4/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 2,420,000 2,420,000 
Montgomery County Gen. Oblig. Series 2010 A, 0.23% 7/22/20 (Liquidity Facility PNC Bank NA), CP 3,000,000 3,000,222 
TOTAL MARYLAND  27,420,222 
Massachusetts - 0.6%   
Massachusetts Edl. Fing. Auth. Rev. Participating VRDN Series Floaters XF 23 06, 0.44% 6/5/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(c)(f)(g) 2,075,000 2,075,000 
Massachusetts Gen. Oblig. RAN Series 2019, 4% 6/18/20 2,000,000 2,003,566 
Middleborough Gen. Oblig. BAN Series 2020, 2% 10/1/21 13,000,000 13,281,580 
Nahant BAN:   
Series 2019 A, 2.5% 6/26/20 500,000 500,703 
Series 2019 B, 2.5% 7/9/20 1,300,000 1,302,084 
Truro Massachusetts BAN Series 2019, 2.5% 6/19/20 1,300,000 1,301,500 
TOTAL MASSACHUSETTS  20,464,433 
Michigan - 0.9%   
Michigan Fin. Auth. Rev. RAN Series 2019 A:   
2% 8/20/20, LOC JPMorgan Chase Bank 15,000,000 15,049,229 
4% 8/20/20 13,000,000 13,107,713 
Waterford School District RAN Series 2019, 2% 9/23/20 2,600,000 2,613,321 
TOTAL MICHIGAN  30,770,263 
Minnesota - 0.3%   
Shakopee Minn Sr Hsg. Rev. Participating VRDN Series Floaters 001, 0.49% 7/10/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) 2,000,000 2,000,000 
Univ. of Minnesota Gen. Oblig. Series G, 0.4% 6/5/20, CP 7,400,000 7,400,426 
TOTAL MINNESOTA  9,400,426 
Mississippi - 0.4%   
Mississippi Bus. Fin. Corp. Solid Waste Disp. Rev. (Gulf Pwr. Co. Proj.) Series 2012, 0.2% 6/1/20, VRDN (a)(c) 12,030,000 12,030,000 
Missouri - 0.2%   
Missouri Health & Edl. Facilities Auth. Rev. Participating VRDN Series Floaters C16, 0.21% 6/5/20 (Liquidity Facility Royal Bank of Canada) (a)(f)(g) 8,000,000 8,000,000 
Montana - 0.2%   
Tender Opt Bd Trust Rcpts / Ctfs. Participating VRDN Series XF 10 90, 0.54% 6/5/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 7,990,000 7,990,000 
New Jersey - 0.5%   
Asbury Park Gen. Oblig. BAN Series 2019, 2.5% 7/9/20 3,100,000 3,106,624 
Mercer County Gen. Oblig. BAN Series 2020, 2% 6/10/21 (e) 5,000,000 5,087,094 
Millburn Township Gen. Oblig. BAN Series 2019, 2.25% 6/12/20 1,400,000 1,400,759 
Millstone Township Gen. Oblig. BAN Series 2019, 2.25% 8/28/20 2,900,000 2,912,795 
Passaic Gen. Oblig. BAN Series 2019, 2.25% 8/27/20 1,600,000 1,606,978 
Warren Township School District BAN Series 2019, 2.5% 7/23/20 2,246,000 2,250,929 
TOTAL NEW JERSEY  16,365,179 
New York - 5.1%   
Hempstead Union Free School District TAN Series 2019, 2.5% 6/25/20 2,000,000 2,001,796 
Middletown BAN Series 2019, 2% 8/27/20 16,419,175 16,481,000 
Nassau County Gen. Oblig.:   
BAN Series 2019 A, 5% 6/1/20 11,500,000 11,500,000 
RAN Series A, 2% 12/9/20 10,000,000 10,038,905 
New York City Gen. Oblig. Series 2006, 1.09% 6/5/20 (FSA Insured), VRDN (a) 625,000 625,000 
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2016, 0.12% 6/5/20, LOC Bank of Tokyo-Mitsubishi UFJ Ltd., VRDN (a) 1,275,000 1,275,000 
New York Metropolitan Trans. Auth. Rev. BAN:   
Series 2018 B:   
5% 5/15/21 12,060,000 12,221,037 
5% 5/15/21 215,000 217,871 
5% 5/15/21 5,505,000 5,578,516 
Series 2018 C, 5% 9/1/21 4,030,000 4,099,437 
Series 2019 B, 5% 5/15/22 10,310,000 10,556,203 
Series 2019 C, 4% 7/1/20 7,000,000 7,003,511 
Series 2019 D1, 5% 9/1/22 30,600,000 31,421,916 
Series 2019 E, 4% 9/1/20 11,300,000 11,316,510 
New York Pwr. Auth. Series 1, 0.39% 7/8/20, CP 5,000,000 5,001,096 
New York Thruway Auth. Gen. Rev. Participating VRDN Series XM 08 31, 0.39% 6/5/20 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(g) 2,000,000 2,000,000 
Port Chester-Rye BAN Series 2019, 2.5% 6/12/20 10,000,000 10,006,185 
Putnam County Indl. Dev. Agcy. Rev. Series 2006 A, 0.49% 6/5/20, LOC RBS Citizens NA, VRDN (a) 1,300,000 1,300,000 
Smithtown Central School District TAN Series 2019, 1.75% 6/26/20 1,500,000 1,501,329 
South Glens Falls Central School District BAN Series 2019 B, 2.5% 7/24/20 600,000 601,654 
Suffolk County Gen. Oblig.:   
RAN Series 2020, 5% 3/19/21 2,000,000 2,034,806 
TAN Series I, 2.5% 7/23/20 12,000,000 12,007,986 
Tender Opt Bd Trust Rcpts / Ctfs. Participating VRDN Series XM 08 34, 0.89% 6/5/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 4,700,000 4,700,000 
Town of Colonie Albany County BAN Series 2020, 1.25% 3/12/21 5,987,000 6,005,570 
Triborough Bridge and Tunnel Auth. Participating VRDN Series XM 03 41, 0.4% 6/5/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 3,000,000 3,000,000 
TOTAL NEW YORK  172,495,328 
New York And New Jersey - 0.2%   
Port Auth. of New York & New Jersey Series A:   
0.55% 7/9/20, CP (c) 5,000,000 5,001,684 
0.6% 8/6/20, CP (c) 3,000,000 3,001,133 
TOTAL NEW YORK AND NEW JERSEY  8,002,817 
North Carolina - 0.3%   
Hertford County Indl. Facilities Poll. Cont. Fing. Auth. (Nucor Corp. Proj.) Series 2000 A, 0.42% 6/5/20, VRDN (a)(c) 9,420,000 9,420,000 
North Carolina Med. Care Commission Hosp. Rev. Series 2001 B, 0.05% 6/1/20 (Liquidity Facility Bank of Montreal), VRDN (a) 200,000 200,000 
TOTAL NORTH CAROLINA  9,620,000 
Ohio - 0.4%   
Coshocton City BAN Series 2020, 2.5% 2/18/21 1,245,000 1,264,245 
Newark Gen. Oblig. BAN Series 2020, 2.75% 9/24/20 965,000 972,226 
Sycamore Township BAN Series 2020, 1.55% 5/4/21 1,000,000 1,002,620 
Tipp City BAN Series 2020 A, 2% 2/11/21 1,000,000 1,011,572 
Trumbull County BAN Series 2019 2, 2% 7/23/20 2,375,000 2,380,234 
Union Township Clermont County Gen. Oblig. BAN Series 2019, 2.25% 9/2/20 5,000,000 5,018,234 
TOTAL OHIO  11,649,131 
Pennsylvania - 0.3%   
Philadelphia Auth. for Indl. Dev. Series 2017 B, 1.35% 6/5/23, VRDN (a) 10,210,000 10,210,000 
Rhode Island - 0.0%   
Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev. Series 2005 A, 0.25% 6/1/20, LOC RBS Citizens NA, VRDN (a) 1,140,000 1,140,000 
South Carolina - 1.2%   
Charleston County School District TAN (Sales Tax Proj. Phase IV) Series 2020 B, 5% 5/12/21 20,000,000 20,923,672 
County Square Redev. Corp. BAN (Greenville County, SC Proj.) Series 2020, 2% 3/24/21 4,750,000 4,813,632 
South Carolina Pub. Svc. Auth. Rev. Participating VRDN:   
Series Floaters XG 02 09, 0.44% 6/5/20 (Liquidity Facility Toronto-Dominion Bank) (a)(f)(g) 1,000,000 1,000,000 
Series Floaters XM 02 91, 0.4% 6/5/20 (Liquidity Facility Royal Bank of Canada) (a)(f)(g) 4,090,000 4,090,000 
Series Floaters XM 03 84, 0.44% 6/5/20 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) 9,800,000 9,800,000 
South Carolina St. Pub. Svc. Auth. Rev. Participating VRDN Series XG 0046, 0.54% 6/5/20 (Liquidity Facility Toronto-Dominion Bank)(a)(f)(g) 845,000 845,000 
TOTAL SOUTH CAROLINA  41,472,304 
Tennessee - 0.1%   
Greeneville Health & Edl. Facilities Board Series 2018 B, 0.12% 6/5/20, LOC U.S. Bank NA, Cincinnati, VRDN (a) 800,000 800,000 
Tennessee Gen. Oblig. Series A, 1% 8/26/20 (Liquidity Facility Tennessee Consldatd Retire Sys.), CP 4,000,000 4,009,264 
TOTAL TENNESSEE  4,809,264 
Texas - 4.9%   
Brazos County Health Facilities Dev. Corp. Participating VRDN Series BAML 50 21, 0.27% 6/5/20 (Liquidity Facility Bank of America NA) (a)(f)(g) 13,875,000 13,875,000 
Calhoun County Navigation Indl. Dev. Auth. Port Rev. (B P Chemicals, Inc. Proj.) 0.64% 6/5/20, VRDN (a)(c) 10,500,000 10,500,000 
Deutsche Spears/Lifers Trust Participating VRDN Series Floaters XG 00 58, 0.26% 6/5/20 (Liquidity Facility Deutsche Bank AG) (a)(f)(g) 1,085,000 1,085,000 
Garland Util. Sys. Rev. Series 2018, 0.35% 6/16/20, LOC Bank of America NA, CP 2,625,000 2,625,259 
Harris County Cultural Ed. Facilities Fin. Corp. Rev.:   
Series 2016 B3, 0.48% tender 8/4/20, CP mode 4,000,000 4,002,936 
Series 2016 C, 0.13% 6/5/20, VRDN (a) 1,260,000 1,260,000 
Series C2, 0.14% tender 6/3/20, CP mode (a) 2,000,000 2,000,033 
Harris County Gen. Oblig. Series D, 0.4% 8/6/20 (Liquidity Facility JPMorgan Chase Bank), CP 2,500,000 2,500,945 
Houston Arpt. Sys. Rev.:   
Series 2020, 1.35% 6/3/20, LOC Sumitomo Mitsui Banking Corp., CP (c) 4,000,000 4,000,674 
Series A, 1.4% 6/1/20, LOC Sumitomo Mitsui Banking Corp., CP (c) 10,000,000 10,001,109 
Houston Gen. Oblig. TRAN Series 2019, 3% 6/26/20 5,000,000 5,009,642 
Lower Colorado River Auth. Rev. Series 2020:   
0.32% 6/2/20, LOC JPMorgan Chase Bank, LOC State Street Bank & Trust Co., Boston, CP 1,300,000 1,300,020 
0.45% 6/10/20, LOC JPMorgan Chase Bank, LOC State Street Bank & Trust Co., Boston, CP 2,500,000 2,500,247 
Port Arthur Navigation District Envir. Facilities Rev. (Motiva Enterprises LLC Proj.):   
Series 2004, 2.46% 6/5/20, VRDN (a)(c) 33,015,000 33,015,000 
Series 2010 C, 1.65% 6/1/20, VRDN (a) 2,220,000 2,220,000 
Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. (Baylor Health Care Sys. Proj.) Series 2011 C, 0.06% 6/1/20, LOC TD Banknorth, NA, VRDN (a) 22,240,000 22,240,000 
Texas A&M Univ. Rev. Series 2020, 0.4% 8/3/20, CP 3,500,000 3,501,265 
Texas Gen. Oblig. TRAN Series 2019, 4% 8/27/20 32,000,000 32,292,528 
Texas Pub. Fin. Auth. Rev. Series 2008, 0.45% 8/4/20 (Liquidity Facility Texas Comptroller Pub. Accounts), CP 5,000,000 5,002,293 
Univ. of Texas Board of Regents Sys. Rev. Series A, 1.13% 7/2/20 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP 7,500,000 7,505,649 
TOTAL TEXAS  166,437,600 
Utah - 0.4%   
Salt Lake City Arpt. Rev. Participating VRDN Series Floaters XM 06 99, 0.49% 6/5/20 (Liquidity Facility Cr. Suisse AG) (a)(c)(f)(g) 11,030,000 11,030,000 
Utah County Hosp. Rev. Series 2016 E, 0.15% 6/5/20 (Liquidity Facility JPMorgan Chase Bank), VRDN (a) 1,000,000 1,000,000 
TOTAL UTAH  12,030,000 
Virginia - 0.4%   
Longwood Hsg. Foundation LLC Participating VRDN Series DBE 80 39, 0.49% 6/5/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 4,000,000 4,000,000 
Loudoun County Indl. Dev. Auth.:   
(Howard Hughes Med. Institute Proj.) Series 2003 A, 0.12% 6/5/20, VRDN (a) 3,500,000 3,500,000 
Series 2013 A, 0.12% 6/5/20, VRDN (a) 2,495,000 2,495,000 
Suffolk Hsg. Auth. Mfam Apts Participating VRDN Series XF 10 86, 0.49% 6/5/20 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) 1,900,000 1,900,000 
TOTAL VIRGINIA  11,895,000 
Washington - 0.2%   
King County Swr. Rev. Series 2001 B, 0.15% 6/5/20, LOC Landesbank Hessen-Thuringen, VRDN (a) 500,000 500,000 
Washington Econ. Dev. Fin. Auth. Rev. Participating VRDN Series Floaters 005, 0.49% 7/10/20 (Liquidity Facility Barclays Bank PLC) (a)(c)(f)(g) 5,100,000 5,100,000 
TOTAL WASHINGTON  5,600,000 
Wisconsin - 0.1%   
JPMorgan Chase Participating VRDN Series Floaters XF 01 27, 0.32% 6/5/20 (a)(f)(g) 1,060,000 1,060,000 
Sauk Prairie School District BAN Series 2020, 2% 12/9/20 (e) 2,000,000 2,006,220 
TOTAL WISCONSIN  3,066,220 
TOTAL MUNICIPAL NOTES   
(Cost $907,991,660)  906,235,852 
 Shares Value 
Short-Term Funds - 3.7%   
JPMorgan Ultra-Short Municipal Fund Class I   
(Cost $124,933,769) 12,435,910 124,856,534 
Municipal Bond Funds - 0.2%   
Nuveen NY AMT-Free Quality Municipal Income Fund Preferred Shares 1%(a)(d)(i)   
(Cost $6,800,000) 6,800,000 6,800,000 
 Shares Value 
Money Market Funds - 13.4%   
Fidelity Investments Money Market Government Portfolio Institutional Class 0.12% (j)(k) 249,972,338 249,972,338 
Fidelity Municipal Cash Central Fund .15% (l) 4,129,587 4,130,000 
Fidelity SAI Municipal Money Market Fund 1.19% (j)(k) 190,406,071 190,501,215 
State Street Institutional U.S. Government Money Market Fund Premier Class .12% (j) 6,006,978 6,006,978 
TOTAL MONEY MARKET FUNDS   
(Cost $450,533,032)  450,610,531 
TOTAL INVESTMENT IN SECURITIES - 100.7%   
(Cost $3,385,311,783)  3,392,265,114 
NET OTHER ASSETS (LIABILITIES) - (0.7)%  (23,774,488) 
NET ASSETS - 100%  $3,368,490,626 

Security Type Abbreviations

BAN – BOND ANTICIPATION NOTE

CP – COMMERCIAL PAPER

RAN – REVENUE ANTICIPATION NOTE

TAN – TAX ANTICIPATION NOTE

TRAN – TAX AND REVENUE ANTICIPATION NOTE

VRDN – VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)

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) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

 (d) 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 $22,106,900 or 0.7% of net assets.

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

 (f) Provides evidence of ownership in one or more underlying municipal bonds.

 (g) Coupon rates are determined by re-marketing agents based on current market conditions.

 (h) Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $4,500,000 or 0.1% of net assets.

 (i) Non-income producing

 (j) The rate quoted is the annualized seven-day yield of the fund at period end.

 (k) Affiliated Fund

 (l) Affiliated fund that is 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.

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost 
Baltimore Proj. Rev. Bonds Series Floaters G 42, 0.34%, tender 1/4/21 (Liquidity Facility Royal Bank of Canada) 1/2/20 $4,500,000 

Affiliated Central Funds

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

Fund Income earned 
Fidelity Cash Central Fund $65 
Fidelity Municipal Cash Central Fund 302,846 
Total $302,911 

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.

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.

Affiliate Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Investments Money Market Government Portfolio Institutional Class 0.12% $200,078,086 $391,579,913 $341,685,661 $3,254,918 $-- $-- $249,972,338 
Fidelity SAI Municipal Money Market Fund 1.19% 281,762,299 126,750,595 218,016,196 2,675,388 (36,062) 40,579 190,501,215 
Total $481,840,385 $518,330,508 $559,701,857 $5,930,306 $(36,062) $40,579 $440,473,553 

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 May 31, 2020, 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 $2,809,998,049 $-- $2,809,998,049 $-- 
Money Market Funds 450,610,531 450,610,531 -- -- 
Investment Companies 6,800,000 -- 6,800,000 -- 
Short-Term Funds 124,856,534 124,856,534 -- -- 
Total Investments in Securities: $3,392,265,114 $575,467,065 $2,816,798,049 $-- 

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


Financial Statements

Statement of Assets and Liabilities

  May 31, 2020 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $2,940,785,724) 		$2,947,661,561  
Fidelity Central Funds (cost $4,130,000) 4,130,000  
Other affiliated issuers (cost $440,396,059) 440,473,553  
Total Investment in Securities (cost $3,385,311,783)  $3,392,265,114 
Cash  155,743 
Receivable for investments sold  25,628,467 
Receivable for fund shares sold  2,330,677 
Dividends receivable  78 
Interest receivable  25,045,068 
Distributions receivable from Fidelity Central Funds  2,324 
Prepaid expenses  11,944 
Other receivables  3,593 
Total assets  3,445,443,008 
Liabilities   
Payable for investments purchased   
Regular delivery $51,615,698  
Delayed delivery 20,078,637  
Payable for fund shares redeemed 1,676,432  
Distributions payable 3,257,540  
Accrued management fee 235,192  
Other payables and accrued expenses 88,883  
Total liabilities  76,952,382 
Net Assets  $3,368,490,626 
Net Assets consist of:   
Paid in capital  $3,362,381,045 
Total accumulated earnings (loss)  6,109,581 
Net Assets  $3,368,490,626 
Net Asset Value, offering price and redemption price per share ($3,368,490,626 ÷ 336,228,035 shares)  $10.02 

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


Statement of Operations

  Year ended May 31, 2020 
Investment Income   
Dividends:   
Unaffiliated issuers  $1,170,875 
Affiliated issuers  5,922,340 
Interest  49,718,354 
Income from Fidelity Central Funds  302,840 
Total income  57,114,409 
Expenses   
Management fee $11,409,316  
Accounting fees and expenses 48,722  
Custodian fees and expenses 29,442  
Independent trustees' fees and expenses 38,393  
Registration fees 77,355  
Audit 69,814  
Legal 9,734  
Miscellaneous 27,844  
Total expenses before reductions 11,710,620  
Expense reductions (8,538,746)  
Total expenses after reductions  3,171,874 
Net investment income (loss)  53,942,535 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 441,545  
Affiliated issuers (36,062)  
Capital gain distributions from underlying funds:   
Affiliated issuers 8,037  
Total net realized gain (loss)  413,520 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (2,043,220)  
Affiliated issuers 40,579  
Total change in net unrealized appreciation (depreciation)  (2,002,641) 
Net gain (loss)  (1,589,121) 
Net increase (decrease) in net assets resulting from operations  $52,353,414 

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


Statement of Changes in Net Assets

 Year ended May 31, 2020 Year ended May 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $53,942,535 $58,228,306 
Net realized gain (loss) 413,520 270,192 
Change in net unrealized appreciation (depreciation) (2,002,641) 11,365,239 
Net increase (decrease) in net assets resulting from operations 52,353,414 69,863,737 
Distributions to shareholders (55,246,709) (58,929,136) 
Share transactions   
Proceeds from sales of shares 1,047,372,777 1,046,812,103 
Reinvestment of distributions 3,699,668 3,887,466 
Cost of shares redeemed (1,095,565,154) (864,875,731) 
Net increase (decrease) in net assets resulting from share transactions (44,492,709) 185,823,838 
Total increase (decrease) in net assets (47,386,004) 196,758,439 
Net Assets   
Beginning of period 3,415,876,630 3,219,118,191 
End of period $3,368,490,626 $3,415,876,630 
Other Information   
Shares   
Sold 104,544,855 104,689,689 
Issued in reinvestment of distributions 368,964 388,671 
Redeemed (109,355,545) (86,524,339) 
Net increase (decrease) (4,441,726) 18,554,021 

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


Financial Highlights

Strategic Advisers Tax-Sensitive Short Duration Fund

    
Years ended May 31, 2020 2019 2018 A 
Selected Per–Share Data    
Net asset value, beginning of period $10.03 $9.99 $10.00 
Income from Investment Operations    
Net investment income (loss)B .159 .174 .053 
Net realized and unrealized gain (loss) (.006) .042 (.014) 
Total from investment operations .153 .216 .039 
Distributions from net investment income (.159) (.173) (.049) 
Distributions from net realized gain (.004) (.003) – 
Total distributions (.163) (.176) (.049) 
Net asset value, end of period $10.02 $10.03 $9.99 
Total ReturnC,D 1.53% 2.19% .39% 
Ratios to Average Net AssetsE,F,G    
Expenses before reductions .34% .37% .52%H 
Expenses net of fee waivers, if any .09% .12% .26%H,I 
Expenses net of all reductions .09% .12% .26%H,I 
Net investment income (loss) 1.59% 1.74% 1.28%H 
Supplemental Data    
Net assets, end of period (000 omitted) $3,368,491 $3,415,877 $3,219,118 
Portfolio turnover rateG 81% 57% 180%J 

 A For the period December 28, 2017 (commencement of operations) to May 31, 2018.

 B Calculated based on average shares outstanding during the period.

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund. Fees and expenses of the Underlying Funds are not included in the Fund's annualized ratios. The Fund indirectly bears its proportionate share of the expenses of the Underlying Funds.

 G Amounts do not include the activity of Underlying Funds.

 H Annualized

 I Audit fees are not annualized.

 J Amount not annualized.

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


Notes to Financial Statements

For the period ended May 31, 2020

1. Organization.

Strategic Advisers Tax-Sensitive Short Duration Fund (the Fund) is a fund of Fidelity Rutland Square Trust II (the Trust), and is authorized to issue an unlimited number of shares. 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 Delaware statutory trust. The Fund is offered exclusively to certain clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).

2. 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 – Investments 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 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 – 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. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 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 May 31, 2020 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Income and capital gain distributions from Underlying 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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Strategic Advisers funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $3,588 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.

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 May 31, 2020, 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 the short-term gain distributions from the Underlying Funds, defaulted bonds, market discount, deferred trustees compensation and losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation $14,715,167 
Gross unrealized depreciation (8,353,315) 
Net unrealized appreciation (depreciation) $6,361,852 
Tax Cost $3,385,903,262 

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

Net unrealized appreciation (depreciation) on securities and other investments $6,361,852 

The Fund intends to elect to defer to its next fiscal year $209,233 of capital losses recognized during the period November 1, 2019 to May 31, 2020.

The tax character of distributions paid was as follows:

 May 31, 2020 May 31, 2019 
Tax-exempt Income $50,555,391 $55,077,316 
Ordinary Income 4,008,479 3,851,820 
Long-term Capital Gains 682,839 – 
Total $55,246,709 $ 58,929,136 

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. 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). The Fund 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 is included at the end of the Fund's Schedule of Investments.

3. Purchases and Sales of Investments.

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

 Purchases ($) Sales ($) 
Strategic Advisers Tax-Sensitive Short Duration Fund 2,240,163,954 2,130,640,787 

4. Fees and Other Transactions with Affiliates.

Management Fee. Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month payable to the investment adviser to the aggregate of the fee rates, payable monthly, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .34% of the Fund's average net assets.

During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.

Sub-Advisers. FIAM LLC (an affiliate of the investment adviser), T. Rowe Price Associates, Inc. and Wells Capital Management, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid by the investment adviser and not the Fund for providing these services.

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. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate. For the period, the total fees paid were equivalent to less than .005%.

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

5. Investments in Fidelity Central Funds.

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

The Fidelity Money Market Central Funds are managed by FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.

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 as follows:

 Amount 
Strategic Advisers Tax-Sensitive Short Duration Fund $8,378 

During the period, there were no borrowings on this line of credit.

7. Expense Reductions.

The investment adviser has contractually agreed to waive the Fund's management fee in an amount equal to .25% of the Fund's average net assets until September 30, 2022. During the period, this waiver reduced the Fund's management fee by $8,508,284.

In addition, through arrangements with the Fund's custodian and transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $30,230 and $232, respectively.

8. Other.

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

The Fund does not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Fund within its principal investment strategies may represent a significant portion of an Underlying Fund's net assets. At the end of the period, the Fund was the owner of record of approximately 100% of the total outstanding shares of Fidelity SAI Municipal Money Market Fund.

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 Rutland Square Trust II and Shareholders of Strategic Advisers Tax-Sensitive Short Duration Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Tax-Sensitive Short Duration Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the “Fund”) as of May 31, 2020, the related statement of operations for the year ended May 31, 2020, the statement of changes in net assets for each of the two years in the period ended May 31, 2020, including the related notes, and the financial highlights for each of the two years in the period ended May 31, 2020 and for the period December 28, 2017 (commencement of operations) through May 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2020 and the financial highlights for each of the two years in the period ended May 31, 2020 and for the period December 28, 2017 (commencement of operations) through May 31, 2018 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

July 16, 2020



We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  If the interests of the fund and an underlying Fidelity® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds.  Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict.  Each of the Trustees oversees 14 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.  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. 

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.

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 may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. 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, may be 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. Robert A. Lawrence 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. Mary C. Farrell serves as the lead Independent Trustee 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 asset allocation funds. Other Boards oversee Fidelity's investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity® funds 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.

The Trustees primarily operate as a full Board, but also operate in 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 has charged Strategic Advisers 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 Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee.  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.  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+

Robert A. Lawrence (1952)

Year of Election or Appointment: 2016

Trustee

Chairman of the Board of Trustees

Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).

Charles S. Morrison (1960)

Year of Election or Appointment: 2020

Trustee

Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.

 * 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 Strategic Advisers. 

 + 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+

Peter C. Aldrich (1944)

Year of Election or Appointment: 2006

Trustee

Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is a Director of the U.S. Core Property Fund (and, previously, other funds) of BlackRock Realty Group (2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then “Aldrich, Eastman and Waltch, L.P.”). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research, the Board of Trustees of the Museum of Fine Arts Boston and the Board of Overseers of the Massachusetts Eye and Ear Infirmary.

Mary C. Farrell (1949)

Year of Election or Appointment: 2013

Trustee

Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and President (2009-present) and Director (2006-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.

Karen Kaplan (1960)

Year of Election or Appointment: 2006

Trustee

Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chairman (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Director of The Michaels Companies, Inc. (specialty retailer, 2015-present), Member of the Board of Governors of the Chief Executives’ Club of Boston (2010-present), Member of the Executive Committee of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women’s Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2018-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women’s accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women’s Forum (2008-2010), Treasurer of the Massachusetts Women’s Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).

Heidi L. Steiger (1953)

Year of Election or Appointment: 2017

Trustee

Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-present), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-present), a member of the Board of Directors (2013-present) and Chair of the Audit Committee and member of the Membership and Executive Committees (2017-present) of Business Executives for National Security (nonprofit), and member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-present) (technology company). Previously, Ms. Steiger served as a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).

 + 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 a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.  Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Ralph F. Cox (1932)

Year of Election or Appointment: 2020

Member of the Advisory Board

Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Mr. Cox is a Director of Abraxas Petroleum (exploration and production, 1999-present). Mr. Cox is a member of the Advisory Boards of the Business and Engineering Schools of Texas A&M University and the Engineering School of University of Texas at Austin. Previously, Mr. Cox served as Trustee of other funds (2006-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010) and as an Advisory Director of CH2M Hill Companies (engineering, 1981-2011). Mr. Ralph F. Cox and Mr. Howard E. Cox, Jr. are not related.

Howard E. Cox, Jr. (1944)

Year of Election or Appointment: 2009

Member of the Advisory Board

Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum’s Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present). Mr. Howard E. Cox, Jr. and Mr. Ralph F. Cox are not related.

Christine Marcks (1955)

Year of Election or Appointment: 2019

Member of the Advisory Board

Ms. Marcks also serves as a Member of the Advisory Board of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President – Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption College (2019-present).

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown 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).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

Assistant Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). 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).

James D. Gryglewicz (1972)

Year of Election or Appointment: 2015

Chief Compliance Officer

Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).

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 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).  Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan. 

Christina H. Lee (1975)

Year of Election or Appointment: 2020

Secretary and Chief Legal Officer

Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2020

Assistant Secretary

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

Chris Maher (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of 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).

Stacie M. Smith (1974)

Year of Election or Appointment: 2020

President and Treasurer

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

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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 (December 1, 2019 to May 31, 2020).

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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the underlying mutual funds (the Underlying Funds), the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition to the direct expenses incurred by the Fund presented in the table, as a shareholder of the Underlying Funds, the Fund also indirectly bears its proportionate share of the expenses of the Underlying Funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds.

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

 Annualized Expense Ratio-A Beginning
Account Value
December 1, 2019 		Ending
Account Value
May 31, 2020 		Expenses Paid
During Period-B
December 1, 2019
to May 31, 2020 
Actual .09% $1,000.00 $1,005.80 $.45 
Hypothetical-C  $1,000.00 $1,024.55 $.46 

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

 B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Fund invests are not included in the Fund's 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 May 31, 2020, $637,007, or, if subsequently determined to be different, the net capital gain of such year.

A total of 47.16% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

During fiscal year ended 2020, 100% of the fund's income dividends was free from federal income tax, and 22.29% of the fund's income dividends was subject to the federal alternative minimum tax.

The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.

Liquidity Risk Management Program

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

The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources, as applicable.

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

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

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

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

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

TSS-ANN-0720
1.9885904.102

Item 2.

Code of Ethics


As of the end of the period, May 31, 2020, Fidelity Rutland Square Trust II (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 Heidi L. Steiger is an audit committee financial expert, as defined in Item 3 of Form N-CSR.  Ms. Steiger 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 PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Strategic Advisers Core Fund, Strategic Advisers Fidelity Core Income Fund, Strategic Advisers Fidelity Emerging Markets Fund, Strategic Advisers Fidelity U.S. Total Stock Fund, Strategic Advisers Growth Fund, Strategic Advisers Short Duration Fund, Strategic Advisers Tax-Sensitive Short Duration Fund and Strategic Advisers Value Fund (the “Funds”):



Services Billed by PwC


May 31, 2020 FeesA

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Strategic Advisers Core Fund

$39,300

$3,800

$12,400

$8,900

Strategic Advisers Fidelity Core Income Fund

$48,300

$3,700

$8,900

$8,800

Strategic Advisers Fidelity Emerging Markets Fund

$27,300

$2,200

$7,600

$5,100

Strategic Advisers Fidelity U.S. Total Stock Fund

$39,700

$3,500

$11,000

$8,400

Strategic Advisers Growth Fund

 $39,300

$3,800

 $8,900

$8,900

Strategic Advisers Short Duration Fund

 $37,200

$3,500

 $7,300   

$8,300

Strategic Advisers Tax-Sensitive Short Duration Fund

$37,600

$3,400

$6,200

$8,100

Strategic Advisers Value Fund

 $39,300  

$3,800

 $9,500   

$8,900



May 31, 2019 FeesA,B

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Strategic Advisers Core Fund

 $47,000  

$3,700

 $4,200   

$7,800

Strategic Advisers Fidelity Core Income Fund

$43,000

$2,100

$4,000

$4,800

Strategic Advisers Fidelity Emerging Markets Fund

$23,000

$1,200

$3,000

$2,700

Strategic Advisers Fidelity U.S. Total Stock Fund

$46,000

$3,500

$3,700

$7,300

Strategic Advisers Growth Fund

 $47,000  

$3,700

 $4,000   

$7,800

Strategic Advisers Short Duration Fund

 $44,000  

$3,500

 $3,300   

$7,200

Strategic Advisers Tax-Sensitive Short Duration Fund

$44,000

$3,400

$2,700

$7,000

Strategic Advisers Value Fund

 $47,000  

$3,700

 $4,000   

$7,800





A Amounts may reflect rounding.

B Strategic Advisers Fidelity Core Income Fund commenced operations on October 16, 2018 and Strategic Advisers Fidelity Emerging Markets Fund commenced operations on October 30, 2018.


The following table(s) present(s) fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Strategic Advisers, LLC (“Strategic Advisers”) and entities controlling, controlled by, or under common control with Strategic Advisers (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 PwC




May 31, 2020A

May 31, 2019A,B

Audit-Related Fees

 $8,596,700

 $7,890,000

Tax Fees

$17,700

$10,000

All Other Fees

$-

$-


A Amounts may reflect rounding.

B May include amounts billed prior to the Strategic Advisers Fidelity Core Income Fund and Strategic Advisers Fidelity Emerging Markets Fund’s commencement of operations.


“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 PwC for services rendered to the Fund(s), Strategic Advisers (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

May 31, 2020A

May 31, 2019A,B

PwC

$13,614,400

$12,475,000


A Amounts may reflect rounding.

B May include amounts billed prior to the Strategic Advisers Fidelity Core Income Fund and Strategic Advisers Fidelity Emerging Markets Fund’s commencement of operations.


The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its(their) audit of the Fund(s), taking into account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and Strategic Adviser’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 Rutland Square Trust II



By:

/s/Stacie M. Smith

Stacie M. Smith

President and Treasurer


Date:

July 23, 2020


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/Stacie M. Smith

Stacie M. Smith

President and Treasurer


Date:

July 23, 2020



By:

/s/John J. Burke III

John J. Burke III

Chief Financial Officer


Date:

July 23, 2020

 





                                                      Exhibit EX-99.CERT

     

I, Stacie M. Smith, certify that:


1.

I have reviewed this report on Form N-CSR of Fidelity Rutland Square Trust II;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.

The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c.

Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d.

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and



5.

The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.


Date:

 July 23, 2020

/s/Stacie M. Smith

Stacie M. Smith

President and Treasurer



I, John J. Burke III, certify that:

1.

I have reviewed this report on Form N-CSR of Fidelity Rutland Square Trust II;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.

The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c.

Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d.

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.

The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):



a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.


Date:

July 23, 2020

/s/John J. Burke III

John J. Burke III

Chief Financial Officer








Exhibit EX-99.906CERT



Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)


In connection with the attached Report of Fidelity Rutland Square Trust II (the “Trust”) on Form N-CSR to be filed with the Securities and Exchange Commission (the “Report”), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer’s knowledge:


1.

The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.


Dated: July 23, 2020



/s/Stacie M. Smith

Stacie M. Smith

President and Treasurer



 

Dated: July 23, 2020



/s/John J. Burke III

John J. Burke III

Chief Financial Officer




A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.





EXHIBIT EX-99.CODE ETH



FIDELITY RUTLAND SQUARE TRUST II

CODE OF ETHICS FOR PRESIDENT, TREASURER

AND CHIEF FINANCIAL OFFICER



I.  Purpose of the Code/Covered Officers


This document constitutes the Code of Ethics (the “Code”) adopted by Fidelity Rutland Square Trust II (the “Trust”) pursuant to the provisions of Rule 30b2-1(a) under the Investment Company Act of 1940, which Rule implements Sections 406 of the Sarbanes-Oxley Act of 2002 with respect to registered investment companies. The Code applies to the Trust’s President and Treasurer, and Chief Financial Officer (the “Covered Officers”). Fidelity’s Ethics Office (the “Ethics Office”), a part of Fidelity Corporate Compliance Group within Core Compliance, administers the Code.


The purposes of the Code are to deter wrongdoing and to promote, on the part of the Covered Officers:


·

honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

·

full, fair, accurate, timely and understandable disclosure in reports and documents that the funds of the Trust submit to the Securities and Exchange Commission (“SEC”), and in other public communications by the funds of the Trust;

·

compliance with applicable laws and governmental rules and regulations;

·

the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and

·

accountability for adherence to the Code.


Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.


II.  Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest


Overview. A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or his service to, the Trust. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Trust.  


Certain conflicts of interest arise out of the relationships between Covered Officers and the Trust and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (the “Investment Company Act”) and the Investment Advisers Act of 1940 (the “Investment Advisers Act”). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with a fund of the Trust because of their status as “affiliated persons” of the Trust. Separate compliance programs and procedures of the Trust, Strategic Advisers, Inc. (“Strategic”) and the other Fidelity companies are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Trust and Strategic (or another Fidelity company) of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Trust, Strategic or another Fidelity company), be involved in establishing policies and implementing decisions that have different effects on the Trust, Strategic and other Fidelity companies. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Trust and Strategic (or another Fidelity company), and is consistent with the performance by the Covered Officers of their duties as officers of the Trust. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically.  In addition, it is recognized by the Trust’s Board of Trustees (“Board”) that the Covered Officers also may be officers or employees of one or more other Trusts covered by this Code.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Trust.  

*        *        *

Each Covered Officer must:


·

not use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting by any fund of the Trust whereby the Covered Officer would benefit personally to the detriment of the Trust;

·

not cause a fund of the Trust to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Trust;

·

not engage in any outside business activity, including serving as a director or trustee, that prevents the Covered Officer from devoting appropriate time and attention to the Covered Officer’s responsibilities with the Trust;

·

not have a consulting or employment relationship with any of the Trust’s service providers that are not affiliated with Fidelity; and

·

not retaliate against any employee or Covered Officer for reports of actual or potential misconduct, which are made in good faith.


With respect to other fact patterns, if a Covered Officer is in doubt, other potential conflict of interest situations should be described immediately to the Ethics Office for resolution. Similarly, any questions a Covered Officer has generally regarding the application or interpretation of the Code should be directed to the Ethics Office immediately.


III. Disclosure and Compliance


·

Each Covered Officer should familiarize himself with the disclosure requirements generally applicable to the Trust.

·

Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about any fund of the Trust to others, whether within or outside Fidelity, including to the Trust’s Board of Trustees (the “Board”) and auditors, and to governmental regulators and self-regulatory organizations;

·

Each Covered Officer should, to the extent appropriate within his area of responsibility, consult with other officers and employees of the Trust, Strategic and the Fidelity service providers, and with the Board’s Audit Committee, with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the funds of the Trust file with, or submit to, the SEC and in other public communications made by the funds of the Trust; and

·

It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.


IV. Reporting and Accountability


Each Covered Officer must:

·

upon receipt of the Code, and annually thereafter, submit to the Ethics Office an acknowledgement stating that he or she has received, read, and understands the Code; and

·

notify the Ethics Office promptly if he or she knows of any violation of the Code. Failure to do so is itself a violation of this Code.


The Ethics Office shall take all action it considers appropriate to investigate any actual or potential violations reported to it. Upon completion of the investigation, if necessary, the matter will be reviewed with senior management or other appropriate parties, and a determination will be made as to whether any action should be taken as detailed below. The Covered Officer will be informed of any action determined to be appropriate. The Ethics Office will inform the Personal Trading Committee of all Code violations and actions taken in response. Without implied limitation, appropriate remedial, disciplinary or preventive action may include a written warning, a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities. Additionally, other legal remedies may be pursued.  


The policies and procedures described in the Code do not create any obligations to any person or entity other than the Trust. The Code is intended solely for the internal use by the Trust and does not constitute a promise, contract or an admission by, or on behalf of, the Trust as to any fact, circumstance, or legal conclusion. The Trust, the Fidelity companies and the Fidelity Chief Ethics Officer retain the discretion to decide whether the Code applies to a specific situation, and how it should be interpreted.


V. Oversight


Material violations of this Code will be reported promptly by Strategic to the Board’s Audit Committee. In addition, at least once each year, Strategic will provide a written report to the Board, which describes any issues arising under the Code since the last report to the Board, including, but not limited to, information about material violations of the Code and action taken in response to the material violations.


VI. Other Policies and Procedures


This Code shall be the sole code of ethics adopted by the Trust for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Other Fidelity policies or procedures that cover the behavior or activities of Covered Officers are separate requirements applying to the Covered Officers (and others), and are not part of this Code.


VII. Amendments


Any material amendments or changes to this Code must be approved or ratified by a majority vote of the Board, including a majority of the Trustees who are not interested persons of the Trust.


VIII. Records and Confidentiality


Records of any violation of the Code and of the actions taken as a result of such violations will be kept by the Ethics Office. All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Ethics Office, the Personal Trading Committee, the Board, appropriate personnel at the relevant Fidelity company or companies and the legal counsel of any or all of the foregoing.





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