Form N-CSRS Fidelity Rutland Square For: Nov 30
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E-mailUNITED 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, MA 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: | November 30, 2019 |
Item 1.
Reports to Stockholders
Strategic Advisers® Value Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
Semi-Annual Report
November 30, 2019
See the inside front cover for important information about access to your fund’s shareholder reports.
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
|
Board Approval of Investment Advisory Contracts and Management Fees |
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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2019
| (excluding cash equivalents) | % of fund's net assets |
| Invesco Diversified Dividend Fund - Class A | 5.0 |
| Fidelity SAI U.S. Large Cap Index Fund | 4.6 |
| Fidelity SAI U.S. Low Volatility Index Fund | 4.5 |
| JPMorgan Chase & Co. | 2.9 |
| Bank of America Corp. | 2.8 |
| Verizon Communications, Inc. | 2.1 |
| Intel Corp. | 1.9 |
| Johnson & Johnson | 1.8 |
| Citigroup, Inc. | 1.8 |
| Wells Fargo & Co. | 1.5 |
| 28.9 |
Top Five Market Sectors as of November 30, 2019
| (stocks only) | % of fund's net assets |
| Financials | 25.5 |
| Health Care | 11.8 |
| Industrials | 9.9 |
| Information Technology | 9.5 |
| Consumer Discretionary | 6.3 |
Asset Allocation (% of fund's net assets)
| As of November 30, 2019* | ||
| Common Stocks | 84.8% | |
| Large Blend Funds | 9.1% | |
| Large Value Funds | 5.0% | |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.1% | |
* 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 November 30, 2019 (Unaudited)
Showing Percentage of Net Assets
| Common Stocks - 84.8% | |||
| Shares | Value | ||
| COMMUNICATION SERVICES - 5.0% | |||
| Diversified Telecommunication Services - 2.7% | |||
| AT&T, Inc. | 1,551,400 | $57,991,332 | |
| Verizon Communications, Inc. | 3,508,175 | 211,332,462 | |
| 269,323,794 | |||
| Entertainment - 0.2% | |||
| Electronic Arts, Inc. (a) | 125,000 | 12,626,250 | |
| Viacom, Inc. Class B (non-vtg.) | 300,200 | 7,225,814 | |
| 19,852,064 | |||
| Interactive Media & Services - 0.3% | |||
| Alphabet, Inc. Class A (a) | 12,931 | 16,863,188 | |
| Twitter, Inc. (a) | 247,000 | 7,634,770 | |
| 24,497,958 | |||
| Media - 1.8% | |||
| Altice U.S.A., Inc. Class A (a) | 121,813 | 3,115,977 | |
| CBS Corp. Class B | 118,070 | 4,767,667 | |
| Charter Communications, Inc. Class A (a) | 23,412 | 11,003,874 | |
| Comcast Corp. Class A | 2,440,126 | 107,731,563 | |
| Discovery Communications, Inc. Class A (a) | 74,341 | 2,448,793 | |
| DISH Network Corp.: | |||
| rights 12/9/19 (a) | 23,909 | 16,258 | |
| Class A (a) | 441,729 | 15,093,880 | |
| Entercom Communications Corp. Class A (b) | 625,195 | 2,957,172 | |
| Fox Corp. Class A | 278,782 | 9,969,244 | |
| Interpublic Group of Companies, Inc. | 140,770 | 3,153,248 | |
| New Media Investment Group, Inc. | 37,175 | 236,433 | |
| Nexstar Broadcasting Group, Inc. Class A | 62,558 | 6,738,122 | |
| Omnicom Group, Inc. | 93,219 | 7,409,046 | |
| Tegna, Inc. | 402,400 | 6,176,840 | |
| 180,818,117 | |||
| TOTAL COMMUNICATION SERVICES | 494,491,933 | ||
| CONSUMER DISCRETIONARY - 6.3% | |||
| Auto Components - 0.7% | |||
| Aptiv PLC | 109,329 | 10,263,807 | |
| BorgWarner, Inc. | 394,716 | 16,597,808 | |
| Cooper Tire & Rubber Co. | 265,127 | 7,640,960 | |
| Gentex Corp. | 103,367 | 2,935,623 | |
| Lear Corp. | 132,700 | 15,965,137 | |
| The Goodyear Tire & Rubber Co. | 685,300 | 10,957,947 | |
| 64,361,282 | |||
| Automobiles - 1.0% | |||
| Ford Motor Co. | 3,704,436 | 33,562,190 | |
| General Motors Co. | 1,299,024 | 46,764,864 | |
| Harley-Davidson, Inc. (b) | 467,962 | 17,024,458 | |
| Thor Industries, Inc. | 82,400 | 5,254,648 | |
| 102,606,160 | |||
| Distributors - 0.1% | |||
| Genuine Parts Co. | 62,253 | 6,497,346 | |
| LKQ Corp. (a) | 131,200 | 4,628,736 | |
| 11,126,082 | |||
| Diversified Consumer Services - 0.0% | |||
| H&R Block, Inc. | 75,909 | 1,850,661 | |
| Hotels, Restaurants & Leisure - 0.8% | |||
| Brinker International, Inc. | 335,311 | 15,021,933 | |
| Hilton Worldwide Holdings, Inc. | 46,128 | 4,843,440 | |
| Hyatt Hotels Corp. Class A (b) | 13,279 | 1,072,943 | |
| Las Vegas Sands Corp. | 223,049 | 13,996,325 | |
| Norwegian Cruise Line Holdings Ltd. (a) | 91,091 | 4,886,121 | |
| Royal Caribbean Cruises Ltd. | 172,804 | 20,739,936 | |
| Wyndham Destinations, Inc. | 287,649 | 13,950,977 | |
| 74,511,675 | |||
| Household Durables - 1.1% | |||
| D.R. Horton, Inc. | 137,679 | 7,620,533 | |
| Lennar Corp.: | |||
| Class A | 395,153 | 23,570,876 | |
| Class B | 6,200 | 292,454 | |
| Mohawk Industries, Inc. (a) | 55,944 | 7,796,915 | |
| Newell Brands, Inc. | 181,300 | 3,484,586 | |
| PulteGroup, Inc. | 619,507 | 24,563,453 | |
| Sony Corp. sponsored ADR | 179,000 | 11,362,920 | |
| Toll Brothers, Inc. | 148,293 | 5,956,930 | |
| Whirlpool Corp. | 193,522 | 27,692,998 | |
| 112,341,665 | |||
| Internet & Direct Marketing Retail - 0.1% | |||
| eBay, Inc. | 54,700 | 1,942,944 | |
| Expedia, Inc. | 36,022 | 3,661,997 | |
| The Booking Holdings, Inc. (a) | 4,344 | 8,271,106 | |
| 13,876,047 | |||
| Leisure Products - 0.0% | |||
| Polaris, Inc. | 26,200 | 2,559,740 | |
| Multiline Retail - 1.0% | |||
| Big Lots, Inc. | 160,800 | 3,360,720 | |
| Dillard's, Inc. Class A (b) | 109,300 | 7,847,740 | |
| Kohl's Corp. | 444,646 | 20,902,808 | |
| Macy's, Inc. | 348,100 | 5,332,892 | |
| Nordstrom, Inc. (b) | 134,478 | 5,133,025 | |
| Target Corp. | 446,920 | 55,869,469 | |
| 98,446,654 | |||
| Specialty Retail - 1.4% | |||
| American Eagle Outfitters, Inc. | 428,700 | 6,417,639 | |
| AutoZone, Inc. (a) | 30,845 | 36,332,942 | |
| Best Buy Co., Inc. | 478,020 | 38,547,533 | |
| CarMax, Inc. (a) | 66,911 | 6,507,764 | |
| Dick's Sporting Goods, Inc. | 233,200 | 10,682,892 | |
| Murphy U.S.A., Inc. (a) | 44,499 | 5,229,967 | |
| Office Depot, Inc. | 579,800 | 1,292,954 | |
| Penske Automotive Group, Inc. | 131,800 | 6,654,582 | |
| The Home Depot, Inc. | 76,893 | 16,955,675 | |
| Tiffany & Co., Inc. | 54,998 | 7,358,732 | |
| Williams-Sonoma, Inc. | 31,700 | 2,199,980 | |
| 138,180,660 | |||
| Textiles, Apparel & Luxury Goods - 0.1% | |||
| Columbia Sportswear Co. | 39,364 | 3,641,170 | |
| PVH Corp. | 19,741 | 1,914,087 | |
| Ralph Lauren Corp. | 19,108 | 2,051,053 | |
| Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 48,900 | 1,966,758 | |
| 9,573,068 | |||
| TOTAL CONSUMER DISCRETIONARY | 629,433,694 | ||
| CONSUMER STAPLES - 3.8% | |||
| Beverages - 0.3% | |||
| Keurig Dr. Pepper, Inc. (b) | 138,385 | 4,281,632 | |
| Molson Coors Brewing Co. Class B | 340,775 | 17,202,322 | |
| The Coca-Cola Co. | 226,000 | 12,068,400 | |
| 33,552,354 | |||
| Food & Staples Retailing - 0.9% | |||
| Kroger Co. | 1,181,473 | 32,301,472 | |
| U.S. Foods Holding Corp. (a) | 34,439 | 1,369,639 | |
| Walgreens Boots Alliance, Inc. | 984,305 | 58,664,578 | |
| 92,335,689 | |||
| Food Products - 1.5% | |||
| Archer Daniels Midland Co. | 238,400 | 10,234,512 | |
| Campbell Soup Co. | 111,040 | 5,171,133 | |
| Ingredion, Inc. | 174,400 | 14,504,848 | |
| Kellogg Co. | 146,059 | 9,511,362 | |
| Mondelez International, Inc. | 190,342 | 10,000,569 | |
| Pilgrim's Pride Corp. (a) | 282,236 | 8,890,434 | |
| Post Holdings, Inc. (a) | 68,881 | 7,273,834 | |
| The J.M. Smucker Co. | 283,445 | 29,787,235 | |
| Tyson Foods, Inc. Class A | 569,892 | 51,227,592 | |
| 146,601,519 | |||
| Household Products - 0.4% | |||
| Clorox Co. | 16,578 | 2,457,357 | |
| Energizer Holdings, Inc. (b) | 135,417 | 6,755,954 | |
| Procter & Gamble Co. | 259,399 | 31,662,242 | |
| 40,875,553 | |||
| Personal Products - 0.1% | |||
| Coty, Inc. Class A | 269,171 | 3,106,233 | |
| Unilever NV (NY Reg.) | 160,000 | 9,528,000 | |
| 12,634,233 | |||
| Tobacco - 0.6% | |||
| Philip Morris International, Inc. | 666,249 | 55,252,030 | |
| TOTAL CONSUMER STAPLES | 381,251,378 | ||
| ENERGY - 5.9% | |||
| Energy Equipment & Services - 0.0% | |||
| Halliburton Co. | 210,000 | 4,407,900 | |
| Oil, Gas & Consumable Fuels - 5.9% | |||
| Cabot Oil & Gas Corp. | 587,000 | 9,356,780 | |
| Chevron Corp. | 961,925 | 112,670,275 | |
| Cimarex Energy Co. | 123,158 | 5,661,573 | |
| ConocoPhillips Co. | 1,243,755 | 74,550,675 | |
| Diamondback Energy, Inc. | 87,005 | 6,728,967 | |
| EQT Corp. | 288,154 | 2,515,584 | |
| Equitrans Midstream Corp. | 200,566 | 1,999,643 | |
| Exxon Mobil Corp. | 1,717,807 | 117,034,191 | |
| Gulfport Energy Corp. (a) | 1,106,553 | 2,622,531 | |
| HollyFrontier Corp. | 66,700 | 3,438,385 | |
| Kinder Morgan, Inc. | 443,626 | 8,699,506 | |
| Marathon Petroleum Corp. | 658,055 | 39,904,455 | |
| Noble Energy, Inc. | 535,304 | 11,112,911 | |
| PBF Energy, Inc. Class A | 498,475 | 15,602,268 | |
| Phillips 66 Co. | 666,606 | 76,473,040 | |
| Pioneer Natural Resources Co. | 46,000 | 5,880,640 | |
| The Williams Companies, Inc. | 309,230 | 7,025,706 | |
| Total SA sponsored ADR | 217,330 | 11,418,518 | |
| Valero Energy Corp. | 773,894 | 73,899,138 | |
| 586,594,786 | |||
| TOTAL ENERGY | 591,002,686 | ||
| FINANCIALS - 25.5% | |||
| Banks - 13.0% | |||
| Banco Bilbao Vizcaya Argentaria SA sponsored ADR (b) | 1,430,000 | 7,478,900 | |
| Bank of America Corp. | 8,426,532 | 280,772,046 | |
| BB&T Corp. | 342,213 | 18,725,895 | |
| BOK Financial Corp. | 69,000 | 5,750,460 | |
| CIT Group, Inc. | 251,200 | 11,434,624 | |
| Citigroup, Inc. | 2,409,833 | 181,026,655 | |
| Citizens Financial Group, Inc. | 448,902 | 17,264,771 | |
| Commerce Bancshares, Inc. | 144,916 | 9,713,719 | |
| Cullen/Frost Bankers, Inc. (b) | 84,268 | 7,884,114 | |
| East West Bancorp, Inc. | 136,000 | 6,231,520 | |
| Fifth Third Bancorp | 882,685 | 26,648,260 | |
| First Republic Bank | 43,494 | 4,779,991 | |
| Huntington Bancshares, Inc. | 442,245 | 6,585,028 | |
| ING Groep NV sponsored ADR (b) | 483,721 | 5,572,466 | |
| JPMorgan Chase & Co. | 2,205,217 | 290,559,392 | |
| KeyCorp | 1,179,526 | 22,871,009 | |
| M&T Bank Corp. | 137,681 | 22,681,568 | |
| Mitsubishi UFJ Financial Group, Inc. sponsored ADR | 990,000 | 5,256,900 | |
| PNC Financial Services Group, Inc. | 389,135 | 59,619,373 | |
| Popular, Inc. | 36,255 | 2,005,264 | |
| Prosperity Bancshares, Inc. | 25,555 | 1,795,239 | |
| Regions Financial Corp. | 2,588,960 | 43,080,294 | |
| Signature Bank | 20,865 | 2,573,906 | |
| SunTrust Banks, Inc. | 674,983 | 47,815,796 | |
| SVB Financial Group (a) | 15,900 | 3,684,507 | |
| U.S. Bancorp | 841,072 | 50,489,552 | |
| Wells Fargo & Co. | 2,836,694 | 154,486,355 | |
| Zions Bancorp NA | 72,961 | 3,631,999 | |
| 1,300,419,603 | |||
| Capital Markets - 3.6% | |||
| Ameriprise Financial, Inc. | 425,473 | 69,722,261 | |
| Bank of New York Mellon Corp. | 370,925 | 18,164,197 | |
| BlackRock, Inc. Class A | 58,277 | 28,841,870 | |
| Charles Schwab Corp. | 678,739 | 33,597,581 | |
| Eaton Vance Corp. (non-vtg.) | 48,400 | 2,283,028 | |
| Franklin Resources, Inc. | 187,115 | 5,143,791 | |
| Goldman Sachs Group, Inc. | 197,925 | 43,810,699 | |
| Invesco Ltd. | 134,722 | 2,365,718 | |
| LPL Financial | 34,635 | 3,198,542 | |
| Morgan Stanley | 1,462,869 | 72,382,758 | |
| Northern Trust Corp. | 150,185 | 16,105,839 | |
| Raymond James Financial, Inc. | 59,022 | 5,301,356 | |
| SEI Investments Co. | 52,952 | 3,416,993 | |
| State Street Corp. | 440,800 | 33,104,080 | |
| T. Rowe Price Group, Inc. | 199,246 | 24,618,836 | |
| 362,057,549 | |||
| Consumer Finance - 2.1% | |||
| Ally Financial, Inc. | 162,703 | 5,180,464 | |
| American Express Co. | 425,175 | 51,072,021 | |
| Capital One Financial Corp. | 786,278 | 78,635,663 | |
| Credit Acceptance Corp. (a) | 8,087 | 3,481,130 | |
| Discover Financial Services | 536,343 | 45,519,430 | |
| Navient Corp. | 530,400 | 7,611,240 | |
| Nelnet, Inc. Class A | 23,700 | 1,493,100 | |
| OneMain Holdings, Inc. | 58,300 | 2,512,147 | |
| Santander Consumer U.S.A. Holdings, Inc. | 145,593 | 3,428,715 | |
| Synchrony Financial | 276,694 | 10,351,123 | |
| 209,285,033 | |||
| Diversified Financial Services - 0.5% | |||
| AXA Equitable Holdings, Inc. | 199,200 | 4,928,208 | |
| Berkshire Hathaway, Inc. Class B (a) | 190,171 | 41,894,671 | |
| Jefferies Financial Group, Inc. | 130,418 | 2,725,736 | |
| Voya Financial, Inc. | 64,107 | 3,736,156 | |
| 53,284,771 | |||
| Insurance - 6.0% | |||
| AFLAC, Inc. | 584,295 | 32,042,738 | |
| Alleghany Corp. (a) | 11,583 | 9,035,203 | |
| Allstate Corp. | 547,978 | 61,017,350 | |
| American Financial Group, Inc. | 160,808 | 17,642,246 | |
| American International Group, Inc. | 834,169 | 43,927,340 | |
| Aon PLC | 28,079 | 5,717,165 | |
| Arch Capital Group Ltd. (a) | 173,500 | 7,281,795 | |
| Assurant, Inc. | 26,000 | 3,454,620 | |
| Athene Holding Ltd. (a) | 61,677 | 2,776,699 | |
| Chubb Ltd. | 417,217 | 63,200,031 | |
| Cincinnati Financial Corp. | 59,988 | 6,421,715 | |
| Everest Re Group Ltd. | 92,121 | 24,988,742 | |
| Fairfax Financial Holdings Ltd. | 10,422 | 4,740,107 | |
| FNF Group | 85,537 | 4,074,127 | |
| Globe Life, Inc. | 102,582 | 10,541,326 | |
| Hanover Insurance Group, Inc. | 14,900 | 2,025,357 | |
| Hartford Financial Services Group, Inc. | 575,628 | 35,608,348 | |
| Lincoln National Corp. | 611,849 | 36,129,683 | |
| Loews Corp. | 456,915 | 23,256,974 | |
| Markel Corp. (a) | 5,912 | 6,713,372 | |
| Marsh & McLennan Companies, Inc. | 69,181 | 7,476,391 | |
| MetLife, Inc. | 912,416 | 45,538,683 | |
| Old Republic International Corp. | 93,700 | 2,113,872 | |
| Principal Financial Group, Inc. | 118,860 | 6,549,186 | |
| Progressive Corp. | 175,755 | 12,838,903 | |
| Prudential Financial, Inc. | 525,581 | 49,204,893 | |
| Reinsurance Group of America, Inc. | 26,787 | 4,432,177 | |
| The Travelers Companies, Inc. | 357,355 | 48,857,576 | |
| Unum Group | 383,000 | 11,773,420 | |
| W.R. Berkley Corp. | 66,715 | 4,536,620 | |
| 593,916,659 | |||
| Mortgage Real Estate Investment Trusts - 0.2% | |||
| Annaly Capital Management, Inc. | 1,622,800 | 15,140,724 | |
| Thrifts & Mortgage Finance - 0.1% | |||
| New York Community Bancorp, Inc. | 200,098 | 2,385,168 | |
| Radian Group, Inc. | 448,300 | 11,584,072 | |
| 13,969,240 | |||
| TOTAL FINANCIALS | 2,548,073,579 | ||
| HEALTH CARE - 11.8% | |||
| Biotechnology - 2.5% | |||
| AbbVie, Inc. | 484,666 | 42,519,748 | |
| Amgen, Inc. | 513,556 | 120,541,864 | |
| Biogen, Inc. (a) | 91,322 | 27,379,249 | |
| Gilead Sciences, Inc. | 845,168 | 56,829,096 | |
| 247,269,957 | |||
| Health Care Equipment & Supplies - 0.7% | |||
| Alcon, Inc. (a) | 148,000 | 8,182,920 | |
| Danaher Corp. | 107,000 | 15,619,860 | |
| Medtronic PLC | 314,254 | 35,004,753 | |
| Zimmer Biomet Holdings, Inc. | 51,669 | 7,506,472 | |
| 66,314,005 | |||
| Health Care Providers & Services - 3.1% | |||
| AmerisourceBergen Corp. | 144,275 | 12,683,215 | |
| Anthem, Inc. | 147,082 | 42,456,690 | |
| Cardinal Health, Inc. | 355,600 | 19,568,668 | |
| Cigna Corp. | 92,886 | 18,569,769 | |
| CVS Health Corp. | 218,846 | 16,472,538 | |
| DaVita HealthCare Partners, Inc. (a) | 60,300 | 4,327,731 | |
| Encompass Health Corp. | 35,900 | 2,538,489 | |
| HCA Holdings, Inc. | 403,782 | 55,988,412 | |
| Henry Schein, Inc. (a) | 55,864 | 3,849,030 | |
| Humana, Inc. | 68,936 | 23,523,031 | |
| Laboratory Corp. of America Holdings (a) | 41,576 | 7,163,129 | |
| McKesson Corp. | 283,187 | 40,960,168 | |
| Quest Diagnostics, Inc. | 106,714 | 11,370,377 | |
| UnitedHealth Group, Inc. | 83,208 | 23,287,423 | |
| Universal Health Services, Inc. Class B | 177,634 | 24,778,167 | |
| 307,536,837 | |||
| Life Sciences Tools & Services - 0.0% | |||
| Bio-Rad Laboratories, Inc. Class A (a) | 10,200 | 3,767,676 | |
| Pharmaceuticals - 5.5% | |||
| Allergan PLC | 49,243 | 9,107,000 | |
| Bristol-Myers Squibb Co. | 895,781 | 51,005,770 | |
| GlaxoSmithKline PLC sponsored ADR | 77,662 | 3,532,068 | |
| Jazz Pharmaceuticals PLC (a) | 104,180 | 15,743,682 | |
| Johnson & Johnson | 1,335,890 | 183,671,516 | |
| Merck & Co., Inc. | 1,544,765 | 134,672,613 | |
| Novartis AG sponsored ADR | 102,000 | 9,414,600 | |
| Novo Nordisk A/S Series B sponsored ADR | 51,421 | 2,887,289 | |
| Perrigo Co. PLC | 58,300 | 2,986,709 | |
| Pfizer, Inc. | 3,568,353 | 137,452,958 | |
| 550,474,205 | |||
| TOTAL HEALTH CARE | 1,175,362,680 | ||
| INDUSTRIALS - 9.9% | |||
| Aerospace & Defense - 2.3% | |||
| General Dynamics Corp. | 176,887 | 32,147,443 | |
| Huntington Ingalls Industries, Inc. | 82,259 | 20,702,123 | |
| Lockheed Martin Corp. | 96,766 | 37,838,409 | |
| Moog, Inc. Class A | 80,600 | 6,921,122 | |
| Northrop Grumman Corp. | 72,152 | 25,380,909 | |
| Raytheon Co. | 175,000 | 38,048,500 | |
| Spirit AeroSystems Holdings, Inc. Class A | 210,785 | 18,336,187 | |
| Textron, Inc. | 502,173 | 23,220,480 | |
| United Technologies Corp. | 181,004 | 26,850,133 | |
| Vectrus, Inc. (a) | 37,733 | 1,922,119 | |
| 231,367,425 | |||
| Air Freight & Logistics - 0.8% | |||
| C.H. Robinson Worldwide, Inc. | 98,618 | 7,578,793 | |
| FedEx Corp. | 128,100 | 20,502,405 | |
| United Parcel Service, Inc. Class B | 394,138 | 47,190,143 | |
| 75,271,341 | |||
| Airlines - 1.2% | |||
| Alaska Air Group, Inc. | 52,766 | 3,641,382 | |
| Delta Air Lines, Inc. | 963,616 | 55,224,833 | |
| JetBlue Airways Corp. (a) | 123,645 | 2,382,639 | |
| Southwest Airlines Co. | 400,600 | 23,090,584 | |
| United Continental Holdings, Inc. (a) | 427,634 | 39,684,435 | |
| 124,023,873 | |||
| Building Products - 0.4% | |||
| A.O. Smith Corp. | 43,800 | 2,119,920 | |
| Allegion PLC | 96,000 | 11,522,880 | |
| Fortune Brands Home & Security, Inc. | 59,560 | 3,767,766 | |
| Johnson Controls International PLC | 237,000 | 10,150,710 | |
| Masco Corp. | 121,636 | 5,662,156 | |
| Owens Corning | 135,756 | 9,103,797 | |
| 42,327,229 | |||
| Commercial Services & Supplies - 0.1% | |||
| Deluxe Corp. | 166,100 | 8,484,388 | |
| Construction & Engineering - 0.1% | |||
| AECOM (a) | 63,979 | 2,772,210 | |
| Quanta Services, Inc. | 60,902 | 2,535,959 | |
| 5,308,169 | |||
| Electrical Equipment - 0.8% | |||
| Acuity Brands, Inc. | 16,142 | 2,111,051 | |
| Eaton Corp. PLC | 559,041 | 51,711,293 | |
| Emerson Electric Co. | 231,100 | 17,069,046 | |
| Hubbell, Inc. Class B | 22,092 | 3,247,966 | |
| Sensata Technologies, Inc. PLC (a) | 67,993 | 3,500,960 | |
| 77,640,316 | |||
| Industrial Conglomerates - 0.2% | |||
| Carlisle Companies, Inc. | 31,119 | 4,853,942 | |
| Honeywell International, Inc. | 58,200 | 10,391,610 | |
| 15,245,552 | |||
| Machinery - 3.2% | |||
| AGCO Corp. | 205,538 | 16,058,684 | |
| Allison Transmission Holdings, Inc. | 237,391 | 11,489,724 | |
| Caterpillar, Inc. | 517,735 | 74,931,787 | |
| Crane Co. | 15,383 | 1,277,866 | |
| Cummins, Inc. | 319,344 | 58,395,244 | |
| Deere & Co. | 134,821 | 22,656,669 | |
| Dover Corp. | 200,919 | 22,398,450 | |
| Illinois Tool Works, Inc. | 46,749 | 8,149,753 | |
| Lincoln Electric Holdings, Inc. | 23,200 | 2,140,432 | |
| Middleby Corp. (a) | 32,702 | 3,785,584 | |
| Oshkosh Corp. | 390,423 | 35,317,665 | |
| PACCAR, Inc. | 148,149 | 12,054,884 | |
| Parker Hannifin Corp. | 109,970 | 21,860,936 | |
| Pentair PLC | 63,319 | 2,808,198 | |
| Snap-On, Inc. | 23,494 | 3,769,847 | |
| Stanley Black & Decker, Inc. | 61,553 | 9,709,370 | |
| Timken Co. | 169,200 | 8,898,228 | |
| Trinity Industries, Inc. | 382,700 | 8,052,008 | |
| 323,755,329 | |||
| Professional Services - 0.0% | |||
| Manpower, Inc. | 25,200 | 2,334,528 | |
| Robert Half International, Inc. | 44,304 | 2,578,493 | |
| 4,913,021 | |||
| Road & Rail - 0.5% | |||
| AMERCO | 8,439 | 3,056,775 | |
| CSX Corp. | 333,000 | 23,822,820 | |
| Kansas City Southern | 64,956 | 9,900,594 | |
| Knight-Swift Transportation Holdings, Inc. Class A (b) | 73,020 | 2,701,010 | |
| Ryder System, Inc. | 100,000 | 5,249,000 | |
| Union Pacific Corp. | 36,689 | 6,456,897 | |
| 51,187,096 | |||
| Trading Companies & Distributors - 0.3% | |||
| Aircastle Ltd. | 387,900 | 12,408,921 | |
| HD Supply Holdings, Inc. (a) | 64,100 | 2,552,462 | |
| United Rentals, Inc. (a) | 32,200 | 4,928,210 | |
| W.W. Grainger, Inc. | 23,079 | 7,314,889 | |
| 27,204,482 | |||
| TOTAL INDUSTRIALS | 986,728,221 | ||
| INFORMATION TECHNOLOGY - 9.5% | |||
| Communications Equipment - 0.4% | |||
| Cisco Systems, Inc. | 803,977 | 36,428,198 | |
| CommScope Holding Co., Inc. (a) | 295,729 | 4,021,914 | |
| Juniper Networks, Inc. | 143,319 | 3,591,574 | |
| 44,041,686 | |||
| Electronic Equipment & Components - 0.7% | |||
| Arrow Electronics, Inc. (a) | 209,138 | 16,655,750 | |
| Corning, Inc. | 763,580 | 22,174,363 | |
| Tech Data Corp. (a) | 116,200 | 16,836,218 | |
| Vishay Intertechnology, Inc. | 590,800 | 11,751,012 | |
| 67,417,343 | |||
| IT Services - 1.3% | |||
| Cognizant Technology Solutions Corp. Class A | 209,800 | 13,450,278 | |
| CSG Systems International, Inc. | 185,800 | 10,625,902 | |
| DXC Technology Co. | 162,100 | 6,051,193 | |
| IBM Corp. | 533,760 | 71,764,032 | |
| Leidos Holdings, Inc. | 53,007 | 4,815,156 | |
| PayPal Holdings, Inc. (a) | 119,000 | 12,853,190 | |
| The Western Union Co. | 172,046 | 4,624,596 | |
| 124,184,347 | |||
| Semiconductors & Semiconductor Equipment - 4.4% | |||
| Analog Devices, Inc. | 64,351 | 7,268,445 | |
| Applied Materials, Inc. | 607,080 | 35,149,932 | |
| Broadcom, Inc. | 169,900 | 53,724,079 | |
| Cirrus Logic, Inc. (a) | 129,900 | 9,313,830 | |
| Intel Corp. | 3,304,211 | 191,809,449 | |
| KLA-Tencor Corp. | 39,655 | 6,497,868 | |
| Lam Research Corp. | 159,260 | 42,495,346 | |
| Microchip Technology, Inc. (b) | 133,000 | 12,573,820 | |
| Micron Technology, Inc. (a) | 625,130 | 29,699,926 | |
| NXP Semiconductors NV | 77,757 | 8,987,154 | |
| ON Semiconductor Corp. (a) | 175,844 | 3,775,371 | |
| Qorvo, Inc. (a) | 47,882 | 4,989,783 | |
| Qualcomm, Inc. | 24,790 | 2,071,205 | |
| Skyworks Solutions, Inc. | 248,396 | 24,417,327 | |
| Texas Instruments, Inc. | 68,668 | 8,254,580 | |
| 441,028,115 | |||
| Software - 1.6% | |||
| Adobe, Inc. (a) | 66,000 | 20,428,980 | |
| ANSYS, Inc. (a) | 57,000 | 14,517,330 | |
| CDK Global, Inc. | 45,511 | 2,437,114 | |
| Microsoft Corp. | 213,430 | 32,309,033 | |
| Nortonlifelock, Inc. | 225,506 | 5,615,099 | |
| Oracle Corp. | 1,553,349 | 87,205,013 | |
| 162,512,569 | |||
| Technology Hardware, Storage & Peripherals - 1.1% | |||
| Hewlett Packard Enterprise Co. | 1,920,821 | 30,406,596 | |
| HP, Inc. | 1,340,300 | 26,913,224 | |
| NCR Corp. (a) | 228,900 | 7,514,787 | |
| NetApp, Inc. | 97,700 | 5,919,643 | |
| Seagate Technology LLC | 343,000 | 20,470,240 | |
| Xerox Holdings Corp. | 447,673 | 17,427,910 | |
| 108,652,400 | |||
| TOTAL INFORMATION TECHNOLOGY | 947,836,460 | ||
| MATERIALS - 3.4% | |||
| Chemicals - 1.9% | |||
| AdvanSix, Inc. (a) | 73,896 | 1,494,916 | |
| Cabot Corp. | 215,400 | 10,121,646 | |
| Celanese Corp. Class A | 244,739 | 30,731,876 | |
| Corteva, Inc. | 120,106 | 3,125,158 | |
| DowDuPont, Inc. | 171,726 | 11,129,562 | |
| Eastman Chemical Co. | 402,067 | 31,509,991 | |
| FMC Corp. | 121,183 | 11,871,087 | |
| Huntsman Corp. | 722,900 | 16,351,998 | |
| LyondellBasell Industries NV Class A | 547,031 | 50,622,249 | |
| PPG Industries, Inc. | 90,000 | 11,595,600 | |
| The Chemours Co. LLC | 279,700 | 4,416,463 | |
| The Mosaic Co. | 236,476 | 4,504,868 | |
| 187,475,414 | |||
| Construction Materials - 0.3% | |||
| CRH PLC sponsored ADR | 208,719 | 7,993,938 | |
| Martin Marietta Materials, Inc. | 86,508 | 23,218,747 | |
| 31,212,685 | |||
| Containers & Packaging - 0.9% | |||
| Avery Dennison Corp. | 28,856 | 3,761,957 | |
| Ball Corp. | 146,280 | 9,663,257 | |
| Graphic Packaging Holding Co. | 361,505 | 5,881,686 | |
| International Paper Co. | 472,335 | 21,888,004 | |
| Packaging Corp. of America | 207,561 | 23,226,076 | |
| Sealed Air Corp. | 62,562 | 2,360,464 | |
| Sonoco Products Co. | 34,256 | 2,073,516 | |
| WestRock Co. | 479,299 | 19,330,129 | |
| 88,185,089 | |||
| Metals & Mining - 0.2% | |||
| Barrick Gold Corp. (Canada) (b) | 639,715 | 10,761,448 | |
| Nucor Corp. | 116,403 | 6,560,473 | |
| Reliance Steel & Aluminum Co. | 27,164 | 3,204,809 | |
| 20,526,730 | |||
| Paper & Forest Products - 0.1% | |||
| Domtar Corp. | 211,100 | 7,878,252 | |
| Schweitzer-Mauduit International, Inc. | 165,200 | 7,245,672 | |
| 15,123,924 | |||
| TOTAL MATERIALS | 342,523,842 | ||
| REAL ESTATE - 1.8% | |||
| Equity Real Estate Investment Trusts (REITs) - 1.6% | |||
| American Homes 4 Rent Class A | 197,686 | 5,280,193 | |
| Brixmor Property Group, Inc. | 299,843 | 6,578,555 | |
| EastGroup Properties, Inc. | 24,391 | 3,321,810 | |
| Equity Lifestyle Properties, Inc. | 100,000 | 7,408,000 | |
| Equity Residential (SBI) | 59,416 | 5,056,302 | |
| Essex Property Trust, Inc. | 1,944 | 606,878 | |
| Federal Realty Investment Trust (SBI) | 39,079 | 5,161,164 | |
| Hospitality Properties Trust (SBI) | 461,800 | 10,755,322 | |
| Kimco Realty Corp. | 298,412 | 6,451,667 | |
| Lexington Corporate Properties Trust | 967,400 | 10,718,792 | |
| Mid-America Apartment Communities, Inc. | 66,357 | 9,031,851 | |
| Omega Healthcare Investors, Inc. | 414,600 | 17,425,638 | |
| Outfront Media, Inc. | 211,988 | 5,295,460 | |
| Park Hotels & Resorts, Inc. | 332,200 | 7,856,530 | |
| Piedmont Office Realty Trust, Inc. Class A | 655,900 | 14,508,508 | |
| Public Storage | 38,387 | 8,087,373 | |
| Rayonier, Inc. | 170,426 | 5,220,148 | |
| Sun Communities, Inc. | 47,000 | 7,741,370 | |
| VEREIT, Inc. | 2,035,200 | 19,863,552 | |
| Weyerhaeuser Co. | 113,382 | 3,345,903 | |
| 159,715,016 | |||
| Real Estate Management & Development - 0.2% | |||
| CBRE Group, Inc. (a) | 320,436 | 18,271,261 | |
| Howard Hughes Corp. (a) | 4,672 | 515,836 | |
| 18,787,097 | |||
| TOTAL REAL ESTATE | 178,502,113 | ||
| UTILITIES - 1.9% | |||
| Electric Utilities - 1.4% | |||
| American Electric Power Co., Inc. | 305,834 | 27,937,936 | |
| Duke Energy Corp. | 55,483 | 4,891,936 | |
| Edison International | 203,236 | 14,043,608 | |
| Entergy Corp. | 7,100 | 826,369 | |
| Evergy, Inc. | 97,600 | 6,175,152 | |
| Eversource Energy | 155,599 | 12,858,701 | |
| Exelon Corp. | 657,000 | 29,170,800 | |
| FirstEnergy Corp. | 242,000 | 11,540,980 | |
| NextEra Energy, Inc. | 50,641 | 11,840,879 | |
| OGE Energy Corp. | 58,336 | 2,453,612 | |
| Pinnacle West Capital Corp. | 38,375 | 3,353,591 | |
| Xcel Energy, Inc. | 193,570 | 11,902,619 | |
| 136,996,183 | |||
| Independent Power and Renewable Electricity Producers - 0.3% | |||
| NRG Energy, Inc. | 107,700 | 4,278,921 | |
| The AES Corp. | 196,269 | 3,711,447 | |
| Vistra Energy Corp. | 719,100 | 19,077,723 | |
| 27,068,091 | |||
| Multi-Utilities - 0.2% | |||
| NiSource, Inc. | 82,622 | 2,185,352 | |
| Public Service Enterprise Group, Inc. | 184,728 | 10,956,218 | |
| WEC Energy Group, Inc. | 115,581 | 10,246,256 | |
| 23,387,826 | |||
| TOTAL UTILITIES | 187,452,100 | ||
| TOTAL COMMON STOCKS | |||
| (Cost $5,760,268,709) | 8,462,658,686 | ||
| Equity Funds - 14.1% | |||
| Large Blend Funds - 9.1% | |||
| Fidelity SAI U.S. Large Cap Index Fund (c) | 27,133,208 | 459,365,209 | |
| Fidelity SAI U.S. Low Volatility Index Fund (c) | 28,860,801 | 446,476,595 | |
| TOTAL LARGE BLEND FUNDS | 905,841,804 | ||
| Large Value Funds - 5.0% | |||
| Invesco Diversified Dividend Fund - Class A | 24,281,258 | 505,535,787 | |
| TOTAL EQUITY FUNDS | |||
| (Cost $1,086,631,366) | 1,411,377,591 | ||
| Money Market Funds - 1.7% | |||
| Fidelity Securities Lending Cash Central Fund 1.61% (d)(e) | 69,634,256 | 69,641,219 | |
| State Street Institutional U.S. Government Money Market Fund Premier Class 1.59% (f) | 95,896,937 | 95,896,937 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $165,538,156) | 165,538,156 | ||
| TOTAL INVESTMENT IN SECURITIES - 100.6% | |||
| (Cost $7,012,438,231) | 10,039,574,433 | ||
| NET OTHER ASSETS (LIABILITIES) - (0.6)% | (55,977,299) | ||
| NET ASSETS - 100% | $9,983,597,134 |
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 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 | $531,821 |
| Total | $531,821 |
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 | $1,139,458,999 | $866,011,187 | $246,174 | $1,688,372 | $14,441,816 | $459,365,209 |
| Fidelity SAI U.S. Low Volatility Index Fund | 362,888,020 | 35,000,000 | -- | -- | -- | 48,588,575 | 446,476,595 |
| Fidelity SAI U.S. Value Index Fund | 35,586,584 | -- | 36,402,643 | -- | (2,048,135) | 2,864,194 | -- |
| Total | $568,261,813 | $1,174,458,999 | $902,413,830 | $246,174 | $(359,763 ) | $65,894,585 | $905,841,804 |
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
All investments are categorized as Level 1 under the Fair Value Hierarchy. 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 please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| November 30, 2019 (Unaudited) | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $67,249,542) — See accompanying schedule: Unaffiliated issuers (cost $6,130,843,793) | $9,064,091,410 | |
| Fidelity Central Funds (cost $69,641,219) | 69,641,219 | |
| Other affiliated issuers (cost $811,953,219) | 905,841,804 | |
| Total Investment in Securities (cost $7,012,438,231) | $10,039,574,433 | |
| Receivable for investments sold | 3,729,236 | |
| Receivable for fund shares sold | 3,300,728 | |
| Dividends receivable | 24,772,302 | |
| Interest receivable | 147,786 | |
| Distributions receivable from Fidelity Central Funds | 72,546 | |
| Prepaid expenses | 12,628 | |
| Other receivables | 176,912 | |
| Total assets | 10,071,786,571 | |
| Liabilities | ||
| Payable for investments purchased | $13,877,250 | |
| Payable for fund shares redeemed | 2,845,175 | |
| Accrued management fee | 1,594,442 | |
| Other payables and accrued expenses | 227,095 | |
| Collateral on securities loaned | 69,645,475 | |
| Total liabilities | 88,189,437 | |
| Net Assets | $9,983,597,134 | |
| Net Assets consist of: | ||
| Paid in capital | $6,483,899,360 | |
| Total accumulated earnings (loss) | 3,499,697,774 | |
| Net Assets | $9,983,597,134 | |
| Net Asset Value, offering price and redemption price per share ($9,983,597,134 ÷ 509,086,633 shares) | $19.61 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Six months ended November 30, 2019 (Unaudited) | ||
| Investment Income | ||
| Dividends: | ||
| Unaffiliated issuers | $98,205,794 | |
| Affiliated issuers | 246,174 | |
| Interest | 1,133,999 | |
| Income from Fidelity Central Funds (including $531,821 from security lending) | 531,821 | |
| Total income | 100,117,788 | |
| Expenses | ||
| Management fee | $21,659,029 | |
| Accounting fees | 106,648 | |
| Custodian fees and expenses | 41,971 | |
| Independent trustees' fees and expenses | 55,390 | |
| Registration fees | 42,540 | |
| Audit | 37,111 | |
| Legal | 18,705 | |
| Miscellaneous | 40,013 | |
| Total expenses before reductions | 22,001,407 | |
| Expense reductions | (12,229,900) | |
| Total expenses after reductions | 9,771,507 | |
| Net investment income (loss) | 90,346,281 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 403,315,988 | |
| Fidelity Central Funds | 725 | |
| Other affiliated issuers | (359,763) | |
| Foreign currency transactions | 805 | |
| Capital gain distributions from underlying funds: | ||
| Unaffiliated issuers | 22,849,868 | |
| Total net realized gain (loss) | 425,807,623 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 815,421,847 | |
| Affiliated issuers | 65,894,585 | |
| Total change in net unrealized appreciation (depreciation) | 881,316,432 | |
| Net gain (loss) | 1,307,124,055 | |
| Net increase (decrease) in net assets resulting from operations | $1,397,470,336 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Six months ended November 30, 2019 (Unaudited) | Year ended May 31, 2019 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $90,346,281 | $252,223,912 |
| Net realized gain (loss) | 425,807,623 | 918,081,275 |
| Change in net unrealized appreciation (depreciation) | 881,316,432 | (1,390,415,836) |
| Net increase (decrease) in net assets resulting from operations | 1,397,470,336 | (220,110,649) |
| Distributions to shareholders | (616,660,060) | (881,905,021) |
| Share transactions | ||
| Proceeds from sales of shares | 390,238,147 | 1,225,576,742 |
| Reinvestment of distributions | 601,190,929 | 878,317,765 |
| Cost of shares redeemed | (1,203,631,005) | (2,832,648,067) |
| Net increase (decrease) in net assets resulting from share transactions | (212,201,929) | (728,753,560) |
| Total increase (decrease) in net assets | 568,608,347 | (1,830,769,230) |
| Net Assets | ||
| Beginning of period | 9,414,988,787 | 11,245,758,017 |
| End of period | $9,983,597,134 | $9,414,988,787 |
| Other Information | ||
| Shares | ||
| Sold | 21,028,609 | 63,933,831 |
| Issued in reinvestment of distributions | 32,479,251 | 48,812,720 |
| Redeemed | (64,709,827) | (147,882,523) |
| Net increase (decrease) | (11,201,967) | (35,135,972) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Value Fund
| Six months ended (Unaudited) November 30, | Years endedMay 31, | |||||
| 2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Selected Per–Share Data | ||||||
| Net asset value, beginning of period | $18.10 | $20.25 | $19.26 | $17.66 | $19.26 | $19.14 |
| Income from Investment Operations | ||||||
| Net investment income (loss)A | .17 | .45 | .38 | .37 | .34 | .31 |
| Net realized and unrealized gain (loss) | 2.54 | (1.01) | 2.11 | 2.29 | (.73) | 1.59 |
| Total from investment operations | 2.71 | (.56) | 2.49 | 2.66 | (.39) | 1.90 |
| Distributions from net investment income | (.19) | (.42) | (.36) | (.34) | (.31) | (.27) |
| Distributions from net realized gain | (1.02) | (1.18) | (1.14) | (.72) | (.90) | (1.51) |
| Total distributions | (1.20)B | (1.59)C | (1.50) | (1.06) | (1.21) | (1.78) |
| Net asset value, end of period | $19.61 | $18.10 | $20.25 | $19.26 | $17.66 | $19.26 |
| Total ReturnD,E | 15.39% | (2.53)% | 13.38% | 15.56% | (1.97)% | 10.23% |
| Ratios to Average Net AssetsF,G | ||||||
| Expenses before reductions | .45%H | .47% | .60% | .60% | .58% | .56% |
| Expenses net of fee waivers, if any | .20%H | .22% | .35% | .35% | .33% | .31% |
| Expenses net of all reductions | .20%H | .22% | .35% | .35% | .33% | .31% |
| Net investment income (loss) | 1.85%H | 2.34% | 1.88% | 1.99% | 1.94% | 1.63% |
| Supplemental Data | ||||||
| Net assets, end of period (000 omitted) | $9,983,597 | $9,414,989 | $11,245,758 | $10,753,496 | $11,060,619 | $13,270,015 |
| Portfolio turnover rateI | 49%H | 38% | 23% | 32% | 39% | 31% |
A Calculated based on average shares outstanding during the period.
B Total distributions of $1.20 per share is comprised of distributions from net investment income of $.185 and distributions from net realized gain of $1.019 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 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 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.
H Annualized
I 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 (Unaudited)
For the period ended November 30, 2019
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 (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.
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 $176,645 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. 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.
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, passive foreign investment companies (PFIC), partnerships, market discount, 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 | $3,198,697,650 |
| Gross unrealized depreciation | (189,659,058) |
| Net unrealized appreciation (depreciation) | $3,009,038,592 |
| Tax cost | $7,030,535,841 |
3. Purchases and Sales of Investments.
Purchases and sales of securities (including the Underlying Fund shares), other than short-term securities, aggregated $2,366,856,129 and $3,066,593,003, respectively.
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 annualized 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 an annualized rate of 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 | $961 |
Interfund Trades. The Fund 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 Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. 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 are available on the SEC website or upon request.
6. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $12,191 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow 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 $ 12,229,900.
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 10% of the total outstanding shares of Fidelity SAI U.S. Low Volatility Index Fund.
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 (June 1, 2019 to November 30, 2019).
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 June 1, 2019 | Ending Account Value November 30, 2019 | Expenses Paid During Period-B June 1, 2019 to November 30, 2019 |
|
| Actual | .20% | $1,000.00 | $1,153.90 | $1.08 |
| 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
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Value 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 Aristotle Capital Management LLC (Aristotle), Boston Partners Global Investors, Inc. (Boston Partners), Brandywine Global Investment Management, LLC (Brandywine), FIAM LLC, Geode Capital Management, LLC (Geode), J.P. Morgan Investment Management Inc., and LSV Asset Management (LSV) (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 addition, the Board approved amendments to the fund's sub-advisory agreements with: (i) Aristotle, Boston Partners, Brandywine, and Geode to add certain exceptions to the most favored nation (MFN) provision in each such sub-advisory agreement; and (ii) LSV to both expand the scope of, and add certain exceptions to, the MFN provision in each such sub-advisory agreement. Where applicable, the Board also approved non-material amendments to these sub-advisory agreements. The Board noted that the other terms of each amended sub-advisory agreement are not materially different from those of the applicable existing sub-advisory agreement and that Aristotle, Boston Partners, Brandywine, Geode, and LSV each will continue to provide the same services to the fund.
In reaching its determination to renew the fund's Advisory Contracts and approve the amendments to the sub-advisory agreements described above (Amendments), 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 and approve the Amendments, 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 and the approval of the Amendments 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 and the approval of the Amendments do 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 and approve the Amendments 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 Value Fund
Strategic Advisers Value Fund
SUF-SANN-0120
1.912899.109
Strategic Advisers® Core Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
Semi-Annual Report
November 30, 2019
See the inside front cover for important information about access to your fund’s shareholder reports.
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
|
Board Approval of Investment Advisory Contract and Management Fees |
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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2019
| (excluding cash equivalents) | % of fund's net assets |
| Fidelity SAI U.S. Quality Index Fund | 8.7 |
| JPMorgan U.S. Large Cap Core Plus Fund Select Class(a) | 5.0 |
| Microsoft Corp. | 3.8 |
| Apple, Inc.(b) | 3.1 |
| Amazon.com, Inc. | 2.1 |
| Alphabet, Inc. Class C | 1.8 |
| PIMCO StocksPLUS Absolute Return Fund Institutional Class | 1.6 |
| Facebook, Inc. Class A | 1.5 |
| Johnson & Johnson | 1.5 |
| JPMorgan Chase & Co.(b) | 1.4 |
| 30.5 |
(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.
(b) Security or a portion of the security is pledged as collateral for call options written.
Top Five Market Sectors as of November 30, 2019
| (stocks only) | % of fund's net assets |
| Information Technology | 17.2 |
| Financials | 12.9 |
| Health Care | 12.1 |
| Communication Services | 8.7 |
| Industrials | 8.4 |
Asset Allocation (% of fund's net assets)
| As of November 30, 2019 | ||
| Common Stocks | 81.8% | |
| Large Blend Funds | 7.1% | |
| Large Growth Funds | 9.8% | |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.3% | |
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 November 30, 2019 (Unaudited)
Showing Percentage of Net Assets
| Common Stocks - 81.8% | |||
| Shares | Value | ||
| COMMUNICATION SERVICES - 8.7% | |||
| Diversified Telecommunication Services - 1.0% | |||
| AT&T, Inc. | 3,081,951 | $115,203,328 | |
| CenturyLink, Inc. | 154,949 | 2,245,211 | |
| Verizon Communications, Inc. | 2,790,300 | 168,087,672 | |
| 285,536,211 | |||
| Entertainment - 1.5% | |||
| Activision Blizzard, Inc. | 1,021,890 | 56,030,229 | |
| DouYu International Holdings Ltd. ADR (a) | 169,000 | 1,260,740 | |
| Electronic Arts, Inc. (b) | 355,685 | 35,927,742 | |
| Netflix, Inc. (b) | 343,795 | 108,178,535 | |
| Take-Two Interactive Software, Inc. (b) | 24,200 | 2,936,670 | |
| The Walt Disney Co. | 854,137 | 129,470,086 | |
| Viacom, Inc. Class B (non-vtg.) | 191,606 | 4,611,956 | |
| Vivendi SA | 2,105,677 | 57,815,270 | |
| World Wrestling Entertainment, Inc. Class A (a) | 61,200 | 3,795,624 | |
| 400,026,852 | |||
| Interactive Media & Services - 4.0% | |||
| Alphabet, Inc.: | |||
| Class A (b) | 153,031 | 199,566,197 | |
| Class C (b) | 377,486 | 492,604,131 | |
| Facebook, Inc. Class A (b) | 1,947,295 | 392,652,564 | |
| TripAdvisor, Inc. | 20,602 | 585,097 | |
| Twitter, Inc. (b) | 157,577 | 4,870,705 | |
| Wise Talent Information Technology Co. Ltd. (b) | 772,800 | 1,804,602 | |
| 1,092,083,296 | |||
| Media - 2.1% | |||
| Altice U.S.A., Inc. Class A (b) | 1,101,697 | 28,181,409 | |
| CBS Corp. Class B | 54,100 | 2,184,558 | |
| Charter Communications, Inc. Class A (b) | 276,909 | 130,149,999 | |
| Comcast Corp. Class A | 7,910,068 | 349,229,502 | |
| Discovery Communications, Inc.: | |||
| Class A (a)(b) | 55,767 | 1,836,965 | |
| Class C (non-vtg.) (b) | 603,800 | 18,427,976 | |
| DISH Network Corp.: | |||
| rights 12/9/19 (b) | 7,924 | 5,388 | |
| Class A (b) | 145,422 | 4,969,070 | |
| Fox Corp. Class B | 22,716 | 794,606 | |
| Interpublic Group of Companies, Inc. | 44,336 | 993,126 | |
| Liberty Broadband Corp. Class C (b) | 258,776 | 30,921,144 | |
| Liberty Media Corp. Liberty SiriusXM Series A (b) | 65,800 | 3,204,460 | |
| New Media Investment Group, Inc. | 34,678 | 220,552 | |
| Omnicom Group, Inc. | 95,475 | 7,588,353 | |
| Tegna, Inc. | 64,900 | 996,215 | |
| 579,703,323 | |||
| Wireless Telecommunication Services - 0.1% | |||
| T-Mobile U.S., Inc. (b) | 293,388 | 23,045,627 | |
| TOTAL COMMUNICATION SERVICES | 2,380,395,309 | ||
| CONSUMER DISCRETIONARY - 7.9% | |||
| Auto Components - 0.2% | |||
| Aptiv PLC | 300,841 | 28,242,953 | |
| BorgWarner, Inc. | 130,492 | 5,487,189 | |
| Cooper Tire & Rubber Co. | 55,800 | 1,608,156 | |
| Gentex Corp. | 32,557 | 924,619 | |
| Lear Corp. | 42,800 | 5,149,268 | |
| Magna International, Inc. Class A (sub. vtg.) | 352,400 | 19,412,112 | |
| The Goodyear Tire & Rubber Co. | 186,300 | 2,978,937 | |
| 63,803,234 | |||
| Automobiles - 0.2% | |||
| Ferrari NV | 112,200 | 18,879,894 | |
| Ford Motor Co. | 1,244,419 | 11,274,436 | |
| General Motors Co. | 633,866 | 22,819,176 | |
| Harley-Davidson, Inc. | 121,754 | 4,429,411 | |
| Thor Industries, Inc. | 14,440 | 920,839 | |
| 58,323,756 | |||
| Distributors - 0.0% | |||
| Genuine Parts Co. | 19,633 | 2,049,096 | |
| LKQ Corp. (b) | 41,300 | 1,457,064 | |
| 3,506,160 | |||
| Diversified Consumer Services - 0.0% | |||
| Afya Ltd. (a) | 29,734 | 818,874 | |
| H&R Block, Inc. | 23,912 | 582,975 | |
| 1,401,849 | |||
| Hotels, Restaurants & Leisure - 1.5% | |||
| Brinker International, Inc. | 44,600 | 1,998,080 | |
| Chipotle Mexican Grill, Inc. (b) | 222 | 180,690 | |
| Darden Restaurants, Inc. | 82,254 | 9,742,164 | |
| Domino's Pizza, Inc. | 29,100 | 8,564,130 | |
| Hilton Worldwide Holdings, Inc. | 154,016 | 16,171,680 | |
| Hyatt Hotels Corp. Class A (a) | 4,191 | 338,633 | |
| Las Vegas Sands Corp. | 40,301 | 2,528,888 | |
| Marriott International, Inc. Class A | 152,100 | 21,348,756 | |
| McDonald's Corp. | 649,263 | 126,268,668 | |
| MGM Mirage, Inc. | 313,000 | 10,000,350 | |
| Norwegian Cruise Line Holdings Ltd. (b) | 67,996 | 3,647,305 | |
| Restaurant Brands International, Inc. | 479,385 | 31,470,580 | |
| Royal Caribbean Cruises Ltd. | 298,842 | 35,867,017 | |
| Starbucks Corp. | 790,329 | 67,517,806 | |
| Wyndham Destinations, Inc. | 74,821 | 3,628,819 | |
| Wynn Resorts Ltd. | 95,400 | 11,529,090 | |
| Yum! Brands, Inc. | 747,753 | 75,276,295 | |
| 426,078,951 | |||
| Household Durables - 0.4% | |||
| D.R. Horton, Inc. | 232,919 | 12,892,067 | |
| Garmin Ltd. | 22,635 | 2,211,213 | |
| Lennar Corp. Class A | 650,898 | 38,826,066 | |
| Mohawk Industries, Inc. (b) | 43,300 | 6,034,721 | |
| Newell Brands, Inc. | 133,457 | 2,565,044 | |
| NVR, Inc. (b) | 2,500 | 9,479,725 | |
| PulteGroup, Inc. | 347,280 | 13,769,652 | |
| Toll Brothers, Inc. | 18,944 | 760,980 | |
| Whirlpool Corp. | 70,002 | 10,017,286 | |
| 96,556,754 | |||
| Internet & Direct Marketing Retail - 2.8% | |||
| Amazon.com, Inc. (b) | 322,838 | 581,366,670 | |
| eBay, Inc. | 125,939 | 4,473,353 | |
| Expedia, Inc. | 118,504 | 12,047,117 | |
| Pinduoduo, Inc. ADR (b) | 76,300 | 2,742,985 | |
| The Booking Holdings, Inc. (b) | 92,083 | 175,328,794 | |
| 775,958,919 | |||
| Leisure Products - 0.0% | |||
| Brunswick Corp. | 106,100 | 6,235,497 | |
| Hasbro, Inc. | 11,069 | 1,125,717 | |
| Polaris, Inc. | 8,200 | 801,140 | |
| 8,162,354 | |||
| Multiline Retail - 0.4% | |||
| Big Lots, Inc. | 13,500 | 282,150 | |
| Dillard's, Inc. Class A (a) | 19,700 | 1,414,460 | |
| Dollar General Corp. | 134,194 | 21,116,768 | |
| Dollar Tree, Inc. (b) | 209,397 | 19,151,450 | |
| Kohl's Corp. | 88,900 | 4,179,189 | |
| Macy's, Inc. | 103,200 | 1,581,024 | |
| Target Corp. | 400,480 | 50,064,005 | |
| 97,789,046 | |||
| Specialty Retail - 2.1% | |||
| Advance Auto Parts, Inc. | 15,615 | 2,452,804 | |
| American Eagle Outfitters, Inc. | 110,600 | 1,655,682 | |
| AutoZone, Inc. (b) | 20,710 | 24,394,723 | |
| Best Buy Co., Inc. | 486,584 | 39,238,134 | |
| Burlington Stores, Inc. (b) | 85,100 | 19,147,500 | |
| CarMax, Inc. (b) | 21,073 | 2,049,560 | |
| Gap, Inc. | 101,600 | 1,687,576 | |
| Lowe's Companies, Inc. | 444,182 | 52,106,990 | |
| O'Reilly Automotive, Inc. (b) | 181,426 | 80,241,091 | |
| Office Depot, Inc. | 40,900 | 91,207 | |
| Penske Automotive Group, Inc. | 60,300 | 3,044,547 | |
| Ross Stores, Inc. | 347,296 | 40,338,430 | |
| The Home Depot, Inc. | 845,765 | 186,499,640 | |
| TJX Companies, Inc. | 1,151,535 | 70,393,335 | |
| Ulta Beauty, Inc. (b) | 193,842 | 45,331,890 | |
| Williams-Sonoma, Inc. | 10,000 | 694,000 | |
| 569,367,109 | |||
| Textiles, Apparel & Luxury Goods - 0.3% | |||
| Hanesbrands, Inc. | 34,320 | 517,202 | |
| NIKE, Inc. Class B | 647,073 | 60,494,855 | |
| Ralph Lauren Corp. | 6,878 | 738,285 | |
| Skechers U.S.A., Inc. Class A (sub. vtg.) (b) | 15,400 | 619,388 | |
| Tapestry, Inc. | 251,500 | 6,762,835 | |
| VF Corp. | 133,100 | 11,784,674 | |
| 80,917,239 | |||
| TOTAL CONSUMER DISCRETIONARY | 2,181,865,371 | ||
| CONSUMER STAPLES - 5.1% | |||
| Beverages - 1.2% | |||
| Anheuser-Busch InBev SA NV | 133,500 | 10,582,361 | |
| Constellation Brands, Inc. Class A (sub. vtg.) | 269,841 | 50,206,616 | |
| Keurig Dr. Pepper, Inc. (a) | 500,887 | 15,497,444 | |
| Molson Coors Brewing Co. Class B | 90,078 | 4,547,137 | |
| Monster Beverage Corp. (b) | 289,027 | 17,289,595 | |
| PepsiCo, Inc. | 521,953 | 70,896,876 | |
| The Coca-Cola Co. | 2,915,758 | 155,701,477 | |
| 324,721,506 | |||
| Food & Staples Retailing - 0.7% | |||
| Costco Wholesale Corp. | 121,846 | 36,530,649 | |
| Kroger Co. | 270,268 | 7,389,127 | |
| Sysco Corp. | 198,615 | 15,998,438 | |
| U.S. Foods Holding Corp. (b) | 10,837 | 430,987 | |
| Walgreens Boots Alliance, Inc. | 237,617 | 14,161,973 | |
| Walmart, Inc. | 896,815 | 106,801,698 | |
| 181,312,872 | |||
| Food Products - 0.8% | |||
| Archer Daniels Midland Co. | 145,362 | 6,240,391 | |
| Campbell Soup Co. | 288,073 | 13,415,560 | |
| Conagra Brands, Inc. | 1,495,946 | 43,187,961 | |
| General Mills, Inc. | 46,546 | 2,481,833 | |
| Ingredion, Inc. | 35,100 | 2,919,267 | |
| Kellogg Co. | 61,151 | 3,982,153 | |
| Mondelez International, Inc. | 1,015,470 | 53,352,794 | |
| Nestle SA sponsored ADR | 197,800 | 20,559,332 | |
| Pilgrim's Pride Corp. (b) | 115,200 | 3,628,800 | |
| Post Holdings, Inc. (b) | 87,600 | 9,250,560 | |
| The Hershey Co. | 18,645 | 2,762,443 | |
| The J.M. Smucker Co. | 77,829 | 8,179,050 | |
| Tyson Foods, Inc. Class A | 438,366 | 39,404,720 | |
| 209,364,864 | |||
| Household Products - 1.2% | |||
| Church & Dwight Co., Inc. | 115,403 | 8,105,907 | |
| Clorox Co. | 19,061 | 2,825,412 | |
| Colgate-Palmolive Co. | 84,045 | 5,699,932 | |
| Kimberly-Clark Corp. | 235,156 | 32,061,169 | |
| Procter & Gamble Co. (c) | 2,343,310 | 286,024,419 | |
| 334,716,839 | |||
| Personal Products - 0.1% | |||
| Coty, Inc. Class A | 20,851 | 240,621 | |
| Estee Lauder Companies, Inc. Class A | 165,934 | 32,435,119 | |
| Herbalife Nutrition Ltd. (b) | 202,200 | 9,222,342 | |
| 41,898,082 | |||
| Tobacco - 1.1% | |||
| Altria Group, Inc. | 3,048,699 | 151,520,340 | |
| British American Tobacco PLC sponsored ADR | 308,300 | 12,211,763 | |
| Philip Morris International, Inc. | 1,646,780 | 136,567,465 | |
| 300,299,568 | |||
| TOTAL CONSUMER STAPLES | 1,392,313,731 | ||
| ENERGY - 3.9% | |||
| Energy Equipment & Services - 0.1% | |||
| AKITA Drilling Ltd. Class A (non-vtg.) | 8,801 | 5,963 | |
| Baker Hughes, A GE Co. Class A | 143,300 | 3,212,786 | |
| DMC Global, Inc. | 4,000 | 184,360 | |
| Forum Energy Technologies, Inc. (b) | 71,700 | 93,927 | |
| Halliburton Co. | 832,000 | 17,463,680 | |
| Helmerich & Payne, Inc. | 30,148 | 1,191,750 | |
| National Oilwell Varco, Inc. | 30,258 | 682,318 | |
| Odfjell Drilling Ltd. (b) | 46,500 | 128,293 | |
| Patterson-UTI Energy, Inc. | 19,300 | 172,542 | |
| RigNet, Inc. (b) | 53,600 | 278,720 | |
| Schlumberger Ltd. | 490,993 | 17,773,947 | |
| Shelf Drilling Ltd. (b)(d) | 142,600 | 291,516 | |
| Solaris Oilfield Infrastructure, Inc. Class A | 60,200 | 645,946 | |
| TechnipFMC PLC | 7,977 | 150,287 | |
| Tenaris SA sponsored ADR | 13,100 | 278,899 | |
| 42,554,934 | |||
| Oil, Gas & Consumable Fuels - 3.8% | |||
| Apache Corp. | 671,200 | 14,954,336 | |
| Arch Coal, Inc. | 1,400 | 103,754 | |
| Black Stone Minerals LP | 10,200 | 121,074 | |
| BP PLC sponsored ADR | 527,300 | 19,731,566 | |
| Brigham Minerals, Inc. Class A | 44,400 | 859,584 | |
| Cabot Oil & Gas Corp. | 217,251 | 3,462,981 | |
| Canadian Natural Resources Ltd. | 44,800 | 1,253,307 | |
| Canadian Natural Resources Ltd. | 3,300 | 92,301 | |
| Cenovus Energy, Inc. (Canada) | 2,167,200 | 19,301,345 | |
| Cheniere Energy, Inc. (b) | 55,700 | 3,372,078 | |
| Chevron Corp. | 1,760,448 | 206,201,274 | |
| Cimarex Energy Co. | 28,100 | 1,291,757 | |
| Concho Resources, Inc. | 361,991 | 26,266,067 | |
| ConocoPhillips Co. | 946,599 | 56,739,144 | |
| Delek Logistics Partners LP | 2,800 | 89,936 | |
| Delek U.S. Holdings, Inc. | 16,729 | 573,972 | |
| Devon Energy Corp. | 60,000 | 1,313,400 | |
| Diamondback Energy, Inc. | 305,456 | 23,623,967 | |
| Encana Corp. (Toronto) | 140,851 | 556,702 | |
| Eni SpA | 6,900 | 103,968 | |
| Enterprise Products Partners LP | 38,500 | 1,013,320 | |
| EOG Resources, Inc. | 823,925 | 58,416,283 | |
| Equinor ASA sponsored ADR | 1,060,700 | 19,654,771 | |
| Exxon Mobil Corp. | 3,265,452 | 222,475,245 | |
| Hess Corp. | 409,800 | 25,444,482 | |
| HollyFrontier Corp. | 63,552 | 3,276,106 | |
| Kosmos Energy Ltd. | 135,100 | 806,547 | |
| Lundin Petroleum AB | 28,200 | 869,292 | |
| Magellan Midstream Partners LP | 269,444 | 15,754,391 | |
| Magnolia Oil & Gas Corp. Class A (a)(b) | 52,500 | 570,150 | |
| Marathon Oil Corp. | 95,318 | 1,110,455 | |
| Marathon Petroleum Corp. | 685,924 | 41,594,431 | |
| National Energy Services Reunited Corp. (b) | 1,500 | 13,725 | |
| Noble Energy, Inc. | 237,985 | 4,940,569 | |
| Northern Oil & Gas, Inc. (b) | 360,200 | 641,156 | |
| Occidental Petroleum Corp. | 1,075,800 | 41,493,606 | |
| Par Pacific Holdings, Inc. (b) | 44,800 | 1,115,072 | |
| Parex Resources, Inc. (b) | 94,900 | 1,401,745 | |
| Parsley Energy, Inc. Class A | 512,621 | 7,679,063 | |
| PBF Energy, Inc. Class A | 124,900 | 3,909,370 | |
| PDC Energy, Inc. (b) | 48,200 | 1,095,586 | |
| Peabody Energy Corp. | 8,700 | 84,216 | |
| Phillips 66 Co. | 184,325 | 21,145,764 | |
| Pioneer Natural Resources Co. | 287,006 | 36,690,847 | |
| Reliance Industries Ltd. | 33 | 713 | |
| Scorpio Tankers, Inc. | 8,200 | 281,998 | |
| Suncor Energy, Inc. | 35,200 | 1,105,052 | |
| Suncor Energy, Inc. | 953,325 | 29,934,405 | |
| Targa Resources Corp. | 243,000 | 8,876,790 | |
| TC Energy Corp. | 297,650 | 15,163,725 | |
| Teekay LNG Partners LP | 35,600 | 542,900 | |
| Texas Pacific Land Trust | 100 | 67,498 | |
| The Williams Companies, Inc. | 85,468 | 1,941,833 | |
| Total SA sponsored ADR | 569,015 | 29,896,048 | |
| Valero Energy Corp. | 620,270 | 59,229,582 | |
| Viper Energy Partners LP | 65,100 | 1,544,172 | |
| World Fuel Services Corp. | 2,800 | 118,720 | |
| 1,039,912,141 | |||
| TOTAL ENERGY | 1,082,467,075 | ||
| FINANCIALS - 12.9% | |||
| Banks - 6.8% | |||
| Bank of America Corp. (c) | 10,958,491 | 365,136,920 | |
| BB&T Corp. | 147,912 | 8,093,745 | |
| CIT Group, Inc. | 74,500 | 3,391,240 | |
| Citigroup, Inc. (c) | 4,934,371 | 370,669,950 | |
| Citizens Financial Group, Inc. | 315,490 | 12,133,745 | |
| Comerica, Inc. | 36,772 | 2,589,117 | |
| Commerce Bancshares, Inc. | 14,504 | 972,203 | |
| Cullen/Frost Bankers, Inc. | 7,314 | 684,298 | |
| Danske Bank A/S | 506,982 | 6,845,036 | |
| EFG Eurobank Ergasias SA (b) | 1,328,000 | 1,398,810 | |
| Fifth Third Bancorp | 1,688,140 | 50,964,947 | |
| First Horizon National Corp. | 133,300 | 2,143,464 | |
| First Republic Bank | 184,455 | 20,271,605 | |
| Huntington Bancshares, Inc. | 874,111 | 13,015,513 | |
| JPMorgan Chase & Co. (c) | 2,969,138 | 391,213,623 | |
| KeyCorp | 2,023,894 | 39,243,305 | |
| M&T Bank Corp. | 64,930 | 10,696,568 | |
| PNC Financial Services Group, Inc. | 1,049,389 | 160,776,889 | |
| Popular, Inc. | 11,434 | 632,415 | |
| Prosperity Bancshares, Inc. | 8,034 | 564,389 | |
| Regions Financial Corp. | 618,965 | 10,299,578 | |
| Signature Bank | 39,758 | 4,904,547 | |
| Societe Generale Series A | 84,800 | 2,664,943 | |
| SunTrust Banks, Inc. | 193,900 | 13,735,876 | |
| SVB Financial Group (b) | 132,878 | 30,791,819 | |
| Synovus Financial Corp. | 52,800 | 2,011,152 | |
| U.S. Bancorp | 940,390 | 56,451,612 | |
| Wells Fargo & Co. | 5,036,759 | 274,301,895 | |
| Zions Bancorp NA | 22,969 | 1,143,397 | |
| 1,857,742,601 | |||
| Capital Markets - 2.1% | |||
| Ameriprise Financial, Inc. | 259,150 | 42,466,911 | |
| Apollo Global Management LLC Class A | 92,500 | 4,051,500 | |
| Bank of New York Mellon Corp. | 194,532 | 9,526,232 | |
| BlackRock, Inc. Class A | 33,848 | 16,751,714 | |
| Cboe Global Markets, Inc. | 253,794 | 30,176,107 | |
| Charles Schwab Corp. | 1,334,040 | 66,034,980 | |
| E*TRADE Financial Corp. | 314,067 | 13,913,168 | |
| Eaton Vance Corp. (non-vtg.) | 15,200 | 716,984 | |
| Franklin Resources, Inc. | 131,327 | 3,610,179 | |
| Goldman Sachs Group, Inc. | 416,104 | 92,104,620 | |
| Intercontinental Exchange, Inc. | 576,156 | 54,256,611 | |
| KKR & Co. LP | 249,700 | 7,363,653 | |
| Legg Mason, Inc. | 76,000 | 2,970,080 | |
| LPL Financial | 10,873 | 1,004,122 | |
| MarketAxess Holdings, Inc. | 3,100 | 1,251,842 | |
| Moody's Corp. | 12,207 | 2,766,961 | |
| Morgan Stanley | 1,963,973 | 97,177,384 | |
| MSCI, Inc. | 4,666 | 1,209,381 | |
| Northern Trust Corp. | 28,568 | 3,063,632 | |
| Raymond James Financial, Inc. | 145,192 | 13,041,145 | |
| S&P Global, Inc. | 94,960 | 25,131,164 | |
| SEI Investments Co. | 16,675 | 1,076,038 | |
| State Street Corp. | 608,947 | 45,731,920 | |
| T. Rowe Price Group, Inc. | 99,389 | 12,280,505 | |
| TD Ameritrade Holding Corp. | 335,300 | 17,378,599 | |
| Tradeweb Markets, Inc. Class A | 78,183 | 3,497,126 | |
| Virtu Financial, Inc. Class A (a) | 253,270 | 4,204,282 | |
| 572,756,840 | |||
| Consumer Finance - 0.7% | |||
| 360 Finance, Inc. ADR | 367,900 | 3,495,050 | |
| Ally Financial, Inc. | 660,348 | 21,025,480 | |
| American Express Co. | 249,013 | 29,911,442 | |
| Capital One Financial Corp. | 1,050,567 | 105,067,206 | |
| Credit Acceptance Corp. (b) | 2,562 | 1,102,839 | |
| Discover Financial Services | 161,995 | 13,748,516 | |
| Navient Corp. | 115,400 | 1,655,990 | |
| OneMain Holdings, Inc. | 368,700 | 15,887,283 | |
| Qudian, Inc. ADR (a)(b) | 182,400 | 904,704 | |
| Santander Consumer U.S.A. Holdings, Inc. | 45,806 | 1,078,731 | |
| Shriram Transport Finance Co. Ltd. | 92,700 | 1,456,347 | |
| SLM Corp. | 320,992 | 2,738,062 | |
| Synchrony Financial | 265,918 | 9,947,992 | |
| 208,019,642 | |||
| Diversified Financial Services - 1.5% | |||
| AXA Equitable Holdings, Inc. | 2,131,320 | 52,728,857 | |
| Berkshire Hathaway, Inc.: | |||
| Class A (b) | 1 | 330,495 | |
| Class B (b) | 1,563,440 | 344,425,832 | |
| Jefferies Financial Group, Inc. | 41,079 | 858,551 | |
| Voya Financial, Inc. | 348,906 | 20,334,242 | |
| 418,677,977 | |||
| Insurance - 1.8% | |||
| AFLAC, Inc. | 267,795 | 14,685,878 | |
| Alleghany Corp. (b) | 1,962 | 1,530,438 | |
| Allstate Corp. | 212,403 | 23,651,074 | |
| American Financial Group, Inc. | 19,859 | 2,178,731 | |
| American International Group, Inc. | 1,109,681 | 58,435,801 | |
| Aon PLC | 15,055 | 3,065,349 | |
| Arch Capital Group Ltd. (b) | 54,700 | 2,295,759 | |
| Assurant, Inc. | 8,200 | 1,089,534 | |
| Athene Holding Ltd. (b) | 19,453 | 875,774 | |
| Chubb Ltd. | 385,347 | 58,372,364 | |
| Cincinnati Financial Corp. | 18,898 | 2,023,031 | |
| Everest Re Group Ltd. | 27,570 | 7,478,638 | |
| FNF Group | 180,938 | 8,618,077 | |
| Genworth Financial, Inc. Class A | 116,700 | 462,132 | |
| Globe Life, Inc. | 32,298 | 3,318,942 | |
| Hanover Insurance Group, Inc. | 4,700 | 638,871 | |
| Hartford Financial Services Group, Inc. | 656,477 | 40,609,667 | |
| Lincoln National Corp. | 159,097 | 9,394,678 | |
| Loews Corp. | 83,336 | 4,241,802 | |
| Markel Corp. (b) | 1,910 | 2,168,901 | |
| Marsh & McLennan Companies, Inc. | 350,654 | 37,895,178 | |
| MetLife, Inc. | 926,539 | 46,243,561 | |
| Old Republic International Corp. | 29,500 | 665,520 | |
| Principal Financial Group, Inc. | 68,993 | 3,801,514 | |
| Progressive Corp. | 740,014 | 54,058,023 | |
| Prudential Financial, Inc. | 296,057 | 27,716,856 | |
| Reinsurance Group of America, Inc. | 31,780 | 5,258,319 | |
| The Travelers Companies, Inc. | 183,958 | 25,150,738 | |
| Unum Group | 96,100 | 2,954,114 | |
| W.R. Berkley Corp. | 21,019 | 1,429,292 | |
| Willis Group Holdings PLC | 205,571 | 40,382,367 | |
| 490,690,923 | |||
| Mortgage Real Estate Investment Trusts - 0.0% | |||
| Annaly Capital Management, Inc. | 427,600 | 3,989,508 | |
| Thrifts & Mortgage Finance - 0.0% | |||
| New York Community Bancorp, Inc. | 63,063 | 751,711 | |
| Radian Group, Inc. | 133,900 | 3,459,976 | |
| 4,211,687 | |||
| TOTAL FINANCIALS | 3,556,089,178 | ||
| HEALTH CARE - 12.1% | |||
| Biotechnology - 1.9% | |||
| AbbVie, Inc. | 1,727,495 | 151,553,136 | |
| Acceleron Pharma, Inc. (b) | 28,000 | 1,370,880 | |
| Alexion Pharmaceuticals, Inc. (b) | 445,262 | 50,733,152 | |
| Alnylam Pharmaceuticals, Inc. (b) | 22,000 | 2,577,080 | |
| Amgen, Inc. | 456,800 | 107,220,096 | |
| Argenx SE ADR (b) | 28,000 | 4,145,400 | |
| Ascendis Pharma A/S sponsored ADR (b) | 38,000 | 4,376,840 | |
| BeiGene Ltd. ADR (b) | 10,000 | 2,032,900 | |
| BELLUS Health, Inc. (b) | 140,000 | 980,000 | |
| Biogen, Inc. (b) | 116,074 | 34,800,146 | |
| BioMarin Pharmaceutical, Inc. (b) | 80,536 | 6,500,061 | |
| bluebird bio, Inc. (b) | 25,000 | 2,023,500 | |
| Blueprint Medicines Corp. (b) | 44,000 | 3,609,760 | |
| FibroGen, Inc. (b) | 40,000 | 1,694,800 | |
| Gilead Sciences, Inc. | 465,284 | 31,285,696 | |
| Incyte Corp. (b) | 38,049 | 3,582,694 | |
| Intercept Pharmaceuticals, Inc. (a)(b) | 86,100 | 9,330,657 | |
| Neurocrine Biosciences, Inc. (b) | 20,000 | 2,332,200 | |
| Principia Biopharma, Inc. (b) | 45,000 | 1,612,350 | |
| Regeneron Pharmaceuticals, Inc. (b) | 1,984 | 732,096 | |
| Sage Therapeutics, Inc. (b) | 12,000 | 1,857,240 | |
| Sarepta Therapeutics, Inc. (b) | 56,000 | 6,299,440 | |
| Turning Point Therapeutics, Inc. | 28,000 | 1,574,160 | |
| Vertex Pharmaceuticals, Inc. (b) | 363,097 | 80,516,760 | |
| Xencor, Inc. (b) | 55,000 | 2,167,000 | |
| Zymeworks, Inc. (b) | 55,000 | 2,397,450 | |
| 517,305,494 | |||
| Health Care Equipment & Supplies - 2.3% | |||
| Abbott Laboratories | 842,116 | 71,958,812 | |
| Align Technology, Inc. (b) | 3,545 | 983,170 | |
| Atricure, Inc. (b) | 60,000 | 1,785,000 | |
| Baxter International, Inc. | 24,380 | 1,998,429 | |
| Becton, Dickinson & Co. | 459,087 | 118,673,990 | |
| Boston Scientific Corp. (b) | 3,272,890 | 141,552,493 | |
| Danaher Corp. | 45,092 | 6,582,530 | |
| Edwards Lifesciences Corp. (b) | 8,430 | 2,064,844 | |
| Genmark Diagnostics, Inc. (b) | 280,000 | 1,562,400 | |
| Hologic, Inc. (b) | 377,879 | 19,392,750 | |
| IDEXX Laboratories, Inc. (b) | 222 | 55,851 | |
| Insulet Corp. (b) | 38,000 | 7,056,600 | |
| Intuitive Surgical, Inc. (b) | 126,200 | 74,823,980 | |
| Masimo Corp. (b) | 26,000 | 4,031,820 | |
| Medtronic PLC | 128,595 | 14,324,197 | |
| Penumbra, Inc. (b) | 34,500 | 6,103,740 | |
| Stryker Corp. | 230,995 | 47,321,636 | |
| Teleflex, Inc. | 5,455 | 1,927,470 | |
| The Cooper Companies, Inc. | 29,054 | 9,096,517 | |
| Zimmer Biomet Holdings, Inc. | 792,387 | 115,117,983 | |
| 646,414,212 | |||
| Health Care Providers & Services - 3.1% | |||
| AmerisourceBergen Corp. | 53,340 | 4,689,119 | |
| Anthem, Inc. | 157,727 | 45,529,476 | |
| Cardinal Health, Inc. | 112,592 | 6,195,938 | |
| Centene Corp. (b) | 824,516 | 49,858,483 | |
| Cigna Corp. | 1,005,724 | 201,064,342 | |
| CVS Health Corp. | 993,735 | 74,798,433 | |
| DaVita HealthCare Partners, Inc. (b) | 19,000 | 1,363,630 | |
| Encompass Health Corp. | 11,300 | 799,023 | |
| HCA Holdings, Inc. | 372,569 | 51,660,418 | |
| HealthEquity, Inc. (b) | 30,000 | 1,886,700 | |
| Henry Schein, Inc. (b) | 45,530 | 3,137,017 | |
| Humana, Inc. | 190,411 | 64,973,946 | |
| Laboratory Corp. of America Holdings (b) | 53,505 | 9,218,376 | |
| McKesson Corp. | 323,321 | 46,765,149 | |
| Molina Healthcare, Inc. (b) | 21,000 | 2,845,500 | |
| Quest Diagnostics, Inc. | 42,414 | 4,519,212 | |
| UnitedHealth Group, Inc. | 980,510 | 274,415,334 | |
| Universal Health Services, Inc. Class B | 48,761 | 6,801,672 | |
| 850,521,768 | |||
| Health Care Technology - 0.0% | |||
| Cerner Corp. | 52,314 | 3,745,159 | |
| Veeva Systems, Inc. Class A (b) | 14,455 | 2,156,397 | |
| 5,901,556 | |||
| Life Sciences Tools & Services - 0.5% | |||
| 10X Genomics, Inc. (b) | 40,716 | 2,642,061 | |
| Agilent Technologies, Inc. | 262,343 | 21,189,444 | |
| Bio-Rad Laboratories, Inc. Class A (b) | 3,200 | 1,182,016 | |
| Bruker Corp. | 58,000 | 2,969,020 | |
| Illumina, Inc. (b) | 3,325 | 1,066,527 | |
| Lonza Group AG | 9,000 | 3,057,164 | |
| Mettler-Toledo International, Inc. (b) | 2,680 | 1,928,019 | |
| Thermo Fisher Scientific, Inc. | 301,426 | 94,632,693 | |
| 128,666,944 | |||
| Pharmaceuticals - 4.3% | |||
| Astellas Pharma, Inc. | 128,000 | 2,184,610 | |
| AstraZeneca PLC: | |||
| (United Kingdom) | 200,000 | 19,321,562 | |
| sponsored ADR | 410,230 | 19,887,950 | |
| Bayer AG | 387,390 | 29,257,480 | |
| Bristol-Myers Squibb Co. | 1,745,973 | 99,415,703 | |
| Bristol-Myers Squibb Co. rights 12/31/99 (b) | 322,617 | 693,627 | |
| Dechra Pharmaceuticals PLC | 60,000 | 2,199,127 | |
| Elanco Animal Health, Inc. (b) | 1,905,880 | 52,811,935 | |
| Eli Lilly & Co. | 968,102 | 113,606,770 | |
| GlaxoSmithKline PLC sponsored ADR | 739,812 | 33,646,650 | |
| Jazz Pharmaceuticals PLC (b) | 28,590 | 4,320,521 | |
| Johnson & Johnson | 2,855,339 | 392,580,559 | |
| Mallinckrodt PLC (b) | 101,900 | 384,163 | |
| Merck & Co., Inc. | 2,558,317 | 223,034,076 | |
| MyoKardia, Inc. (b) | 28,000 | 1,824,200 | |
| Novartis AG sponsored ADR | 11,500 | 1,061,450 | |
| Perrigo Co. PLC | 18,400 | 942,632 | |
| Pfizer, Inc. | 2,936,674 | 113,120,682 | |
| Recordati SpA | 40,000 | 1,677,821 | |
| Roche Holding AG (participation certificate) | 80,000 | 24,663,438 | |
| Theravance Biopharma, Inc. (b) | 77,820 | 1,693,363 | |
| Zoetis, Inc. Class A | 264,800 | 31,913,696 | |
| Zogenix, Inc. (b) | 43,077 | 2,058,219 | |
| 1,172,300,234 | |||
| TOTAL HEALTH CARE | 3,321,110,208 | ||
| INDUSTRIALS - 8.4% | |||
| Aerospace & Defense - 2.7% | |||
| Arconic, Inc. | 90,428 | 2,799,651 | |
| General Dynamics Corp. | 298,713 | 54,288,101 | |
| Harris Corp. | 123,430 | 24,820,539 | |
| Huntington Ingalls Industries, Inc. | 26,485 | 6,665,480 | |
| Lockheed Martin Corp. | 220,078 | 86,057,100 | |
| Moog, Inc. Class A | 27,100 | 2,327,077 | |
| Northrop Grumman Corp. | 321,076 | 112,944,905 | |
| Raytheon Co. | 63,470 | 13,799,647 | |
| Spirit AeroSystems Holdings, Inc. Class A | 71,779 | 6,244,055 | |
| Textron, Inc. | 463,062 | 21,411,987 | |
| The Boeing Co. | 430,255 | 157,550,776 | |
| United Technologies Corp. (c) | 1,817,515 | 269,610,175 | |
| 758,519,493 | |||
| Air Freight & Logistics - 0.4% | |||
| C.H. Robinson Worldwide, Inc. | 76,035 | 5,843,290 | |
| FedEx Corp. | 100,900 | 16,149,045 | |
| United Parcel Service, Inc. Class B (c) | 724,029 | 86,687,992 | |
| 108,680,327 | |||
| Airlines - 0.5% | |||
| Alaska Air Group, Inc. | 143,942 | 9,933,437 | |
| American Airlines Group, Inc. | 66,000 | 1,896,840 | |
| Delta Air Lines, Inc. | 1,343,496 | 76,995,756 | |
| JetBlue Airways Corp. (b) | 188,698 | 3,636,210 | |
| Southwest Airlines Co. | 96,985 | 5,590,215 | |
| United Continental Holdings, Inc. (b) | 327,982 | 30,436,730 | |
| 128,489,188 | |||
| Building Products - 0.1% | |||
| A.O. Smith Corp. | 13,800 | 667,920 | |
| Fortune Brands Home & Security, Inc. | 227,335 | 14,381,212 | |
| Johnson Controls International PLC | 5,319 | 227,813 | |
| Masco Corp. | 38,277 | 1,781,794 | |
| Owens Corning | 14,700 | 985,782 | |
| 18,044,521 | |||
| Commercial Services & Supplies - 0.2% | |||
| Cintas Corp. | 11,508 | 2,958,246 | |
| Copart, Inc. (b) | 31,070 | 2,765,230 | |
| Deluxe Corp. | 49,200 | 2,513,136 | |
| Herman Miller, Inc. | 68,300 | 3,263,374 | |
| Republic Services, Inc. | 187,174 | 16,592,975 | |
| Waste Connection, Inc. (United States) | 198,845 | 18,005,415 | |
| 46,098,376 | |||
| Construction & Engineering - 0.2% | |||
| AECOM (b) | 20,159 | 873,489 | |
| Jacobs Engineering Group, Inc. | 551,901 | 50,824,563 | |
| Quanta Services, Inc. | 19,176 | 798,489 | |
| 52,496,541 | |||
| Electrical Equipment - 0.4% | |||
| Acuity Brands, Inc. | 5,083 | 664,755 | |
| AMETEK, Inc. | 279,142 | 27,637,849 | |
| Eaton Corp. PLC | 436,711 | 40,395,768 | |
| Emerson Electric Co. | 419,100 | 30,954,726 | |
| Hubbell, Inc. Class B | 6,971 | 1,024,876 | |
| Sensata Technologies, Inc. PLC (b) | 21,447 | 1,104,306 | |
| Sunrun, Inc. (b) | 656,200 | 9,108,056 | |
| Vivint Solar, Inc. (a)(b) | 892,690 | 6,561,272 | |
| 117,451,608 | |||
| Industrial Conglomerates - 1.5% | |||
| 3M Co. | 39,119 | 6,641,233 | |
| General Electric Co. | 16,680,115 | 187,984,896 | |
| Honeywell International, Inc. | 1,075,362 | 192,005,885 | |
| Roper Technologies, Inc. | 89,568 | 32,277,620 | |
| 418,909,634 | |||
| Machinery - 1.2% | |||
| AGCO Corp. | 55,971 | 4,373,014 | |
| Allison Transmission Holdings, Inc. | 104,049 | 5,035,972 | |
| Caterpillar, Inc. | 164,217 | 23,767,126 | |
| Crane Co. | 4,858 | 403,554 | |
| Cummins, Inc. | 208,785 | 38,178,425 | |
| Deere & Co. | 157,159 | 26,410,570 | |
| Dover Corp. | 19,249 | 2,145,879 | |
| Flowserve Corp. | 372,000 | 18,116,400 | |
| Fortive Corp. | 704,465 | 50,841,239 | |
| Ingersoll-Rand PLC | 425,280 | 55,758,461 | |
| Lincoln Electric Holdings, Inc. | 7,300 | 673,498 | |
| Meritor, Inc. (b) | 138,500 | 3,497,125 | |
| Oshkosh Corp. | 55,872 | 5,054,181 | |
| PACCAR, Inc. | 482,545 | 39,264,687 | |
| Parker Hannifin Corp. | 23,661 | 4,703,570 | |
| Pentair PLC | 19,936 | 884,162 | |
| Snap-On, Inc. | 60,710 | 9,741,527 | |
| Stanley Black & Decker, Inc. | 168,869 | 26,637,396 | |
| Timken Co. | 62,900 | 3,307,911 | |
| Trinity Industries, Inc. | 73,000 | 1,535,920 | |
| Westinghouse Air Brake Co. | 197,756 | 15,537,689 | |
| 335,868,306 | |||
| Professional Services - 0.2% | |||
| CoStar Group, Inc. (b) | 11,400 | 6,986,604 | |
| Equifax, Inc. | 106,900 | 14,927,516 | |
| IHS Markit Ltd. (b) | 51,876 | 3,768,791 | |
| Manpower, Inc. | 43,700 | 4,048,368 | |
| RELX PLC (London Stock Exchange) | 401,417 | 9,723,728 | |
| Robert Half International, Inc. | 13,961 | 812,530 | |
| TransUnion Holding Co., Inc. | 190,624 | 16,452,757 | |
| 56,720,294 | |||
| Road & Rail - 0.9% | |||
| AMERCO | 2,669 | 966,765 | |
| CSX Corp. | 521,313 | 37,294,732 | |
| J.B. Hunt Transport Services, Inc. | 175,600 | 20,302,872 | |
| Knight-Swift Transportation Holdings, Inc. Class A (a) | 23,052 | 852,693 | |
| Lyft, Inc. | 423,464 | 20,741,267 | |
| Norfolk Southern Corp. | 414,022 | 80,113,257 | |
| Ryder System, Inc. | 26,000 | 1,364,740 | |
| Uber Technologies, Inc. (a) | 503,100 | 14,891,760 | |
| Union Pacific Corp. | 433,941 | 76,369,277 | |
| 252,897,363 | |||
| Trading Companies & Distributors - 0.1% | |||
| Aircastle Ltd. | 132,300 | 4,232,277 | |
| Fastenal Co. | 370,719 | 13,167,939 | |
| HD Supply Holdings, Inc. (b) | 20,200 | 804,364 | |
| United Rentals, Inc. (b) | 31,124 | 4,763,528 | |
| W.W. Grainger, Inc. | 7,283 | 2,308,347 | |
| 25,276,455 | |||
| TOTAL INDUSTRIALS | 2,319,452,106 | ||
| INFORMATION TECHNOLOGY - 17.2% | |||
| Communications Equipment - 0.7% | |||
| Cisco Systems, Inc. | 3,046,419 | 138,033,245 | |
| Ericsson (B Shares) sponsored ADR | 259,700 | 2,347,688 | |
| Juniper Networks, Inc. | 349,364 | 8,755,062 | |
| Motorola Solutions, Inc. | 282,423 | 47,249,368 | |
| 196,385,363 | |||
| Electronic Equipment & Components - 0.3% | |||
| Amphenol Corp. Class A | 341,300 | 35,495,200 | |
| Arrow Electronics, Inc. (b) | 40,990 | 3,264,444 | |
| CDW Corp. | 75,874 | 10,246,784 | |
| Corning, Inc. | 247,426 | 7,185,251 | |
| Flextronics International Ltd. (b) | 415,900 | 4,936,733 | |
| FLIR Systems, Inc. | 84,256 | 4,512,751 | |
| Jabil, Inc. | 132,300 | 5,138,532 | |
| Keysight Technologies, Inc. (b) | 95,875 | 10,261,501 | |
| Tech Data Corp. (b) | 34,800 | 5,042,172 | |
| Vishay Intertechnology, Inc. | 110,800 | 2,203,812 | |
| 88,287,180 | |||
| IT Services - 3.5% | |||
| Accenture PLC Class A | 221,311 | 44,518,921 | |
| Akamai Technologies, Inc. (b) | 30,232 | 2,633,812 | |
| Amdocs Ltd. | 170,828 | 11,838,380 | |
| Automatic Data Processing, Inc. | 198,317 | 33,868,577 | |
| Booz Allen Hamilton Holding Corp. Class A | 25,935 | 1,887,031 | |
| Cognizant Technology Solutions Corp. Class A | 399,300 | 25,599,123 | |
| DXC Technology Co. | 50,632 | 1,890,093 | |
| Euronet Worldwide, Inc. (b) | 11,695 | 1,838,337 | |
| Fastly, Inc. Class A (a) | 127,066 | 2,593,417 | |
| Fidelity National Information Services, Inc. | 504,309 | 69,670,288 | |
| Fiserv, Inc. (b) | 231,842 | 26,949,314 | |
| FleetCor Technologies, Inc. (b) | 119,250 | 36,600,210 | |
| Genpact Ltd. | 76,800 | 3,125,760 | |
| Global Payments, Inc. | 223,599 | 40,493,779 | |
| GoDaddy, Inc. (b) | 14,200 | 942,596 | |
| GreenSky, Inc. Class A (a)(b) | 274,700 | 2,043,768 | |
| IBM Corp. | 491,766 | 66,117,939 | |
| Leidos Holdings, Inc. | 16,709 | 1,517,846 | |
| MasterCard, Inc. Class A | 678,468 | 198,268,704 | |
| MongoDB, Inc. Class A (a)(b) | 55,200 | 8,208,240 | |
| PagSeguro Digital Ltd. (b) | 169,300 | 5,746,042 | |
| PayPal Holdings, Inc. (b) | 793,300 | 85,684,333 | |
| Square, Inc. (b) | 76,600 | 5,294,592 | |
| The Western Union Co. | 200,184 | 5,380,946 | |
| Twilio, Inc. Class A (b) | 63,000 | 6,506,640 | |
| VeriSign, Inc. (b) | 52,950 | 10,099,683 | |
| Verra Mobility Corp. (b) | 115,000 | 1,721,550 | |
| Visa, Inc. Class A | 1,390,145 | 256,495,654 | |
| 957,535,575 | |||
| Semiconductors & Semiconductor Equipment - 3.8% | |||
| Advanced Micro Devices, Inc. (b) | 847,329 | 33,172,930 | |
| Analog Devices, Inc. | 337,007 | 38,064,941 | |
| Applied Materials, Inc. (c) | 1,778,222 | 102,959,054 | |
| ASML Holding NV | 53,269 | 14,415,657 | |
| Broadcom, Inc. | 372,288 | 117,721,188 | |
| Cirrus Logic, Inc. (b) | 36,400 | 2,609,880 | |
| Intel Corp. | 1,756,475 | 101,963,374 | |
| KLA-Tencor Corp. | 134,199 | 21,989,848 | |
| Lam Research Corp. | 157,046 | 41,904,584 | |
| Marvell Technology Group Ltd. | 671,815 | 17,715,762 | |
| Mellanox Technologies Ltd. (b) | 10,800 | 1,240,920 | |
| Microchip Technology, Inc. (a) | 41,917 | 3,962,833 | |
| Micron Technology, Inc. (b) | 1,572,938 | 74,730,284 | |
| NVIDIA Corp. | 460,089 | 99,719,690 | |
| NXP Semiconductors NV | 483,538 | 55,887,322 | |
| ON Semiconductor Corp. (b) | 580,534 | 12,464,065 | |
| Qorvo, Inc. (b) | 39,078 | 4,072,318 | |
| Qualcomm, Inc. | 1,864,783 | 155,802,620 | |
| Sanken Electric Co. Ltd. | 70,700 | 2,054,707 | |
| Skyworks Solutions, Inc. | 68,861 | 6,769,036 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 590,366 | 31,342,531 | |
| Teradyne, Inc. | 58,230 | 3,644,616 | |
| Texas Instruments, Inc. | 766,026 | 92,083,985 | |
| Xilinx, Inc. | 138,154 | 12,817,928 | |
| 1,049,110,073 | |||
| Software - 5.7% | |||
| Adobe, Inc. (b) | 209,491 | 64,843,749 | |
| Autodesk, Inc. (b) | 146,700 | 26,538,030 | |
| CDK Global, Inc. | 14,342 | 768,014 | |
| Citrix Systems, Inc. | 20,800 | 2,346,448 | |
| Cloudflare, Inc. (b) | 64,200 | 1,250,616 | |
| Elastic NV (b) | 39,600 | 3,144,636 | |
| Envestnet, Inc. (b) | 100 | 7,121 | |
| Everbridge, Inc. (b) | 26,000 | 2,286,440 | |
| Fortinet, Inc. (b) | 28,588 | 3,004,885 | |
| HubSpot, Inc. (b) | 12,900 | 1,947,900 | |
| Intuit, Inc. | 131,223 | 33,972,322 | |
| LivePerson, Inc. (a)(b) | 175,644 | 6,971,310 | |
| Microsoft Corp. | 6,877,717 | 1,041,148,799 | |
| Nortonlifelock, Inc. | 1,889,157 | 47,040,009 | |
| Oracle Corp. | 1,060,939 | 59,561,115 | |
| Parametric Technology Corp. (b) | 7,500 | 574,500 | |
| Paycom Software, Inc. (b) | 14,300 | 3,958,383 | |
| Pluralsight, Inc. (a)(b) | 57,600 | 978,624 | |
| RealPage, Inc. (b) | 14,300 | 786,929 | |
| RingCentral, Inc. (b) | 7,300 | 1,259,031 | |
| Salesforce.com, Inc. (b) | 832,159 | 135,550,380 | |
| SAP SE sponsored ADR (a) | 146,500 | 19,916,675 | |
| ShotSpotter, Inc. (a)(b) | 18,800 | 460,976 | |
| Slack Technologies, Inc. Class A (a)(b) | 444,482 | 10,143,079 | |
| SS&C Technologies Holdings, Inc. | 79,994 | 4,803,640 | |
| SurveyMonkey (b) | 133,680 | 2,281,918 | |
| Synopsys, Inc. (b) | 172,774 | 24,368,045 | |
| Talend SA ADR (b) | 26,500 | 1,005,940 | |
| The Trade Desk, Inc. (b) | 8,855 | 2,331,876 | |
| Varonis Systems, Inc. (b) | 43,100 | 3,366,541 | |
| VMware, Inc. Class A | 231,659 | 36,050,774 | |
| Workday, Inc. Class A (b) | 12,300 | 2,203,176 | |
| Workiva, Inc. (b) | 15,000 | 650,550 | |
| Zendesk, Inc. (b) | 12,400 | 979,600 | |
| 1,546,502,031 | |||
| Technology Hardware, Storage & Peripherals - 3.2% | |||
| Apple, Inc. (c) | 3,122,388 | 834,458,193 | |
| Hewlett Packard Enterprise Co. | 450,483 | 7,131,146 | |
| HP, Inc. | 357,933 | 7,187,295 | |
| NCR Corp. (b) | 104,900 | 3,443,867 | |
| NetApp, Inc. | 30,800 | 1,866,172 | |
| Pure Storage, Inc. Class A (b) | 119,000 | 1,912,330 | |
| Samsung Electronics Co. Ltd. | 26,670 | 1,135,614 | |
| Seagate Technology LLC | 89,700 | 5,353,296 | |
| Western Digital Corp. | 189,500 | 9,537,535 | |
| Xerox Holdings Corp. | 130,308 | 5,072,890 | |
| 877,098,338 | |||
| TOTAL INFORMATION TECHNOLOGY | 4,714,918,560 | ||
| MATERIALS - 1.7% | |||
| Chemicals - 1.1% | |||
| Air Products & Chemicals, Inc. | 81,600 | 19,284,528 | |
| Albemarle Corp. U.S. (a) | 19,947 | 1,304,135 | |
| Amyris, Inc. (a)(b) | 470,800 | 1,892,616 | |
| Celanese Corp. Class A | 68,842 | 8,644,490 | |
| CF Industries Holdings, Inc. | 309,231 | 14,289,565 | |
| Corteva, Inc. | 275,059 | 7,157,035 | |
| Dow, Inc. | 236,136 | 12,602,578 | |
| DowDuPont, Inc. | 639,556 | 41,449,624 | |
| Eastman Chemical Co. | 491,214 | 38,496,441 | |
| Ecolab, Inc. | 34,290 | 6,400,914 | |
| FMC Corp. | 17,463 | 1,710,675 | |
| Huntsman Corp. | 209,100 | 4,729,842 | |
| International Flavors & Fragrances, Inc.(a) | 35,700 | 5,041,911 | |
| LG Chemical Ltd. | 6,060 | 1,572,327 | |
| Linde PLC | 355,523 | 73,312,398 | |
| LyondellBasell Industries NV Class A | 127,728 | 11,819,949 | |
| PPG Industries, Inc. | 97,100 | 12,510,364 | |
| RPM International, Inc. | 76,900 | 5,669,837 | |
| Sherwin-Williams Co. | 11,000 | 6,414,430 | |
| The Chemours Co. LLC | 73,300 | 1,157,407 | |
| Trinseo SA | 47,700 | 1,812,123 | |
| Westlake Chemical Corp. | 119,700 | 8,220,996 | |
| 285,494,185 | |||
| Construction Materials - 0.1% | |||
| Martin Marietta Materials, Inc. | 20,619 | 5,534,140 | |
| Summit Materials, Inc. (b) | 503,200 | 12,011,384 | |
| 17,545,524 | |||
| Containers & Packaging - 0.4% | |||
| Avery Dennison Corp. | 92,479 | 12,056,487 | |
| Ball Corp. | 29,923 | 1,976,713 | |
| Berry Global Group, Inc. (b) | 824,414 | 38,491,890 | |
| Crown Holdings, Inc. (b) | 400,745 | 30,416,546 | |
| International Paper Co. | 263,189 | 12,196,178 | |
| Owens-Illinois, Inc. | 154,700 | 1,528,436 | |
| Packaging Corp. of America | 59,424 | 6,649,546 | |
| Sealed Air Corp. | 134,505 | 5,074,874 | |
| Sonoco Products Co. | 10,784 | 652,756 | |
| WestRock Co. | 49,500 | 1,996,335 | |
| 111,039,761 | |||
| Metals & Mining - 0.1% | |||
| BHP Billiton Ltd. sponsored ADR (a) | 147,400 | 7,595,522 | |
| First Quantum Minerals Ltd. | 698,400 | 6,472,411 | |
| Lundin Mining Corp. | 1,136,300 | 6,150,717 | |
| Newmont Goldcorp Corp. | 318,300 | 12,222,720 | |
| Nucor Corp. | 47,300 | 2,665,828 | |
| Reliance Steel & Aluminum Co. | 8,555 | 1,009,319 | |
| 36,116,517 | |||
| Paper & Forest Products - 0.0% | |||
| Domtar Corp. | 62,600 | 2,336,232 | |
| Schweitzer-Mauduit International, Inc. | 75,400 | 3,307,044 | |
| 5,643,276 | |||
| TOTAL MATERIALS | 455,839,263 | ||
| REAL ESTATE - 1.6% | |||
| Equity Real Estate Investment Trusts (REITs) - 1.5% | |||
| Alexandria Real Estate Equities, Inc. | 34,300 | 5,574,436 | |
| American Homes 4 Rent Class A | 89,900 | 2,401,229 | |
| American Tower Corp. | 165,145 | 35,345,984 | |
| AvalonBay Communities, Inc. | 75,300 | 16,145,073 | |
| Boston Properties, Inc. | 6,156 | 852,852 | |
| Corporate Office Properties Trust (SBI) | 105,700 | 3,084,326 | |
| Crown Castle International Corp. | 20,000 | 2,673,200 | |
| Digital Realty Trust, Inc. | 40,600 | 4,910,570 | |
| Equinix, Inc. | 97,383 | 55,201,554 | |
| Equity Lifestyle Properties, Inc. | 35,600 | 2,637,248 | |
| Equity Residential (SBI) | 147,200 | 12,526,720 | |
| Extra Space Storage, Inc. | 12,991 | 1,377,696 | |
| Front Yard Residential Corp. Class B | 262,100 | 3,040,360 | |
| Hospitality Properties Trust (SBI) | 122,200 | 2,846,038 | |
| Host Hotels & Resorts, Inc. | 526,403 | 9,206,788 | |
| JBG SMITH Properties | 65,850 | 2,626,098 | |
| Medical Properties Trust, Inc. | 212,238 | 4,406,061 | |
| Omega Healthcare Investors, Inc. | 180,295 | 7,577,799 | |
| Outfront Media, Inc. | 14,800 | 369,704 | |
| Park Hotels & Resorts, Inc. | 86,500 | 2,045,725 | |
| Piedmont Office Realty Trust, Inc. Class A | 128,500 | 2,842,420 | |
| Potlatch Corp. | 46,895 | 2,036,650 | |
| Prologis, Inc. | 1,207,414 | 110,538,752 | |
| Public Storage | 79,347 | 16,716,826 | |
| Realty Income Corp. | 19,678 | 1,507,925 | |
| Regency Centers Corp. | 97,700 | 6,354,408 | |
| Simon Property Group, Inc. | 136,026 | 20,568,491 | |
| SITE Centers Corp. | 166,350 | 2,410,412 | |
| SL Green Realty Corp. | 63,737 | 5,438,678 | |
| Store Capital Corp. | 23,500 | 956,685 | |
| Ventas, Inc. | 310,272 | 18,091,960 | |
| VEREIT, Inc. | 453,100 | 4,422,256 | |
| VICI Properties, Inc. | 778,004 | 19,240,039 | |
| Vornado Realty Trust | 70,300 | 4,539,271 | |
| Welltower, Inc. | 74,600 | 6,308,922 | |
| Weyerhaeuser Co. | 528,821 | 15,605,508 | |
| 412,428,664 | |||
| Real Estate Management & Development - 0.1% | |||
| CBRE Group, Inc. (b) | 184,078 | 10,496,128 | |
| Cushman & Wakefield PLC (a)(b) | 151,800 | 2,943,402 | |
| Howard Hughes Corp. (b) | 1,468 | 162,082 | |
| 13,601,612 | |||
| TOTAL REAL ESTATE | 426,030,276 | ||
| UTILITIES - 2.3% | |||
| Electric Utilities - 1.5% | |||
| American Electric Power Co., Inc. | 53,304 | 4,869,320 | |
| Duke Energy Corp. | 254,615 | 22,449,405 | |
| Edison International | 598,243 | 41,338,591 | |
| Entergy Corp. | 180,972 | 21,063,331 | |
| Evergy, Inc. | 213,761 | 13,524,658 | |
| Eversource Energy | 240,506 | 19,875,416 | |
| Exelon Corp. | 414,608 | 18,408,595 | |
| FirstEnergy Corp. | 166,409 | 7,936,045 | |
| NextEra Energy, Inc. | 822,176 | 192,241,192 | |
| OGE Energy Corp. | 18,391 | 773,525 | |
| Pinnacle West Capital Corp. | 20,999 | 1,835,103 | |
| Southern Co. | 482,603 | 29,916,560 | |
| Xcel Energy, Inc. | 544,438 | 33,477,493 | |
| 407,709,234 | |||
| Gas Utilities - 0.0% | |||
| Atmos Energy Corp. | 67,700 | 7,241,192 | |
| UGI Corp. | 143,625 | 6,254,869 | |
| 13,496,061 | |||
| Independent Power and Renewable Electricity Producers - 0.4% | |||
| NextEra Energy Partners LP (a) | 39,300 | 2,088,009 | |
| NRG Energy, Inc. | 2,215,554 | 88,023,960 | |
| The AES Corp. | 475,555 | 8,992,745 | |
| Vistra Energy Corp. | 362,642 | 9,620,892 | |
| 108,725,606 | |||
| Multi-Utilities - 0.4% | |||
| CenterPoint Energy, Inc. | 641,043 | 15,744,016 | |
| Dominion Energy, Inc. | 163,985 | 13,628,793 | |
| NiSource, Inc. | 530,655 | 14,035,825 | |
| Public Service Enterprise Group, Inc. | 107,489 | 6,375,173 | |
| Sempra Energy | 353,552 | 52,067,603 | |
| WEC Energy Group, Inc. | 36,408 | 3,227,569 | |
| 105,078,979 | |||
| Water Utilities - 0.0% | |||
| American Water Works Co., Inc. | 43,014 | 5,205,984 | |
| Aqua America, Inc. | 70,148 | 3,105,452 | |
| 8,311,436 | |||
| TOTAL UTILITIES | 643,321,316 | ||
| TOTAL COMMON STOCKS | |||
| (Cost $14,675,331,907) | 22,473,802,393 | ||
| Convertible Preferred Stocks - 0.0% | |||
| CONSUMER DISCRETIONARY - 0.0% | |||
| Internet & Direct Marketing Retail - 0.0% | |||
| The Honest Co., Inc. Series D (b)(e)(f) | 32,084 | 1,468,164 | |
| HEALTH CARE - 0.0% | |||
| Health Care Equipment & Supplies - 0.0% | |||
| Becton, Dickinson & Co. Series A, 6.125% | 45,900 | 2,854,122 | |
| TOTAL CONVERTIBLE PREFERRED STOCKS | |||
| (Cost $3,898,506) | 4,322,286 | ||
| Equity Funds - 16.9% | |||
| Large Blend Funds - 7.1% | |||
| Fidelity SAI U.S. Large Cap Index Fund (g) | 7,955,540 | 134,687,286 | |
| JPMorgan U.S. Large Cap Core Plus Fund Select Class (h) | 54,535,215 | 1,385,194,458 | |
| PIMCO StocksPLUS Absolute Return Fund Institutional Class | 38,687,468 | 430,591,514 | |
| TOTAL LARGE BLEND FUNDS | 1,950,473,258 | ||
| Large Growth Funds - 9.8% | |||
| Fidelity Growth Company Fund (g) | 3,146,699 | 67,779,892 | |
| Fidelity SAI U.S. Momentum Index Fund (g) | 16,029,661 | 225,056,438 | |
| Fidelity SAI U.S. Quality Index Fund (g) | 164,717,835 | 2,391,702,954 | |
| TOTAL LARGE GROWTH FUNDS | 2,684,539,284 | ||
| TOTAL EQUITY FUNDS | |||
| (Cost $3,581,188,342) | 4,635,012,542 | ||
| U.S. Treasury Obligations - 0.0% | |||
| U.S. Treasury Bills, yield at date of purchase 1.51% to 1.63% 4/9/20 (i) | |||
| (Cost $1,026,297) | 1,032,000 | 1,026,208 | |
| Money Market Funds - 1.6% | |||
| Fidelity Cash Central Fund 1.61% (j) | 106,519,951 | 106,541,255 | |
| Fidelity Securities Lending Cash Central Fund 1.61% (j)(k) | 97,908,502 | 97,918,293 | |
| Invesco Government & Agency Portfolio Institutional Class 1.53% (l) | 242,307,168 | 242,307,168 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $446,763,265) | 446,766,716 | ||
| TOTAL INVESTMENT IN SECURITIES - 100.3% | |||
| (Cost $18,708,208,317) | 27,560,930,145 | ||
| NET OTHER ASSETS (LIABILITIES) - (0.3)% | (74,992,352) | ||
| NET ASSETS - 100% | $27,485,937,793 |
| Written Options | ||||||
| Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
| Call Options | ||||||
| Apple, Inc. | Chicago Board Options Exchange | 220 | $5,879,500 | $260.00 | 1/17/20 | $(285,450) |
| Applied Materials, Inc. | Chicago Board Options Exchange | 359 | 2,078,610 | 57.50 | 1/17/20 | (96,751) |
| Applied Materials, Inc. | Chicago Board Options Exchange | 130 | 752,700 | 60.00 | 1/17/20 | (19,760) |
| Bank of America Corp. | Chicago Board Options Exchange | 1,173 | 3,908,436 | 34.00 | 1/17/20 | (80,937) |
| Citigroup, Inc. | Chicago Board Options Exchange | 130 | 976,560 | 80.00 | 1/17/20 | (8,970) |
| JPMorgan Chase & Co. | Chicago Board Options Exchange | 935 | 12,319,560 | 120.00 | 12/20/19 | (1,131,349) |
| JPMorgan Chase & Co. | Chicago Board Options Exchange | 217 | 2,859,192 | 135.00 | 1/17/20 | (38,518) |
| Procter & Gamble Co. | Chicago Board Options Exchange | 184 | 2,245,904 | 125.00 | 3/20/20 | (64,860) |
| Procter & Gamble Co. | Chicago Board Options Exchange | 184 | 2,245,904 | 130.00 | 3/20/20 | (32,016) |
| United Parcel Service, Inc. Class B | Chicago Board Options Exchange | 260 | 3,112,980 | 130.00 | 4/17/20 | (57,070) |
| United Technologies Corp. | Chicago Board Options Exchange | 173 | 2,566,282 | 150.00 | 1/17/20 | (49,738) |
| TOTAL WRITTEN OPTIONS | $(1,865,419) |
| 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) | 101 | Dec. 2019 | $15,875,685 | $1,099,378 | $1,099,378 |
The notional amount of futures purchased as a percentage of Net Assets is 0.1%
Legend
(a) Security or a portion of the security is on loan at period end.
(b) Non-income producing
(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 $38,945,628.
(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 $291,516 or 0.0% of net assets.
(e) Restricted securities - 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 $1,468,164 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 $680,161.
(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 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 |
| The Honest Co., Inc. Series D | 8/12/15 | $1,468,003 |
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 | $985,736 |
| Fidelity Securities Lending Cash Central Fund | 326,652 |
| Total | $1,312,388 |
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 | $-- | $-- | $-- | $-- | $10,163,837 | $67,779,892 |
| Fidelity SAI U.S. Large Cap Index Fund | 1,207,289,362 | 769,808,255 | 1,919,780,954 | 613,222 | 61,953,646 | 15,416,977 | 134,687,286 |
| Fidelity SAI U.S. Momentum Index Fund | 318,762,606 | 2,921,626 | 125,000,000 | 2,921,625 | 25,218,583 | 3,153,623 | 225,056,438 |
| Fidelity SAI U.S. Quality Index Fund | 2,148,868,718 | 247,516,223 | 90,000,000 | 247,516,236 | 4,538,048 | 80,779,965 | 2,391,702,954 |
| Total | $3,732,536,741 | $1,020,246,104 | $2,134,780,954 | $251,051,083 | $91,710,277 | $109,514,402 | $2,819,226,570 |
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 November 30, 2019, 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 | $2,380,395,309 | $2,380,395,309 | $-- | $-- |
| Consumer Discretionary | 2,183,333,535 | 2,181,865,371 | -- | 1,468,164 |
| Consumer Staples | 1,392,313,731 | 1,381,731,370 | 10,582,361 | -- |
| Energy | 1,082,467,075 | 1,082,363,107 | 103,968 | -- |
| Financials | 3,556,089,178 | 3,553,424,235 | 2,664,943 | -- |
| Health Care | 3,323,964,330 | 3,247,867,728 | 76,096,602 | -- |
| Industrials | 2,319,452,106 | 2,319,452,106 | -- | -- |
| Information Technology | 4,714,918,560 | 4,714,918,560 | -- | -- |
| Materials | 455,839,263 | 455,839,263 | -- | -- |
| Real Estate | 426,030,276 | 426,030,276 | -- | -- |
| Utilities | 643,321,316 | 643,321,316 | -- | -- |
| Equity Funds | 4,635,012,542 | 4,635,012,542 | -- | -- |
| Other Short-Term Investments | 1,026,208 | -- | 1,026,208 | -- |
| Money Market Funds | 446,766,716 | 446,766,716 | -- | -- |
| Total Investments in Securities: | $27,560,930,145 | $27,468,987,899 | $90,474,082 | $1,468,164 |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $1,099,378 | $1,099,378 | $-- | $-- |
| Total Assets | $1,099,378 | $1,099,378 | $-- | $-- |
| Liabilities | ||||
| Written Options | $(1,865,419) | $(1,865,419) | $-- | $-- |
| Total Liabilities | $(1,865,419) | $(1,865,419) | $-- | $-- |
| Total Derivative Instruments: | $(766,041) | $(766,041) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2019. 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) | $1,099,378 | $0 |
| Written Options(b) | 0 | (1,865,419) |
| Total Equity Risk | 1,099,378 | (1,865,419) |
| Total Value of Derivatives | $1,099,378 | $(1,865,419) |
(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
| November 30, 2019 (Unaudited) | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $95,294,818) — See accompanying schedule: Unaffiliated issuers (cost $16,329,913,807) | $24,537,244,027 | |
| Fidelity Central Funds (cost $204,456,097) | 204,459,548 | |
| Other affiliated issuers (cost $2,173,838,413) | 2,819,226,570 | |
| Total Investment in Securities (cost $18,708,208,317) | $27,560,930,145 | |
| Cash | 51,005 | |
| Foreign currency held at value (cost $545,571) | 543,240 | |
| Receivable for investments sold | 46,392,905 | |
| Receivable for fund shares sold | 9,308,299 | |
| Dividends receivable | 40,453,169 | |
| Interest receivable | 294,873 | |
| Distributions receivable from Fidelity Central Funds | 182,774 | |
| Other receivables | 350,322 | |
| Total assets | 27,658,506,732 | |
| Liabilities | ||
| Payable for investments purchased | $59,987,534 | |
| Payable for fund shares redeemed | 7,895,511 | |
| Accrued management fee | 4,494,760 | |
| Payable for daily variation margin on futures contracts | 51,005 | |
| Written options, at value (premium received $736,459) | 1,865,419 | |
| Other payables and accrued expenses | 347,584 | |
| Collateral on securities loaned | 97,927,126 | |
| Total liabilities | 172,568,939 | |
| Net Assets | $27,485,937,793 | |
| Net Assets consist of: | ||
| Paid in capital | $17,730,151,229 | |
| Total accumulated earnings (loss) | 9,755,786,564 | |
| Net Assets | $27,485,937,793 | |
| Net Asset Value, offering price and redemption price per share ($27,485,937,793 ÷ 1,411,705,701 shares) | $19.47 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Six months ended November 30, 2019 (Unaudited) | ||
| Investment Income | ||
| Dividends: | ||
| Unaffiliated issuers | $219,586,354 | |
| Affiliated issuers | 23,786,175 | |
| Interest | 2,362,143 | |
| Income from Fidelity Central Funds (including $326,652 from security lending) | 1,312,388 | |
| Total income | 247,047,060 | |
| Expenses | ||
| Management fee | $58,877,115 | |
| Independent trustees' fees and expenses | 144,435 | |
| Commitment fees | 31,134 | |
| Total expenses before reductions | 59,052,684 | |
| Expense reductions | (33,376,878) | |
| Total expenses after reductions | 25,675,806 | |
| Net investment income (loss) | 221,371,254 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers (net of foreign taxes of $332) | 312,048,328 | |
| Fidelity Central Funds | 766 | |
| Other affiliated issuers | 91,710,277 | |
| Foreign currency transactions | (16,394) | |
| Futures contracts | 3,449,558 | |
| Capital gain distributions from underlying funds: | ||
| Unaffiliated issuers | 216,616,931 | |
| Affiliated issuers | 227,264,908 | |
| Total net realized gain (loss) | 851,074,374 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers (net of decrease in deferred foreign taxes of $18,124) | 2,473,424,632 | |
| Affiliated issuers | 109,514,402 | |
| Assets and liabilities in foreign currencies | 2,778 | |
| Futures contracts | 1,553,209 | |
| Written options | (153,194) | |
| Total change in net unrealized appreciation (depreciation) | 2,584,341,827 | |
| Net gain (loss) | 3,435,416,201 | |
| Net increase (decrease) in net assets resulting from operations | $3,656,787,455 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Six months ended November 30, 2019 (Unaudited) | Year ended May 31, 2019 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $221,371,254 | $401,940,208 |
| Net realized gain (loss) | 851,074,374 | 1,119,683,471 |
| Change in net unrealized appreciation (depreciation) | 2,584,341,827 | (833,935,766) |
| Net increase (decrease) in net assets resulting from operations | 3,656,787,455 | 687,687,913 |
| Distributions to shareholders | (601,229,246) | (1,958,616,581) |
| Share transactions | ||
| Proceeds from sales of shares | 1,201,965,427 | 4,801,967,086 |
| Reinvestment of distributions | 585,773,921 | 1,950,874,827 |
| Cost of shares redeemed | (2,078,319,499) | (5,745,550,235) |
| Net increase (decrease) in net assets resulting from share transactions | (290,580,151) | 1,007,291,678 |
| Total increase (decrease) in net assets | 2,764,978,058 | (263,636,990) |
| Net Assets | ||
| Beginning of period | 24,720,959,735 | 24,984,596,725 |
| End of period | $27,485,937,793 | $24,720,959,735 |
| Other Information | ||
| Shares | ||
| Sold | 65,363,801 | 274,509,591 |
| Issued in reinvestment of distributions | 31,629,261 | 116,221,097 |
| Redeemed | (113,059,245) | (321,143,205) |
| Net increase (decrease) | (16,066,183) | 69,587,483 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Core Fund
| Six months ended (Unaudited) November 30, | Years endedMay 31, | |||||
| 2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Selected Per–Share Data | ||||||
| Net asset value, beginning of period | $17.31 | $18.40 | $17.32 | $15.07 | $16.12 | $15.56 |
| Income from Investment Operations | ||||||
| Net investment income (loss)A | .16 | .29 | .25 | .22 | .19 | .19 |
| Net realized and unrealized gain (loss) | 2.43 | .08 | 2.18 | 2.48 | (.37) | 1.51 |
| Total from investment operations | 2.59 | .37 | 2.43 | 2.70 | (.18) | 1.70 |
| Distributions from net investment income | (.09) | (.29) | (.24) | (.19) | (.19) | (.16) |
| Distributions from net realized gain | (.34) | (1.17) | (1.11) | (.26) | (.68) | (.98) |
| Total distributions | (.43) | (1.46) | (1.35) | (.45) | (.87) | (1.14) |
| Net asset value, end of period | $19.47 | $17.31 | $18.40 | $17.32 | $15.07 | $16.12 |
| Total ReturnB,C | 15.08% | 2.41% | 14.59% | 18.22% | (1.10)% | 11.37% |
| Ratios to Average Net AssetsD,E | ||||||
| Expenses before reductions | .45%F | .45% | .47% | .46% | .43% | .42% |
| Expenses net of fee waivers, if any | .20%F | .20% | .21% | .21% | .18% | .17% |
| Expenses net of all reductions | .20%F | .20% | .21% | .21% | .18% | .17% |
| Net investment income (loss) | 1.69%F | 1.65% | 1.41% | 1.40% | 1.32% | 1.22% |
| Supplemental Data | ||||||
| Net assets, end of period (000 omitted) | $27,485,938 | $24,720,960 | $24,984,597 | $23,157,908 | $23,636,860 | $24,497,753 |
| Portfolio turnover rateG | 80%F | 84% | 98% | 100% | 85% | 104% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
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 Annualized
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 (Unaudited)
For the period ended November 30, 2019
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 (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 November 30, 2019 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, 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 $347,927 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. 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.
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, futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships, deferred trustees compensation, certain deemed distributions 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 | $9,036,480,270 |
| Gross unrealized depreciation | (345,995,993) |
| Net unrealized appreciation (depreciation) | $8,690,484,277 |
| Tax cost | $18,870,416,286 |
Restricted Securities. 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 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 | $3,449,558 | $1,553,209 |
| Written Options | – | (153,194) |
| Totals | $3,449,558 | $1,400,015 |
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, aggregated $10,274,609,223 and $10,500,820,283, respectively.
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 annualized 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, Geode Capital Management, LLC, Loomis Sayles & Company, L.P., Massachusetts Financial Services Company (MFS) 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.
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 | $37,483 |
Interfund Trades. The Fund 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 $14,110.
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 Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. 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 are available on the SEC website or upon request.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $31,134 and is reflected in Commitment fees on the Statement of Operations. During the period, the Fund did not borrow 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 $32,691,241.
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 $552,413.
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 $72,438 for the period.
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 $60,786.
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 approximately 25% of the total outstanding shares of Fidelity SAI U.S. Quality Index Fund.
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 (June 1, 2019 to November 30, 2019).
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 June 1, 2019 | Ending Account Value November 30, 2019 | Expenses Paid During Period-B June 1, 2019 to November 30, 2019 |
|
| Actual | .20% | $1,000.00 | $1,150.80 | $1.08 |
| 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
Board Approval of Investment Advisory Contract and Management Fees
Strategic Advisers Core Fund
On June 5, 2019, the Board of Trustees, including the Independent Trustees (together, the Board) voted at an in-person meeting to approve a sub-advisory agreement (the Sub-Advisory Agreement) with PineBridge Investments LLC (New Sub-Adviser) for 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 LLC (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 line-up. The Board also considered the structure of the New Sub-Adviser'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 the New Sub-Adviser's investment staff, its use of technology, and the New Sub-Adviser's approach to managing and compensating its investment personnel. The Board noted that the New Sub-Adviser'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 the New Sub-Adviser'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 the New Sub-Adviser 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 the New Sub-Adviser 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 the New Sub-Adviser and the projected change in the fund's management fee and total operating expenses, if any, as a result of hiring the New Sub-Adviser.
The Board noted that the fund's maximum aggregate annual management fee rate may not exceed 1.00% 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, 2021 and its proposal to extend the waiver through September 30, 2022. In addition, the Board considered that Strategic Advisers' portion of the management fee paid to Strategic Advisers will continue to be all-inclusive and that Strategic Advisers will continue to pay the fund's operating expenses, with certain limited exceptions, out of its portion of the management fee. The Board also considered that after allocating assets to the New Sub-Adviser, 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 at the June 2019 meeting.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 funds' 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 the New Sub-Adviser, the Board considered management's representation that it does not anticipate that the hiring of the New Sub-Adviser 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 have the potential to reduce sub-advisory fees paid to the New Sub-Adviser as assets allocated to the New Sub-Adviser grow. 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.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Core 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 AllianceBernstein L.P. (AB), Aristotle Capital Management LLC (Aristotle), Boston Partners Global Investors, Inc. (Boston Partners), Brandywine Global Investment Management, LLC (Brandywine), ClariVest Asset Management LLC (ClariVest), FIAM LLC, Geode Capital Management, LLC (Geode), J.P. Morgan Investment Management Inc., Loomis Sayles & Company, L.P. (Loomis), LSV Asset Management (LSV), Massachusetts Financial Services Company (MFS), 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 addition, the Board approved amendments to the fund's sub-advisory agreements with: (i) AB, Aristotle, Boston Partners, Brandywine, ClariVest, and Geode, to add certain exceptions to the most favored nation (MFN) provision in each such sub-advisory agreement; and (ii) Loomis, LSV, and MFS to both expand the scope of, and add certain exceptions to, the MFN provision in each such sub-advisory agreement. Where applicable, the Board also approved non-material amendments to these sub-advisory agreements. The Board noted that the other terms of each amended sub-advisory agreement are not materially different from those of the applicable existing sub-advisory agreement and that AB, Aristotle, Boston Partners, Brandywine, ClariVest, Geode, Loomis, LSV, and MFS each will continue to provide the same services to the fund. The Board also noted that had it approved a new sub-advisory agreement with AB for the fund at its December 2018 meeting that would take effect in the event of certain changes to the indirect ownership of AB, and that such new sub-advisory agreement will be updated to reflect the amendments described above at the first annual contract approval after the agreement becomes effective. Separately, the Board approved amendments to the sub-advisory agreement with Invesco Advisers, Inc. (Invesco) for the fund to add certain exceptions to the MFN provision. The Board noted that it had recently approved the sub-advisory agreement with Invesco at its March 2019 meeting and that no other contract terms were impacted, and that Invesco will continue to provide the same services to the fund.In reaching its determination to renew the fund's Advisory Contracts and approve the amendments to the sub-advisory agreements described above (Amendments), 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 and approve the Amendments, 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 and the approval of the Amendments 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 and the approval of the Amendments do 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 and approve the Amendments 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 Core Fund
Strategic Advisers Core Fund
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 certain of 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 under such contracts 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 and the Amendments should be approved 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 agreement and the approval of the Amendments do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.
SAI-COR-SANN-0120
1.902942.109
Strategic Advisers® Growth Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
Semi-Annual Report
November 30, 2019
See the inside front cover for important information about access to your fund’s shareholder reports.
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
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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2019
| (excluding cash equivalents) | % of fund's net assets |
| Fidelity Growth Company Fund | 26.8 |
| Fidelity SAI U.S. Quality Index Fund | 8.6 |
| Fidelity Contrafund | 5.3 |
| Fidelity SAI U.S. Large Cap Index Fund | 4.7 |
| Fidelity SAI U.S. Momentum Index Fund | 3.8 |
| Microsoft Corp. | 3.5 |
| Janus Henderson Enterprise Fund | 3.3 |
| Apple, Inc. | 2.6 |
| Amazon.com, Inc. | 2.4 |
| Visa, Inc. Class A | 1.9 |
| 62.9 |
Top Five Market Sectors as of November 30, 2019
| (stocks only) | % of fund's net assets |
| Information Technology | 18.1 |
| Consumer Discretionary | 7.2 |
| Health Care | 6.8 |
| Communication Services | 5.6 |
| Consumer Staples | 3.3 |
Asset Allocation (% of fund's net assets)
| As of November 30, 2019 | ||
| Common Stocks | 46.9% | |
| Preferred Stocks | 0.1% | |
| Large Blend Funds | 4.7% | |
| Large Growth Funds | 44.5% | |
| Mid-Cap Growth Funds | 3.3% | |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.5% | |
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 November 30, 2019 (Unaudited)
Showing Percentage of Net Assets
| Common Stocks - 46.9% | |||
| Shares | Value | ||
| COMMUNICATION SERVICES - 5.6% | |||
| Entertainment - 0.3% | |||
| Electronic Arts, Inc. (a) | 40,278 | $4,068,481 | |
| Take-Two Interactive Software, Inc. (a) | 101,934 | 12,369,691 | |
| The Walt Disney Co. | 103,395 | 15,672,614 | |
| 32,110,786 | |||
| Interactive Media & Services - 4.6% | |||
| Alphabet, Inc.: | |||
| Class A (a) | 100,392 | 130,920,203 | |
| Class C (a) | 108,313 | 141,344,132 | |
| Facebook, Inc. Class A (a) | 931,938 | 187,915,978 | |
| Twitter, Inc. (a) | 349,777 | 10,811,607 | |
| 470,991,920 | |||
| Media - 0.7% | |||
| Altice U.S.A., Inc. Class A (a) | 289,002 | 7,392,671 | |
| Charter Communications, Inc. Class A (a) | 11,077 | 5,206,301 | |
| Comcast Corp. Class A | 997,560 | 44,042,274 | |
| Discovery Communications, Inc. Class A (a)(b) | 318,617 | 10,495,244 | |
| 67,136,490 | |||
| TOTAL COMMUNICATION SERVICES | 570,239,196 | ||
| CONSUMER DISCRETIONARY - 7.1% | |||
| Auto Components - 0.1% | |||
| Lear Corp. | 66,727 | 8,027,925 | |
| Hotels, Restaurants & Leisure - 1.5% | |||
| Chipotle Mexican Grill, Inc. (a) | 8,834 | 7,190,169 | |
| Starbucks Corp. | 1,092,629 | 93,343,295 | |
| Wyndham Destinations, Inc. | 184,793 | 8,962,461 | |
| Yum China Holdings, Inc. | 397,745 | 17,707,607 | |
| Yum! Brands, Inc. | 239,274 | 24,087,714 | |
| 151,291,246 | |||
| Household Durables - 0.4% | |||
| Lennar Corp. Class A | 266,700 | 15,908,655 | |
| PulteGroup, Inc. | 428,400 | 16,986,060 | |
| Toll Brothers, Inc. | 89,016 | 3,575,773 | |
| 36,470,488 | |||
| Internet & Direct Marketing Retail - 3.3% | |||
| Alibaba Group Holding Ltd. sponsored ADR (a) | 408,290 | 81,658,000 | |
| Amazon.com, Inc. (a) | 132,999 | 239,504,599 | |
| The Booking Holdings, Inc. (a) | 7,707 | 14,674,359 | |
| 335,836,958 | |||
| Multiline Retail - 0.5% | |||
| Dollar General Corp. | 42,454 | 6,680,561 | |
| Target Corp. | 315,943 | 39,496,034 | |
| 46,176,595 | |||
| Specialty Retail - 1.1% | |||
| Advance Auto Parts, Inc. | 75,438 | 11,849,801 | |
| AutoZone, Inc. (a) | 26,511 | 31,227,837 | |
| Best Buy Co., Inc. | 69,266 | 5,585,610 | |
| Ross Stores, Inc. | 164,103 | 19,060,563 | |
| The Home Depot, Inc. | 221,798 | 48,908,677 | |
| 116,632,488 | |||
| Textiles, Apparel & Luxury Goods - 0.2% | |||
| NIKE, Inc. Class B | 150,268 | 14,048,555 | |
| Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 262,011 | 10,538,082 | |
| 24,586,637 | |||
| TOTAL CONSUMER DISCRETIONARY | 719,022,337 | ||
| CONSUMER STAPLES - 3.3% | |||
| Beverages - 1.2% | |||
| Keurig Dr. Pepper, Inc. (b) | 383,994 | 11,880,774 | |
| Monster Beverage Corp. (a) | 778,108 | 46,546,421 | |
| PepsiCo, Inc. | 86,509 | 11,750,517 | |
| The Coca-Cola Co. | 929,273 | 49,623,178 | |
| 119,800,890 | |||
| Food & Staples Retailing - 0.3% | |||
| Walmart, Inc. | 230,174 | 27,411,422 | |
| Food Products - 0.7% | |||
| Danone SA sponsored ADR | 2,220,216 | 36,455,947 | |
| General Mills, Inc. | 178,563 | 9,520,979 | |
| Tyson Foods, Inc. Class A | 276,149 | 24,823,034 | |
| 70,799,960 | |||
| Household Products - 1.0% | |||
| Colgate-Palmolive Co. | 356,173 | 24,155,653 | |
| Kimberly-Clark Corp. | 112,889 | 15,391,286 | |
| Procter & Gamble Co. | 526,753 | 64,295,471 | |
| 103,842,410 | |||
| Tobacco - 0.1% | |||
| Altria Group, Inc. | 76,465 | 3,800,311 | |
| Philip Morris International, Inc. | 136,656 | 11,332,882 | |
| 15,133,193 | |||
| TOTAL CONSUMER STAPLES | 336,987,875 | ||
| ENERGY - 0.2% | |||
| Energy Equipment & Services - 0.2% | |||
| Schlumberger Ltd. | 499,756 | 18,091,167 | |
| Oil, Gas & Consumable Fuels - 0.0% | |||
| Equitrans Midstream Corp. (b) | 156,026 | 1,555,579 | |
| TOTAL ENERGY | 19,646,746 | ||
| FINANCIALS - 1.1% | |||
| Banks - 0.0% | |||
| Citigroup, Inc. | 67,748 | 5,089,230 | |
| Capital Markets - 0.6% | |||
| FactSet Research Systems, Inc. | 90,904 | 23,603,224 | |
| SEI Investments Co. | 508,853 | 32,836,284 | |
| TD Ameritrade Holding Corp. | 86,013 | 4,458,054 | |
| 60,897,562 | |||
| Consumer Finance - 0.3% | |||
| American Express Co. | 56,457 | 6,781,615 | |
| Capital One Financial Corp. | 164,561 | 16,457,746 | |
| Synchrony Financial | 135,166 | 5,056,560 | |
| 28,295,921 | |||
| Insurance - 0.2% | |||
| Hartford Financial Services Group, Inc. | 82,854 | 5,125,348 | |
| MetLife, Inc. | 229,706 | 11,464,626 | |
| 16,589,974 | |||
| TOTAL FINANCIALS | 110,872,687 | ||
| HEALTH CARE - 6.8% | |||
| Biotechnology - 1.6% | |||
| AbbVie, Inc. | 334,166 | 29,316,383 | |
| Amgen, Inc. | 270,942 | 63,595,506 | |
| Biogen, Inc. (a) | 50,984 | 15,285,513 | |
| Incyte Corp. (a) | 133,908 | 12,608,777 | |
| Regeneron Pharmaceuticals, Inc. (a) | 122,153 | 45,074,457 | |
| 165,880,636 | |||
| Health Care Equipment & Supplies - 0.7% | |||
| Alcon, Inc. (a) | 47,857 | 2,646,014 | |
| Boston Scientific Corp. (a) | 219,608 | 9,498,046 | |
| IDEXX Laboratories, Inc. (a) | 46,302 | 11,648,657 | |
| Stryker Corp. | 46,300 | 9,485,018 | |
| The Cooper Companies, Inc. | 27,998 | 8,765,894 | |
| Varian Medical Systems, Inc. (a) | 103,375 | 13,824,339 | |
| Zimmer Biomet Holdings, Inc. | 75,800 | 11,012,224 | |
| 66,880,192 | |||
| Health Care Providers & Services - 1.4% | |||
| AmerisourceBergen Corp. | 15,838 | 1,392,319 | |
| Centene Corp. (a) | 284,474 | 17,202,143 | |
| HCA Holdings, Inc. | 102,517 | 14,215,007 | |
| Laboratory Corp. of America Holdings (a) | 59,600 | 10,268,484 | |
| McKesson Corp. | 87,060 | 12,592,358 | |
| Molina Healthcare, Inc. (a) | 44,770 | 6,066,335 | |
| UnitedHealth Group, Inc. | 271,318 | 75,933,769 | |
| 137,670,415 | |||
| Health Care Technology - 0.5% | |||
| Cerner Corp. | 413,934 | 29,633,535 | |
| Veeva Systems, Inc. Class A (a) | 153,107 | 22,840,502 | |
| 52,474,037 | |||
| Life Sciences Tools & Services - 0.5% | |||
| Illumina, Inc. (a) | 46,795 | 15,009,964 | |
| Thermo Fisher Scientific, Inc. | 108,893 | 34,186,957 | |
| 49,196,921 | |||
| Pharmaceuticals - 2.1% | |||
| Bristol-Myers Squibb Co. | 371,461 | 21,150,989 | |
| Bristol-Myers Squibb Co. rights (a) | 171,428 | 368,570 | |
| Eli Lilly & Co. | 242,671 | 28,477,442 | |
| Johnson & Johnson | 85,865 | 11,805,579 | |
| Merck & Co., Inc. | 658,164 | 57,378,738 | |
| Novartis AG sponsored ADR | 239,286 | 22,086,098 | |
| Novo Nordisk A/S Series B sponsored ADR | 700,368 | 39,325,663 | |
| Roche Holding AG sponsored ADR (a)(b) | 807,036 | 31,127,379 | |
| 211,720,458 | |||
| TOTAL HEALTH CARE | 683,822,659 | ||
| INDUSTRIALS - 3.0% | |||
| Aerospace & Defense - 0.8% | |||
| Harris Corp. | 66,953 | 13,463,579 | |
| Lockheed Martin Corp. | 7,605 | 2,973,783 | |
| Northrop Grumman Corp. | 60,371 | 21,236,707 | |
| The Boeing Co. | 58,807 | 21,533,947 | |
| United Technologies Corp. | 108,600 | 16,109,724 | |
| 75,317,740 | |||
| Air Freight & Logistics - 0.4% | |||
| Expeditors International of Washington, Inc. | 490,628 | 36,679,349 | |
| Airlines - 0.4% | |||
| Delta Air Lines, Inc. | 257,545 | 14,759,904 | |
| United Continental Holdings, Inc. (a) | 273,639 | 25,393,699 | |
| 40,153,603 | |||
| Commercial Services & Supplies - 0.2% | |||
| Copart, Inc. (a) | 219,300 | 19,517,700 | |
| Waste Management, Inc. | 34,485 | 3,893,701 | |
| 23,411,401 | |||
| Electrical Equipment - 0.0% | |||
| Eaton Corp. PLC | 28,705 | 2,655,213 | |
| Machinery - 0.9% | |||
| AGCO Corp. | 151,348 | 11,824,819 | |
| Allison Transmission Holdings, Inc. | 96,973 | 4,693,493 | |
| Cummins, Inc. | 81,671 | 14,934,359 | |
| Deere & Co. | 210,889 | 35,439,896 | |
| Illinois Tool Works, Inc. | 25,829 | 4,502,770 | |
| Ingersoll-Rand PLC | 150,608 | 19,746,215 | |
| 91,141,552 | |||
| Professional Services - 0.0% | |||
| Verisk Analytics, Inc. | 12,751 | 1,880,517 | |
| Road & Rail - 0.1% | |||
| Union Pacific Corp. | 70,460 | 12,400,255 | |
| Trading Companies & Distributors - 0.2% | |||
| United Rentals, Inc. (a) | 119,583 | 18,302,178 | |
| TOTAL INDUSTRIALS | 301,941,808 | ||
| INFORMATION TECHNOLOGY - 18.1% | |||
| Communications Equipment - 0.8% | |||
| Cisco Systems, Inc. | 1,799,466 | 81,533,804 | |
| Electronic Equipment & Components - 0.1% | |||
| Keysight Technologies, Inc. (a) | 137,834 | 14,752,373 | |
| IT Services - 5.5% | |||
| Accenture PLC Class A | 55,806 | 11,225,935 | |
| Automatic Data Processing, Inc. | 81,673 | 13,948,115 | |
| Booz Allen Hamilton Holding Corp. Class A | 148,200 | 10,783,032 | |
| Euronet Worldwide, Inc. (a) | 66,400 | 10,437,416 | |
| Fidelity National Information Services, Inc. | 311,332 | 43,010,544 | |
| Fiserv, Inc. (a) | 445,821 | 51,822,233 | |
| FleetCor Technologies, Inc. (a) | 63,581 | 19,514,281 | |
| Global Payments, Inc. | 118,233 | 21,411,996 | |
| Leidos Holdings, Inc. | 140,327 | 12,747,305 | |
| MasterCard, Inc. Class A | 361,623 | 105,677,089 | |
| Okta, Inc. (a) | 112,235 | 14,565,858 | |
| PayPal Holdings, Inc. (a) | 338,311 | 36,540,971 | |
| VeriSign, Inc. (a) | 58,668 | 11,190,334 | |
| Visa, Inc. Class A | 1,031,609 | 190,342,177 | |
| WEX, Inc. (a) | 5,742 | 1,154,888 | |
| 554,372,174 | |||
| Semiconductors & Semiconductor Equipment - 2.4% | |||
| Applied Materials, Inc. | 292,431 | 16,931,755 | |
| Broadcom, Inc. | 90,150 | 28,506,332 | |
| Intel Corp. | 186,095 | 10,802,815 | |
| KLA-Tencor Corp. | 112,210 | 18,386,731 | |
| Lam Research Corp. | 68,418 | 18,255,975 | |
| Micron Technology, Inc. (a) | 230,117 | 10,932,859 | |
| NVIDIA Corp. | 180,360 | 39,091,226 | |
| Qualcomm, Inc. | 553,039 | 46,206,408 | |
| Teradyne, Inc. | 332,500 | 20,811,175 | |
| Texas Instruments, Inc. | 302,585 | 36,373,743 | |
| 246,299,019 | |||
| Software - 6.7% | |||
| Adobe, Inc. (a) | 196,681 | 60,878,670 | |
| Atlassian Corp. PLC (a) | 21,003 | 2,669,691 | |
| Autodesk, Inc. (a) | 349,880 | 63,293,292 | |
| Cadence Design Systems, Inc. (a) | 60,264 | 4,233,546 | |
| Microsoft Corp. | 2,321,144 | 351,374,779 | |
| Oracle Corp. | 1,204,333 | 67,611,255 | |
| Paycom Software, Inc. (a) | 15,494 | 4,288,894 | |
| RingCentral, Inc. (a) | 45,780 | 7,895,677 | |
| Salesforce.com, Inc. (a) | 211,630 | 34,472,411 | |
| ServiceNow, Inc. (a) | 55,868 | 15,812,879 | |
| SS&C Technologies Holdings, Inc. | 199,001 | 11,950,010 | |
| SurveyMonkey (a) | 11 | 188 | |
| Synopsys, Inc. (a) | 250,044 | 35,266,206 | |
| The Trade Desk, Inc. (a) | 50,900 | 13,404,006 | |
| 673,151,504 | |||
| Technology Hardware, Storage & Peripherals - 2.6% | |||
| Apple, Inc. | 955,497 | 255,356,573 | |
| Western Digital Corp. | 41,118 | 2,069,469 | |
| 257,426,042 | |||
| TOTAL INFORMATION TECHNOLOGY | 1,827,534,916 | ||
| MATERIALS - 0.1% | |||
| Chemicals - 0.1% | |||
| Eastman Chemical Co. | 103,928 | 8,144,837 | |
| REAL ESTATE - 1.4% | |||
| Equity Real Estate Investment Trusts (REITs) - 1.2% | |||
| American Tower Corp. | 230,533 | 49,340,978 | |
| Extra Space Storage, Inc. | 92,634 | 9,823,836 | |
| Medical Properties Trust, Inc. | 530,616 | 11,015,588 | |
| Omega Healthcare Investors, Inc. | 236,120 | 9,924,124 | |
| Public Storage | 127,775 | 26,919,637 | |
| Realty Income Corp. | 111,257 | 8,525,624 | |
| 115,549,787 | |||
| Real Estate Management & Development - 0.2% | |||
| CBRE Group, Inc. (a) | 405,237 | 23,106,614 | |
| TOTAL REAL ESTATE | 138,656,401 | ||
| UTILITIES - 0.2% | |||
| Independent Power and Renewable Electricity Producers - 0.2% | |||
| NRG Energy, Inc. | 283,261 | 11,253,960 | |
| The AES Corp. | 508,228 | 9,610,591 | |
| 20,864,551 | |||
| TOTAL COMMON STOCKS | |||
| (Cost $2,393,594,405) | 4,737,734,013 | ||
| Convertible Preferred Stocks - 0.1% | |||
| CONSUMER DISCRETIONARY - 0.1% | |||
| Diversified Consumer Services - 0.1% | |||
| Airbnb, Inc. Series D (a)(c)(d) | |||
| (Cost $4,024,850) | 98,859 | 9,561,642 | |
| Equity Funds - 52.5% | |||
| Large Blend Funds - 4.7% | |||
| Fidelity SAI U.S. Large Cap Index Fund (e) | 27,982,267 | 473,739,785 | |
| Large Growth Funds - 44.5% | |||
| Fidelity Contrafund (e) | 38,693,961 | 533,589,718 | |
| Fidelity Growth Company Fund (e) | 125,706,271 | 2,707,713,085 | |
| Fidelity SAI U.S. Momentum Index Fund (e) | 27,293,524 | 383,201,073 | |
| Fidelity SAI U.S. Quality Index Fund (e) | 59,985,250 | 870,985,823 | |
| TOTAL LARGE GROWTH FUNDS | 4,495,489,699 | ||
| Mid-Cap Growth Funds - 3.3% | |||
| Janus Henderson Enterprise Fund | 2,284,764 | 329,234,426 | |
| TOTAL EQUITY FUNDS | |||
| (Cost $3,644,994,734) | 5,298,463,910 | ||
| Money Market Funds - 0.7% | |||
| Fidelity Securities Lending Cash Central Fund 1.61% (f)(g) | 23,328,844 | 23,331,177 | |
| Invesco Government & Agency Portfolio Institutional Class 1.53% (h) | 48,058,856 | 48,058,856 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $71,390,033) | 71,390,033 | ||
| TOTAL INVESTMENT IN SECURITIES - 100.2% | |||
| (Cost $6,114,004,022) | 10,117,149,598 | ||
| NET OTHER ASSETS (LIABILITIES) - (0.2)% | (18,942,642) | ||
| NET ASSETS - 100% | $10,098,206,956 |
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Restricted securities - 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 $9,561,642 or 0.1% of net assets.
(d) Level 3 security
(e) Affiliated Fund
(f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(g) Investment made with cash collateral received from securities on loan.
(h) 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 | $15,947 |
| Total | $15,947 |
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 | $-- | $50,000,000 | $-- | $(1,428,800) | $61,651,675 | $533,589,718 |
| Fidelity Growth Company Fund | 2,301,681,826 | -- | -- | -- | -- | 406,031,259 | 2,707,713,085 |
| Fidelity SAI U.S. Large Cap Index Fund | 25,922,833 | 1,137,774,737 | 703,707,609 | 540,834 | 5,788,255 | 7,961,569 | 473,739,785 |
| Fidelity SAI U.S. Momentum Index Fund | 466,705,072 | 3,434,255 | 125,000,000 | 3,434,255 | (613,657) | 38,675,403 | 383,201,073 |
| Fidelity SAI U.S. Quality Index Fund | 979,028,121 | 109,277,115 | 250,000,000 | 109,277,115 | 38,037,402 | (5,356,815) | 870,985,823 |
| Total | $4,296,704,695 | $1,250,486,107 | $1,128,707,609 | $113,252,204 | $41,783,200 | $508,963,091 | $4,969,229,484 |
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 November 30, 2019, 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 | $570,239,196 | $570,239,196 | $-- | $-- |
| Consumer Discretionary | 728,583,979 | 719,022,337 | -- | 9,561,642 |
| Consumer Staples | 336,987,875 | 336,987,875 | -- | -- |
| Energy | 19,646,746 | 19,646,746 | -- | -- |
| Financials | 110,872,687 | 110,872,687 | -- | -- |
| Health Care | 683,822,659 | 683,822,659 | -- | -- |
| Industrials | 301,941,808 | 301,941,808 | -- | -- |
| Information Technology | 1,827,534,916 | 1,827,534,916 | -- | -- |
| Materials | 8,144,837 | 8,144,837 | -- | -- |
| Real Estate | 138,656,401 | 138,656,401 | -- | -- |
| Utilities | 20,864,551 | 20,864,551 | -- | -- |
| Equity Funds | 5,298,463,910 | 5,298,463,910 | -- | -- |
| Money Market Funds | 71,390,033 | 71,390,033 | -- | -- |
| Total Investments in Securities: | $10,117,149,598 | $10,107,587,956 | $-- | $9,561,642 |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| November 30, 2019 (Unaudited) | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $22,613,943) — See accompanying schedule: Unaffiliated issuers (cost $2,731,891,059) | $5,124,588,937 | |
| Fidelity Central Funds (cost $23,331,177) | 23,331,177 | |
| Other affiliated issuers (cost $3,358,781,786) | 4,969,229,484 | |
| Total Investment in Securities (cost $6,114,004,022) | $10,117,149,598 | |
| Receivable for fund shares sold | 3,346,039 | |
| Dividends receivable | 5,218,244 | |
| Interest receivable | 68,020 | |
| Distributions receivable from Fidelity Central Funds | 2,625 | |
| Prepaid expenses | 12,832 | |
| Other receivables | 151,824 | |
| Total assets | 10,125,949,182 | |
| Liabilities | ||
| Payable for investments purchased | $474,957 | |
| Payable for fund shares redeemed | 2,871,082 | |
| Accrued management fee | 840,116 | |
| Other payables and accrued expenses | 224,656 | |
| Collateral on securities loaned | 23,331,415 | |
| Total liabilities | 27,742,226 | |
| Net Assets | $10,098,206,956 | |
| Net Assets consist of: | ||
| Paid in capital | $5,549,597,724 | |
| Total accumulated earnings (loss) | 4,548,609,232 | |
| Net Assets | $10,098,206,956 | |
| Net Asset Value, offering price and redemption price per share ($10,098,206,956 ÷ 541,153,455 shares) | $18.66 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Six months ended November 30, 2019 (Unaudited) | ||
| Investment Income | ||
| Dividends: | ||
| Unaffiliated issuers | $17,560,576 | |
| Affiliated issuers | 33,822,619 | |
| Interest | 474,810 | |
| Income from Fidelity Central Funds (including $15,947 from security lending) | 15,947 | |
| Total income | 51,873,952 | |
| Expenses | ||
| Management fee | $17,286,756 | |
| Accounting fees | 106,560 | |
| Custodian fees and expenses | 28,062 | |
| Independent trustees' fees and expenses | 55,889 | |
| Registration fees | 37,250 | |
| Audit | 37,111 | |
| Legal | 19,442 | |
| Miscellaneous | 41,608 | |
| Total expenses before reductions | 17,612,678 | |
| Expense reductions | (12,334,365) | |
| Total expenses after reductions | 5,278,313 | |
| Net investment income (loss) | 46,595,639 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 385,352,082 | |
| Fidelity Central Funds | (247) | |
| Other affiliated issuers | 41,783,200 | |
| Capital gain distributions from underlying funds: | ||
| Unaffiliated issuers | 11,084,603 | |
| Affiliated issuers | 79,429,585 | |
| Total net realized gain (loss) | 517,649,223 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 305,745,918 | |
| Fidelity Central Funds | 1 | |
| Other affiliated issuers | 508,963,091 | |
| Total change in net unrealized appreciation (depreciation) | 814,709,010 | |
| Net gain (loss) | 1,332,358,233 | |
| Net increase (decrease) in net assets resulting from operations | $1,378,953,872 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Six months ended November 30, 2019 (Unaudited) | Year ended May 31, 2019 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $46,595,639 | $105,994,035 |
| Net realized gain (loss) | 517,649,223 | 1,379,589,003 |
| Change in net unrealized appreciation (depreciation) | 814,709,010 | (1,315,652,665) |
| Net increase (decrease) in net assets resulting from operations | 1,378,953,872 | 169,930,373 |
| Distributions to shareholders | (698,445,714) | (1,480,968,534) |
| Share transactions | ||
| Proceeds from sales of shares | 383,071,817 | 1,698,381,942 |
| Reinvestment of distributions | 680,436,380 | 1,473,929,838 |
| Cost of shares redeemed | (1,079,754,962) | (4,028,460,404) |
| Net increase (decrease) in net assets resulting from share transactions | (16,246,765) | (856,148,624) |
| Total increase (decrease) in net assets | 664,261,393 | (2,167,186,785) |
| Net Assets | ||
| Beginning of period | 9,433,945,563 | 11,601,132,348 |
| End of period | $10,098,206,956 | $9,433,945,563 |
| Other Information | ||
| Shares | ||
| Sold | 21,555,765 | 93,996,420 |
| Issued in reinvestment of distributions | 38,183,860 | 86,200,709 |
| Redeemed | (60,994,714) | (222,537,369) |
| Net increase (decrease) | (1,255,089) | (42,340,240) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Growth Fund
| Six months ended (Unaudited) November 30, | Years endedMay 31, | |||||
| 2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Selected Per–Share Data | ||||||
| Net asset value, beginning of period | $17.39 | $19.84 | $17.93 | $16.51 | $17.60 | $16.51 |
| Income from Investment Operations | ||||||
| Net investment income (loss)A | .08 | .18 | .13 | .15 | .13 | .12 |
| Net realized and unrealized gain (loss) | 2.49 | (.05)B | 3.31 | 2.89 | (.23) | 2.10 |
| Total from investment operations | 2.57 | .13 | 3.44 | 3.04 | (.10) | 2.22 |
| Distributions from net investment income | (.08) | (.13) | (.14) | (.15) | (.12) | (.12) |
| Distributions from net realized gain | (1.22) | (2.45) | (1.39) | (1.47) | (.88) | (1.01) |
| Total distributions | (1.30) | (2.58) | (1.53) | (1.62) | (.99)C | (1.13) |
| Net asset value, end of period | $18.66 | $17.39 | $19.84 | $17.93 | $16.51 | $17.60 |
| Total ReturnD,E | 15.15% | 1.30% | 20.30% | 19.87% | (.62)% | 13.99% |
| Ratios to Average Net AssetsF,G | ||||||
| Expenses before reductions | .36%H | .38% | .49% | .54% | .57% | .56% |
| Expenses net of fee waivers, if any | .11%H | .13% | .24% | .28% | .32% | .31% |
| Expenses net of all reductions | .11%H | .13% | .24% | .28% | .32% | .31% |
| Net investment income (loss) | .95%H | .98% | .72% | .89% | .79% | .73% |
| Supplemental Data | ||||||
| Net assets, end of period (000 omitted) | $10,098,207 | $9,433,946 | $11,601,132 | $10,964,954 | $10,962,597 | $13,134,171 |
| Portfolio turnover rateI | 45%H | 48% | 38% | 38% | 30% | 40% |
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 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. 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 Annualized
I 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 (Unaudited)
For the period ended November 30, 2019
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 (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 November 30, 2019 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 $175,243 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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts, foreign currency transactions, market discount, 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 | $4,046,704,251 |
| Gross unrealized depreciation | (46,806,581) |
| Net unrealized appreciation (depreciation) | $3,999,897,670 |
| Tax cost | $6,117,251,928 |
Restricted Securities. 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 (including the Underlying Fund shares), other than short-term securities, aggregated $2,211,456,971 and $2,784,121,374, respectively.
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 annualized 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, FIAM LLC (an affiliate of the investment adviser), Loomis Sayles & Company, L.P. and Massachusetts Financial Services Company (MFS) 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 an annualized rate of 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 | $55 |
Interfund Trades. The Fund 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 Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. 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 are available on the SEC website or upon request.
6. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $12,289 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow 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 $ 12,285,500.
In addition, during the period the investment adviser 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.
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 11% of the total outstanding shares of Fidelity SAI U.S. Momentum Index Fund.
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 (June 1, 2019 to November 30, 2019).
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 June 1, 2019 | Ending Account Value November 30, 2019 | Expenses Paid During Period-B June 1, 2019 to November 30, 2019 |
|
| Actual | .11% | $1,000.00 | $1,151.50 | $.59 |
| 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
Board Approval of Investment Advisory Contracts
Strategic Advisers Growth 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 ClariVest Asset Management LLC (ClariVest), FIAM LLC, Geode Capital Management, LLC (Geode), Loomis Sayles & Company, L.P. (Loomis), and Massachusetts Financial Services Company (MFS) (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 addition, the Board approved amendments to the fund's sub-advisory agreements with: (i) ClariVest and Geode to add certain exceptions to the most favored nation (MFN) provision in each such sub-advisory agreement; and (ii) Loomis and MFS to both expand the scope of, and add certain exceptions to, the MFN provision in each such sub-advisory agreement. Where applicable, the Board also approved non-material amendments to these sub-advisory agreements. The Board noted that the other terms of each amended sub-advisory agreement are not materially different from those of the applicable existing sub-advisory agreement and that ClariVest, Geode, Loomis, and MFS each will continue to provide the same services to the fund. The Board also approved an amendment to the sub-advisory agreement with Geode to remove an existing mandate, effective October 1, 2019. The Board noted that the other terms of the amended sub-advisory agreement are not materially different from those of the existing sub-advisory agreement with Geode. The Board also noted that the amended sub-advisory agreement would not result in changes to the nature, extent, and quality of the services that Geode provides to the fund.
In reaching its determination to renew the fund's Advisory Contracts and approve the amendments to the sub-advisory agreements described above (Amendments), 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 and approve the Amendments, 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 and the approval of the Amendments 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 and the approval of the Amendments do 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 and approve the Amendments 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 itsaffiliates 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, includingsub-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 Growth Fund
Strategic Advisers Growth Fund
SGF-SANN-0120
1.907406.109
Strategic Advisers® Short Duration Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
Semi-Annual Report
November 30, 2019
See the inside front cover for important information about access to your fund’s shareholder reports.
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
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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2019
| (excluding cash equivalents) | % of fund's net assets |
| PIMCO Short-Term Fund | 20.9 |
| Fidelity Fixed Income Trust | 9.3 |
| iShares Trust | 7.4 |
| Blackrock Funds | 5.4 |
| PIMCO Enhanced Short Maturity Active ETF | 5.2 |
| Metropolitan West Funds | 3.3 |
| U.S. Treasury Obligations | 3.0 |
| Baird Short-Term Bond Fund - Institutional Class | 2.8 |
| J P Morgan Exchg-Traded Fund Trust | 2.3 |
| Ishares U S Etf Trust | 2.0 |
| 61.6 |
Asset Allocation (% of fund's net assets)
| As of November 30, 2019 | ||
| Corporate Bonds | 24.5% | |
| U.S. Government and U.S. Government Agency Obligations | 3.6% | |
| Asset-Backed Securities | 7.9% | |
| CMOs and Other Mortgage Related Securities | 2.0% | |
| Bank Loan Funds | 1.0% | |
| Other Investments | 0.5% | |
| Short-Term Funds | 59.6% | |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.9% | |
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 November 30, 2019 (Unaudited)
Showing Percentage of Net Assets
| Nonconvertible Bonds - 24.5% | |||
| Principal Amount | Value | ||
| COMMUNICATION SERVICES - 1.4% | |||
| Diversified Telecommunication Services - 0.6% | |||
| AT&T, Inc. 3 month U.S. LIBOR + 0.930% 3.0344% 6/30/20 (a)(b) | $7,845,000 | $7,881,230 | |
| Deutsche Telekom International Financial BV 3 month U.S. LIBOR + 0.580% 2.5821% 1/17/20 (a)(b)(c) | 10,000,000 | 10,006,006 | |
| SBA Tower Trust: | |||
| 3.156% 10/8/20 (c) | 265,000 | 266,803 | |
| 3.448% 3/15/48 (c) | 880,000 | 905,453 | |
| Telefonica Emisiones S.A.U. 5.134% 4/27/20 | 565,000 | 571,958 | |
| Verizon Communications, Inc. 3 month U.S. LIBOR + 0.550% 2.4488% 5/22/20 (a)(b) | 25,000,000 | 25,048,400 | |
| 44,679,850 | |||
| Entertainment - 0.4% | |||
| NBCUniversal Enterprise, Inc. 3 month U.S. LIBOR + 0.400% 2.4986% 4/1/21 (a)(b)(c) | 23,029,000 | 23,110,247 | |
| The Walt Disney Co. 3 month U.S. LIBOR + 0.250% 2.3624% 9/1/21 (a)(b) | 2,211,000 | 2,216,762 | |
| 25,327,009 | |||
| Interactive Media & Services - 0.0% | |||
| Baidu.com, Inc. 3.5% 11/28/22 | 780,000 | 799,500 | |
| Tencent Holdings Ltd. 2.875% 2/11/20 (c) | 1,555,000 | 1,557,022 | |
| 2,356,522 | |||
| Media - 0.4% | |||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
| 3.579% 7/23/20 | 5,662,000 | 5,702,707 | |
| 4.464% 7/23/22 | 2,595,000 | 2,722,604 | |
| Comcast Corp.: | |||
| 3 month U.S. LIBOR + 0.330% 2.4286% 10/1/20 (a)(b) | 7,282,000 | 7,297,454 | |
| 3 month U.S. LIBOR + 0.440% 2.5386% 10/1/21 (a)(b) | 8,940,000 | 8,983,369 | |
| 3.7% 4/15/24 | 1,075,000 | 1,143,255 | |
| Fox Corp.: | |||
| 3.666% 1/25/22 (c) | 260,000 | 268,413 | |
| 4.03% 1/25/24 (c) | 305,000 | 324,430 | |
| Interpublic Group of Companies, Inc. 3.5% 10/1/20 | 295,000 | 298,562 | |
| Omnicom Group, Inc. 4.45% 8/15/20 | 441,000 | 448,690 | |
| RELX Capital, Inc. 3.5% 3/16/23 | 575,000 | 595,870 | |
| WPP Finance 2010 3.625% 9/7/22 | 310,000 | 320,773 | |
| 28,106,127 | |||
| Wireless Telecommunication Services - 0.0% | |||
| America Movil S.A.B. de CV 5% 3/30/20 | 448,000 | 451,360 | |
| Axiata SPV2 Bhd 3.466% 11/19/20 (Reg. S) | 660,000 | 665,287 | |
| Vodafone Group PLC 3.75% 1/16/24 | 650,000 | 685,388 | |
| 1,802,035 | |||
| TOTAL COMMUNICATION SERVICES | 102,271,543 | ||
| CONSUMER DISCRETIONARY - 1.6% | |||
| Automobiles - 1.3% | |||
| American Honda Finance Corp.: | |||
| 3 month U.S. LIBOR + 0.150% 2.0446% 2/21/20 (a)(b) | 5,000,000 | 5,001,700 | |
| 3 month U.S. LIBOR + 0.260% 2.3785% 6/16/20 (a)(b) | 5,000,000 | 5,005,444 | |
| 3 month U.S. LIBOR + 0.290% 2.4241% 12/10/21 (a)(b) | 5,000,000 | 5,001,599 | |
| BMW U.S. Capital LLC: | |||
| 3 month U.S. LIBOR + 0.380% 2.4231% 4/6/20 (a)(b)(c) | 7,796,000 | 7,806,210 | |
| 3 month U.S. LIBOR + 0.410% 2.4109% 4/12/21 (a)(b)(c) | 11,110,000 | 11,127,726 | |
| 3 month U.S. LIBOR + 0.500% 2.4006% 8/13/21 (a)(b)(c) | 830,000 | 832,089 | |
| 2% 4/11/21 (c) | 1,500,000 | 1,500,676 | |
| Daimler Finance North America LLC: | |||
| 3 month U.S. LIBOR + 0.530% 2.4205% 5/5/20 (a)(b)(c) | 9,640,000 | 9,649,656 | |
| 3 month U.S. LIBOR + 0.630% 2.6731% 1/6/20 (a)(b)(c) | 10,000,000 | 10,006,216 | |
| 3 month U.S. LIBOR + 0.900% 2.8099% 2/15/22 (a)(b)(c) | 5,000,000 | 5,033,845 | |
| 2.2% 5/5/20 (c) | 1,420,000 | 1,420,693 | |
| 2.3% 2/12/21 (c) | 1,745,000 | 1,747,146 | |
| 3.1% 5/4/20 (c) | 765,000 | 768,131 | |
| 3.75% 11/5/21 (c) | 325,000 | 334,511 | |
| General Motors Financial Co., Inc.: | |||
| 3 month U.S. LIBOR + 0.850% 2.862% 4/9/21 (a)(b) | 5,628,000 | 5,631,178 | |
| 3 month U.S. LIBOR + 0.930% 2.9161% 4/13/20 (a)(b) | 11,000,000 | 11,021,991 | |
| 3.2% 7/13/20 | 1,570,000 | 1,578,220 | |
| 3.45% 1/14/22 | 405,000 | 412,886 | |
| 3.55% 7/8/22 | 380,000 | 390,112 | |
| 4.2% 11/6/21 | 370,000 | 382,242 | |
| Harley-Davidson Financial Services, Inc.: | |||
| 3 month U.S. LIBOR + 0.500% 2.3946% 5/21/20 (a)(b)(c) | 795,000 | 795,399 | |
| 3 month U.S. LIBOR + 0.940% 3.0776% 3/2/21 (a)(b)(c) | 995,000 | 1,000,970 | |
| 2.55% 6/9/22 (c) | 375,000 | 375,295 | |
| 4.05% 2/4/22 (c) | 1,210,000 | 1,249,813 | |
| Nissan Motor Acceptance Corp.: | |||
| 2.15% 9/28/20 (c) | 1,535,000 | 1,535,422 | |
| 3.65% 9/21/21 (c) | 580,000 | 592,608 | |
| Volkswagen Group of America Finance LLC: | |||
| 2.5% 9/24/21 (c) | 1,805,000 | 1,814,675 | |
| 2.7% 9/26/22 (c) | 650,000 | 656,059 | |
| 3.875% 11/13/20 (c) | 980,000 | 995,168 | |
| 93,667,680 | |||
| Hotels, Restaurants & Leisure - 0.0% | |||
| McDonald's Corp. 3.35% 4/1/23 | 645,000 | 671,288 | |
| Royal Caribbean Cruises Ltd. 2.65% 11/28/20 | 250,000 | 251,327 | |
| Starbucks Corp. 2.7% 6/15/22 | 435,000 | 443,466 | |
| 1,366,081 | |||
| Household Durables - 0.0% | |||
| D.R. Horton, Inc. 2.55% 12/1/20 | 495,000 | 496,501 | |
| Panasonic Corp. 2.536% 7/19/22 (c) | 785,000 | 789,709 | |
| 1,286,210 | |||
| Internet & Direct Marketing Retail - 0.1% | |||
| eBay, Inc. 2.15% 6/5/20 | 805,000 | 805,886 | |
| Expedia, Inc. 5.95% 8/15/20 | 335,000 | 343,866 | |
| JD.com, Inc. 3.125% 4/29/21 | 2,645,000 | 2,661,531 | |
| QVC, Inc.: | |||
| 4.375% 3/15/23 | 660,000 | 683,311 | |
| 5.125% 7/2/22 | 1,330,000 | 1,398,701 | |
| 5,893,295 | |||
| Leisure Products - 0.0% | |||
| Hasbro, Inc.: | |||
| 2.6% 11/19/22 | 885,000 | 887,920 | |
| 3% 11/19/24 | 1,190,000 | 1,189,398 | |
| 2,077,318 | |||
| Multiline Retail - 0.0% | |||
| Dollar Tree, Inc. 3 month U.S. LIBOR + 0.700% 2.7021% 4/17/20 (a)(b) | 1,250,000 | 1,250,146 | |
| Specialty Retail - 0.2% | |||
| O'Reilly Automotive, Inc. 3.8% 9/1/22 | 385,000 | 400,540 | |
| The Home Depot, Inc. 3 month U.S. LIBOR + 0.310% 2.4476% 3/1/22 (a)(b) | 10,000,000 | 10,026,706 | |
| 10,427,246 | |||
| TOTAL CONSUMER DISCRETIONARY | 115,967,976 | ||
| CONSUMER STAPLES - 1.1% | |||
| Beverages - 0.3% | |||
| Constellation Brands, Inc. 3 month U.S. LIBOR + 0.700% 2.6099% 11/15/21 (a)(b) | 5,000,000 | 5,000,111 | |
| Diageo Capital PLC 3 month U.S. LIBOR + 0.240% 2.1441% 5/18/20 (a)(b) | 12,795,000 | 12,804,045 | |
| Dr. Pepper Snapple Group, Inc. 3.551% 5/25/21 | 940,000 | 959,397 | |
| Molson Coors Brewing Co.: | |||
| 2.25% 3/15/20 | 910,000 | 910,325 | |
| 3.5% 5/1/22 | 3,209,000 | 3,293,284 | |
| Pernod Ricard SA 4.45% 1/15/22 (c) | 1,155,000 | 1,210,319 | |
| 24,177,481 | |||
| Food Products - 0.3% | |||
| Bunge Ltd. Finance Corp.: | |||
| 3% 9/25/22 | 405,000 | 411,431 | |
| 3.5% 11/24/20 | 4,365,000 | 4,425,210 | |
| 4.35% 3/15/24 | 130,000 | 137,069 | |
| Campbell Soup Co. 3 month U.S. LIBOR + 0.500% 2.6185% 3/16/20 (a)(b) | 1,005,000 | 1,005,427 | |
| Conagra Brands, Inc. 3 month U.S. LIBOR + 0.750% 2.7033% 10/22/20 (a)(b) | 5,641,000 | 5,641,586 | |
| General Mills, Inc. 3 month U.S. LIBOR + 0.540% 2.5409% 4/16/21 (a)(b) | 7,164,000 | 7,186,809 | |
| Tyson Foods, Inc. 2.25% 8/23/21 | 600,000 | 602,522 | |
| 19,410,054 | |||
| Tobacco - 0.5% | |||
| Altria Group, Inc.: | |||
| 3.49% 2/14/22 | 2,867,000 | 2,944,671 | |
| 3.8% 2/14/24 | 1,300,000 | 1,366,223 | |
| 4.75% 5/5/21 | 4,386,000 | 4,552,482 | |
| BAT Capital Corp.: | |||
| 3 month U.S. LIBOR + 0.590% 2.4993% 8/14/20 (a)(b) | 6,600,000 | 6,613,520 | |
| 2.764% 8/15/22 | 3,525,000 | 3,563,427 | |
| Imperial Tobacco Finance PLC: | |||
| 2.95% 7/21/20 (c) | 15,940,000 | 15,995,110 | |
| 3.75% 7/21/22 (c) | 1,800,000 | 1,853,779 | |
| Reynolds American, Inc. 3.25% 6/12/20 | 310,000 | 311,769 | |
| 37,200,981 | |||
| TOTAL CONSUMER STAPLES | 80,788,516 | ||
| ENERGY - 1.2% | |||
| Energy Equipment & Services - 0.1% | |||
| Schlumberger Finance Canada Ltd. 2.2% 11/20/20 (c) | 5,000,000 | 5,011,515 | |
| Schlumberger Holdings Corp. 3.75% 5/1/24 (c) | 620,000 | 652,859 | |
| 5,664,374 | |||
| Oil, Gas & Consumable Fuels - 1.1% | |||
| BP Capital Markets PLC 3 month U.S. LIBOR + 0.250% 2.1595% 11/24/20 (a)(b) | 10,000,000 | 10,014,651 | |
| Cenovus Energy, Inc. 3% 8/15/22 | 1,100,000 | 1,112,370 | |
| Chevron Corp. 3 month U.S. LIBOR + 0.480% 2.6176% 3/3/22 (a)(b) | 4,700,000 | 4,731,390 | |
| China Shenhua Overseas Capital Co. Ltd. 3.125% 1/20/20 (Reg. S) | 1,740,000 | 1,740,731 | |
| Columbia Pipeline Group, Inc. 3.3% 6/1/20 | 1,135,000 | 1,140,604 | |
| Diamondback Energy, Inc.: | |||
| 2.875% 12/1/24 (d) | 3,805,000 | 3,802,047 | |
| 4.75% 11/1/24 | 1,790,000 | 1,855,156 | |
| Energy Transfer Partners LP: | |||
| 4.25% 3/15/23 | 615,000 | 639,313 | |
| 5.875% 1/15/24 | 2,375,000 | 2,616,041 | |
| Eni SpA 4% 9/12/23 (c) | 390,000 | 410,862 | |
| Enterprise Products Operating LP: | |||
| 2.8% 2/15/21 | 1,020,000 | 1,029,345 | |
| 2.85% 4/15/21 | 3,000,000 | 3,030,666 | |
| 3.5% 2/1/22 | 1,050,000 | 1,082,334 | |
| 5.2% 9/1/20 | 4,000,000 | 4,092,578 | |
| EQT Corp. 3 month U.S. LIBOR + 0.770% 2.8686% 10/1/20 (a)(b) | 2,000,000 | 1,994,940 | |
| Exxon Mobil Corp. 3 month U.S. LIBOR + 0.330% 2.2341% 8/16/22 (a)(b) | 7,000,000 | 7,033,920 | |
| Marathon Oil Corp. 2.8% 11/1/22 | 1,925,000 | 1,954,237 | |
| MPLX LP: | |||
| 3 month U.S. LIBOR + 0.900% 3.0021% 9/9/21 (a)(b) | 275,000 | 275,933 | |
| 3 month U.S. LIBOR + 1.100% 3.2021% 9/9/22 (a)(b) | 1,683,000 | 1,688,958 | |
| Occidental Petroleum Corp.: | |||
| 3 month U.S. LIBOR + 0.950% 2.8543% 2/8/21 (a)(b) | 6,819,000 | 6,863,942 | |
| 3 month U.S. LIBOR + 1.250% 3.1546% 8/13/21 (a)(b) | 2,104,000 | 2,116,320 | |
| 3 month U.S. LIBOR + 1.450% 3.3599% 8/15/22 (a)(b) | 2,050,000 | 2,062,227 | |
| 2.6% 8/13/21 | 1,005,000 | 1,009,959 | |
| 2.7% 8/15/22 | 955,000 | 962,913 | |
| Phillips 66 Co. 3 month U.S. LIBOR + 0.600% 2.5173% 2/26/21 (a)(b) | 5,033,000 | 5,033,021 | |
| Plains All American Pipeline LP/PAA Finance Corp.: | |||
| 5% 2/1/21 | 455,000 | 466,019 | |
| 5.75% 1/15/20 | 440,000 | 441,697 | |
| Sabine Pass Liquefaction LLC 5.625% 2/1/21 (a) | 3,040,000 | 3,127,630 | |
| Saudi Arabian Oil Co. 2.75% 4/16/22 (c) | 1,815,000 | 1,833,150 | |
| Shell International Finance BV 2.125% 5/11/20 | 5,000,000 | 5,006,355 | |
| The Williams Companies, Inc. 3.7% 1/15/23 | 1,665,000 | 1,718,919 | |
| Western Gas Partners LP 4% 7/1/22 | 1,800,000 | 1,828,400 | |
| Williams Partners LP: | |||
| 3.35% 8/15/22 | 200,000 | 204,934 | |
| 5.25% 3/15/20 | 2,630,000 | 2,652,739 | |
| 85,574,301 | |||
| TOTAL ENERGY | 91,238,675 | ||
| FINANCIALS - 14.0% | |||
| Banks - 8.8% | |||
| Abbey National PLC 2.125% 11/3/20 | 570,000 | 570,611 | |
| ABN AMRO Bank NV: | |||
| 3 month U.S. LIBOR + 0.410% 2.3759% 1/19/21 (a)(b)(c) | 10,000,000 | 10,015,040 | |
| 3 month U.S. LIBOR + 0.570% 2.4886% 8/27/21 (a)(b)(c) | 12,413,000 | 12,458,608 | |
| Australia & New Zealand Banking Group Ltd. 3 month U.S. LIBOR + 0.500% 2.4026% 8/19/20 (a)(b)(c) | 7,000,000 | 7,022,617 | |
| Banco Santander Chile 2.5% 12/15/20 (c) | 1,745,000 | 1,740,690 | |
| Banco Santander Mexico SA 4.125% 11/9/22 (Reg. S) | 1,750,000 | 1,821,641 | |
| Banco Santander SA 3 month U.S. LIBOR + 1.120% 3.1209% 4/12/23 (a)(b) | 800,000 | 803,502 | |
| Bank of America Corp.: | |||
| 3 month U.S. LIBOR + 0.380% 2.314% 1/23/22 (a)(b) | 15,000,000 | 15,023,280 | |
| 3 month U.S. LIBOR + 0.650% 2.7486% 10/1/21 (a)(b) | 10,000,000 | 10,036,650 | |
| 3 month U.S. LIBOR + 0.650% 2.7563% 6/25/22 (a)(b) | 20,000,000 | 20,115,869 | |
| 2.503% 10/21/22 | 1,475,000 | 1,487,658 | |
| 2.625% 4/19/21 | 715,000 | 721,483 | |
| 2.738% 1/23/22 (a) | 830,000 | 835,817 | |
| 3.3% 1/11/23 | 1,445,000 | 1,494,358 | |
| Bank of Montreal: | |||
| 3 month U.S. LIBOR + 0.400% 2.5341% 9/10/21 (a)(b) | 5,000,000 | 5,011,547 | |
| 3 month U.S. LIBOR + 0.440% 2.5585% 6/15/20 (a)(b) | 11,600,000 | 11,624,383 | |
| 3 month U.S. LIBOR + 0.460% 2.4609% 4/13/21 (a)(b) | 960,000 | 963,676 | |
| 3 month U.S. LIBOR + 0.570% 2.683% 3/26/22 (a)(b) | 5,000,000 | 5,025,654 | |
| 3 month U.S. LIBOR + 0.600% 2.7316% 12/12/19 (a)(b) | 5,000,000 | 5,001,314 | |
| Bank of Nova Scotia 3 month U.S. LIBOR + 0.290% 2.317% 1/8/21 (a)(b) | 10,000,000 | 10,017,163 | |
| Banque Federative du Credit Mutuel SA: | |||
| 3 month U.S. LIBOR + 0.490% 2.4559% 7/20/20 (a)(b)(c) | 15,000,000 | 15,032,784 | |
| 2.125% 11/21/22 (c) | 1,415,000 | 1,412,688 | |
| 2.2% 7/20/20 (c) | 940,000 | 941,485 | |
| 2.5% 4/13/21 (c) | 5,000,000 | 5,033,551 | |
| Barclays Bank PLC: | |||
| 3 month U.S. LIBOR + 0.460% 2.4443% 1/11/21 (a)(b) | 11,000,000 | 10,996,463 | |
| 3 month U.S. LIBOR + 0.650% 2.5435% 8/7/20 (a)(b) | 15,000,000 | 15,030,441 | |
| 2.65% 1/11/21 | 905,000 | 910,326 | |
| Barclays PLC 3 month U.S. LIBOR + 1.625% 3.6345% 1/10/23 (a)(b) | 645,000 | 652,568 | |
| BB&T Corp.: | |||
| 3 month U.S. LIBOR + 0.450% 2.4509% 1/15/20 (a)(b) | 5,000,000 | 5,002,200 | |
| 2.15% 2/1/21 | 1,160,000 | 1,161,420 | |
| BNP Paribas SA 3 month U.S. LIBOR + 0.390% 2.2835% 8/7/21 (a)(b)(c) | 5,000,000 | 5,009,257 | |
| BPCE SA: | |||
| 3 month U.S. LIBOR + 1.220% 3.1188% 5/22/22 (a)(b)(c) | 605,000 | 612,548 | |
| 3.145% 7/31/20 (c) | 5,000,000 | 5,038,563 | |
| Capital One NA 2.15% 9/6/22 | 2,575,000 | 2,570,085 | |
| Citibank NA: | |||
| 3 month U.S. LIBOR + 0.300% 2.2659% 10/20/20 (a)(b) | 4,500,000 | 4,506,813 | |
| 3 month U.S. LIBOR + 0.600% 2.4985% 5/20/22 (a)(b) | 8,000,000 | 8,025,493 | |
| Citigroup, Inc.: | |||
| 3 month U.S. LIBOR + 0.790% 2.7995% 1/10/20 (a)(b) | 5,000,000 | 5,000,561 | |
| 2.35% 8/2/21 | 5,000,000 | 5,022,262 | |
| 2.7% 3/30/21 | 880,000 | 887,440 | |
| 2.9% 12/8/21 | 1,495,000 | 1,517,472 | |
| Compass Bank 3 month U.S. LIBOR + 0.730% 2.8684% 6/11/21 (a)(b) | 10,450,000 | 10,466,981 | |
| Credit Agricole SA: | |||
| 3 month U.S. LIBOR + 0.970% 3.1041% 6/10/20 (a)(b)(c) | 13,280,000 | 13,337,316 | |
| 3 month U.S. LIBOR + 1.020% 2.956% 4/24/23 (a)(b)(c) | 675,000 | 680,467 | |
| Credit Suisse Group Funding Guernsey Ltd. 3 month U.S. LIBOR + 2.290% 4.2933% 4/16/21 (a)(b) | 4,250,000 | 4,361,604 | |
| Credit Suisse New York Branch 5.4% 1/14/20 | 315,000 | 316,195 | |
| Danske Bank A/S: | |||
| 2.2% 3/2/20 (c) | 1,545,000 | 1,544,886 | |
| 3.001% 9/20/22 (a)(c) | 1,475,000 | 1,485,221 | |
| 5% 1/12/22 (c) | 1,050,000 | 1,102,353 | |
| Discover Bank 7% 4/15/20 | 2,025,000 | 2,060,452 | |
| First Niagara Financial Group, Inc. 7.25% 12/15/21 | 515,000 | 564,909 | |
| HSBC Holdings PLC: | |||
| 3 month U.S. LIBOR + 0.600% 2.5041% 5/18/21 (a)(b) | 6,165,000 | 6,172,556 | |
| 3 month U.S. LIBOR + 0.650% 2.7816% 9/11/21 (a)(b) | 5,675,000 | 5,690,993 | |
| Huntington National Bank 3 month U.S. LIBOR + 0.510% 2.6441% 3/10/20 (a)(b) | 9,027,000 | 9,037,768 | |
| ING Groep NV 3 month U.S. LIBOR + 1.150% 3.2544% 3/29/22 (a)(b) | 735,000 | 744,138 | |
| JPMorgan Chase & Co.: | |||
| 3 month U.S. LIBOR + 0.550% 2.6521% 3/9/21 (a)(b) | 1,485,000 | 1,486,586 | |
| 3 month U.S. LIBOR + 0.680% 2.8176% 6/1/21 (a)(b) | 10,024,000 | 10,043,041 | |
| 3 month U.S. LIBOR + 0.950% 2.889% 1/23/20 (a)(b) | 7,111,000 | 7,120,874 | |
| 3 month U.S. LIBOR + 1.100% 3.2021% 6/7/21 (a)(b) | 11,083,000 | 11,209,790 | |
| 2.4% 6/7/21 | 2,836,000 | 2,851,891 | |
| 2.55% 10/29/20 | 10,000,000 | 10,046,779 | |
| 4.25% 10/15/20 | 390,000 | 397,666 | |
| 4.5% 1/24/22 | 1,530,000 | 1,605,391 | |
| KeyBank NA 3 month U.S. LIBOR + 0.660% 2.5691% 2/1/22 (a)(b) | 8,128,000 | 8,184,251 | |
| Lloyds Bank PLC 3 month U.S. LIBOR + 0.490% 2.3835% 5/7/21 (a)(b) | 9,000,000 | 9,015,252 | |
| Manufacturers & Traders Trust Co. 3 month U.S. LIBOR + 0.270% 2.2096% 1/25/21 (a)(b) | 10,000,000 | 10,006,400 | |
| Mitsubishi UFJ Financial Group, Inc.: | |||
| 3 month U.S. LIBOR + 0.650% 2.5856% 7/26/21 (a)(b) | 6,926,000 | 6,959,520 | |
| 3 month U.S. LIBOR + 0.700% 2.8021% 3/7/22 (a)(b) | 10,000,000 | 10,037,405 | |
| 3 month U.S. LIBOR + 0.860% 2.7956% 7/26/23 (a)(b) | 665,000 | 668,097 | |
| 3 month U.S. LIBOR + 0.920% 2.8188% 2/22/22 (a)(b) | 840,000 | 847,916 | |
| 3.218% 3/7/22 | 1,090,000 | 1,116,282 | |
| Mizuho Financial Group, Inc.: | |||
| 3 month U.S. LIBOR + 0.940% 2.8538% 2/28/22 (a)(b) | 5,000,000 | 5,045,369 | |
| 3 month U.S. LIBOR + 1.140% 3.2673% 9/13/21 (a)(b) | 17,000,000 | 17,205,144 | |
| Nordea Bank AB: | |||
| 3 month U.S. LIBOR + 0.470% 2.3838% 5/29/20 (a)(b)(c) | 12,000,000 | 12,023,054 | |
| 4.875% 5/13/21 (c) | 710,000 | 735,583 | |
| PNC Bank NA: | |||
| 3 month U.S. LIBOR + 0.350% 2.4816% 3/12/21 (a)(b) | 7,000,000 | 7,005,017 | |
| 3 month U.S. LIBOR + 0.360% 2.2626% 5/19/20 (a)(b) | 10,000,000 | 10,013,416 | |
| Rabobank Nederland 3.95% 11/9/22 | 1,370,000 | 1,429,152 | |
| Rabobank Nederland New York Branch: | |||
| 3 month U.S. LIBOR + 0.430% 2.3656% 4/26/21 (a)(b) | 12,500,000 | 12,539,750 | |
| 3 month U.S. LIBOR + 0.830% 2.8395% 1/10/22 (a)(b) | 5,000,000 | 5,049,328 | |
| RBS Citizens NA: | |||
| 3 month U.S. LIBOR + 0.540% 2.6776% 3/2/20 (a)(b) | 15,000,000 | 15,010,410 | |
| 3 month U.S. LIBOR + 0.570% 2.4873% 5/26/20 (a)(b) | 10,000,000 | 10,020,258 | |
| Regions Bank: | |||
| 3 month U.S. LIBOR + 0.380% 2.4786% 4/1/21 (a)(b) | 14,385,000 | 14,394,917 | |
| 3 month U.S. LIBOR + 0.500% 2.4046% 8/13/21 (a)(b) | 8,350,000 | 8,351,445 | |
| Royal Bank of Canada: | |||
| 3 month U.S. LIBOR + 0.300% 2.2533% 7/22/20 (a)(b) | 5,000,000 | 5,009,175 | |
| 3 month U.S. LIBOR + 0.390% 2.3255% 4/30/21 (a)(b) | 10,000,000 | 10,032,913 | |
| 3 month U.S. LIBOR + 0.400% 2.3396% 1/25/21 (a)(b) | 5,000,000 | 5,012,397 | |
| Santander Holdings U.S.A., Inc. 4.45% 12/3/21 | 7,000,000 | 7,266,322 | |
| Santander UK Group Holdings PLC 2.875% 10/16/20 | 820,000 | 823,254 | |
| Standard Chartered PLC: | |||
| 3 month U.S. LIBOR + 1.150% 3.1159% 1/20/23 (a)(b)(c) | 910,000 | 914,978 | |
| 2.744% 9/10/22 (a)(c) | 860,000 | 863,035 | |
| Sumitomo Mitsui Banking Corp.: | |||
| 3 month U.S. LIBOR + 0.350% 2.3521% 1/17/20 (a)(b) | 17,048,000 | 17,058,433 | |
| 3 month U.S. LIBOR + 0.370% 2.3709% 10/16/20 (a)(b) | 5,000,000 | 5,011,450 | |
| Sumitomo Mitsui Financial Group, Inc. 3 month U.S. LIBOR + 1.680% 3.7821% 3/9/21 (a)(b) | 3,000,000 | 3,050,494 | |
| SunTrust Banks, Inc.: | |||
| 3 month U.S. LIBOR + 0.500% 2.4356% 10/26/21 (a)(b) | 5,000,000 | 5,007,599 | |
| 3 month U.S. LIBOR + 0.530% 2.4571% 1/31/20 (a)(b) | 10,000,000 | 10,004,122 | |
| Svenska Handelsbanken AB 3 month U.S. LIBOR + 0.470% 2.3795% 5/24/21 (a)(b) | 8,500,000 | 8,534,085 | |
| Swedbank AB 2.65% 3/10/21 (c) | 1,720,000 | 1,727,984 | |
| Synchrony Bank 3% 6/15/22 | 7,395,000 | 7,497,367 | |
| The Toronto-Dominion Bank: | |||
| 3 month U.S. LIBOR + 0.240% 2.1796% 1/25/21 (a)(b) | 11,565,000 | 11,577,622 | |
| 3 month U.S. LIBOR + 0.260% 2.3994% 9/17/20 (a)(b) | 5,000,000 | 5,007,995 | |
| 3 month U.S. LIBOR + 0.270% 2.4094% 3/17/21 (a)(b) | 10,000,000 | 10,012,006 | |
| U.S. Bancorp 3% 3/15/22 | 1,530,000 | 1,566,407 | |
| U.S. Bank NA, Cincinnati 3 month U.S. LIBOR + 0.250% 2.186% 7/24/20 (a)(b) | 5,000,000 | 5,005,547 | |
| Wells Fargo & Co.: | |||
| 3 month U.S. LIBOR + 0.880% 2.8333% 7/22/20 (a)(b) | 14,900,000 | 14,972,679 | |
| 2.55% 12/7/20 | 95,000 | 95,548 | |
| 2.6% 7/22/20 | 5,000,000 | 5,020,499 | |
| 3.5% 3/8/22 | 550,000 | 567,022 | |
| Wells Fargo Bank NA: | |||
| 3 month U.S. LIBOR + 0.230% 2.2309% 1/15/20 (a)(b) | 10,000,000 | 10,005,428 | |
| 3 month U.S. LIBOR + 0.500% 2.434% 7/23/21 (a)(b) | 5,000,000 | 5,008,518 | |
| U.S. SOFR SEC OVRN FIN RATE INDX + 0.480% 2.03% 3/25/20 (a)(b) | 5,000,000 | 5,002,599 | |
| 2.082% 9/9/22 (a) | 1,105,000 | 1,103,830 | |
| 3.325% 7/23/21 (a) | 1,935,000 | 1,950,670 | |
| 648,851,782 | |||
| Capital Markets - 2.2% | |||
| Bank of New York, New York: | |||
| 3 month U.S. LIBOR + 0.280% 2.4128% 6/4/21 (a)(b) | 5,000,000 | 5,005,484 | |
| 3 month U.S. LIBOR + 0.300% 2.4328% 12/4/20 (a)(b) | 7,000,000 | 7,000,029 | |
| Charles Schwab Corp. 3 month U.S. LIBOR + 0.320% 2.2146% 5/21/21 (a)(b) | 990,000 | 991,249 | |
| Citigroup Funding, Inc. 2.312% 11/4/22 (a) | 6,290,000 | 6,302,691 | |
| Credit Suisse AG 2.1% 11/12/21 | 4,591,000 | 4,600,860 | |
| Deutsche Bank AG New York Branch: | |||
| 3 month U.S. LIBOR + 0.810% 2.7683% 1/22/21 (a)(b) | 10,000,000 | 9,961,274 | |
| 3 month U.S. LIBOR + 1.290% 3.1923% 2/4/21 (a)(b) | 860,000 | 861,072 | |
| 2.95% 8/20/20 | 3,940,000 | 3,948,143 | |
| 3.15% 1/22/21 | 1,435,000 | 1,436,926 | |
| 3.375% 5/12/21 | 125,000 | 125,848 | |
| Goldman Sachs Group, Inc.: | |||
| 3 month U.S. LIBOR + 0.800% 2.9273% 12/13/19 (a)(b) | 15,000,000 | 15,003,636 | |
| 3 month U.S. LIBOR + 1.200% 3.3185% 9/15/20 (a)(b) | 4,670,000 | 4,706,364 | |
| 3 month U.S. LIBOR + 1.360% 3.2996% 4/23/21 (a)(b) | 10,000,000 | 10,143,200 | |
| 2.875% 2/25/21 | 375,000 | 378,537 | |
| 2.876% 10/31/22 (a) | 520,000 | 525,960 | |
| 3% 4/26/22 | 1,505,000 | 1,522,381 | |
| 5.75% 1/24/22 | 780,000 | 837,388 | |
| Moody's Corp. 5.5% 9/1/20 | 7,000,000 | 7,175,050 | |
| Morgan Stanley: | |||
| 3 month U.S. LIBOR + 0.550% 2.4506% 2/10/21 (a)(b) | 27,000,000 | 27,020,488 | |
| 3 month U.S. LIBOR + 0.930% 2.8833% 7/22/22 (a)(b) | 4,040,000 | 4,076,780 | |
| U.S. SOFR SEC OVRN FIN RATE INDX + 0.830% 2.647% 6/10/22 (a)(b) | 5,000,000 | 5,012,990 | |
| 2.5% 4/21/21 | 400,000 | 402,467 | |
| 2.625% 11/17/21 | 6,225,000 | 6,292,462 | |
| 2.75% 5/19/22 | 1,095,000 | 1,110,336 | |
| 5.5% 1/26/20 | 300,000 | 301,523 | |
| 5.5% 7/24/20 | 670,000 | 685,132 | |
| TD Ameritrade Holding Corp. 3 month U.S. LIBOR + 0.430% 2.3391% 11/1/21 (a)(b) | 7,500,000 | 7,518,075 | |
| UBS AG London Branch 3 month U.S. LIBOR + 0.580% 2.6821% 6/8/20 (a)(b)(c) | 23,790,000 | 23,839,847 | |
| UBS Group Funding AG 3 month U.S. LIBOR + 1.220% 3.1295% 5/23/23 (a)(b)(c) | 880,000 | 891,616 | |
| UBS Group Funding Ltd. 3% 4/15/21 (c) | 1,495,000 | 1,514,641 | |
| 159,192,449 | |||
| Consumer Finance - 1.9% | |||
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
| 3.95% 2/1/22 | 1,070,000 | 1,105,939 | |
| 4.45% 12/16/21 | 1,245,000 | 1,296,858 | |
| 4.625% 10/30/20 | 635,000 | 649,088 | |
| American Express Co.: | |||
| 3 month U.S. LIBOR + 0.600% 2.4905% 11/5/21 (a)(b) | 6,750,000 | 6,789,230 | |
| 2.2% 10/30/20 | 3,000,000 | 3,006,323 | |
| 3% 2/22/21 | 6,095,000 | 6,171,587 | |
| 3.375% 5/17/21 | 1,500,000 | 1,528,739 | |
| American Express Credit Corp. 3 month U.S. LIBOR + 0.430% 2.5676% 3/3/20 (a)(b) | 15,000,000 | 15,010,400 | |
| Aviation Capital Group LLC: | |||
| 3 month U.S. LIBOR + 0.670% 2.6055% 7/30/21 (a)(b)(c) | 1,427,000 | 1,424,211 | |
| 3 month U.S. LIBOR + 0.950% 3.0818% 6/1/21 (a)(b)(c) | 4,307,000 | 4,319,875 | |
| Capital One Financial Corp.: | |||
| 3 month U.S. LIBOR + 0.760% 2.6606% 5/12/20 (a)(b) | 10,000,000 | 10,022,173 | |
| 2.4% 10/30/20 | 615,000 | 616,991 | |
| 2.5% 5/12/20 | 360,000 | 360,655 | |
| 3.2% 1/30/23 | 765,000 | 786,572 | |
| 3.5% 6/15/23 | 555,000 | 576,161 | |
| 3.9% 1/29/24 | 505,000 | 533,289 | |
| Ford Motor Credit Co. LLC: | |||
| 3 month U.S. LIBOR + 0.930% 3.0646% 9/24/20 (a)(b) | 1,855,000 | 1,856,970 | |
| 3 month U.S. LIBOR + 1.000% 3.012% 1/9/20 (a)(b) | 8,835,000 | 8,841,727 | |
| 2.459% 3/27/20 | 510,000 | 510,149 | |
| 2.681% 1/9/20 | 1,730,000 | 1,730,460 | |
| 3.157% 8/4/20 | 3,910,000 | 3,924,512 | |
| 3.35% 11/1/22 | 1,155,000 | 1,161,264 | |
| 3.47% 4/5/21 | 415,000 | 417,810 | |
| 3.813% 10/12/21 | 495,000 | 502,269 | |
| 5.875% 8/2/21 | 290,000 | 303,625 | |
| GE Capital International Funding Co. 2.342% 11/15/20 | 14,564,000 | 14,548,759 | |
| Hyundai Capital America: | |||
| 2.45% 6/15/21 (c) | 755,000 | 756,269 | |
| 2.85% 11/1/22 (c) | 511,000 | 515,036 | |
| 3% 6/20/22 (c) | 1,060,000 | 1,069,945 | |
| 3.95% 2/1/22 (c) | 1,315,000 | 1,351,487 | |
| John Deere Capital Corp.: | |||
| 3 month U.S. LIBOR + 0.160% 2.187% 1/8/21 (a)(b) | 8,720,000 | 8,723,379 | |
| 3 month U.S. LIBOR + 0.170% 2.182% 10/9/20 (a)(b) | 5,000,000 | 5,004,491 | |
| 3 month U.S. LIBOR + 0.240% 2.3716% 3/12/21 (a)(b) | 5,000,000 | 5,003,244 | |
| 3 month U.S. LIBOR + 0.260% 2.3941% 9/10/21 (a)(b) | 5,000,000 | 5,000,600 | |
| 3 month U.S. LIBOR + 0.420% 2.4295% 7/10/20 (a)(b) | 5,000,000 | 5,011,847 | |
| Paccar Financial Corp. 3.1% 5/10/21 | 1,260,000 | 1,280,947 | |
| Synchrony Financial: | |||
| 2.7% 2/3/20 | 3,250,000 | 3,251,538 | |
| 2.85% 7/25/22 | 2,713,000 | 2,739,290 | |
| Toyota Motor Credit Corp. 3 month U.S. LIBOR + 0.170% 2.3151% 9/18/20 (a)(b) | 10,000,000 | 10,008,921 | |
| 137,712,630 | |||
| Diversified Financial Services - 0.2% | |||
| AIG Global Funding: | |||
| 3 month U.S. LIBOR + 0.460% 2.5663% 6/25/21 (a)(b)(c) | 4,293,000 | 4,309,419 | |
| 2.3% 7/1/22 (c) | 1,528,000 | 1,534,281 | |
| 3.35% 6/25/21 (c) | 770,000 | 785,036 | |
| Avolon Holdings Funding Ltd.: | |||
| 3.625% 5/1/22 (c) | 1,560,000 | 1,594,114 | |
| 3.95% 7/1/24 (c) | 265,000 | 274,779 | |
| Brixmor Operating Partnership LP 3.875% 8/15/22 | 170,000 | 177,050 | |
| CNH Industrial Capital LLC: | |||
| 3.875% 10/15/21 | 1,325,000 | 1,357,039 | |
| 4.375% 11/6/20 | 1,725,000 | 1,758,931 | |
| General Electric Capital Corp.: | |||
| 3.45% 5/15/24 | 530,000 | 548,737 | |
| 4.65% 10/17/21 | 975,000 | 1,018,821 | |
| 5.3% 2/11/21 | 130,000 | 134,397 | |
| Park Aerospace Holdings Ltd.: | |||
| 4.5% 3/15/23 (c) | 435,000 | 455,532 | |
| 5.25% 8/15/22 (c) | 880,000 | 934,648 | |
| 14,882,784 | |||
| Insurance - 0.9% | |||
| ACE INA Holdings, Inc. 2.3% 11/3/20 | 970,000 | 972,600 | |
| AIA Group Ltd. 3 month U.S. LIBOR + 0.520% 2.6759% 9/20/21 (a)(b)(c) | 6,046,000 | 6,049,809 | |
| American International Group, Inc.: | |||
| 4.875% 6/1/22 | 675,000 | 722,402 | |
| 6.4% 12/15/20 | 2,010,000 | 2,098,370 | |
| Aon Corp.: | |||
| 2.2% 11/15/22 | 1,182,000 | 1,182,871 | |
| 5% 9/30/20 | 4,135,000 | 4,236,524 | |
| Aon PLC 2.8% 3/15/21 | 1,320,000 | 1,331,756 | |
| Lincoln National Corp. 4% 9/1/23 | 270,000 | 287,510 | |
| Marsh & McLennan Companies, Inc.: | |||
| 3 month U.S. LIBOR + 1.200% 3.3044% 12/29/21 (a)(b) | 4,546,000 | 4,548,640 | |
| 3.5% 12/29/20 | 3,582,000 | 3,641,729 | |
| 3.875% 3/15/24 | 725,000 | 770,782 | |
| MassMutual Global Funding II 2.25% 7/1/22 (c) | 1,150,000 | 1,160,621 | |
| Metropolitan Life Global Funding I: | |||
| 3 month U.S. LIBOR + 0.400% 2.5316% 6/12/20 (a)(b)(c) | 10,000,000 | 10,017,470 | |
| U.S. SOFR SEC OVRN FIN RATE INDX + 0.570% 2.12% 9/7/20 (a)(b)(c) | 5,000,000 | 5,011,146 | |
| 2.5% 12/3/20 (Reg. S) (c) | 3,000,000 | 3,018,117 | |
| New York Life Global Funding: | |||
| 3 month U.S. LIBOR + 0.320% 2.2283% 8/6/21 (a)(b)(c) | 6,177,000 | 6,194,501 | |
| 2.95% 1/28/21 (c) | 3,775,000 | 3,820,329 | |
| Protective Life Global Funding: | |||
| 3 month U.S. LIBOR + 0.370% 2.3709% 7/13/20 (a)(b)(c) | 7,000,000 | 7,011,845 | |
| 3 month U.S. LIBOR + 0.520% 2.6244% 6/28/21 (a)(b)(c) | 2,000,000 | 2,008,253 | |
| Reinsurance Group of America, Inc. 5% 6/1/21 | 125,000 | 130,336 | |
| Trinity Acquisition PLC 3.5% 9/15/21 | 650,000 | 662,824 | |
| 64,878,435 | |||
| 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 | 382,678 | |
| TOTAL FINANCIALS | 1,025,900,758 | ||
| HEALTH CARE - 1.9% | |||
| Biotechnology - 0.2% | |||
| AbbVie, Inc.: | |||
| 3 month U.S. LIBOR + 0.650% 2.5446% 11/21/22 (a)(b)(c) | 7,100,000 | 7,125,844 | |
| 2.3% 5/14/21 | 850,000 | 854,475 | |
| 2.6% 11/21/24 (c) | 2,745,000 | 2,759,518 | |
| 2.9% 11/6/22 | 1,740,000 | 1,772,134 | |
| 3.2% 11/6/22 | 170,000 | 174,077 | |
| Baxalta, Inc. 3.6% 6/23/22 | 265,000 | 271,868 | |
| Biogen, Inc. 2.9% 9/15/20 | 510,000 | 512,909 | |
| 13,470,825 | |||
| Health Care Equipment & Supplies - 0.2% | |||
| Abbott Laboratories 2.9% 11/30/21 | 1,075,000 | 1,094,411 | |
| Becton, Dickinson & Co.: | |||
| 3 month U.S. LIBOR + 0.870% 2.9794% 12/29/20 (a)(b) | 8,326,000 | 8,331,162 | |
| 2.404% 6/5/20 | 1,195,000 | 1,197,123 | |
| 2.675% 12/15/19 | 476,000 | 476,068 | |
| 2.894% 6/6/22 | 675,000 | 685,319 | |
| 3.125% 11/8/21 | 350,000 | 356,212 | |
| Zimmer Biomet Holdings, Inc. 3 month U.S. LIBOR + 0.750% 2.9141% 3/19/21 (a)(b) | 3,220,000 | 3,220,602 | |
| 15,360,897 | |||
| Health Care Providers & Services - 0.9% | |||
| AmerisourceBergen Corp. 3.5% 11/15/21 | 610,000 | 624,396 | |
| Anthem, Inc. 2.5% 11/21/20 | 1,095,000 | 1,100,316 | |
| Cardinal Health, Inc.: | |||
| 2.616% 6/15/22 | 115,000 | 116,110 | |
| 3.079% 6/15/24 | 695,000 | 710,608 | |
| 3.2% 3/15/23 | 875,000 | 897,004 | |
| 3.5% 11/15/24 | 1,180,000 | 1,229,062 | |
| Cigna Corp.: | |||
| 3 month U.S. LIBOR + 0.350% 2.4894% 3/17/20 (a)(b) | 10,000,000 | 10,005,432 | |
| 3 month U.S. LIBOR + 0.650% 2.7894% 9/17/21 (a)(b) | 5,165,000 | 5,166,157 | |
| 3% 7/15/23 (c) | 715,000 | 726,824 | |
| 3.4% 9/17/21 | 370,000 | 378,142 | |
| 3.75% 7/15/23 | 1,110,000 | 1,160,434 | |
| 3.9% 2/15/22 (c) | 585,000 | 605,239 | |
| 4.125% 9/15/20 (c) | 710,000 | 720,941 | |
| CVS Health Corp.: | |||
| 3 month U.S. LIBOR + 0.630% 2.7321% 3/9/20 (a)(b) | 62,000 | 62,085 | |
| 3 month U.S. LIBOR + 0.720% 2.8221% 3/9/21 (a)(b) | 6,025,000 | 6,053,435 | |
| 2.625% 8/15/24 | 335,000 | 337,694 | |
| 2.8% 7/20/20 | 11,000,000 | 11,050,627 | |
| 3.35% 3/9/21 | 1,556,000 | 1,580,943 | |
| 3.7% 3/9/23 | 1,940,000 | 2,020,172 | |
| Express Scripts Holding Co. 3 month U.S. LIBOR + 0.750% 2.6638% 11/30/20 (a)(b) | 14,665,000 | 14,667,075 | |
| Humana, Inc.: | |||
| 2.9% 12/15/22 | 160,000 | 162,957 | |
| 3.15% 12/1/22 | 315,000 | 322,568 | |
| 3.85% 10/1/24 | 60,000 | 63,850 | |
| McKesson Corp. 3.65% 11/30/20 | 1,380,000 | 1,401,942 | |
| 61,164,013 | |||
| Pharmaceuticals - 0.6% | |||
| Actavis Funding SCS 3.45% 3/15/22 | 615,000 | 628,387 | |
| Allergan PLC 3.25% 10/1/22 | 185,000 | 189,069 | |
| Bayer U.S. Finance II LLC: | |||
| 3 month U.S. LIBOR + 0.630% 2.7363% 6/25/21 (a)(b)(c) | 12,180,000 | 12,217,494 | |
| 3.5% 6/25/21 (c) | 855,000 | 869,105 | |
| Bristol-Myers Squibb Co.: | |||
| 2.55% 5/14/21 (c) | 9,104,000 | 9,192,867 | |
| 2.6% 5/16/22 (c) | 635,000 | 645,862 | |
| 2.75% 2/15/23 (c) | 605,000 | 616,840 | |
| 2.875% 8/15/20 (c) | 1,203,000 | 1,211,271 | |
| 2.875% 2/19/21 (c) | 1,110,000 | 1,121,847 | |
| 2.9% 7/26/24 (c) | 840,000 | 866,301 | |
| 3.25% 2/20/23 (c) | 185,000 | 191,604 | |
| 3.55% 8/15/22 (c) | 600,000 | 624,735 | |
| 3.625% 5/15/24 (c) | 160,000 | 169,411 | |
| Elanco Animal Health, Inc. 3.912% 8/27/21 | 1,170,000 | 1,199,755 | |
| EMD Finance LLC 2.95% 3/19/22 (c) | 430,000 | 436,280 | |
| Perrigo Finance PLC: | |||
| 3.5% 12/15/21 | 631,000 | 635,814 | |
| 3.9% 12/15/24 | 1,780,000 | 1,826,071 | |
| Shire Acquisitions Investments Ireland DAC: | |||
| 2.4% 9/23/21 | 1,000,000 | 1,004,519 | |
| 2.875% 9/23/23 | 115,000 | 117,073 | |
| Takeda Pharmaceutical Co. Ltd. 4% 11/26/21 (c) | 1,550,000 | 1,601,882 | |
| Zoetis, Inc. 3 month U.S. LIBOR + 0.440% 2.3385% 8/20/21 (a)(b) | 10,000,000 | 10,010,072 | |
| 45,376,259 | |||
| TOTAL HEALTH CARE | 135,371,994 | ||
| INDUSTRIALS - 1.1% | |||
| Aerospace & Defense - 0.2% | |||
| Harris Corp. 2.7% 4/27/20 | 1,090,000 | 1,092,280 | |
| Northrop Grumman Corp. 2.55% 10/15/22 | 785,000 | 796,042 | |
| United Technologies Corp. 3 month U.S. LIBOR + 0.650% 2.5541% 8/16/21 (a)(b) | 10,750,000 | 10,751,440 | |
| 12,639,762 | |||
| Airlines - 0.0% | |||
| American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27 | 661,706 | 671,906 | |
| Delta Air Lines, Inc.: | |||
| 2.6% 12/4/20 | 290,000 | 291,050 | |
| 2.875% 3/13/20 | 1,955,000 | 1,958,979 | |
| United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 410,000 | 413,075 | |
| 3,335,010 | |||
| Commercial Services & Supplies - 0.0% | |||
| Republic Services, Inc. 2.5% 8/15/24 | 880,000 | 888,322 | |
| Electrical Equipment - 0.0% | |||
| General Electric Capital Corp. 3.15% 9/7/22 | 555,000 | 565,920 | |
| Industrial Conglomerates - 0.2% | |||
| General Electric Co. 2.7% 10/9/22 | 1,095,000 | 1,104,136 | |
| Honeywell International, Inc. 3 month U.S. LIBOR + 0.370% 2.2743% 8/8/22 (a)(b) | 9,078,000 | 9,114,538 | |
| Roper Technologies, Inc.: | |||
| 2.35% 9/15/24 | 365,000 | 364,759 | |
| 3% 12/15/20 | 475,000 | 479,436 | |
| 3.125% 11/15/22 | 1,505,000 | 1,543,073 | |
| 3.65% 9/15/23 | 270,000 | 283,815 | |
| 12,889,757 | |||
| Machinery - 0.5% | |||
| Caterpillar Financial Services Corp.: | |||
| 3 month U.S. LIBOR + 0.230% 2.3485% 3/15/21 (a)(b) | 5,000,000 | 5,000,374 | |
| 3 month U.S. LIBOR + 0.250% 2.1673% 8/26/20 (a)(b) | 5,000,000 | 5,006,007 | |
| 3 month U.S. LIBOR + 0.280% 2.3821% 9/7/21 (a)(b) | 6,790,000 | 6,793,405 | |
| 3 month U.S. LIBOR + 0.300% 2.4124% 3/8/21 (a)(b) | 5,000,000 | 5,006,075 | |
| 3 month U.S. LIBOR + 0.510% 2.5195% 1/10/20 (a)(b) | 5,000,000 | 5,003,582 | |
| 2.95% 2/26/22 | 1,040,000 | 1,063,024 | |
| Westinghouse Air Brake Co. 3 month U.S. LIBOR + 1.050% 3.4185% 9/15/21 (a)(b) | 5,428,000 | 5,428,968 | |
| 33,301,435 | |||
| Professional Services - 0.0% | |||
| Equifax, Inc.: | |||
| 3 month U.S. LIBOR + 0.870% 2.7799% 8/15/21 (a)(b) | 610,000 | 611,784 | |
| 2.3% 6/1/21 | 975,000 | 975,238 | |
| 3.6% 8/15/21 | 570,000 | 583,689 | |
| 2,170,711 | |||
| Road & Rail - 0.1% | |||
| Eastern Creation II Investment Holdings Ltd. 2.75% 9/26/20 | 1,380,000 | 1,380,607 | |
| Kansas City Southern 2.35% 5/15/20 | 1,930,000 | 1,931,174 | |
| Penske Truck Leasing Co. LP: | |||
| 3.2% 7/15/20 (c) | 1,710,000 | 1,718,743 | |
| 3.3% 4/1/21 (c) | 1,160,000 | 1,174,910 | |
| 3.65% 7/29/21 (c) | 385,000 | 393,591 | |
| SMBC Aviation Capital Finance: | |||
| 3.55% 4/15/24 (c) | 325,000 | 336,752 | |
| 4.125% 7/15/23 (c) | 200,000 | 210,599 | |
| Union Pacific Corp. 3.2% 6/8/21 | 1,205,000 | 1,226,874 | |
| 8,373,250 | |||
| Trading Companies & Distributors - 0.1% | |||
| Air Lease Corp.: | |||
| 2.125% 1/15/20 | 1,285,000 | 1,284,925 | |
| 2.25% 1/15/23 | 810,000 | 806,934 | |
| 2.5% 3/1/21 | 275,000 | 276,057 | |
| 3.5% 1/15/22 | 5,560,000 | 5,701,252 | |
| GATX Corp. 2.6% 3/30/20 | 1,445,000 | 1,446,630 | |
| 9,515,798 | |||
| TOTAL INDUSTRIALS | 83,679,965 | ||
| INFORMATION TECHNOLOGY - 0.5% | |||
| Electronic Equipment & Components - 0.1% | |||
| Avnet, Inc. 3.75% 12/1/21 | 530,000 | 540,889 | |
| Jabil, Inc. 5.625% 12/15/20 | 485,000 | 500,518 | |
| Tyco Electronics Group SA 3 month U.S. LIBOR + 0.450% 2.5766% 6/5/20 (a)(b) | 5,261,000 | 5,267,474 | |
| 6,308,881 | |||
| IT Services - 0.2% | |||
| DXC Technology Co. 3 month U.S. LIBOR + 0.950% 3.0818% 3/1/21 (a)(b) | 1,431,000 | 1,431,071 | |
| Fidelity National Information Services, Inc.: | |||
| 2.25% 8/15/21 | 1,380,000 | 1,384,535 | |
| 3.625% 10/15/20 | 260,000 | 263,163 | |
| Fiserv, Inc. 2.75% 7/1/24 | 1,820,000 | 1,848,703 | |
| Global Payments, Inc. 2.65% 2/15/25 | 800,000 | 802,470 | |
| IBM Corp.: | |||
| 2.5% 1/27/22 | 460,000 | 465,033 | |
| 2.8% 5/13/21 | 10,000,000 | 10,122,988 | |
| 2.85% 5/13/22 | 725,000 | 738,867 | |
| 2.875% 11/9/22 | 125,000 | 128,108 | |
| 17,184,938 | |||
| Semiconductors & Semiconductor Equipment - 0.2% | |||
| Analog Devices, Inc. 2.85% 3/12/20 | 3,085,000 | 3,091,792 | |
| Broadcom Corp./Broadcom Cayman LP: | |||
| 2.2% 1/15/21 | 225,000 | 224,688 | |
| 2.375% 1/15/20 | 1,640,000 | 1,640,232 | |
| 3% 1/15/22 | 1,815,000 | 1,835,648 | |
| Microchip Technology, Inc. 3.922% 6/1/21 | 2,185,000 | 2,229,963 | |
| NXP BV/NXP Funding LLC: | |||
| 3.875% 9/1/22 (c) | 690,000 | 714,056 | |
| 4.125% 6/1/21 (c) | 795,000 | 814,840 | |
| 4.625% 6/1/23 (c) | 1,175,000 | 1,252,748 | |
| 11,803,967 | |||
| Technology Hardware, Storage & Peripherals - 0.0% | |||
| Apple, Inc. 2.4% 5/3/23 | 735,000 | 746,209 | |
| Xerox Corp. 5.625% 12/15/19 | 1,125,000 | 1,123,594 | |
| 1,869,803 | |||
| TOTAL INFORMATION TECHNOLOGY | 37,167,589 | ||
| MATERIALS - 0.4% | |||
| Chemicals - 0.3% | |||
| Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3 month U.S. LIBOR + 0.750% 2.6591% 5/1/20 (a)(b)(c) | 7,000,000 | 7,017,422 | |
| CNAC HK Finbridge Co. Ltd.: | |||
| 3% 7/19/20 (Reg. S) | 825,000 | 827,063 | |
| 4.125% 3/14/21 (Reg. S) | 765,000 | 778,627 | |
| DowDuPont, Inc. 3.766% 11/15/20 | 1,105,000 | 1,123,202 | |
| International Flavors & Fragrances, Inc. 3.4% 9/25/20 | 6,415,000 | 6,483,593 | |
| LyondellBasell Industries NV 6% 11/15/21 | 815,000 | 866,144 | |
| Syngenta Finance NV: | |||
| 3.698% 4/24/20 (c) | 940,000 | 942,856 | |
| 3.933% 4/23/21 (c) | 735,000 | 747,934 | |
| 18,786,841 | |||
| Construction Materials - 0.0% | |||
| Boral Finance Pty Ltd. 3% 11/1/22 (c) | 135,000 | 135,608 | |
| Martin Marietta Materials, Inc.: | |||
| 3 month U.S. LIBOR + 0.500% 2.6559% 12/20/19 (a)(b) | 600,000 | 600,045 | |
| 3 month U.S. LIBOR + 0.650% 2.5488% 5/22/20 (a)(b) | 330,000 | 330,438 | |
| Vulcan Materials Co.: | |||
| 3 month U.S. LIBOR + 0.600% 2.7185% 6/15/20 (a)(b) | 790,000 | 791,106 | |
| 3 month U.S. LIBOR + 0.650% 2.7818% 3/1/21 (a)(b) | 1,620,000 | 1,624,418 | |
| 3,481,615 | |||
| Containers & Packaging - 0.0% | |||
| Packaging Corp. of America 2.45% 12/15/20 | 555,000 | 558,403 | |
| Metals & Mining - 0.1% | |||
| Anglo American Capital PLC: | |||
| 3.75% 4/10/22 (c) | 400,000 | 411,209 | |
| 4.125% 9/27/22 (c) | 624,000 | 650,523 | |
| ArcelorMittal SA: | |||
| 5.5% 3/1/21 (a) | 1,698,000 | 1,762,408 | |
| 6.25% 2/25/22 (a) | 1,280,000 | 1,377,280 | |
| Southern Copper Corp. 5.375% 4/16/20 | 510,000 | 515,419 | |
| Vale Overseas Ltd. 4.375% 1/11/22 | 1,520,000 | 1,584,600 | |
| 6,301,439 | |||
| TOTAL MATERIALS | 29,128,298 | ||
| REAL ESTATE - 0.1% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.1% | |||
| American Campus Communities Operating Partnership LP 3.35% 10/1/20 | 1,105,000 | 1,115,254 | |
| Crown Castle International Corp.: | |||
| 2.25% 9/1/21 | 1,195,000 | 1,196,596 | |
| 3.4% 2/15/21 | 860,000 | 871,605 | |
| Highwoods/Forsyth LP 3.625% 1/15/23 | 515,000 | 532,628 | |
| Ventas Realty LP 3.1% 1/15/23 | 180,000 | 184,446 | |
| 3,900,529 | |||
| Real Estate Management & Development - 0.0% | |||
| WEA Finance LLC/Westfield UK & Europe Finance PLC 3.25% 10/5/20 (c) | 235,000 | 236,958 | |
| TOTAL REAL ESTATE | 4,137,487 | ||
| UTILITIES - 1.2% | |||
| Electric Utilities - 0.5% | |||
| American Electric Power Co., Inc. 3.65% 12/1/21 | 180,000 | 185,687 | |
| Duke Energy Corp.: | |||
| 3 month U.S. LIBOR + 0.500% 2.4093% 5/14/21 (a)(b)(c) | 7,000,000 | 7,024,719 | |
| 3.55% 9/15/21 | 330,000 | 337,456 | |
| Edison International: | |||
| 2.125% 4/15/20 | 1,140,000 | 1,139,126 | |
| 3.125% 11/15/22 | 650,000 | 653,045 | |
| EDP Finance BV 4.125% 1/15/20 (c) | 425,000 | 425,170 | |
| ENEL Finance International NV: | |||
| 2.875% 5/25/22 (c) | 1,660,000 | 1,677,463 | |
| 4.25% 9/14/23 (c) | 780,000 | 825,181 | |
| Exelon Corp. 2.85% 6/15/20 | 5,000,000 | 5,018,231 | |
| FirstEnergy Corp. 2.85% 7/15/22 | 885,000 | 898,883 | |
| Florida Power & Light Co. 3 month U.S. LIBOR + 0.400% 2.3083% 5/6/22 (a)(b) | 4,252,000 | 4,252,088 | |
| Israel Electric Corp. Ltd. 5% 11/12/24 (Reg. S) (c) | 1,365,000 | 1,503,261 | |
| Mississippi Power Co. 3 month U.S. LIBOR + 0.650% 2.7496% 3/27/20 (a)(b) | 1,770,000 | 1,770,632 | |
| NextEra Energy Capital Holdings, Inc. 3 month U.S. LIBOR + 0.550% 2.4638% 8/28/21 (a)(b) | 1,285,000 | 1,285,364 | |
| PNM Resources, Inc. 3.25% 3/9/21 | 995,000 | 1,007,454 | |
| Southern Co. 2.35% 7/1/21 | 280,000 | 281,113 | |
| State Grid Overseas Investment Ltd. 2.25% 5/4/20 (c) | 2,235,000 | 2,233,448 | |
| Vistra Operations Co. LLC 3.55% 7/15/24 (c) | 3,025,000 | 3,052,210 | |
| 33,570,531 | |||
| Gas Utilities - 0.1% | |||
| CenterPoint Energy Resources Corp. 4.5% 1/15/21 | 590,000 | 602,118 | |
| WGL Holdings, Inc. 3 month U.S. LIBOR + 0.550% 2.6816% 3/12/20 (a)(b) | 7,520,000 | 7,514,664 | |
| 8,116,782 | |||
| Independent Power and Renewable Electricity Producers - 0.0% | |||
| NRG Energy, Inc. 3.75% 6/15/24 (c) | 535,000 | 551,533 | |
| Multi-Utilities - 0.6% | |||
| CenterPoint Energy, Inc. 3.6% 11/1/21 | 455,000 | 469,721 | |
| Consolidated Edison Co. of New York, Inc. 3 month U.S. LIBOR + 0.400% 2.5063% 6/25/21 (a)(b) | 11,500,000 | 11,538,142 | |
| Dominion Energy, Inc.: | |||
| 3 month U.S. LIBOR + 0.400% 2.5376% 12/1/20 (a)(b)(c) | 10,000,000 | 10,006,516 | |
| 2.579% 7/1/20 (a) | 2,335,000 | 2,340,598 | |
| 2.715% 8/15/21 | 3,153,000 | 3,173,285 | |
| San Diego Gas & Electric Co. 1.914% 2/1/22 | 171,431 | 168,558 | |
| Sempra Energy: | |||
| 3 month U.S. LIBOR + 0.500% 2.5009% 1/15/21 (a)(b) | 17,575,000 | 17,571,551 | |
| 2.85% 11/15/20 | 1,830,000 | 1,841,775 | |
| 2.875% 10/1/22 | 535,000 | 543,587 | |
| 47,653,733 | |||
| TOTAL UTILITIES | 89,892,579 | ||
| TOTAL NONCONVERTIBLE BONDS | |||
| (Cost $1,785,369,649) | 1,795,545,380 | ||
| U.S. Treasury Obligations - 3.0% | |||
| U.S. Treasury Notes: | |||
| 1.125% 2/28/21 | $10,000,000 | $9,929,297 | |
| 1.75% 11/30/21 | 25,000,000 | 25,056,641 | |
| 1.75% 6/15/22 | 9,360,000 | 9,396,928 | |
| 1.75% 7/15/22 | 11,060,000 | 11,099,315 | |
| 2.125% 5/15/22 | 14,690,000 | 14,867,313 | |
| 2.25% 4/15/22 | 23,070,000 | 23,407,940 | |
| 2.375% 3/15/22 | 9,555,000 | 9,720,720 | |
| 2.5% 1/15/22 (e) | 16,550,000 | 16,849,969 | |
| 2.5% 2/15/22 | 17,605,000 | 17,935,781 | |
| 2.625% 12/15/21 | 16,010,000 | 16,331,451 | |
| 2.75% 11/30/20 (e) | 63,000,000 | 63,652,148 | |
| TOTAL U.S. TREASURY OBLIGATIONS | |||
| (Cost $216,820,115) | 218,247,503 | ||
| U.S. Government Agency - Mortgage Securities - 0.5% | |||
| Fannie Mae - 0.4% | |||
| 12 month U.S. LIBOR + 1.557% 4.303% 12/1/35 (a)(b) | 6,369 | 6,630 | |
| 12 month U.S. LIBOR + 1.620% 4.342% 7/1/35 (a)(b) | 5,809 | 6,075 | |
| 12 month U.S. LIBOR + 1.655% 4.279% 8/1/37 (a)(b) | 2,681 | 2,802 | |
| 12 month U.S. LIBOR + 1.690% 4.565% 5/1/38 (a)(b) | 36,958 | 38,463 | |
| 12 month U.S. LIBOR + 1.788% 4.743% 5/1/38 (a)(b) | 12,846 | 13,392 | |
| 12 month U.S. LIBOR + 1.830% 4.719% 4/1/38 (a)(b) | 18,462 | 19,220 | |
| 12 month U.S. LIBOR + 1.853% 4.521% 8/1/38 (a)(b) | 10,027 | 10,490 | |
| 12 month U.S. LIBOR + 1.888% 4.785% 5/1/38 (a)(b) | 22,080 | 23,069 | |
| 12 month U.S. LIBOR + 2.040% 4.809% 12/1/36 (a)(b) | 6,749 | 7,067 | |
| 6 month U.S. LIBOR + 1.360% 3.569% 10/1/33 (a)(b) | 38,150 | 39,290 | |
| 3% 2/1/30 | 28,100 | 28,896 | |
| 3.5% 11/1/26 to 2/1/48 | 3,437,719 | 3,568,597 | |
| 4% 1/1/47 to 11/1/49 | 5,498,029 | 5,757,818 | |
| 4.5% 11/1/20 to 12/1/48 | 7,837,214 | 8,308,896 | |
| 5% 5/1/20 to 2/1/49 | 2,651,027 | 2,866,679 | |
| 5.5% 7/1/20 to 5/1/40 | 2,395,336 | 2,674,889 | |
| 6% to 6% 1/1/22 to 2/1/49 | 2,214,373 | 2,531,934 | |
| 6.5% 7/1/32 to 12/1/32 | 101,329 | 115,914 | |
| TOTAL FANNIE MAE | 26,020,121 | ||
| Freddie Mac - 0.0% | |||
| 12 month U.S. LIBOR + 1.591% 3.841% 9/1/35 (a)(b) | 3,687 | 3,844 | |
| 12 month U.S. LIBOR + 1.625% 4.315% 7/1/38 (a)(b) | 24,025 | 24,988 | |
| 12 month U.S. LIBOR + 1.625% 4.5% 6/1/38 (a)(b) | 34,359 | 35,706 | |
| 12 month U.S. LIBOR + 1.720% 4.611% 5/1/38 (a)(b) | 9,801 | 10,210 | |
| 12 month U.S. LIBOR + 1.726% 4.48% 7/1/35 (a)(b) | 11,053 | 11,577 | |
| 12 month U.S. LIBOR + 1.733% 4.518% 10/1/36 (a)(b) | 26,226 | 27,406 | |
| 12 month U.S. LIBOR + 1.733% 4.858% 2/1/37 (a)(b) | 4,989 | 5,199 | |
| 12 month U.S. LIBOR + 1.748% 4.873% 2/1/37 (a)(b) | 7,628 | 7,954 | |
| 12 month U.S. LIBOR + 1.775% 4.65% 5/1/37 (a)(b) | 11,069 | 11,567 | |
| 12 month U.S. LIBOR + 1.970% 4.608% 11/1/36 (a)(b) | 4,352 | 4,555 | |
| 12 month U.S. LIBOR + 2.055% 4.914% 12/1/36 (a)(b) | 6,341 | 6,635 | |
| 12 month U.S. LIBOR + 2.083% 5.207% 2/1/38 (a)(b) | 22,712 | 23,787 | |
| 12 month U.S. LIBOR + 2.175% 5.219% 2/1/37 (a)(b) | 12,794 | 13,380 | |
| U.S. TREASURY 1 YEAR INDEX + 2.340% 4.691% 11/1/34 (a)(b) | 14,630 | 15,339 | |
| 3.5% 12/1/49 | 1,670,000 | 1,717,904 | |
| 5% 10/1/22 to 12/1/23 | 164,513 | 170,400 | |
| 5.5% 11/1/21 to 10/1/38 | 32,454 | 33,949 | |
| 6% 7/1/21 to 1/1/38 | 140,542 | 159,562 | |
| 7% 3/1/39 | 195,108 | 225,575 | |
| 7.5% 6/1/38 | 206,670 | 239,489 | |
| TOTAL FREDDIE MAC | 2,749,026 | ||
| Ginnie Mae - 0.1% | |||
| 6% 7/15/36 | 255,922 | 288,826 | |
| 4% 2/20/48 to 9/20/49 | 715,235 | 746,411 | |
| 4.5% 9/20/40 to 5/20/49 | 3,527,267 | 3,698,077 | |
| 5% 12/20/34 to 5/20/48 | 2,804,968 | 3,016,427 | |
| 5.5% 9/15/45 to 2/20/49 | 2,922,883 | 3,138,683 | |
| TOTAL GINNIE MAE | 10,888,424 | ||
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
| (Cost $39,321,498) | 39,657,571 | ||
| Asset-Backed Securities - 7.9% | |||
| Allegro CLO Ltd. Series 2015-1A Class AR, 3 month U.S. LIBOR + 0.840% 2.7796% 7/25/27 (a)(b)(c) | $1,118,673 | $1,117,321 | |
| Ally Auto Receivables Trust: | |||
| Series 2017-2: | |||
| Class C, 2.46% 9/15/22 | 745,000 | 747,165 | |
| Class D, 2.93% 11/15/23 | 200,000 | 201,258 | |
| Series 2019-1 Class A2, 2.85% 3/15/22 | 5,764,529 | 5,783,625 | |
| Series 2019-2 Class A2, 2.34% 6/15/22 | 5,000,000 | 5,008,755 | |
| Series 2019-3 Class A4, 1.96% 12/16/24 | 600,000 | 599,863 | |
| Ally Master Owner Trust: | |||
| Series 2018-1 Class A1: | |||
| 1 month U.S. LIBOR + 0.280% 2.0454% 1/17/23 (a)(b) | 8,383,000 | 8,395,123 | |
| 2.7% 1/17/23 | 1,905,000 | 1,919,297 | |
| Series 2018-3 Class A, 1 month U.S. LIBOR + 0.320% 2.0854% 7/15/22 (a)(b) | 5,000,000 | 5,001,170 | |
| Series 2018-4 Class A, 3.3% 7/17/23 | 640,000 | 652,726 | |
| American Credit Acceptance Receivables Trust Series 2019-3 Class A, 2.44% 12/12/22 (c) | 2,404,180 | 2,407,665 | |
| American Express Credit Account Master Trust: | |||
| Series 2019-1 Class A, 2.87% 10/15/24 | 1,749,000 | 1,791,359 | |
| Series 2019-3 Class B, 2.2% 4/15/25 | 740,000 | 742,511 | |
| AmeriCredit Automobile Receivables Trust: | |||
| Series 2015-3 Class D, 3.34% 8/8/21 | 680,000 | 681,369 | |
| Series 2016-1 Class C, 2.89% 1/10/22 | 1,166,292 | 1,167,914 | |
| Series 2016-3 Class D, 2.71% 9/8/22 | 810,000 | 815,052 | |
| Series 2016-4 Class D, 2.74% 12/8/22 | 2,320,000 | 2,333,854 | |
| Series 2017-1: | |||
| Class C, 2.71% 8/18/22 | 240,000 | 241,576 | |
| Class D, 3.13% 1/18/23 | 1,330,000 | 1,348,743 | |
| Series 2017-3: | |||
| Class B, 2.24% 6/19/23 | 395,000 | 395,529 | |
| Class C, 2.69% 6/19/23 | 420,000 | 423,842 | |
| Class D, 3.18% 7/18/23 | 1,355,000 | 1,377,844 | |
| Series 2018-1 Class D, 3.82% 3/18/24 | 1,645,000 | 1,707,983 | |
| Series 2018-3 Class A3, 3.38% 7/18/23 | 3,532,000 | 3,589,070 | |
| Series 2019-3: | |||
| Class A2A, 2.17% 1/18/23 | 3,340,000 | 3,343,360 | |
| Class B, 2.13% 7/18/25 | 985,000 | 984,871 | |
| Applebee's/IHOP Funding LLC Series 2019-1A Class A2I, 4.194% 6/7/49 (c) | 1,360,000 | 1,376,429 | |
| ARI Fleet Lease Trust: | |||
| Series 2017-A Class A2, 1.91% 4/15/26 (c) | 54,156 | 54,097 | |
| Series 2018-A Class A2, 2.55% 10/15/26 (c) | 441,323 | 442,138 | |
| Ascentium Equipment Receivables LLC: | |||
| Series 2017-1A Class A3, 2.29% 6/10/21 (c) | 163,976 | 164,107 | |
| Series 2018-1A Class A2, 2.92% 12/10/20 (c) | 99,839 | 99,962 | |
| Avis Budget Rental Car Funding (AESOP) LLC: | |||
| Series 2014-2A Class A, 2.5% 2/20/21 (c) | 1,342,500 | 1,342,952 | |
| Series 2015-2A Class A, 2.63% 12/20/21 (c) | 890,000 | 893,459 | |
| Series 2016-1A Class A, 2.99% 6/20/22 (c) | 610,000 | 616,344 | |
| Series 2017-1A Class B, 3.41% 9/20/23 (c) | 540,000 | 550,639 | |
| Series 2017-2A Class A, 2.97% 3/20/24 (c) | 905,000 | 923,233 | |
| Series 2019-1A Class B, 3.7% 3/20/23 (c) | 245,000 | 250,301 | |
| Series 2019-2A Class A, 3.35% 9/22/25 (c) | 650,000 | 675,676 | |
| Babson CLO Ltd. Series 2013-IA Class AR, 3 month U.S. LIBOR + 0.800% 2.7659% 1/20/28 (a)(b)(c) | 1,525,000 | 1,522,098 | |
| Bank of The West Auto Trust Series 2019-1 Class A2, 2.4% 10/17/22 (c) | 1,361,000 | 1,363,846 | |
| Barclays Dryrock Issuance Trust Series 2019-1 Class A, 1.96% 5/15/25 | 3,210,000 | 3,211,568 | |
| Bayview Opportunity Master Fund Trust: | |||
| Series 2017-RT3 Class A, 3.5% 1/28/58 (a)(c) | 1,195,734 | 1,216,698 | |
| Series 2017-SPL4 Class A, 3.5% 1/28/55 (c) | 358,591 | 364,270 | |
| Bayview Opportunity Master Funding Trust Series 2017-SPL5 Class A, 3.5% 6/28/57 (c) | 1,025,816 | 1,042,993 | |
| BlueMountain CLO Ltd. Series 2015-2A Class A1R, 3 month U.S. LIBOR + 0.930% 2.9333% 7/18/27 (a)(b)(c) | 1,595,000 | 1,593,815 | |
| BMW Floorplan Master Owner Trust Series 2018-1 Class A2, 1 month U.S. LIBOR + 0.320% 2.0854% 5/15/23 (a)(b)(c) | 6,174,000 | 6,175,838 | |
| BMW Vehicle Lease Trust: | |||
| Series 2018-1 Class A2, 2.97% 12/21/20 | 2,594,658 | 2,600,481 | |
| Series 2019-1 Class A2, 2.79% 3/22/21 | 4,576,684 | 4,590,452 | |
| BRE Grand Islander Timeshare Issuer Series 2019-A Class A, 3.28% 9/26/33 (c) | 332,792 | 340,553 | |
| Canadian Pacer Auto Receivables Trust: | |||
| Series 2018-2A Class A2B, 1 month U.S. LIBOR + 0.180% 1.9133% 6/21/21 (a)(b)(c) | 2,491,564 | 2,490,652 | |
| Series 2019-1A Class A2, 2.78% 3/21/22 (c) | 3,742,839 | 3,755,434 | |
| Capital Auto Receivables Asset Trust: | |||
| Series 2017-1: | |||
| Class B, 2.43% 5/20/22 (c) | 145,000 | 145,490 | |
| Class C, 2.7% 9/20/22 (c) | 235,000 | 237,007 | |
| Series 2018-2: | |||
| Class B, 3.48% 10/20/23 (c) | 370,000 | 374,702 | |
| Class C, 3.69% 12/20/23 (c) | 460,000 | 466,908 | |
| Capital One Multi-Asset Execution Trust: | |||
| Series 2016-16 Class A2, 1 month U.S. LIBOR + 0.630% 2.3954% 2/15/24 (a)(b) | 13,275,000 | 13,362,407 | |
| Series 2019-A2 Class A2, 1.72% 8/15/24 | 1,790,000 | 1,783,889 | |
| Capital One Prime Auto Receivables Trust Series 2019-1 Class A2, 2.58% 4/15/22 | 8,775,000 | 8,805,517 | |
| Carlyle Global Market Strategies Series 2015-3A Class A1R, 3 month U.S. LIBOR + 1.000% 2.9356% 7/28/28 (a)(b)(c) | 1,615,000 | 1,613,798 | |
| CarMax Auto Owner Trust: | |||
| Series 2015-4 Class D, 3% 5/16/22 | 235,000 | 235,079 | |
| Series 2017-4 Class C, 2.7% 10/16/23 | 205,000 | 206,157 | |
| Series 2018-3 Class A2A, 2.88% 10/15/21 | 1,963,622 | 1,968,191 | |
| Series 2018-4 Class A2B, 1 month U.S. LIBOR + 0.200% 1.9654% 2/15/22 (a)(b) | 3,000,126 | 3,000,127 | |
| Series 2019-1 Class A2A, 3.02% 7/15/22 | 3,779,310 | 3,797,906 | |
| Series 2019-2 Class A2A, 2.69% 7/15/22 | 3,000,000 | 3,011,998 | |
| Series 2019-4 Class A2A, 2.01% 3/15/23 | 1,291,000 | 1,291,003 | |
| Chesapeake Funding II LLC: | |||
| Series 2017-2A Class A2, 1 month U.S. LIBOR + 0.450% 2.2154% 5/15/29 (a)(b)(c) | 3,667,741 | 3,670,620 | |
| Series 2017-4A Class A2, 1 month U.S. LIBOR + 0.340% 2.1054% 11/15/29 (a)(b)(c) | 1,774,766 | 1,773,430 | |
| Series 2018-3A Class A2, 1 month U.S. LIBOR + 0.480% 2.2454% 1/15/31 (a)(b)(c) | 2,303,158 | 2,304,526 | |
| Series 2019-1A Class A1, 2.94% 4/15/31 (c) | 3,378,599 | 3,420,818 | |
| Citibank Credit Card Issuance Trust Series 2017-A4 Class A4, 1 month U.S. LIBOR + 0.220% 1.9899% 4/7/22 (a)(b) | 10,000,000 | 10,005,371 | |
| CNH Equipment Trust: | |||
| Series 2018-A Class B, 3.47% 10/15/25 | 380,000 | 390,338 | |
| Series 2019-A Class A2, 2.96% 5/16/22 | 3,429,868 | 3,444,691 | |
| Series 2019-B Class A2, 2.55% 9/15/22 | 7,000,000 | 7,026,196 | |
| Series 2019-C Class A2, 1.99% 3/15/23 | 1,322,000 | 1,321,779 | |
| Cole Park CLO Ltd. Series 2015-1A Class AR, 3 month U.S. LIBOR + 1.050% 3.0159% 10/20/28 (a)(b)(c) | 1,610,000 | 1,609,259 | |
| Dell Equipment Finance Trust: | |||
| Series 2018-1 Class A2B, 1 month U.S. LIBOR + 0.300% 2.0156% 10/22/20 (a)(b)(c) | 2,572,294 | 2,575,190 | |
| Series 2018-2 Class A2 3.16% 2/22/21 (c) | 2,855,669 | 2,869,064 | |
| Series 2019-1 Class A2, 2.78% 8/23/21 (c) | 4,000,000 | 4,018,604 | |
| Series 2019-2: | |||
| Class A2, 1.95% 12/22/21 (c) | 4,210,000 | 4,206,785 | |
| Class A3, 1.91% 10/22/24 (c) | 1,714,000 | 1,710,052 | |
| Discover Card Master Trust: | |||
| Series 2018-A5 Class A5, 3.32% 3/15/24 | 5,000,000 | 5,129,771 | |
| Series 2019-A2 Class A, 1 month U.S. LIBOR + 0.270% 2.0354% 12/15/23 (a)(b) | 10,000,000 | 10,007,904 | |
| DLL Securitization Trust: | |||
| Series 2019-MA2 Class A2, 2.27% 5/20/22 (c) | 3,921,000 | 3,924,908 | |
| Series 2019-MT3: | |||
| Class A2, 2.13% 1/20/22 (c) | 4,210,000 | 4,209,584 | |
| Class A3, 2.08% 2/21/23 (c) | 1,639,000 | 1,637,706 | |
| Drive Auto Receivables Trust Series 2019-4 Class A2A, 2.32% 6/15/22 | 2,710,000 | 2,713,705 | |
| DT Auto Owner Trust: | |||
| Series 2019-3A Class A, 2.55% 8/15/22 (c) | 2,732,933 | 2,739,576 | |
| Series 2019-4A Class A, 2.17% 5/15/23 (c) | 3,914,183 | 3,916,062 | |
| Elara HGV Timeshare Issuer LLC: | |||
| Series 2014-A Class A, 2.53% 2/25/27 (c) | 62,845 | 62,852 | |
| Series 2017-A Class A, 2.69% 3/25/30 (c) | 215,730 | 217,589 | |
| Ellington Financial Mortgage Trust Series 2019-2 Class A1, 2.739% 11/25/59 (c) | 677,145 | 676,312 | |
| Enterprise Fleet Financing LLC: | |||
| Series 2017-1 Class A2, 2.13% 7/20/22 (c) | 44,965 | 44,969 | |
| Series 2017-2 Class A2, 1.97% 1/20/23 (c) | 111,878 | 111,826 | |
| Series 2017-3 Class A2, 2.13% 5/22/23 (c) | 578,088 | 577,950 | |
| Series 2018-1 Class A2, 2.87% 10/20/23 (c) | 342,157 | 343,736 | |
| Series 2018-2 Class A2, 3.14% 2/20/24 (c) | 675,851 | 681,279 | |
| Series 2019-1 Class A2, 2.98% 10/22/24 (c) | 3,312,000 | 3,346,179 | |
| Series 2019-3 Class A2, 2.06% 5/20/25 (c) | 855,000 | 855,376 | |
| Fifth Third Auto Trust Series 2019-1 Class A2A, 2.66% 5/16/22 | 4,629,204 | 4,642,688 | |
| Ford Credit Auto Lease Trust: | |||
| Series 2017-B Class A4, 2.17% 2/15/21 | 545,000 | 545,093 | |
| Series 2018-A Class A2B, 1 month U.S. LIBOR + 0.350% 1.9854% 12/15/20 (a)(b) | 461,651 | 461,654 | |
| Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.200% 1.9254% 4/15/21 (a)(b) | 3,606,767 | 3,606,313 | |
| Series 2019-B Class A2A, 2.28% 2/15/22 | 3,372,000 | 3,378,192 | |
| Ford Credit Floorplan Master Owner Trust: | |||
| Series 2015-2 Class A2, 1 month U.S. LIBOR + 0.570% 2.3354% 1/15/22 (a)(b) | 7,054,000 | 7,057,006 | |
| Series 2017-1 Class A2, 1 month U.S. LIBOR + 0.420% 2.1854% 5/15/22 (a)(b) | 10,000,000 | 10,007,962 | |
| Series 2017-2: | |||
| Class A2, 1 month U.S. LIBOR + 0.350% 2.1154% 9/15/22 (a)(b) | 10,000,000 | 10,005,949 | |
| Class B, 2.34% 9/15/22 | 1,345,000 | 1,347,139 | |
| GM Financial Automobile Leasing Trust: | |||
| Series 2017-3 Class C, 2.73% 9/20/21 | 300,000 | 300,444 | |
| Series 2018-2 Class C, 3.5% 4/20/22 | 470,000 | 474,833 | |
| Series 2018-3 Class A2B, 1 month U.S. LIBOR + 0.170% 1.8936% 9/21/20 (a)(b) | 1,664,227 | 1,664,334 | |
| Series 2019-1: | |||
| Class A2A, 2.91% 4/20/21 | 4,106,871 | 4,120,573 | |
| Class C, 3.56% 12/20/22 | 835,000 | 848,108 | |
| 3.11% 12/20/21 | 435,000 | 437,410 | |
| GM Financial Securitized Auto Receivables Trust Series 2017-3A Class C, 2.52% 3/16/23 (c) | 245,000 | 245,972 | |
| GM Financial Securitized Term Auto Receivables Trust: | |||
| Series 2018-2 Class A2B, 1 month U.S. LIBOR + 0.120% 1.8925% 5/17/21 (a)(b) | 1,568,026 | 1,567,772 | |
| Series 2018-4 Class A2, 2.93% 11/16/21 | 1,156,861 | 1,159,462 | |
| Series 2019-1 Class A2, 2.99% 3/16/22 | 2,258,336 | 2,264,857 | |
| GMF Floorplan Owner Revolving Trust: | |||
| Series 2017-1: | |||
| Class A2, 1 month U.S. LIBOR + 0.570% 2.3354% 1/18/22 (a)(b)(c) | 10,000,000 | 10,004,270 | |
| Class C, 2.97% 1/18/22 (c) | 575,000 | 575,483 | |
| Series 2017-2 Class A2, 1 month U.S. LIBOR + 0.430% 2.1954% 7/15/22 (a)(b)(c) | 10,000,000 | 10,008,695 | |
| Series 2018-4 Class A1, 3.5% 9/15/23 (c) | 2,850,000 | 2,922,396 | |
| Series 2019-1 Class A, 2.7% 4/15/24 (c) | 710,000 | 719,595 | |
| Golub Capital Partners CLO 39B LLC Series 2018-39A Class A1, 3 month U.S. LIBOR + 1.150% 3.1159% 10/20/28 (a)(b)(c) | 930,000 | 929,583 | |
| GreatAmerica Leasing Receivables Funding LLC: | |||
| Series 2017-1 Class A3, 2.06% 6/22/20 (c) | 3,201 | 3,201 | |
| 2.6% 6/15/21 (c) | 363,749 | 364,622 | |
| Hardee's Funding LLC / Carl's Jr. Funding LLC Series 2018-1A Class AI, 4.25% 6/20/48 (c) | 933,710 | 942,925 | |
| Hilton Grand Vacations Trust: | |||
| Series 2014-AA Class A, 1.77% 11/25/26 (c) | 98,027 | 97,752 | |
| Series 2017-AA: | |||
| Class A, 2.66% 12/26/28 (c) | 111,390 | 111,699 | |
| Class B, 2.96% 12/26/28 (a)(c) | 76,444 | 76,554 | |
| Honda Auto Receivables Owner Trust Series 2019-2 Class A2, 2.57% 12/21/21 | 5,000,000 | 5,018,868 | |
| Hyundai Auto Lease Securitization Trust Series 2019-A Class A2, 2.92% 7/15/21 (c) | 6,088,885 | 6,118,218 | |
| Hyundai Auto Receivables Trust: | |||
| Series 2017-A Class B, 2.38% 4/17/23 | 340,000 | 341,134 | |
| Series 2018-A Class A2B, 1 month U.S. LIBOR + 0.120% 1.8854% 4/15/21 (a)(b) | 1,666,069 | 1,665,720 | |
| Series 2019-A: | |||
| Class A2, 2.67% 12/15/21 | 5,000,000 | 5,017,012 | |
| Class B, 2.94% 5/15/25 | 635,000 | 646,429 | |
| Series 2019-B: | |||
| Class A2, 1.93% 7/15/22 | 5,000,000 | 4,998,992 | |
| Class A3, 1.94% 2/15/24 | 3,090,000 | 3,094,777 | |
| John Deere Owner Trust: | |||
| Series 2018-B Class A2, 2.83% 4/15/21 | 1,839,307 | 1,841,871 | |
| Series 2019-A Class A2, 2.85% 12/15/21 | 4,299,827 | 4,314,133 | |
| Series 2019-B Class A2, 2.28% 5/16/22 | 4,073,000 | 4,082,265 | |
| KKR Finanical CLO Ltd. Series 13 Class A1R, 3 month U.S. LIBOR + 0.800% 2.8009% 1/16/28 (a)(b)(c) | 1,620,000 | 1,609,574 | |
| Kubota Credit Owner Trust Series 2019-1A Class A3, 2.46% 10/16/23 (c) | 2,870,000 | 2,898,229 | |
| Madison Park Funding Ltd. Series 2015-18A Class A1R, 3 month U.S. LIBOR + 1.190% 3.1559% 10/21/30 (a)(b)(c) | 1,165,000 | 1,163,512 | |
| Magnetite CLO Ltd. Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 2.8033% 1/18/28 (a)(b)(c) | 2,045,000 | 2,039,975 | |
| Mercedes-Benz Auto Lease Trust: | |||
| Series 2019-A: | |||
| Class A2, 3.01% 2/16/21 | 3,945,919 | 3,956,638 | |
| Class A3, 3.1% 11/15/21 | 2,592,000 | 2,617,185 | |
| Series 2019-B Class A3, 2% 10/17/22 | 2,416,000 | 2,423,343 | |
| Mercedes-Benz Auto Receivables Trust Series 2019-1 Class A2A, 2.04% 6/15/22 | 10,000,000 | 10,014,776 | |
| Mercedes-Benz Master Owner Trust Series 2017-BA Class A, 1 month U.S. LIBOR + 0.420% 2.1854% 5/16/22 (a)(b)(c) | 10,000,000 | 10,007,929 | |
| MMAF Equipment Finance LLC: | |||
| Series 2017-AA Class A3, 2.04% 2/16/22 (c) | 192,437 | 192,390 | |
| Series 2019-B Class A2, 2.07% 10/12/22 (c) | 2,712,000 | 2,713,895 | |
| MVW Owner Trust: | |||
| Series 2013-1A Class A, 2.15% 4/22/30 (c) | 30,370 | 30,355 | |
| Series 2014-1A Class A, 2.25% 9/22/31 (c) | 111,657 | 111,546 | |
| Series 2015-1A Class A, 2.52% 12/20/32 (c) | 267,654 | 267,666 | |
| Series 2017-1A: | |||
| Class A, 2.42% 12/20/34 (c) | 783,916 | 787,380 | |
| Class B, 2.75% 12/20/34 (c) | 46,113 | 46,202 | |
| Class C, 2.99% 12/20/34 (c) | 110,671 | 110,452 | |
| Navient Private Education Refi Loan Trust Series 2018-A Class A1, 2.53% 2/18/42 (c) | 298,311 | 298,561 | |
| Navient Student Loan Trust: | |||
| Series 2017-3A: | |||
| Class A1, 1 month U.S. LIBOR + 0.300% 2.008% 7/26/66 (a)(b)(c) | 420,434 | 420,434 | |
| Class A2, 1 month U.S. LIBOR + 0.600% 2.308% 7/26/66 (a)(b)(c) | 6,820,000 | 6,824,211 | |
| Series 2017-4A Class A1, 1 month U.S. LIBOR + 0.240% 1.948% 9/27/66 (a)(b)(c) | 361,276 | 361,146 | |
| Series 2017-A Class A2A, 2.88% 12/16/58 (c) | 2,005,000 | 2,020,406 | |
| Series 2018-4A Class A1, 1 month U.S. LIBOR + 0.250% 1.958% 6/27/67 (a)(b)(c) | 3,565,423 | 3,559,063 | |
| Series 2019-2A Class A1, 1 month U.S. LIBOR + 0.270% 1.978% 2/27/68 (a)(b)(c) | 643,665 | 643,193 | |
| Series 2019-CA Class A1, 2.82% 2/15/68 (c) | 1,019,436 | 1,023,189 | |
| Series 2019-EA Class A1, 2.39% 5/15/68 (c) | 1,668,230 | 1,673,958 | |
| Navistar Financial Dealer Note Master Trust Series 2018-1 Class A, 1 month U.S. LIBOR + 0.630% 2.338% 9/25/23 (a)(b)(c) | 4,181,000 | 4,185,878 | |
| Nelnet Student Loan Trust Series 2005-4 Class A4, 3 month U.S. LIBOR + 0.180% 2.3389% 3/22/32 (a)(b) | 795,348 | 766,106 | |
| Neuberger Berman CLO Ltd. Series 2017-16SA Class A, 3 month U.S. LIBOR + 0.850% 2.8509% 1/15/28 (a)(b)(c) | 915,000 | 913,354 | |
| Neuberger Berman CLO XIX Ltd. Series 2015-19A Class A1R2, 3 month U.S. LIBOR + 0.800% 2.8009% 7/15/27 (a)(b)(c) | 1,590,000 | 1,587,245 | |
| New Residential Mortgage Loan Trust Series 2019-NQM3: | |||
| Class A1, 2.8018% 7/25/49 (c) | 1,217,201 | 1,220,426 | |
| Class A3, 3.0864% 7/25/49 (c) | 482,287 | 483,035 | |
| Nissan Auto Lease Trust Series 2018-A Class A2B, 1 month U.S. LIBOR + 0.210% 1.9154% 2/16/21 (a)(b) | 2,827,835 | 2,827,331 | |
| Nissan Master Owner Trust Receivables: | |||
| Series 2017-B Class A, 1 month U.S. LIBOR + 0.430% 2.1954% 4/18/22 (a)(b) | 10,700,000 | 10,707,382 | |
| Series 2017-C Class A, 1 month U.S. LIBOR + 0.320% 2.0854% 10/17/22 (a)(b) | 5,000,000 | 5,001,930 | |
| Series 2019-B Class A, 1 month U.S. LIBOR + 0.430% 2.19% 11/15/23 (a)(b) | 1,835,000 | 1,835,079 | |
| OCP CLO Ltd.: | |||
| Series 2014-7A Class A1RR, 3 month U.S. LIBOR + 1.120% 3.0859% 7/20/29 (a)(b)(c) | 2,530,000 | 2,522,423 | |
| Series 2015-10A Class A1R, 3 month U.S. LIBOR + 0.820% 2.7556% 10/26/27 (a)(b)(c) | 1,385,000 | 1,383,294 | |
| OZLM Ltd. Series 2014-8A Class RR, 3 month U.S. LIBOR + 1.170% 3.1721% 10/17/29 (a)(b)(c) | 1,015,000 | 1,013,471 | |
| Planet Fitness Master Issuer LLC Series 2018-1A Class A2I, 4.262% 9/5/48 (c) | 1,183,050 | 1,206,119 | |
| Santander Drive Auto Receivables Trust: | |||
| Series 2015-3 Class D, 3.49% 5/17/21 | 534,133 | 534,447 | |
| Series 2015-4 Class D, 3.53% 8/16/21 | 352,259 | 352,937 | |
| Series 2015-5 Class D, 3.65% 12/15/21 | 446,375 | 447,835 | |
| Series 2016-1 Class D, 4.02% 4/15/22 | 635,000 | 640,134 | |
| Series 2017-1 Class C, 2.58% 5/16/22 | 75,554 | 75,629 | |
| Series 2018-1 Class C, 2.96% 3/15/24 | 250,000 | 251,506 | |
| Series 2018-2 Class C, 3.35% 7/17/23 | 400,000 | 403,952 | |
| Series 2018-4 Class B, 3.27% 1/17/23 | 665,000 | 668,109 | |
| Series 2018-5 Class B, 3.52% 12/15/22 | 790,000 | 795,237 | |
| Series 2019-1: | |||
| Class B, 3.21% 9/15/23 | 375,000 | 378,456 | |
| Class C, 3.42% 4/15/25 | 2,620,000 | 2,667,434 | |
| Series 2019-2 Class B, 2.79% 1/16/24 | 535,000 | 539,475 | |
| Santander Retail Auto Lease Trust: | |||
| Series 2017-A Class C, 2.96% 11/21/22 (c) | 325,000 | 326,527 | |
| Series 2019-A: | |||
| Class A2, 2.72% 1/20/22 (c) | 2,925,668 | 2,942,386 | |
| Class B, 3.01% 5/22/23 (c) | 700,000 | 709,067 | |
| Series 2019-B: | |||
| Class A2A, 2.29% 4/20/22 (c) | 5,000,000 | 5,014,267 | |
| Class C, 2.77% 8/21/23 (c) | 690,000 | 694,751 | |
| Series 2019-C: | |||
| Class A2A, 1.89% 9/20/22 (c) | 5,000,000 | 4,992,029 | |
| Class B, 2.17% 11/20/23 (c) | 495,000 | 492,707 | |
| Class C, 2.39% 11/20/23 (c) | 830,000 | 825,935 | |
| SBA Tower Trust: | |||
| Series 2019-1 2.836% 1/15/50 (c) | 990,000 | 1,001,363 | |
| 2.877% 7/15/46 (c) | 370,000 | 371,196 | |
| 3.168% 4/9/47 (c) | 915,000 | 925,252 | |
| Securitized Term Auto Receivables Trust Series 2019-1A Class A2, 2.862% 5/25/21 (c) | 2,510,899 | 2,517,539 | |
| SG Residential Mortgage Trust Series 2019-3 Class A2, 2.877% 9/25/59 (c) | 1,230,581 | 1,230,039 | |
| Sierra Receivables Funding Co. LLC: | |||
| Series 2016-2A Class A, 2.33% 7/20/33 (c) | 88,634 | 88,465 | |
| Series 2019-1A Class A, 3.2% 1/20/36 (c) | 387,657 | 392,341 | |
| Series 2019-2A Class A, 2.59% 5/20/36 (c) | 2,543,951 | 2,553,708 | |
| Sierra Timeshare Receivables Funding Co. LLC: | |||
| Series 2015-2A Class 2, 2.43% 6/20/32 (c) | 121,656 | 121,587 | |
| Series 2015-3A Class A, 2.58% 9/20/32 (c) | 124,606 | 124,600 | |
| Series 2017-1A Class A, 2.91% 3/20/34 (c) | 84,133 | 84,883 | |
| Sierra Timeshare Receivables Funding LLC Series 2019-3A Class A, 2.34% 8/15/36 (c) | 628,741 | 628,964 | |
| SLM Student Loan Trust: | |||
| Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 2.5885% 12/15/27 (a)(b)(c) | 3,592,797 | 3,592,756 | |
| Series 2003-11 Class A6, 3 month U.S. LIBOR + 0.550% 2.6685% 12/15/25 (a)(b)(c) | 1,813,389 | 1,811,712 | |
| Series 2007-7 Class A4, 3 month U.S. LIBOR + 0.330% 2.2696% 1/25/22 (a)(b) | 641,625 | 623,996 | |
| Series 2008-1 Class A4, 3 month U.S. LIBOR + 0.650% 2.5896% 1/25/22 (a)(b) | 1,474,874 | 1,446,848 | |
| Series 2008-5 Class A4, 3 month U.S. LIBOR + 1.700% 3.6396% 7/25/23 (a)(b) | 195,441 | 197,043 | |
| Series 2008-9 Class A, 3 month U.S. LIBOR + 1.500% 3.4396% 4/25/23 (a)(b) | 141,669 | 142,376 | |
| Series 2010-1 Class A, 1 month U.S. LIBOR + 0.400% 2.108% 3/25/25 (a)(b) | 911,788 | 881,042 | |
| SMB Private Education Loan Trust: | |||
| Series 2014-A Class A3, 1 month U.S. LIBOR + 1.500% 3.2654% 4/15/32 (a)(b)(c) | 1,400,000 | 1,412,349 | |
| Series 2015-A Class A2B, 1 month U.S. LIBOR + 1.000% 2.7654% 6/15/27 (a)(b)(c) | 276,147 | 276,745 | |
| Series 2016-C Class A2B, 1 month U.S. LIBOR + 1.100% 2.8654% 9/15/34 (a)(b)(c) | 1,142,309 | 1,147,799 | |
| Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.720% 2.4854% 1/15/37 (a)(b)(c) | 1,900,000 | 1,891,199 | |
| SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (c) | 3,728,431 | 3,737,152 | |
| Synchrony Card Issuance Trust Series 2019-A2 Class A, 2.34% 6/15/25 | 1,890,000 | 1,905,328 | |
| Synchrony Credit Card Master Note Trust: | |||
| Series 2015-1 Class B, 2.64% 3/15/23 | 550,000 | 550,278 | |
| Series 2015-4 Class B, 2.62% 9/15/23 | 435,000 | 435,729 | |
| Series 2018-1 Class C, 3.36% 3/15/24 | 955,000 | 961,922 | |
| Tesla Auto Lease Trust Series 2019-A Class A2, 2.13% 4/20/22 (c) | 7,000,000 | 6,999,301 | |
| Towd Point Mortgage Trust: | |||
| Series 2017-1 Class A1, 2.75% 10/25/56 (a)(c) | 652,463 | 655,167 | |
| Series 2017-4 Class A1, 2.75% 6/25/57 (c) | 318,271 | 321,242 | |
| Series 2017-6 Class A1, 2.75% 10/25/57 (c) | 1,712,289 | 1,726,143 | |
| Series 2018-1 Class A1, 3% 1/25/58 (c) | 347,163 | 350,838 | |
| Series 2018-2 Class A1, 3.25% 3/25/58 (c) | 1,691,062 | 1,717,487 | |
| Series 2018-5 Class A1A, 3.25% 7/25/58 (a)(c) | 1,593,797 | 1,624,881 | |
| Toyota Auto Receivables Owner Trust Series 2018-C Class A2B, 1 month U.S. LIBOR + 1.200% 1.8854% 8/16/21 (a)(b) | 3,476,833 | 3,475,881 | |
| Verizon Owner Trust: | |||
| Series 2016-2A Class C, 2.36% 5/20/21 (c) | 600,000 | 600,146 | |
| Series 2017-1A: | |||
| Class A, 2.06% 9/20/21 (c) | 1,518,125 | 1,517,991 | |
| Class C, 2.65% 9/20/21 (c) | 315,000 | 315,783 | |
| Series 2017-3A: | |||
| Class A1A, 2.06% 4/20/22 (c) | 3,833,337 | 3,835,235 | |
| Class C, 2.53% 4/20/22 (c) | 700,000 | 701,667 | |
| Series 2018-1A: | |||
| Class A1B, 1 month U.S. LIBOR + 0.260% 1.9836% 9/20/22 (a)(b)(c) | 6,210,000 | 6,211,223 | |
| Class C, 3.2% 9/20/22 (c) | 970,000 | 983,795 | |
| Series 2018-A: | |||
| Class A1A, 3.23% 4/20/23 | 5,132,000 | 5,221,009 | |
| Class A1B, 1 month U.S. LIBOR + 0.240% 1.9636% 4/20/23 (a)(b) | 4,000,000 | 3,998,027 | |
| Series 2019-B Class A1A, 2.33% 12/20/23 | 955,000 | 963,114 | |
| Volkswagen Auto Lease Trust Series 2019-A Class A2A, 2% 3/21/22 | 8,140,000 | 8,145,251 | |
| Volkswagen Auto Loan Enhanced Trust Series 2018-1 Class A2B, 1 month U.S. LIBOR + 0.180% 1.9036% 7/20/21 (a)(b) | 2,401,269 | 2,401,309 | |
| Volvo Financial Equipment LLC: | |||
| Series 2019-1A Class A2, 2.9% 11/15/21 (c) | 3,600,000 | 3,614,930 | |
| Series 2019-2A Class A3, 2.04% 11/15/23 (c) | 2,435,000 | 2,434,706 | |
| Volvo Financial Equipment Master Owner Trust: | |||
| Series 2017-A Class A, 1 month U.S. LIBOR + 0.500% 2.2654% 11/15/22 (a)(b)(c) | 7,547,000 | 7,558,783 | |
| Series 2018-A Class A, 1 month U.S. LIBOR + 0.520% 2.2854% 7/17/23 (a)(b)(c) | 5,080,000 | 5,098,535 | |
| Wheels SPV LLC 1.88% 4/20/26 (c) | 82,084 | 82,064 | |
| World Omni Auto Receivables Trust: | |||
| Series 2018-A Class A2, 2.19% 5/17/21 | 361,928 | 361,949 | |
| Series 2018-D Class A2B, 1 month U.S. LIBOR + 0.140% 1.9054% 4/15/22 (a)(b) | 2,756,906 | 2,756,796 | |
| Series 2019-B Class A2, 2.63% 6/15/22 | 7,000,000 | 7,026,475 | |
| Series 2019-C Class C, 2.4% 6/15/26 | 895,000 | 897,091 | |
| World Omni Automobile Lease Securitization Trust: | |||
| Series 2018-A Class B, 3.06% 5/15/23 | 280,000 | 281,900 | |
| Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.180% 1.9454% 6/15/21 (a)(b) | 3,126,433 | 3,125,661 | |
| Series 2019-A Class A3, 2.94% 5/16/22 | 2,284,000 | 2,314,609 | |
| World Omni Select Auto Trust Series 2019-A Class A2A, 2.06% 8/15/23 | 5,250,000 | 5,249,883 | |
| TOTAL ASSET-BACKED SECURITIES | |||
| (Cost $579,950,531) | 581,157,205 | ||
| Collateralized Mortgage Obligations - 1.1% | |||
| Private Sponsor - 1.0% | |||
| Angel Oak Mortgage Trust: | |||
| sequential payer Series 2019-2 Class A1, 3.628% 3/25/49 (c) | 837,198 | 849,869 | |
| Series 2019-2 Class M1, 4.065% 3/25/49 (c) | 545,000 | 560,060 | |
| COLT Funding LLC sequential payer: | |||
| Series 2018-1: | |||
| Class A1, 2.93% 2/25/48 (c) | 108,981 | 108,701 | |
| Class A3, 3.084% 2/25/48 (c) | 38,752 | 38,651 | |
| Series 2018-2: | |||
| Class A1, 3.47% 7/27/48 (c) | 718,166 | 718,479 | |
| Class A2, 3.542% 7/27/48 (c) | 347,862 | 348,114 | |
| Series 2018-3 Class A2, 3.763% 10/26/48 (c) | 252,367 | 253,883 | |
| Series 2018-4 Class A1, 4.006% 12/28/48 (c) | 682,279 | 687,128 | |
| Series 2019-2 Class A1, 3.337% 5/25/49 (c) | 525,205 | 527,880 | |
| Series 2019-3 Class A1, 2.764% 8/25/49 (c) | 2,286,835 | 2,295,681 | |
| COMM Mortgage Trust Series 2016-CR28 Class A1, 1.77% 2/10/49 | 63,423 | 63,256 | |
| Connecticut Avenue Securities Trust floater Series 2019-R06 Class 2M1, 1 month U.S. LIBOR + 0.750% 2.458% 9/25/39 (a)(b)(c) | 723,705 | 723,804 | |
| Deephaven Residential Mortgage Trust: | |||
| Series 2017-1A Class A3, 3.485% 12/26/46 (a)(c) | 65,700 | 65,921 | |
| Series 2017-3A: | |||
| Class A1, 2.577% 10/25/47 (a)(c) | 340,475 | 339,744 | |
| Class A2, 2.711% 10/25/47 (a)(c) | 28,373 | 28,303 | |
| Class A3, 2.813% 10/25/47 (a)(c) | 27,022 | 26,955 | |
| Series 2018-1A Class A1, 2.976% 12/25/57 (a)(c) | 311,713 | 310,767 | |
| Series 2018-2A Class A1, 3.479% 4/25/58 (c) | 575,212 | 575,697 | |
| Series 2018-3A Class A3, 3.963% 8/25/58 (c) | 62,772 | 63,134 | |
| Series 2019-1A Class A1, 3.743% 1/25/59 (c) | 951,097 | 959,669 | |
| Series 2019-2A: | |||
| Class A3, 3.763% 4/25/59 (c) | 592,743 | 601,035 | |
| Class M1, 3.921% 4/25/59 (c) | 380,000 | 388,469 | |
| Fannie Mae Series 2017-90 Class KA, 3% 11/25/47 | 950,880 | 979,319 | |
| Fannie Mae CAS floater Series 2019-R04 Class 2M1, 1 month U.S. LIBOR + 0.750% 2.458% 6/25/39 (a)(b)(c) | 600,679 | 601,161 | |
| Freddie Mac: | |||
| planned amortization class Series 3713 Class PA, 2% 2/15/40 | 642,087 | 639,821 | |
| Series 4448 Class JA, 4% 11/15/36 | 104,091 | 107,174 | |
| Freddie Mac STACR floater Series 2019-DNA3 Class M1, 1 month U.S. LIBOR + 0.730% 2.438% 7/25/49 (a)(b)(c) | 665,125 | 665,124 | |
| Freddie Mac STACR REMIC Trust floater Series 2019-HQA4 Class M1, 1 month U.S. LIBOR + 0.770% 2.5354% 11/25/49 (a)(b)(c) | 610,000 | 609,999 | |
| Freddie Mac STACR Trust floater: | |||
| Series 2018-DNA2 Class M1, 1 month U.S. LIBOR + 0.800% 2.508% 12/25/30 (a)(b)(c) | 1,281,683 | 1,282,794 | |
| Series 2018-HRP2: | |||
| Class M1, 1 month U.S. LIBOR + 0.850% 2.558% 2/25/47 (a)(b)(c) | 88,471 | 88,471 | |
| Class M2, 1 month U.S. LIBOR + 1.250% 2.958% 2/25/47 (a)(b)(c) | 700,000 | 701,400 | |
| Series 2019-HRP1 Class M2, 1 month U.S. LIBOR + 1.400% 3.108% 2/25/49 (a)(b)(c) | 630,000 | 631,769 | |
| Freddie Mac Whole Loan Securities Trust: | |||
| Series 2016-SC02 Class M1, 3.6052% 10/25/46 (a) | 1,362,801 | 1,376,619 | |
| Series 2017-SC02 Class M1, 3.8309% 5/25/47 (a)(c) | 154,092 | 156,001 | |
| Series 2017-SPI1 Class M1, 3.9801% 9/25/47 (a)(c) | 60,193 | 60,500 | |
| Series 2018-SPI2 Class M1, 3.8143% 5/25/48 (a)(c) | 285,106 | 286,950 | |
| Galton Funding Mortgage Trust sequential payer Series 2019-H1 Class M1, 3.339% 10/25/59 (c) | 600,000 | 600,007 | |
| Ginnie Mae guaranteed Multi-family REMIC pass-thru securities floater Series 2018-122 Class FE, 1 month U.S. LIBOR + 0.300% 2.0236% 9/20/48 (a)(b) | 186,726 | 185,594 | |
| GMRF Mortgage Acquisition Co., LLC: | |||
| Series 2018-1 Class A33, 3.5% 11/25/57 (c) | 544,698 | 548,530 | |
| Series 2019-1 Class A32, 4% 2/25/59 (c) | 467,940 | 478,987 | |
| Series 2019-2 Class A42, 3.5% 6/25/59 (c) | 1,349,428 | 1,349,990 | |
| Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 2.3595% 8/25/60 (a)(b)(c) | 1,686,599 | 1,683,634 | |
| GS Mortgage-Backed Securites Trust Series 2014-EB1A Class 2A1, 2.4529% 7/25/44 (a)(c) | 73,008 | 72,736 | |
| Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 2.4209% 10/15/54 (a)(b)(c) | 2,295,038 | 2,293,932 | |
| Homeward Opportunities Fund I Trust sequential payer: | |||
| Series 2019-1: | |||
| Class A1, 3.454% 1/25/59 (c) | 1,130,663 | 1,143,183 | |
| Class A3, 3.606% 1/25/59 (c) | 711,472 | 720,176 | |
| Series 2019-3 Class A1, 2.675% 11/25/59 (c) | 1,145,000 | 1,142,400 | |
| Homeward Opportunities Fund Trust sequential payer Series 2018-1: | |||
| Class A1, 3.766% 6/25/48 (c) | 641,640 | 649,842 | |
| Class A2, 3.897% 6/25/48 (c) | 513,950 | 520,869 | |
| Lanark Master Issuer PLC floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 2.6873% 12/22/69 (a)(b)(c) | 1,293,933 | 1,295,914 | |
| Metlife Securitization Trust Series 2017-1A Class A, 3% 4/25/55 (c) | 446,544 | 451,468 | |
| Mill City Mortgage Loan Trust: | |||
| Series 2016-1 Class A1, 2.5% 4/25/57 (c) | 114,535 | 114,643 | |
| Series 2017-2 Class A1, 2.75% 7/25/59 (c) | 572,952 | 575,987 | |
| New Residential Mortgage Loan Trust: | |||
| sequential payer Series 2019-NQM5 Class A1, 2.7099% 11/25/59 (c) | 1,295,000 | 1,298,145 | |
| Series 2018-NQM1 Class A1, 3.986% 11/25/48 (c) | 1,107,185 | 1,121,750 | |
| OBX Trust floater Series 2019-EXP3 Class 2A1, 1 month U.S. LIBOR + 0.900% 2.608% 10/25/59 (a)(b)(c) | 1,521,503 | 1,516,813 | |
| Onslow Bay Financial LLC: | |||
| floater Series 2019-EXP2 Class 2A2, 1 month U.S. LIBOR + 1.200% 2.908% 6/25/59 (a)(b)(c) | 1,337,038 | 1,308,725 | |
| floater sequential payer Series 2019-EXP2 Class 2A1A, 1 month U.S. LIBOR + 1.000% 2.608% 6/25/59 (a)(b)(c) | 814,521 | 804,501 | |
| Permanent Master Issuer PLC floater: | |||
| Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 2.3661% 7/15/58 (a)(b)(c) | 6,992,000 | 6,992,280 | |
| Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 2.5361% 7/15/58 (a)(b)(c) | 896,000 | 896,216 | |
| Sequoia Mortgage Trust: | |||
| sequential payer: | |||
| Series 2018-CH1 Class A11, 3.5% 2/25/48 (c) | 796,082 | 805,385 | |
| Series 2018-CH2 Class A3, 4% 6/25/48 (c) | 1,219,926 | 1,243,256 | |
| Series 2018-CH3 Class A19, 4.5% 8/25/48 (c) | 282,607 | 296,552 | |
| Series 2018-CH4 Class A2, 4% 10/25/48 (c) | 462,412 | 482,568 | |
| Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 2.5359% 1/21/70 (a)(b)(c) | 4,588,725 | 4,582,480 | |
| Starvest Emerging Markets Cbo sequential payer Series 2019-IMC1 Class A1, 3.468% 2/25/49 (c) | 559,053 | 563,317 | |
| Starwood Mortgage Residential Trust: | |||
| sequential payer Series 2019-INV1: | |||
| Class A1, 2.61% 8/25/49 (c) | 189,146 | 188,328 | |
| Class A3, 2.916% 8/25/49 (c) | 455,890 | 453,927 | |
| Series 2019-1: | |||
| Class A1, 2.941% 6/25/49 (c) | 1,031,958 | 1,028,980 | |
| Class A3, 3.299% 6/25/49 (c) | 707,500 | 705,568 | |
| Towd Point Mortgage Trust: | |||
| Series 2015-4 Class A1B, 2.75% 4/25/55 (c) | 279,226 | 279,534 | |
| Series 2015-5 Class A1B, 2.75% 5/25/55 (c) | 294,866 | 295,646 | |
| Series 2016-1: | |||
| Class A1B, 2.75% 2/25/55 (c) | 162,856 | 163,025 | |
| Class A3B, 3% 2/25/55 (c) | 236,620 | 237,629 | |
| Series 2016-2 Class A1A, 2.75% 8/25/55 (c) | 221,434 | 222,666 | |
| Series 2016-3 Class A1, 2.25% 4/25/56 (c) | 53,307 | 53,149 | |
| Series 2017-2 Class A1, 2.75% 4/25/57 (a)(c) | 410,643 | 412,579 | |
| Series 2017-3 Class A1, 2.75% 7/25/57 (a)(c) | 907,808 | 913,157 | |
| Verus Securitization Trust: | |||
| sequential payer: | |||
| Series 2018-3 Class A1, 4.108% 10/25/58 (c) | 1,024,730 | 1,032,751 | |
| Series 2019-1 Class A1, 3.836% 2/25/59 (c) | 1,057,301 | 1,064,980 | |
| Series 2019-2 Class A1, 3.211% 5/25/59 (c) | 808,494 | 810,693 | |
| Series 2019-INV3 Class A3, 3.1% 11/25/59 (c) | 745,000 | 744,248 | |
| Series 2018-2: | |||
| Class A1, 3.677% 6/1/58 (c) | 771,382 | 774,135 | |
| Class A2, 3.779% 6/1/58 (c) | 207,789 | 208,526 | |
| Class A3, 3.83% 6/1/58 (c) | 130,936 | 131,398 | |
| Series 2019-3 Class A3, 3.04% 7/25/59 (c) | 1,442,517 | 1,443,513 | |
| Series 2019-4 Class A3, 3% 11/25/59 (c) | 1,845,103 | 1,840,382 | |
| Series 2019-INV1: | |||
| Class A1, 3.402% 12/25/59 (a)(c) | 640,845 | 645,849 | |
| Class M1, 4.034% 12/25/59 (c) | 195,000 | 200,622 | |
| Series 2019-INV2: | |||
| Class A1, 2.913% 7/25/59 (c) | 1,626,780 | 1,640,027 | |
| Class A2, 3.117% 7/25/59 (c) | 976,068 | 982,656 | |
| TOTAL PRIVATE SPONSOR | 70,936,150 | ||
| U.S. Government Agency - 0.1% | |||
| Fannie Mae Series 2018-44 Class PC, 4% 6/25/44 | 1,459,039 | 1,488,211 | |
| Fannie Mae Connecticut Avenue Securities floater: | |||
| Series 19-R05 Class 1M1, 1 month U.S. LIBOR + 0.750% 2.458% 7/25/39 (a)(b)(c) | 874,851 | 874,851 | |
| Series 2017-C01 Class 1M1, 1 month U.S. LIBOR + 1.300% 3.008% 7/25/29 (a)(b) | 150,664 | 150,907 | |
| Series 2017-C02 Class 2ED3, 1 month U.S. LIBOR + 1.350% 3.058% 9/25/29 (a)(b) | 1,485,000 | 1,486,875 | |
| Series 2017-C02, Class 2M1, 1 month U.S. LIBOR + 1.150% 2.858% 9/25/29 (a)(b) | 246,227 | 246,500 | |
| Series 2017-C03 Class 1M1, 1 month U.S. LIBOR + 0.950% 2.658% 10/25/29 (a)(b) | 510,466 | 511,164 | |
| Series 2017-C04 Class 2M1, 1 month U.S. LIBOR + 0.850% 2.558% 11/25/29 (a)(b) | 285,104 | 285,200 | |
| Series 2017-C05 Class 1M1, 1 month U.S. LIBOR + 0.550% 2.258% 1/25/30 (a)(b) | 113,711 | 113,689 | |
| Series 2017-C06 Class 1M1, 1 month U.S. LIBOR + 0.750% 2.458% 2/25/30 (a)(b) | 161,699 | 161,699 | |
| Series 2018-C02 Class 2M1, 1 month U.S. LIBOR + 0.650% 2.358% 8/25/30 (a)(b) | 23,940 | 23,940 | |
| Series 2018-C03 Class 1M1, 1 month U.S. LIBOR + 0.680% 2.388% 10/25/30 (a)(b) | 622,579 | 622,781 | |
| FHLMC Structured Agency Credit Risk Debt Notes floater: | |||
| Series 2017-DNA1 Class M1, 1 month U.S. LIBOR + 1.200% 2.908% 7/25/29 (a)(b) | 287,440 | 288,252 | |
| Series 2017-DNA2 Class M1, 1 month U.S. LIBOR + 1.200% 2.908% 10/25/29 (a)(b) | 838,326 | 840,238 | |
| Series 2017-DNA3 Class M1, 1 month U.S. LIBOR + 0.750% 2.458% 3/25/30 (a)(b) | 519,212 | 519,425 | |
| Series 2017-HQA1 Class M1, 1 month U.S. LIBOR + 1.200% 2.908% 8/25/29 (a)(b) | 224,626 | 224,893 | |
| Series 2017-HQA2 Class M1, 1 month U.S. LIBOR + 0.800% 2.508% 12/25/29 (a)(b) | 105,463 | 105,463 | |
| Freddie Mac STACR Trust floater: | |||
| Series 18-HQA2 Class M1, 1 month U.S. LIBOR + 0.750% 2.458% 10/25/48 (a)(b)(c) | 644,188 | 644,735 | |
| Series 2018-DNA3 Class M1, 1 month U.S. LIBOR + 0.750% 2.458% 9/25/48 (a)(b)(c) | 470,911 | 471,226 | |
| TOTAL U.S. GOVERNMENT AGENCY | 9,060,049 | ||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
| (Cost $79,506,167) | 79,996,199 | ||
| Commercial Mortgage Securities - 1.0% | |||
| Atrium Hotel Portfolio Trust floater Series 2017-ATRM Class A 1 month U.S. LIBOR + 0.930% 2.6954% 12/15/36 (a)(b)(c) | 1,395,000 | 1,392,368 | |
| Banc of America Merrill Lynch Large Loan, Inc. floater Series 2018-DSNY Class A, 1 month U.S. LIBOR + 0.850% 2.6154% 9/15/34 (a)(b)(c) | 970,000 | 966,968 | |
| Bank Series 2019-BN19 Class A1, 2.263% 8/15/61 | 520,379 | 523,508 | |
| BX Trust floater, sequential payer: | |||
| Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 2.7654% 4/15/34 (a)(b)(c) | 2,135,000 | 2,136,787 | |
| Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 2.6854% 10/15/36 (a)(b)(c) | 5,490,000 | 5,495,150 | |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
| Class A, 1 month U.S. LIBOR + 0.950% 2.8% 11/15/36 (a)(b)(c) | 1,033,000 | 1,032,999 | |
| Class D, 1 month U.S. LIBOR + 1.650% 3.5% 11/15/36 (a)(b)(c) | 1,545,000 | 1,544,998 | |
| CGDBB Commercial Mortgage Trust floater Series 2017-BIOC Class A, 1 month U.S. LIBOR + 0.790% 2.5554% 7/15/32 (a)(b)(c) | 3,713,554 | 3,711,240 | |
| CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 2.8854% 6/15/34 (a)(b)(c) | 3,743,000 | 3,749,480 | |
| Citigroup Commercial Mortgage Trust: | |||
| floater Series 2017-1500 Class A, 1 month U.S. LIBOR + 0.850% 2.6154% 7/15/32 (a)(b)(c) | 2,938,000 | 2,936,164 | |
| sequential payer Series 2012-GC8 Class A/S, 3.683% 9/10/45 (c) | 2,157,000 | 2,232,931 | |
| Series 2015-P1 Class A1, 1.648% 9/15/48 | 41,093 | 41,025 | |
| COMM Mortgage Trust Series 2015-LC23 Class A2, 3.221% 10/10/48 | 1,400,000 | 1,408,150 | |
| Credit Suisse Mortgage Trust floater Series 2019-ICE4: | |||
| Class A, 1 month U.S. LIBOR + 0.980% 2.7454% 5/15/36 (a)(b)(c) | 5,000,000 | 5,007,015 | |
| Class C, 1 month U.S. LIBOR + 1.430% 3.1954% 5/15/36 (a)(b)(c) | 1,015,000 | 1,016,272 | |
| Class D, 1 month U.S. LIBOR + 1.600% 3.3654% 5/15/36 (a)(b)(c) | 780,000 | 780,977 | |
| CSAIL Commercial Mortgage Trust: | |||
| Series 2015-C3 Class A1, 1.7167% 8/15/48 | 63,935 | 63,829 | |
| Series 2015-C4 Class A1, 2.0102% 11/15/48 | 74,835 | 74,735 | |
| Series 2019-C16 Class A1, 2.3595% 6/15/52 | 632,348 | 636,784 | |
| CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 2.5154% 7/15/32 (a)(b)(c) | 4,189,000 | 4,179,832 | |
| Great Wolf Trust floater Series 2017-WOLF: | |||
| Class A, 1 month U.S. LIBOR + 0.850% 2.6154% 9/15/34 (a)(b)(c) | 292,000 | 291,994 | |
| Class C, 1 month U.S. LIBOR + 1.320% 3.0854% 9/15/34 (a)(b)(c) | 965,000 | 964,979 | |
| GS Mortgage Securities Trust: | |||
| Series 2015-GC32 Class A1, 1.593% 7/10/48 | 12,730 | 12,721 | |
| Series 2016-GS3 Class A1, 1.429% 10/10/49 | 73,755 | 73,490 | |
| Series 2019-GC40 Class A1, 2.236% 7/10/52 | 1,751,842 | 1,758,863 | |
| Halcyon Loan Advisors Funding LLC Series 2017-3A Class B1R, 3 month U.S. LIBOR + 1.700% 3.6533% 10/22/25 (a)(b)(c) | 745,000 | 746,156 | |
| Intown Hotel Portfolio Trust Series 2018-STAY: | |||
| Class A, 1 month U.S. LIBOR + 0.700% 2.4654% 1/15/33 (a)(b)(c) | 245,000 | 244,507 | |
| Class C, 1 month U.S. LIBOR + 1.250% 3.0154% 1/15/33 (a)(b)(c) | 205,000 | 204,482 | |
| JP Morgan Chase Commercial Mortgage Securities Trust: | |||
| floater Series 2019-BKWD: | |||
| Class A, 1 month U.S. LIBOR + 1.000% 2.7654% 9/15/29 (a)(b)(c) | 1,911,000 | 1,910,997 | |
| Class B, 1 month U.S. LIBOR + 1.350% 3.1154% 9/15/29 (a)(b)(c) | 1,830,000 | 1,830,000 | |
| Class C, 1 month U.S. LIBOR + 1.600% 3.3654% 9/15/29 (a)(b)(c) | 575,000 | 575,000 | |
| Series 2015-JP1 Class A1, 1.949% 1/15/49 | 65,487 | 65,395 | |
| JPMorgan Chase Commercial Mortgage Securities Trust sequential payer Series 2014-C20 Class A3A1, 3.4718% 7/15/47 | 2,406,573 | 2,444,639 | |
| Morgan Stanley BAML Trust: | |||
| Series 2014-C18 Class A/S, 4.11% 10/15/47 | 370,000 | 396,016 | |
| Series 2015-C24 Class A1, 1.706% 5/15/48 | 133,714 | 133,386 | |
| Series 2016-C30 Class A1, 1.389% 9/15/49 | 155,430 | 154,439 | |
| Morgan Stanley Capital I Trust: | |||
| floater: | |||
| Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 2.6154% 8/15/33 (a)(b)(c) | 5,790,000 | 5,768,290 | |
| Series 2019-AGLN Class A, 1 month U.S. LIBOR + 0.950% 2.7154% 3/15/34 (a)(b)(c) | 3,558,000 | 3,557,986 | |
| Series 2011-C3 Class AJ, 5.4193% 7/15/49 (a)(c) | 2,264,000 | 2,356,032 | |
| Series 2015-MS1 Class A1, 1.638% 5/15/48 | 130,825 | 130,520 | |
| Series 2019-H7 Class A1, 2.327% 7/15/52 | 1,709,863 | 1,718,099 | |
| Series 2019-MEAD Class D, 3.1771% 11/10/36 (c) | 1,150,000 | 1,132,958 | |
| New Orleans Hotel Trust floater Series 2019-HNLA Class B, 1 month U.S. LIBOR + 1.289% 3.0541% 4/15/32 (a)(b)(c) | 1,585,000 | 1,581,045 | |
| RETL floater Series 2019-RVP Class A, 1 month U.S. LIBOR + 1.150% 2.9154% 3/15/36 (a)(b)(c) | 1,506,583 | 1,507,518 | |
| Slide floater Series 2018-FUN Class D, 1 month U.S. LIBOR + 1.850% 3.6154% 6/15/31 (a)(b)(c) | 799,161 | 800,654 | |
| UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 2.5533% 4/10/46 (a)(b)(c) | 3,109,986 | 3,144,457 | |
| Verus Securitization Trust Series 2018-1 Class A1, 2.929% 2/25/48 (a)(c) | 154,048 | 154,157 | |
| Wells Fargo Commercial Mortgage Trust: | |||
| Series 2015-NXS2 Class A2, 3.02% 7/15/58 | 512,737 | 512,497 | |
| Series 2016-C32 Class A1, 1.577% 1/15/59 | 131,370 | 130,934 | |
| Series 2016-LC24 Class A1, 1.441% 10/15/49 | 4,352 | 4,348 | |
| WF-RBS Commercial Mortgage Trust: | |||
| floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 2.4825% 6/15/46 (a)(b)(c) | 3,296,637 | 3,299,044 | |
| Series 2012-C6 Class B, 4.697% 4/15/45 | 760,000 | 794,798 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
| (Cost $77,397,393) | 77,331,613 | ||
| Principal Amount | Value | ||
| Bank Notes - 0.5% | |||
| Capital One NA 2.35% 1/31/20 | 4,330,000 | 4,331,131 | |
| Citibank NA: | |||
| 2.125% 10/20/20 | $1,255,000 | $1,256,543 | |
| 2.844% 5/20/22 (a) | 1,485,000 | 1,500,721 | |
| Discover Bank 3.1% 6/4/20 | 965,000 | 969,104 | |
| Huntington National Bank 2.375% 3/10/20 | 1,465,000 | 1,466,104 | |
| JPMorgan Chase Bank: | |||
| 2.604% 2/1/21 (a)(b) | 595,000 | 595,500 | |
| 3.086% 4/26/21 (a) | 5,000,000 | 5,019,021 | |
| PNC Bank NA: | |||
| 2.15% 4/29/21 | 3,042,000 | 3,051,218 | |
| 2.45% 11/5/20 | 870,000 | 874,151 | |
| RBS Citizens NA: | |||
| 2.25% 3/2/20 | 685,000 | 685,211 | |
| 2.25% 10/30/20 | 250,000 | 250,743 | |
| 2.55% 5/13/21 | 1,320,000 | 1,329,088 | |
| 3.25% 2/14/22 | 1,015,000 | 1,038,946 | |
| SunTrust Banks, Inc.: | |||
| 2.59% 1/29/21 (a) | 1,540,000 | 1,541,112 | |
| 2.8% 5/17/22 | 965,000 | 980,425 | |
| Svenska Handelsbanken AB 3.35% 5/24/21 | 1,105,000 | 1,126,469 | |
| Synchrony Bank 3.65% 5/24/21 | 3,082,000 | 3,137,785 | |
| U.S. Bank NA, Cincinnati 3% 2/4/21 | 5,000,000 | 5,059,316 | |
| TOTAL BANK NOTES | |||
| (Cost $34,032,823) | 34,212,588 | ||
| Certificates of Deposit - 0.1% | |||
| Natexis Banques Populaires New York Branch yankee 2.68% 12/27/19 | |||
| (Cost $4,000,000) | 4,000,000 | 4,002,970 | |
| Commercial Paper - 0.4% | |||
| Commonspirit Health 2.35% 12/11/19 | 4,000,000 | 3,997,912 | |
| Ford Motor Credit Co. LLC: | |||
| 0% 7/27/20 | 810,000 | 794,253 | |
| 0% 8/4/20 | 705,000 | 690,752 | |
| Sempra Global 2.23% 1/27/20 | 5,000,000 | 4,984,365 | |
| TransCanada PipeLines Ltd.: | |||
| 2.05% 2/4/20 | 5,000,000 | 4,982,031 | |
| 2.05% 2/24/20 | 7,000,000 | 6,966,319 | |
| UBS AG London Branch 1 month U.S. LIBOR + 0.340% 2.111% 8/6/20 (a)(b) | 5,000,000 | 5,000,000 | |
| TOTAL COMMERCIAL PAPER | |||
| (Cost $27,411,621) | 27,415,632 | ||
| Shares | Value | ||
| Fixed-Income Funds - 1.0% | |||
| Bank Loan Funds - 1.0% | |||
| Fidelity Floating Rate High Income Fund (f) | |||
| (Cost $73,313,992) | 7,779,518 | 73,049,674 | |
| Short-Term Funds - 59.6% | |||
| Short-Term Funds - 59.6% | |||
| Baird Short-Term Bond Fund - Institutional Class | 20,855,914 | 203,762,277 | |
| BlackRock Low Duration Bond Portfolio Investor A Shares | 41,283,313 | 397,558,300 | |
| Fidelity Conservative Income Bond Fund Institutional Class (f) | 16,238,577 | 163,197,696 | |
| Fidelity Short-Term Bond Fund (f) | 60,218,382 | 523,899,924 | |
| iShares Short Maturity Bond ETF (g) | 2,864,715 | 144,181,106 | |
| iShares Short Treasury ETF(g) | 4,706,290 | 520,562,737 | |
| iShares Ultra Short-Term Bond ETF | 397,375 | 20,023,726 | |
| JPMorgan Ultra-Short Income ETF (g) | 3,282,685 | 165,480,151 | |
| Metropolitan West Low Duration Bond Fund - Class M | 27,724,287 | 242,864,757 | |
| PIMCO Enhanced Low Duration Active ETF | 502,985 | 50,308,560 | |
| PIMCO Enhanced Short Maturity Active ETF (g) | 3,214,025 | 327,059,184 | |
| PIMCO Short-Term Fund - Administrator Class | 157,099,019 | 1,536,428,381 | |
| Prudential Short-Term Corporate Bond Fund, Inc. Class A | 6,980,472 | 77,413,431 | |
| TOTAL SHORT-TERM FUNDS | |||
| (Cost $4,355,042,555) | 4,372,740,230 | ||
| Money Market Funds - 0.9% | |||
| Fidelity Cash Central Fund 1.61% (h) | 43,883,388 | 43,892,165 | |
| Fidelity Investments Money Market Government Portfolio Institutional Class 1.57% (f)(i) | 3,044,590 | 3,044,590 | |
| Fidelity Securities Lending Cash Central Fund 1.61% (h)(j) | 15,184,798 | 15,186,316 | |
| State Street Institutional U.S. Government Money Market Fund Premier Class 1.59%(i) | 7,281,021 | 7,281,021 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $69,399,118) | 69,404,092 | ||
| TOTAL INVESTMENT IN SECURITIES - 100.5% | |||
| (Cost $7,341,565,462) | 7,372,760,657 | ||
| NET OTHER ASSETS (LIABILITIES) - (0.5)% | (36,959,402) | ||
| NET ASSETS - 100% | $7,335,801,255 |
| 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) | 937 | March 2020 | $202,004,023 | $(169,173) | $(169,173) |
| Sold | |||||
| Treasury Contracts | |||||
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 127 | March 2020 | 16,428,641 | 63,320 | 63,320 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 73 | March 2020 | 8,684,719 | 3,473 | 3,473 |
| TOTAL PURCHASED | 66,793 | ||||
| TOTAL FUTURES CONTRACTS | $(102,380) |
The notional amount of futures purchased as a percentage of Net Assets is 2.8%
The notional amount of futures sold as a percentage of Net Assets is 0.3%
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 $791,826,317 or 10.8% of net assets.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(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 $553,516.
(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 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 | $426,497 |
| Fidelity Securities Lending Cash Central Fund | 37,164 |
| Total | $463,661 |
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 | $124,066,401 | $24,496,127 | $1,351,952 | $18,191 | $154,997 | $163,197,696 |
| Fidelity Floating Rate High Income Fund | 112,629,093 | 2,388,536 | 40,969,476 | 2,388,509 | (527,813) | (470,666) | 73,049,674 |
| Fidelity Investments Money Market Government Portfolio Institutional Class 1.57% | 3,013,983 | 30,607 | -- | 26,227 | -- | -- | 3,044,590 |
| Fidelity Short-Term Bond Fund | 624,495,388 | 6,098,537 | 110,323,158 | 6,098,532 | 1,247,041 | 2,382,116 | 523,899,924 |
| Total | $803,592,698 | $132,584,081 | $175,788,761 | $9,865,220 | $737,419 | $2,066,447 | $763,191,884 |
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 November 30, 2019, 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 | $1,795,545,380 | $-- | $1,795,545,380 | $-- |
| U.S. Government and Government Agency Obligations | 218,247,503 | -- | 218,247,503 | -- |
| U.S. Government Agency - Mortgage Securities | 39,657,571 | -- | 39,657,571 | -- |
| Asset-Backed Securities | 581,157,205 | -- | 581,157,205 | -- |
| Collateralized Mortgage Obligations | 79,996,199 | -- | 79,996,199 | -- |
| Commercial Mortgage Securities | 77,331,613 | -- | 77,331,613 | -- |
| Bank Notes | 34,212,588 | -- | 34,212,588 | -- |
| Certificates of Deposit | 4,002,970 | -- | 4,002,970 | -- |
| Commercial Paper | 27,415,632 | -- | 27,415,632 | -- |
| Fixed-Income Funds | 73,049,674 | 73,049,674 | -- | -- |
| Short-Term Funds | 4,372,740,230 | 4,372,740,230 | -- | -- |
| Money Market Funds | 69,404,092 | 69,404,092 | -- | -- |
| Total Investments in Securities: | $7,372,760,657 | $4,515,193,996 | $2,857,566,661 | $-- |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $66,793 | $66,793 | $-- | $-- |
| Total Assets | $66,793 | $66,793 | $-- | $-- |
| Liabilities | ||||
| Futures Contracts | $(169,173) | $(169,173) | $-- | $-- |
| Total Liabilities | $(169,173) | $(169,173) | $-- | $-- |
| Total Derivative Instruments: | $(102,380) | $(102,380) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2019. 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) | $66,793 | $(169,173) |
| Total Interest Rate Risk | 66,793 | (169,173) |
| Total Value of Derivatives | $66,793 | $(169,173) |
(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
| November 30, 2019 (Unaudited) | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $14,845,745) — See accompanying schedule: Unaffiliated issuers (cost $6,529,654,688) | $6,550,490,292 | |
| Fidelity Central Funds (cost $59,073,507) | 59,078,481 | |
| Other affiliated issuers (cost $752,837,267) | 763,191,884 | |
| Total Investment in Securities (cost $7,341,565,462) | $7,372,760,657 | |
| Cash | 871,468 | |
| Receivable for investments sold | 3,057,883 | |
| Receivable for fund shares sold | 2,495,632 | |
| Dividends receivable | 411,896 | |
| Interest receivable | 11,715,041 | |
| Distributions receivable from Fidelity Central Funds | 59,313 | |
| Receivable for daily variation margin on futures contracts | 110,646 | |
| Prepaid expenses | 8,794 | |
| Other receivables | 289,286 | |
| Total assets | 7,391,780,616 | |
| Liabilities | ||
| Payable for investments purchased | $37,505,431 | |
| Payable for fund shares redeemed | 2,193,846 | |
| Distributions payable | 690,117 | |
| Accrued management fee | 254,953 | |
| Other payables and accrued expenses | 156,464 | |
| Collateral on securities loaned | 15,178,550 | |
| Total liabilities | 55,979,361 | |
| Net Assets | $7,335,801,255 | |
| Net Assets consist of: | ||
| Paid in capital | $7,345,880,183 | |
| Total accumulated earnings (loss) | (10,078,928) | |
| Net Assets | $7,335,801,255 | |
| Net Asset Value, offering price and redemption price per share ($7,335,801,255 ÷ 728,398,845 shares) | $10.07 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Six months ended November 30, 2019 (Unaudited) | ||
| Investment Income | ||
| Dividends: | ||
| Unaffiliated issuers | $41,706,704 | |
| Affiliated issuers | 9,865,220 | |
| Interest | 38,081,582 | |
| Income from Fidelity Central Funds (including $37,164 from security lending) | 463,661 | |
| Total income | 90,117,167 | |
| Expenses | ||
| Management fee | $10,599,315 | |
| Accounting fees | 105,016 | |
| Custodian fees and expenses | 19,017 | |
| Independent trustees' fees and expenses | 40,588 | |
| Registration fees | 42,407 | |
| Audit | 34,416 | |
| Legal | 12,321 | |
| Miscellaneous | 29,553 | |
| Total expenses before reductions | 10,882,633 | |
| Expense reductions | (9,098,256) | |
| Total expenses after reductions | 1,784,377 | |
| Net investment income (loss) | 88,332,790 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | (1,447,172) | |
| Fidelity Central Funds | 3,476 | |
| Other affiliated issuers | 737,419 | |
| Foreign currency transactions | (1) | |
| Futures contracts | 73,082 | |
| Total net realized gain (loss) | (633,196) | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 12,624,965 | |
| Fidelity Central Funds | (1) | |
| Other affiliated issuers | 2,066,447 | |
| Futures contracts | (460,620) | |
| Total change in net unrealized appreciation (depreciation) | 14,230,791 | |
| Net gain (loss) | 13,597,595 | |
| Net increase (decrease) in net assets resulting from operations | $101,930,385 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Six months ended November 30, 2019 (Unaudited) | Year ended May 31, 2019 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $88,332,790 | $191,790,400 |
| Net realized gain (loss) | (633,196) | (22,963,814) |
| Change in net unrealized appreciation (depreciation) | 14,230,791 | 32,978,756 |
| Net increase (decrease) in net assets resulting from operations | 101,930,385 | 201,805,342 |
| Distributions to shareholders | (78,984,863) | (196,218,113) |
| Share transactions | ||
| Proceeds from sales of shares | 743,834,165 | 2,337,683,827 |
| Reinvestment of distributions | 72,485,745 | 184,555,853 |
| Cost of shares redeemed | (648,217,194) | (4,224,267,039) |
| Net increase (decrease) in net assets resulting from share transactions | 168,102,716 | (1,702,027,359) |
| Total increase (decrease) in net assets | 191,048,238 | (1,696,440,130) |
| Net Assets | ||
| Beginning of period | 7,144,753,017 | 8,841,193,147 |
| End of period | $7,335,801,255 | $7,144,753,017 |
| Other Information | ||
| Shares | ||
| Sold | 73,922,299 | 233,616,566 |
| Issued in reinvestment of distributions | 7,200,852 | 18,458,739 |
| Redeemed | (64,422,124) | (422,246,045) |
| Net increase (decrease) | 16,701,027 | (170,170,740) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Short Duration Fund
| Six months ended (Unaudited) November 30, | Years endedMay 31, | |||||
| 2019 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Selected Per–Share Data | ||||||
| Net asset value, beginning of period | $10.04 | $10.03 | $10.05 | $10.01 | $10.07 | $10.10 |
| Income from Investment Operations | ||||||
| Net investment income (loss)A | .123 | .254 | .168 | .136 | .115 | .095 |
| Net realized and unrealized gain (loss) | .017 | .018 | (.028) | .033 | (.051) | (.028) |
| Total from investment operations | .140 | .272 | .140 | .169 | .064 | .067 |
| Distributions from net investment income | (.110) | (.259) | (.160) | (.129) | (.118) | (.093) |
| Distributions from net realized gain | – | (.003) | – | – | (.006) | (.004) |
| Total distributions | (.110) | (.262) | (.160) | (.129) | (.124) | (.097) |
| Net asset value, end of period | $10.07 | $10.04 | $10.03 | $10.05 | $10.01 | $10.07 |
| Total ReturnB,C | 1.40% | 2.75% | 1.40% | 1.69% | .64% | .66% |
| Ratios to Average Net AssetsD,E | ||||||
| Expenses before reductions | .30%F | .32% | .35% | .36% | .36% | .35% |
| Expenses net of fee waivers, if any | .05%F | .07% | .10% | .10% | .11% | .10% |
| Expenses net of all reductions | .05%F | .07% | .10% | .10% | .11% | .10% |
| Net investment income (loss) | 2.44%F | 2.54% | 1.67% | 1.36% | 1.15% | .94% |
| Supplemental Data | ||||||
| Net assets, end of period (000 omitted) | $7,335,801 | $7,144,753 | $8,841,193 | $9,920,937 | $6,593,754 | $7,262,264 |
| Portfolio turnover rateG | 38%F | 33% | 25% | 26% | 33% | 16% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
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 Annualized
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 (Unaudited)
For the period ended November 30, 2019
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 (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, U.S. government and government agency obligations, commercial paper and certificates of deposit 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. 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 November 30, 2019 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 $115,321 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. 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 the short-term gain distributions from the Underlying Funds, 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 | $39,575,081 |
| Gross unrealized depreciation | (8,071,999) |
| Net unrealized appreciation (depreciation) | $31,503,082 |
| Tax cost | $7,341,155,195 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
| No expiration | |
| Short-term | $(4,089,563) |
| Long-term | (52,558,103) |
| Total capital loss carryforward | $(56,647,666) |
Restricted Securities. 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. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties.
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, aggregated $1,345,359,958 and $1,206,618,471, respectively.
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 annualized 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. For the period, the fees were equivalent to an annualized rate of less than .005%. Effective July 1, 2019 accounting fees are not paid by the Fund and are instead paid by the investment adviser or an affiliate.
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 $609 for the period.
Interfund Trades. The Fund 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 Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. 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 are available on the SEC website or upon request.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $8,721 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow 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 $ 9,062,242.
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 $8,959.
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 approximately 10% of the total outstanding shares of Fidelity Short-Term Bond Fund.
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 (June 1, 2019 to November 30, 2019).
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. 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 June 1, 2019 | Ending Account Value November 30, 2019 | Expenses Paid During Period-B June 1, 2019 to November 30, 2019 |
|
| Actual | .05% | $1,000.00 | $1,014.00 | $.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
ASD-SANN-0120
1.934461.107
Strategic Advisers® Tax-Sensitive Short Duration Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
Semi-Annual Report
November 30, 2019
See the inside front cover for important information about access to your fund’s shareholder reports.
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
|
Board Approval of Investment Advisory Contracts and Management Fees |
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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2019
| (excluding cash equivalents) | % of fund's net assets |
| New York Metropolitan Transportation Authority Rev. | 3.5 |
| JPMorgan Ultra-Short Municipal Fund Class I | 2.9 |
| Illinois Gen. Oblig. | 1.8 |
| Texas General Obligation | 1.5 |
| Saint James Parish Gen. Oblig. | 1.4 |
| Denver City & County Airport Rev. | 1.4 |
| Michigan Fin Auth Rev | 1.4 |
| Port Arthur Navigation Dist. Environmental Facilities Rev. | 1.1 |
| Palm Beach County Health Facs. Auth. Rev. | 1.1 |
| Clark County Airport Rev. | 1.1 |
Top Five Sectors as of November 30, 2019
| % of fund's net assets | |
| General Obligations | 22.1 |
| Transportation | 12.7 |
| Other | 7.8 |
| Health Care | 7.6 |
| Synthetics | 6.8 |
Quality Diversification (% of fund's net assets)
| As of November 30, 2019 | ||
| AAA,AA,A | 44.1% | |
| BBB | 6.3% | |
| Not Rated | 4.2% | |
| Equities | 3.2% | |
| Short-Term Investments and Net Other Assets | 42.2% | |
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 November 30, 2019 | ||
| Municipal Bonds | 28.4% | |
| Short-Term Funds | 2.9% | |
| Investment Companies | 0.3% | |
| Short-Term Investments and Net Other Assets (Liabilities) | 68.4% | |
Schedule of Investments November 30, 2019 (Unaudited)
Showing Percentage of Net Assets
| Municipal Bonds - 56.0% | |||
| Principal Amount | Value | ||
| Alabama - 0.6% | |||
| Black Belt Energy Gas District: | |||
| (Proj. No. 4) Series 2019 A: | $ | $ | |
| 4% 6/1/20 | 1,500,000 | 1,519,074 | |
| 4% 6/1/21 | 1,250,000 | 1,296,875 | |
| 4% 6/1/23 | 1,750,000 | 1,892,800 | |
| Bonds: | |||
| Series 2016 A, 4%, tender 6/1/21 (Liquidity Facility Royal Bank of Canada) (a) | 4,035,000 | 4,186,918 | |
| Series 2017 A, 4%, tender 7/1/22 (Liquidity Facility Royal Bank of Canada) (a) | 1,500,000 | 1,594,050 | |
| Health Care Auth. for Baptist Health Series 2006 B, 1.65%, tender 11/15/37 (a) | 1,000,000 | 1,000,000 | |
| Jefferson County Gen. Oblig. Series 2018 B, 5% 4/1/21 | 270,000 | 283,141 | |
| Mobile County Board of School Commissioners: | |||
| Series 2016 A: | |||
| 5% 3/1/22 | 15,000 | 16,147 | |
| 5% 3/1/23 | 20,000 | 22,147 | |
| 5% 3/1/24 | 25,000 | 28,394 | |
| 5% 3/1/25 | 25,000 | 29,041 | |
| Series 2016 B: | |||
| 5% 3/1/22 | 80,000 | 86,115 | |
| 5% 3/1/23 | 405,000 | 448,469 | |
| 5% 3/1/24 | 45,000 | 51,109 | |
| Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds Series 2009 E, 1.85%, tender 3/24/20 (a) | 8,340,000 | 8,353,196 | |
| Montgomery Med. Clinic Facilities Series 2015: | |||
| 5% 3/1/20 | 65,000 | 65,448 | |
| 5% 3/1/21 | 10,000 | 10,343 | |
| 5% 3/1/22 | 70,000 | 74,185 | |
| TOTAL ALABAMA | 20,957,452 | ||
| Alaska - 0.1% | |||
| Anchorage Gen. Oblig.: | |||
| Series B, 5% 9/1/22 | 30,000 | 33,111 | |
| Series C, 5% 9/1/22 | 20,000 | 22,074 | |
| Valdez Marine Term. Rev. (BP Pipelines (Alaska), Inc. Proj.): | |||
| Series 2003 B, 5% 1/1/21 | 3,615,000 | 3,752,117 | |
| Series 2003 C, 5% 1/1/21 | 600,000 | 622,758 | |
| TOTAL ALASKA | 4,430,060 | ||
| Arizona - 2.0% | |||
| Arizona Ctfs. of Prtn. Series 2019 A: | |||
| 5% 10/1/21 | 140,000 | 149,692 | |
| 5% 10/1/22 | 150,000 | 165,929 | |
| 5% 10/1/23 | 195,000 | 222,548 | |
| 5% 10/1/24 | 195,000 | 228,994 | |
| Arizona Health Facilities Auth. Hosp. Sys. Rev. Series 2012 A, 5% 2/1/21 | 500,000 | 521,005 | |
| Arizona Health Facilities Auth. Rev.: | |||
| (Scottsdale Lincoln Hospitals Proj.) Series 2014 A: | |||
| 5% 12/1/19 | 15,000 | 15,000 | |
| 5% 12/1/21 | 25,000 | 26,810 | |
| 5% 12/1/22 | 15,000 | 16,605 | |
| 5% 12/1/23 | 20,000 | 22,790 | |
| 5% 12/1/24 | 35,000 | 41,021 | |
| Bonds Series 2013 A3, 2.95%, tender 2/1/23 (a) | 2,000,000 | 2,066,740 | |
| Arizona State Lottery Rev. Series 2019: | |||
| 5% 7/1/20 | 460,000 | 470,219 | |
| 5% 7/1/21 | 865,000 | 917,056 | |
| 5% 7/1/22 | 690,000 | 757,151 | |
| Chandler Indl. Dev. Auth. Indl. Dev. Rev. Bonds (Intel Corp. Proj.): | |||
| Series 2005, 2.4%, tender 8/14/23 (a) | 5,000,000 | 5,169,050 | |
| Series 2007, 2.7%, tender 8/14/23 (a)(b) | 6,500,000 | 6,751,550 | |
| Series 2019, 5%, tender 6/3/24 (a)(b) | 1,570,000 | 1,798,043 | |
| Coconino County Poll. Cont. Corp. Rev. Bonds (Nevada Pwr. Co. Projs.): | |||
| Series 2017 A, 1.8%, tender 5/21/20 (a)(b) | 3,995,000 | 3,999,425 | |
| Series 2017 B, 1.6%, tender 5/21/20 (a) | 280,000 | 280,311 | |
| Glendale Gen. Oblig.: | |||
| Series 2015, 5% 7/1/22 (FSA Insured) | 20,000 | 21,941 | |
| Series 2017, 5% 7/1/22 | 75,000 | 82,279 | |
| Glendale Trans. Excise Tax Rev.: | |||
| 5% 7/1/21 (FSA Insured) | 15,000 | 15,898 | |
| 5% 7/1/22 (FSA Insured) | 25,000 | 27,446 | |
| 5% 7/1/23 (FSA Insured) | 30,000 | 33,966 | |
| Maricopa County Rev.: | |||
| Bonds: | |||
| Series 2019 B, SIFMA Municipal Swap Index + 0.380% 1.48%, tender 10/18/22 (a)(c) | 4,300,000 | 4,307,396 | |
| Series 2019 D, 5%, tender 5/15/26 (a) | 545,000 | 659,990 | |
| Series B, 5%, tender 10/18/22 (a) | 1,850,000 | 2,041,882 | |
| Series 2016 A, 5% 1/1/25 | 105,000 | 123,899 | |
| Phoenix Ariz Ind. Dev. Auth. Rev. Series 2015A, 3% 7/1/20 (d) | 220,000 | 220,448 | |
| Phoenix Civic Impt. Board Arpt. Rev.: | |||
| Series 2013, 5% 7/1/21 (b) | 2,750,000 | 2,909,693 | |
| Series 2018: | |||
| 5% 7/1/20 (b) | 620,000 | 633,446 | |
| 5% 7/1/23 (b) | 1,100,000 | 1,238,820 | |
| Series 2019 B, 5% 7/1/23 (b)(e) | 1,000,000 | 1,123,580 | |
| Phoenix Indl. Solid Waste Disp. Rev. Bonds (Republic Svc., Inc. Proj.) Series 2013, 1.45%, tender 2/3/20 (a)(b) | 15,080,000 | 15,076,314 | |
| Pima County Ctfs. of Prtn. Series 2014: | |||
| 5% 12/1/21 | 50,000 | 53,754 | |
| 5% 12/1/22 | 55,000 | 61,106 | |
| 5% 12/1/23 | 75,000 | 85,935 | |
| Scottsdale Indl. Dev. Auth. Hosp. Rev. Series 2006 F, 1.31%, 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 | 1,425,647 | |
| Yavapai County Indl. Dev. Auth. Series 2019: | |||
| 5% 8/1/21 | 225,000 | 239,056 | |
| 5% 8/1/22 | 425,000 | 466,132 | |
| 5% 8/1/23 | 355,000 | 401,047 | |
| TOTAL ARIZONA | 69,594,614 | ||
| Arkansas - 0.5% | |||
| Arkansas Dev. Fin. Auth. Multi-family Hsg. Rev. Bonds: | |||
| (Hsg. Alliance 2 Proj.) Series 2018 B, 2.1%, tender 12/1/20 (a) | 2,900,000 | 2,923,260 | |
| Series 2018 A, 2.1%, tender 12/1/20 (a) | 8,000,000 | 8,063,373 | |
| Series 2019, 1.37%, tender 3/1/22 (a) | 6,000,000 | 5,986,500 | |
| Little Rock School District Series 2017, 3% 2/1/21 | 1,470,000 | 1,499,371 | |
| TOTAL ARKANSAS | 18,472,504 | ||
| California - 2.0% | |||
| Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds: | |||
| Series A, 2.95%, tender 4/1/26 (a) | 115,000 | 124,724 | |
| Series B, 2.85%, tender 4/1/25 (a) | 95,000 | 101,933 | |
| Series C, 2.1%, tender 4/1/22 (a) | 1,085,000 | 1,104,042 | |
| California Gen. Oblig.: | |||
| Bonds: | |||
| Series 2012 A, 1.35%, tender 5/1/21 (a) | 5,995,000 | 5,995,000 | |
| Series 2013 D, 1.39%, tender 12/5/19 (a) | 4,690,000 | 4,690,337 | |
| Series 2013, 1.48%, tender 12/1/22 (a) | 3,270,000 | 3,271,014 | |
| 5.25% 9/1/22 | 35,000 | 38,997 | |
| California Infrastructure and Econ. Dev. Bank Rev. Bonds: | |||
| Series 2011 A-2, 3 month U.S. LIBOR + 0.370% 1.706%, tender 12/1/19 (a)(c) | 7,150,000 | 7,152,170 | |
| Series 2012 B, 1 month U.S. LIBOR + 0.200% 1.447%, tender 4/1/21 (a)(c) | 5,000,000 | 5,004,650 | |
| Series 2018 A, 1 month U.S. LIBOR + 0.380% 1.587%, tender 8/1/21 (a)(c) | 400,000 | 399,604 | |
| Series 2018 C, 1 month U.S. LIBOR + 0.380% 1.587%, tender 8/1/21 (a)(c) | 1,555,000 | 1,553,461 | |
| Series 2018 D, 1 month U.S. LIBOR + 0.380% 1.572%, tender 8/1/21 (a)(c) | 5,500,000 | 5,494,610 | |
| California Muni. Fin. Auth. Solid Waste Rev. Bonds (Republic Svcs., Inc. Proj.) 1.3%, tender 1/2/20 (a) | 7,000,000 | 7,000,435 | |
| California Statewide Cmntys. Dev. Auth. Poll. Cont. Rev. Bonds (Southern California Edison Co.) Series 2006 A & B, 1.9%, tender 4/1/20 (a) | 2,040,000 | 2,043,072 | |
| California Statewide Cmntys. Dev. Auth. Rev. Series 2007: | |||
| 1.47%, tender 7/1/41 (FSA Insured) (a) | 1,225,000 | 1,225,000 | |
| 1.53%, tender 7/1/40 (FSA Insured) (a) | 1,975,000 | 1,975,000 | |
| Compton Unified School District Series 2006 D, 0% 6/1/20 (AMBAC Insured) | 2,280,000 | 2,264,993 | |
| Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.: | |||
| Series 2017 A1: | |||
| 5% 6/1/21 | 25,000 | 26,300 | |
| 5% 6/1/22 | 40,000 | 43,369 | |
| 5% 6/1/23 | 45,000 | 50,159 | |
| 5% 6/1/24 | 25,000 | 28,582 | |
| Series A, 0% 6/1/24 (AMBAC Insured) | 75,000 | 70,196 | |
| Oakland Unified School District Alameda County Series 2013, 5.5% 8/1/23 | 20,000 | 22,596 | |
| Palomar Pomerado Health Care Dis: | |||
| Series 2006 A, 2.46%, tender 11/1/36 (FSA Insured) (a) | 5,125,000 | 5,125,000 | |
| Series 2006 B, 2.44%, tender 11/1/36 (FSA Insured) (a) | 4,925,000 | 4,925,000 | |
| Series 2006 C, 2.46%, tender 11/1/36 (FSA Insured) (a) | 2,400,000 | 2,400,000 | |
| Port of Oakland Rev. Series 2012 P, 5% 5/1/21 (b) | 55,000 | 57,820 | |
| San Jose Int. Arpt. Rev.: | |||
| Series 2011 A1, 5.25% 3/1/20 (b) | 2,000,000 | 2,019,713 | |
| Series 2017 A, 5% 3/1/21 (b) | 2,550,000 | 2,669,621 | |
| San Pablo Redev. Agcy. Series 2014 A, 5% 6/15/24 (FSA Insured) | 30,000 | 34,959 | |
| Washington Township Health Care District Rev. Series 2019 A, 5% 7/1/20 | 400,000 | 408,651 | |
| TOTAL CALIFORNIA | 67,321,008 | ||
| Colorado - 1.0% | |||
| Colorado Health Facilities Auth.: | |||
| Bonds: | |||
| (Valley View Hosp. Assoc. Proj.) Series 2018, 2.8%, tender 5/15/23 (a) | 510,000 | 527,819 | |
| Series 2019 B: | |||
| 5%, tender 8/1/25 (a) | 300,000 | 347,670 | |
| 5%, tender 8/1/26 (a) | 240,000 | 283,906 | |
| 5%, tender 11/19/26 (a) | 1,490,000 | 1,824,147 | |
| Series 2019 A, 5% 11/1/20 | 2,000,000 | 2,069,012 | |
| Series 2019, 4% 1/1/21 | 650,000 | 664,138 | |
| Colorado Health Facilities Auth. Retirement Hsg. Rev. (Liberty Heights Proj.) 0% 7/15/22 (Escrowed to Maturity) | 620,000 | 598,554 | |
| Colorado Health Facilities Auth. Rev. Bonds Series 2008 D3, 5%, tender 11/12/21 (a) | 115,000 | 122,513 | |
| Colorado Hsg. & Fin. Auth.: | |||
| Series 2019 F, 4.25% 11/1/49 | 200,000 | 221,200 | |
| Series 2019 H, 4.25% 11/1/49 | 110,000 | 121,587 | |
| Colorado Reg'l. Trans. District Ctfs. of Prtn.: | |||
| Series 2013 A: | |||
| 5% 6/1/20 | 115,000 | 117,165 | |
| 5% 6/1/23 | 100,000 | 112,672 | |
| Series 2014 A, 5% 6/1/23 | 85,000 | 95,927 | |
| Colorado Univ. Co. Hosp. Auth. Rev. Bonds Series 2017C-2, 5%, tender 3/1/22 (a) | 1,120,000 | 1,190,907 | |
| Denver City & County Arpt. Rev.: | |||
| (Sub Lien Proj.) Series 2013 A, 5% 11/15/21 (b) | 900,000 | 964,989 | |
| Series 2007, 1.2%, tender 11/15/25 (a) | 2,450,000 | 2,450,000 | |
| Series 2011 A, 5.25% 11/15/22 (b) | 1,750,000 | 1,880,638 | |
| Series 2012 A, 5% 11/15/22 (b) | 455,000 | 503,526 | |
| Series 2012 B, 5% 11/15/20 | 500,000 | 518,375 | |
| Series 2013 A, 5% 11/15/22 (b) | 500,000 | 552,560 | |
| Series 2017 A, 5% 11/15/21 (b) | 565,000 | 605,799 | |
| Series 2018 A: | |||
| 5% 12/1/19 (b) | 1,750,000 | 1,750,000 | |
| 5% 12/1/20 (b) | 8,375,000 | 8,686,114 | |
| 5% 12/1/21 (b) | 1,000,000 | 1,073,840 | |
| Denver Health & Hosp. Auth. Healthcare Rev. Series 2017 A: | |||
| 5% 12/1/19 (d) | 375,000 | 375,000 | |
| 5% 12/1/20 (d) | 325,000 | 336,317 | |
| E-470 Pub. Hwy. Auth. Rev.: | |||
| Bonds Series 2019 A, 1 month U.S. LIBOR + 0.420% 1.601%, tender 9/1/21 (a)(c) | 2,250,000 | 2,249,798 | |
| Series 2000 B, 0% 9/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 805,000 | 797,390 | |
| Series 2015 A: | |||
| 2.35% 9/1/20 | 100,000 | 100,789 | |
| 5% 9/1/20 | 275,000 | 282,550 | |
| Series B: | |||
| 0% 9/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,000,000 | 990,546 | |
| 0% 9/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 525,000 | 512,909 | |
| Pueblo Colo Urban Renewal Auth. Series 2017, 2.75% 6/1/20 | 155,000 | 155,318 | |
| TOTAL COLORADO | 33,083,675 | ||
| Connecticut - 1.9% | |||
| City of New Haven Series A, 5% 8/1/22 | 1,000,000 | 1,086,350 | |
| Connecticut Gen. Oblig.: | |||
| Series 2011 B, 5% 5/15/21 | 705,000 | 743,183 | |
| Series 2011 D, 5% 11/1/22 | 185,000 | 197,741 | |
| Series 2012 A, SIFMA Municipal Swap Index + 1.250% 2.35% 4/15/20 (a)(c) | 4,135,000 | 4,153,189 | |
| Series 2012 C, 5% 6/1/21 | 510,000 | 538,387 | |
| Series 2013 A, SIFMA Municipal Swap Index + 0.650% 1.75% 3/1/20 (a)(c) | 105,000 | 105,170 | |
| Series 2013 D, 5% 8/15/20 | 190,000 | 195,123 | |
| Series 2014 A: | |||
| 4% 3/1/21 | 500,000 | 517,110 | |
| 4% 3/1/22 | 450,000 | 476,456 | |
| Series 2014 H, 5% 11/15/21 | 680,000 | 728,423 | |
| Series 2015 A, 5% 3/15/22 | 1,035,000 | 1,120,553 | |
| Series 2015 C, SIFMA Municipal Swap Index + 0.900% 2% 6/15/21 (a)(c) | 2,500,000 | 2,522,725 | |
| Series 2015 F, 5% 11/15/20 | 275,000 | 285,053 | |
| Series 2016 A, 5% 3/15/26 | 45,000 | 54,175 | |
| Series 2016 B: | |||
| 5% 5/15/21 | 1,875,000 | 1,976,550 | |
| 5% 5/15/22 | 350,000 | 380,905 | |
| Series 2016 E, 5% 10/15/20 | 1,080,000 | 1,116,026 | |
| Series 2016 G: | |||
| 3% 11/1/20 | 335,000 | 340,691 | |
| 5% 11/1/21 | 1,200,000 | 1,285,176 | |
| Series 2017 B, 3% 4/15/22 | 325,000 | 337,805 | |
| Series 2018 B: | |||
| 5% 4/15/21 | 1,760,000 | 1,849,866 | |
| 5% 4/15/22 | 810,000 | 878,947 | |
| 5% 4/15/23 | 500,000 | 559,755 | |
| Series 2018 E, 5% 9/15/20 | 415,000 | 427,516 | |
| Series 2018 F: | |||
| 5% 9/15/20 | 750,000 | 772,619 | |
| 5% 9/15/21 | 265,000 | 282,564 | |
| 5% 9/15/22 | 225,000 | 247,419 | |
| Series 2019 A: | |||
| 5% 4/15/23 | 525,000 | 587,743 | |
| 5% 4/15/25 | 1,480,000 | 1,744,920 | |
| Series 2019 B, 5% 2/15/22 | 6,000,000 | 6,475,560 | |
| Series D, SIFMA Municipal Swap Index + 1.020% 2.12% 8/15/20 (a)(c) | 890,000 | 895,493 | |
| Connecticut Health & Edl. Facilities Auth. Rev.: | |||
| (Connecticut St Univ. Sys. Proj.) Series 2013 N, 5% 11/1/20 | 2,035,000 | 2,102,200 | |
| (Stamford Hosp. Proj.) Series 2010 I, 5% 7/1/20 | 900,000 | 918,622 | |
| Bonds: | |||
| (Yale Univ. Proj.) Series 2014 A, 1.3%, tender 2/3/20 (a) | 2,855,000 | 2,855,450 | |
| Series 2014 B, 1.8%, tender 7/1/24 (a) | 345,000 | 350,054 | |
| Series 2015 A, 2.05%, tender 7/21/21 (a) | 9,975,000 | 10,107,967 | |
| Series 2016 CT, 3% 12/1/19 | 255,000 | 255,000 | |
| Series 2018 S, 5% 7/1/20 | 1,200,000 | 1,225,743 | |
| Series A: | |||
| 5% 7/1/20 | 505,000 | 516,189 | |
| 5% 7/1/21 | 800,000 | 845,168 | |
| Series N: | |||
| 5% 7/1/21 | 610,000 | 644,733 | |
| 5% 7/1/22 (e) | 400,000 | 434,800 | |
| 5% 7/1/23 (e) | 415,000 | 463,750 | |
| Connecticut Higher Ed. Supplemental Ln. Auth. Rev.: | |||
| (Chesla Ln. Prog.) Series 2017 A, 5% 11/15/22 (b) | 300,000 | 327,615 | |
| Series 2017 B: | |||
| 5% 11/15/21 (b) | 655,000 | 696,049 | |
| 5% 11/15/23 (b) | 125,000 | 139,851 | |
| Connecticut Hsg. Fin. Auth.: | |||
| (Ct Gen. Hsg. 9/27/72 Proj.) Series 2012 A, 2.4% 11/15/20 | 270,000 | 272,769 | |
| Bonds: | |||
| Series 2017 E-3, 1.5%, tender 10/1/20 (a) | 505,000 | 505,076 | |
| Series 2019 E, 1.625%, tender 11/15/22 (a) | 3,000,000 | 3,003,150 | |
| Series 2019 F, 1.45%, tender 5/1/20 (a)(b) | 2,000,000 | 1,999,990 | |
| Series 2013 B2, 4% 11/15/32 | 65,000 | 67,047 | |
| Series 2016 F: | |||
| 1.55% 5/15/20 (b) | 220,000 | 220,068 | |
| 1.6% 11/15/20 (b) | 565,000 | 565,529 | |
| Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.: | |||
| Series 2012 A, 5% 1/1/23 | 355,000 | 394,884 | |
| Series 2012 B, 5% 1/1/21 | 325,000 | 338,146 | |
| Series 2016 A, 5% 9/1/21 | 700,000 | 745,521 | |
| Hartford Gen. Oblig. Series 2012 A, 5% 4/1/21 (FSA Insured) | 2,000,000 | 2,098,700 | |
| Naugatuck Ctfs. of Prtn. (Naugatuck Incineration Facilities Proj.) Series 2014 A, 5% 6/15/20 (b) | 315,000 | 321,224 | |
| New Britain Gen. Oblig. Series 2017 A: | |||
| 5% 3/1/20 (FSA Insured) | 65,000 | 65,591 | |
| 5% 3/1/21 (FSA Insured) | 90,000 | 94,062 | |
| New Haven Gen. Oblig.: | |||
| Series 2016 A, 5% 8/15/25 (FSA Insured) | 20,000 | 23,610 | |
| Series B, 5% 2/1/22 | 350,000 | 374,626 | |
| Univ. of Connecticut Gen. Oblig.: | |||
| Series 2016 A, 5% 3/15/22 | 190,000 | 205,795 | |
| Series 2019 A, 5% 11/1/25 | 225,000 | 269,730 | |
| TOTAL CONNECTICUT | 66,331,902 | ||
| Delaware, New Jersey - 0.0% | |||
| Delaware River & Bay Auth. Rev. Series 2014 C, 5% 1/1/21 | 45,000 | 46,825 | |
| District Of Columbia - 0.3% | |||
| 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 | 5,035,722 | |
| Metropolitan Washington DC Arpts. Auth. Sys. Rev.: | |||
| Series 2011 C: | |||
| 5% 10/1/21 (b) | 250,000 | 266,698 | |
| 5% 10/1/22 (b) | 430,000 | 458,582 | |
| 5% 10/1/23 (b) | 140,000 | 149,332 | |
| 5% 10/1/24 (b) | 115,000 | 122,666 | |
| Series 2012 A, 5% 10/1/22 (b) | 140,000 | 154,167 | |
| Series 2014 A: | |||
| 5% 10/1/20 (b) | 540,000 | 556,478 | |
| 5% 10/1/21 (b) | 400,000 | 426,716 | |
| 5% 10/1/23 (b) | 10,000 | 11,332 | |
| Series 2017 A, 5% 10/1/26 (b) | 145,000 | 176,288 | |
| Series 2019 A: | |||
| 5% 10/1/20 (b) | 800,000 | 824,413 | |
| 5% 10/1/21 (b) | 130,000 | 138,683 | |
| 5% 10/1/22 (b) | 290,000 | 319,345 | |
| 5% 10/1/23 (b) | 50,000 | 56,662 | |
| 5% 10/1/25 (b) | 155,000 | 184,664 | |
| Washington D.C. Metropolitan Transit Auth. Rev. Series 2018, 5% 7/1/20 | 1,000,000 | 1,022,333 | |
| TOTAL DISTRICT OF COLUMBIA | 9,904,081 | ||
| Florida - 2.3% | |||
| Alachua County Health Facilities Auth. Health Facilities Rev. Series 2019 B1, 5% 12/1/20 | 550,000 | 570,153 | |
| Brevard County School Board Ctfs. of Prtn.: | |||
| Series 2014, 5% 7/1/21 | 20,000 | 21,184 | |
| Series 2015 C: | |||
| 5% 7/1/21 | 15,000 | 15,888 | |
| 5% 7/1/22 | 80,000 | 87,507 | |
| 5% 7/1/23 | 65,000 | 73,373 | |
| Broward County Arpt. Sys. Rev.: | |||
| Series 2012 P1, 5% 10/1/20 (b) | 2,000,000 | 2,061,874 | |
| Series 2012 Q, 5% 10/1/21 (b) | 320,000 | 341,674 | |
| Series 2012 Q1, 5% 10/1/21 | 20,000 | 21,400 | |
| Series 2013 A, 5% 10/1/20 (b) | 300,000 | 309,281 | |
| Series 2015 A, 5% 10/1/20 (b) | 1,750,000 | 1,804,140 | |
| Series 2015 C, 5% 10/1/24 (b) | 110,000 | 128,109 | |
| Series 2019 A, 5% 10/1/21 (b) | 2,185,000 | 2,332,990 | |
| Series 2019 B: | |||
| 5% 10/1/20 (b) | 925,000 | 953,617 | |
| 5% 10/1/21 (b) | 1,665,000 | 1,777,770 | |
| 5% 10/1/23 (b) | 700,000 | 794,108 | |
| Series 2019, 5% 10/1/20 (b) | 2,770,000 | 2,855,695 | |
| Series A: | |||
| 5% 10/1/22 (b) | 65,000 | 71,653 | |
| 5% 10/1/23 (b) | 90,000 | 102,100 | |
| Broward County Fin. Auth. Multi-family Hsg. Rev. Bonds Series 2019 B, 1.2%, tender 8/1/21 (a) | 4,000,000 | 3,990,480 | |
| Broward County Port Facilities Rev. Series 2011 B: | |||
| 4.625% 9/1/27 (Pre-Refunded to 9/1/21 @ 100) (b) | 475,000 | 501,890 | |
| 5% 9/1/20 (b) | 165,000 | 169,592 | |
| 5% 9/1/20 (Escrowed to Maturity) (b) | 335,000 | 343,868 | |
| 5% 9/1/21 (b) | 115,000 | 122,437 | |
| 5% 9/1/21 (Escrowed to Maturity) (b) | 240,000 | 254,705 | |
| Broward County School Board Ctfs. of Prtn.: | |||
| (Broward County School District Proj.) Series 2017 C, 5% 7/1/22 | 70,000 | 76,719 | |
| Series 2015 A: | |||
| 5% 7/1/21 | 100,000 | 105,921 | |
| 5% 7/1/22 | 75,000 | 82,199 | |
| 5% 7/1/23 | 60,000 | 67,886 | |
| 5% 7/1/24 | 30,000 | 34,946 | |
| Series 2015 B: | |||
| 5% 7/1/22 | 100,000 | 109,598 | |
| 5% 7/1/23 | 60,000 | 67,886 | |
| 5% 7/1/24 | 25,000 | 29,122 | |
| Central Florida Expressway Auth. Sr. Lien Rev.: | |||
| Series 2019 A: | |||
| 5% 7/1/20 (e) | 360,000 | 367,837 | |
| 5% 7/1/21 (e) | 625,000 | 662,075 | |
| Series 2019 B: | |||
| 5% 7/1/20 (e) | 500,000 | 510,885 | |
| 5% 7/1/21 (e) | 1,000,000 | 1,059,320 | |
| Citizens Property Ins. Corp.: | |||
| Series 2012 A1, 5% 6/1/21 | 2,715,000 | 2,867,366 | |
| Series 2015 A, 5% 6/1/20 | 450,000 | 451,276 | |
| Escambia County Poll. Cont. Rev. (Gulf Pwr. Co. Proj.) Series 2003, 2.6% 6/1/23 | 700,000 | 724,899 | |
| Florida Dev. Fin. Corp. Healthcare Facility Rev. (Univ. Health Proj.) Series 2013 A, 5% 2/1/20 | 45,000 | 45,191 | |
| Florida Higher Edl. Facilities Fing. Auth. Series 2019: | |||
| 5% 10/1/20 | 225,000 | 231,299 | |
| 5% 10/1/21 | 450,000 | 476,519 | |
| Florida Hsg. Fin. Corp. Multi-family Mtg. Rev. Series 2019 A, 2% 8/1/21 | 2,500,000 | 2,521,850 | |
| Florida Hsg. Fin. Corp. Rev. Series 2017: | |||
| 1.95% 1/1/21 | 425,000 | 427,758 | |
| 2% 7/1/21 | 370,000 | 373,482 | |
| 2.05% 1/1/22 | 285,000 | 288,785 | |
| Florida Mid-Bay Bridge Auth. Rev. Series 2015 A: | |||
| 5% 10/1/21 | 20,000 | 21,264 | |
| 5% 10/1/22 | 45,000 | 49,159 | |
| 5% 10/1/23 | 55,000 | 61,629 | |
| 5% 10/1/24 | 45,000 | 51,593 | |
| 5% 10/1/25 | 40,000 | 46,924 | |
| 5% 10/1/26 | 45,000 | 52,754 | |
| Greater Orlando Aviation Auth. Arpt. Facilities Rev.: | |||
| Series 2015 A, 4% 10/1/22 (b) | 430,000 | 461,992 | |
| Series 2016 A, 5% 10/1/20 (b) | 300,000 | 309,408 | |
| Series 2016, 5% 10/1/20 (b) | 100,000 | 103,094 | |
| Series 2017 A: | |||
| 5% 10/1/25 (b) | 20,000 | 23,840 | |
| 5% 10/1/26 (b) | 45,000 | 54,678 | |
| Series 2019 A: | |||
| 5% 10/1/20 (b) | 1,380,000 | 1,423,275 | |
| 5% 10/1/22 (b) | 2,415,000 | 2,661,499 | |
| 5% 10/1/23 (b) | 700,000 | 794,668 | |
| Halifax Hosp. Med. Ctr. Rev. Series 2015, 5% 6/1/23 | 30,000 | 33,323 | |
| Hillsborough County School District Sales Tax Rev. Series 2015 B, 5% 10/1/22 (FSA Insured) | 45,000 | 49,725 | |
| Indian River County School Board Ctfs. of Prtn. Series 2014: | |||
| 5% 7/1/20 | 20,000 | 20,431 | |
| 5% 7/1/22 | 45,000 | 49,247 | |
| 5% 7/1/23 | 45,000 | 50,780 | |
| Jacksonville Elec. Auth. Elec. Sys. Rev.: | |||
| Series 2013 B, 5% 10/1/21 | 820,000 | 871,234 | |
| Series 2013 C, 5% 10/1/22 (Escrowed to Maturity) | 430,000 | 476,053 | |
| Series 2013 D, 5% 10/1/20 | 670,000 | 689,431 | |
| Series 2014 A: | |||
| 5% 10/1/20 | 770,000 | 792,331 | |
| 5% 10/1/21 | 1,380,000 | 1,466,995 | |
| JEA Saint Johns River Pwr. Park Sys. Rev. Series 6, 5% 10/1/20 | 250,000 | 250,671 | |
| Lee County Solid Waste Sys. Rev. Series 2016, 5% 10/1/20 (b) | 1,425,000 | 1,463,099 | |
| Manatee County Rev. Series 2013: | |||
| 5% 10/1/21 | 45,000 | 48,166 | |
| 5% 10/1/22 | 20,000 | 22,094 | |
| Manatee County School District Series 2017, 5% 10/1/24 (FSA Insured) | 30,000 | 35,462 | |
| Miami Health Facilities Auth. Rev. Series 2017, 5% 7/1/20 | 110,000 | 110,769 | |
| Miami-Dade County Aviation Rev.: | |||
| Series 2012 A: | |||
| 5% 10/1/20 (b) | 1,150,000 | 1,185,578 | |
| 5% 10/1/21 (b) | 335,000 | 357,690 | |
| Series 2014: | |||
| 5% 10/1/20 (b) | 560,000 | 577,325 | |
| 5% 10/1/22 (b) | 235,000 | 259,055 | |
| Series 2015 A, 5% 10/1/21 (b) | 255,000 | 272,271 | |
| Series 2017 B: | |||
| 2.75% 10/1/20 (b) | 1,150,000 | 1,164,341 | |
| 5% 10/1/20 (b) | 2,800,000 | 2,886,624 | |
| Series A1, 5% 10/1/21 | 315,000 | 325,171 | |
| Miami-Dade County Expressway Auth.: | |||
| (Waste Mgmt., Inc. of Florida Proj.): | |||
| 5% 7/1/20 | 20,000 | 20,423 | |
| 5% 7/1/21 | 345,000 | 364,755 | |
| 5% 7/1/22 | 45,000 | 49,007 | |
| 5% 7/1/23 | 45,000 | 49,235 | |
| Series 2014 A, 5% 7/1/21 | 250,000 | 264,315 | |
| Series 2014 B: | |||
| 5% 7/1/20 | 250,000 | 255,290 | |
| 5% 7/1/22 | 35,000 | 38,116 | |
| 5% 7/1/23 | 70,000 | 78,469 | |
| Miami-Dade County Health Facilities Auth. Hosp. Rev. Series 2010, 5.25% 8/1/21 | 85,000 | 87,247 | |
| 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)(b) | 3,960,000 | 4,040,903 | |
| Miami-Dade County School Board Ctfs. of Prtn.: | |||
| (Miami-Dade County School District) Series 2012 B-2, 4% 4/1/20 | 190,000 | 191,719 | |
| Series 2014 D: | |||
| 5% 11/1/20 | 215,000 | 222,339 | |
| 5% 11/1/21 | 135,000 | 144,582 | |
| 5% 11/1/22 | 65,000 | 71,942 | |
| 5% 11/1/23 | 165,000 | 188,313 | |
| Series 2015 A: | |||
| 5% 5/1/21 | 415,000 | 436,875 | |
| 5% 5/1/22 | 605,000 | 658,797 | |
| 5% 5/1/23 | 140,000 | 157,389 | |
| Series 2015 B, 5% 5/1/24 | 645,000 | 745,588 | |
| Series 2015 D, 5% 2/1/22 | 410,000 | 442,853 | |
| North Broward Hosp. District Rev. Series 2017 B: | |||
| 5% 1/1/20 | 220,000 | 220,579 | |
| 5% 1/1/21 | 205,000 | 212,234 | |
| Orange County Health Facilities Auth. Series B: | |||
| 5% 10/1/20 | 1,660,000 | 1,712,055 | |
| 5% 10/1/21 | 1,330,000 | 1,421,331 | |
| 5% 10/1/22 | 1,295,000 | 1,430,599 | |
| Orlando & Orange County Expressway Auth. Rev. Series 2012, 5% 7/1/22 | 305,000 | 334,192 | |
| Palm Beach County Health Facilities Auth. Hosp. Rev.: | |||
| Series 2014: | |||
| 4% 12/1/19 (Escrowed to Maturity) | 20,000 | 20,000 | |
| 5% 12/1/20 (Escrowed to Maturity) | 30,000 | 31,114 | |
| 5% 12/1/21 (Escrowed to Maturity) | 35,000 | 37,592 | |
| 5% 12/1/23 (Escrowed to Maturity) | 5,000 | 5,726 | |
| 5% 12/1/24 (Escrowed to Maturity) | 10,000 | 11,747 | |
| Series 2019: | |||
| 5% 8/15/20 | 1,700,000 | 1,744,987 | |
| 5% 8/15/21 | 425,000 | 451,792 | |
| Palm Beach County School Board Ctfs. of Prtn.: | |||
| (Palm Beach County School District Proj.): | |||
| Series 2018 A, 5% 8/1/21 | 2,000,000 | 2,124,600 | |
| Series 2018 B, 5% 8/1/21 | 1,100,000 | 1,168,530 | |
| Series 2014 B: | |||
| 4% 8/1/21 | 90,000 | 94,131 | |
| 5% 8/1/21 | 115,000 | 122,165 | |
| 5% 8/1/22 | 20,000 | 21,996 | |
| Pasco County School Board Ctfs. of Prtn. Series 2005 B, 1.45%, tender 8/1/30 (a) | 3,975,000 | 3,975,000 | |
| Pasco County School District Sales Tax Rev. Series 2013: | |||
| 5% 10/1/20 | 20,000 | 20,617 | |
| 5% 10/1/21 | 120,000 | 128,105 | |
| 5% 10/1/22 | 20,000 | 22,006 | |
| Pinellas County Hsg. Fin. Auth. Bonds (Lutheran Apts. Proj.) Series 2019 B, 1.25%, tender 8/1/21 (a) | 1,625,000 | 1,621,133 | |
| Seminole County School Board Ctfs. of Prtn. Series 2016 C: | |||
| 5% 7/1/25 | 20,000 | 23,847 | |
| 5% 7/1/26 | 25,000 | 30,551 | |
| Tallahassee Health Facilities Rev. (Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A, 5% 12/1/21 | 65,000 | 69,337 | |
| Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev. Series 2005, 5.5% 10/1/22 (FGIC Insured) | 30,000 | 33,611 | |
| Tampa Solid Waste Sys. Rev. Series 2013, 5% 10/1/20 (b) | 540,000 | 555,978 | |
| Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.): | |||
| Series 2012 A, 5% 9/1/20 | 40,000 | 41,080 | |
| Series 2016 A, 5% 9/1/20 | 150,000 | 154,107 | |
| TOTAL FLORIDA | 77,210,849 | ||
| Georgia - 2.3% | |||
| Atlanta Arpt. Rev. 5% 1/1/22 | 20,000 | 21,589 | |
| Atlanta Urban Residential Fin. Auth. Bonds: | |||
| (Bethel Towers Apt. Proj.) Series 2018, 2.07%, tender 11/1/20 (a) | 10,000,000 | 10,039,258 | |
| (Creekside at Adamsville Place Proj.) Series 2019, 1.95%, tender 5/1/21 (a) | 7,000,000 | 7,046,410 | |
| 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 | 1,546,515 | |
| Series 2013, 1.55%, tender 8/19/22 (a) | 1,370,000 | 1,364,246 | |
| Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/22 | 1,000,000 | 1,095,710 | |
| Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds: | |||
| (Georgia Pwr. Co. Plant Vogtle Proj.): | |||
| Series 1994, 2.25%, tender 5/25/23 (a) | 1,405,000 | 1,427,663 | |
| Series 1995 5, 2.05%, tender 11/19/21 (a) | 375,000 | 377,786 | |
| Series 2008, 1.65%, tender 6/18/21 (a) | 685,000 | 685,521 | |
| Series 2012 1st, 1.55%, tender 8/22/22 (a) | 2,000,000 | 1,992,120 | |
| Series 2013 1st, 2.925%, tender 3/12/24 (a) | 990,000 | 1,034,223 | |
| (Oglethorpe Pwr. Corp. Vogtle Proj.): | |||
| Series 2013 A, 2.4%, tender 4/1/20 (a) | 220,000 | 220,605 | |
| Series 2017 E, 3.25%, tender 2/3/25 (a) | 100,000 | 104,271 | |
| Series 1996, 2.35%, tender 12/11/20 (a) | 1,485,000 | 1,496,697 | |
| Clarke County Hosp. Auth. Series 2016, 5% 7/1/20 | 190,000 | 194,121 | |
| Cobb County Kennestone Hosp. Auth. Rev. (Wellstar Health Sys., Inc. Proj.) Series 2017 A: | |||
| 5% 4/1/20 | 45,000 | 45,549 | |
| 5% 4/1/21 | 100,000 | 104,623 | |
| DeKalb County Hsg. Auth. Multi-family Hsg. Rev. Bonds Series 2019 A, 2%, tender 2/1/21 (a) | 9,000,000 | 9,049,320 | |
| Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (a) | 750,000 | 857,325 | |
| Fulton County Dev. Auth. Hosp. R (Wellstar Health Sys., Inc. Proj.) Series 2017 A: | |||
| 5% 4/1/20 | 40,000 | 40,488 | |
| 5% 4/1/21 | 85,000 | 88,930 | |
| Fulton County Dev. Auth.: | |||
| (Piedmont Healthcare, Inc. Proj.) Series 2016, 5% 7/1/20 | 130,000 | 132,819 | |
| Bonds Series 2018 A, 2%, tender 3/1/20 (a) | 4,000,000 | 4,006,444 | |
| Fulton County Dev. Auth. Rev. Series 2019 C: | |||
| 5% 7/1/21 | 1,000,000 | 1,059,850 | |
| 5% 7/1/22 | 1,000,000 | 1,095,710 | |
| 5% 7/1/23 | 1,300,000 | 1,470,378 | |
| Gainesville & Hall County Hosp. Auth. Rev. Bonds (Northeast Georgia Health Sys., Inc. Proj.) Series 2014 B, SIFMA Municipal Swap Index + 0.950% 2.05%, tender 12/5/19 (a)(c) | 2,225,000 | 2,225,327 | |
| Georgia Hsg. & Fin. Auth. Rev. Series 2016 B-2, 1.45% 6/1/20 (b) | 1,000,000 | 1,000,442 | |
| Georgia Muni. Elec. Auth. Pwr. Rev.: | |||
| (Combined Cycle Proj.) Series 2012 A, 5% 11/1/20 | 300,000 | 309,907 | |
| (Gen. Resolution Projs.) Series 2009 B, 5% 1/1/20 (Escrowed to Maturity) | 275,000 | 275,831 | |
| Series 2008 A, 5.25% 1/1/21 | 140,000 | 145,760 | |
| Series 2009 B, 5% 1/1/20 | 4,955,000 | 4,968,784 | |
| Series 2011 A: | |||
| 5% 1/1/20 | 445,000 | 446,238 | |
| 5% 1/1/21 | 3,960,000 | 4,112,341 | |
| Series 2011 B, 5% 1/1/21 | 450,000 | 467,312 | |
| Series 2015 A: | |||
| 5% 1/1/20 | 390,000 | 391,085 | |
| 5% 1/1/21 | 255,000 | 264,810 | |
| Series 2016 A: | |||
| 4% 1/1/21 | 280,000 | 287,790 | |
| 5% 1/1/20 | 715,000 | 716,989 | |
| 5% 1/1/20 (Escrowed to Maturity) | 735,000 | 737,220 | |
| 5% 1/1/22 | 250,000 | 267,888 | |
| Series 2019 A: | |||
| 5% 1/1/21 | 600,000 | 623,082 | |
| 5% 1/1/22 | 1,085,000 | 1,162,632 | |
| Series C, 5% 1/1/22 | 1,200,000 | 1,285,860 | |
| Series GG: | |||
| 5% 1/1/20 | 135,000 | 135,381 | |
| 5% 1/1/21 | 255,000 | 264,950 | |
| Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.): | |||
| Series 2014 U: | |||
| 5% 10/1/22 | 20,000 | 22,053 | |
| 5% 10/1/23 | 55,000 | 62,438 | |
| Series R, 5% 10/1/21 | 110,000 | 117,347 | |
| Griffin-Spalding County Hosp. (Wellstar Health Sys., Inc. Proj.) Series 2017 A: | |||
| 3% 4/1/20 | 40,000 | 40,228 | |
| 3% 4/1/21 | 35,000 | 35,701 | |
| Lagrange-Troup County Hosp. Rev. (Wellstar Health Sys., Inc. Proj.) Series 2017 A: | |||
| 5% 4/1/20 | 30,000 | 30,366 | |
| 5% 4/1/21 | 85,000 | 88,930 | |
| Macon-Bibb County Hsg. Auth. Bonds Series 2018, 2.04%, tender 4/1/20 (a) | 5,000,000 | 5,009,989 | |
| Main Street Natural Gas, Inc.: | |||
| Series 2018 C, 4% 12/1/19 | 215,000 | 215,000 | |
| Series 2019 A: | |||
| 5% 5/15/20 | 500,000 | 507,768 | |
| 5% 5/15/22 | 1,000,000 | 1,079,980 | |
| Series 2019 C: | |||
| 5% 9/1/20 (e) | 440,000 | 451,559 | |
| 5% 9/1/21 (e) | 285,000 | 302,362 | |
| Monroe County Dev. Auth. Poll. Cont. Rev.: | |||
| (Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25 | 435,000 | 442,921 | |
| Bonds: | |||
| (Georgia Pwr. Co. Plant Scherer Proj.): | |||
| Series 2009 1, 2.05%, tender 11/19/21 (a) | 705,000 | 710,238 | |
| Series 2009, 2.35%, tender 12/11/20 (a) | 2,175,000 | 2,197,447 | |
| (Gulf Pwr. Co. Plant Scherer Proj.) Series 2002 1, 2%, tender 6/25/20 (a) | 250,000 | 250,932 | |
| Northwest Georgia Hsg. Auth. Multifamily Hsg. Bonds (Meadow Lane Apts. Proj.) Series 2017, 1.7%, tender 9/1/20 (a) | 1,500,000 | 1,500,428 | |
| Private Colleges & Univs. Auth. Rev. (The Savannah College of Arts and Design Projs.) Series 2014, 5% 4/1/21 | 75,000 | 78,742 | |
| TOTAL GEORGIA | 79,832,229 | ||
| Hawaii - 0.2% | |||
| Hawaii Dept. of Budget & Fin. Spl. Purp. Rev. (Queens Health Sys. Proj.) Series 2015 B, SIFMA Municipal Swap Index + 0.140% 1.55%, tender 7/1/39 (a)(c) | 575,000 | 575,000 | |
| Honolulu City & County Gen. Oblig. Bonds Series 2017 H: | |||
| SIFMA Municipal Swap Index + 0.310% 1.41%, tender 12/5/19 (a)(c) | 2,180,000 | 2,180,112 | |
| SIFMA Municipal Swap Index + 0.320% 1.42%, tender 12/5/19 (a)(c) | 1,965,000 | 1,965,094 | |
| SIFMA Municipal Swap Index + 0.320% 1.42%, tender 12/5/19 (a)(c) | 875,000 | 875,045 | |
| State of Hawaii Dept. of Trans. Series 2013: | |||
| 5% 8/1/20 (b) | 65,000 | 66,564 | |
| 5% 8/1/21 (b) | 10,000 | 10,599 | |
| 5% 8/1/21 (FSA Insured) (b) | 300,000 | 317,973 | |
| 5% 8/1/22 (b) | 45,000 | 49,219 | |
| 5% 8/1/23 (b) | 30,000 | 33,754 | |
| TOTAL HAWAII | 6,073,360 | ||
| Idaho - 0.0% | |||
| Idaho Health Facilities Auth. Rev. (St. Luke's Health Sys. Proj.) Series 2018 A, 5% 3/1/20 | 515,000 | 519,533 | |
| Idaho Hsg. & Fin. Assoc. Single Family Mtg.: | |||
| (Idaho St Garvee Proj.) Series 2017 A, 5% 7/15/21 | 230,000 | 243,874 | |
| Series 2019 A, 4% 1/1/50 | 55,000 | 60,233 | |
| TOTAL IDAHO | 823,640 | ||
| Illinois - 3.8% | |||
| Champaign County Cmnty. Unit Series 2017, 5% 1/1/21 | 355,000 | 369,165 | |
| Chicago Board of Ed.: | |||
| Series 1999, 0% 12/1/22 (Berkshire Hathaway Assurance Corp. Insured) (FGIC Insured) | 560,000 | 530,376 | |
| Series 2019 A, 5% 12/1/23 | 1,000,000 | 1,097,200 | |
| Chicago Gen. Oblig.: | |||
| Series 2003 B, 5% 1/1/20 | 720,000 | 721,665 | |
| Series 2010, 5% 12/1/19 | 220,000 | 220,000 | |
| Series 2015 C: | |||
| 5% 1/1/20 | 280,000 | 280,648 | |
| 5% 1/1/21 (Escrowed to Maturity) | 435,000 | 452,500 | |
| Chicago Metropolitan Wtr. Reclamation District of Greater Chicago Series 2014 D, 5% 12/1/19 | 2,255,000 | 2,255,000 | |
| Chicago Midway Arpt. Rev.: | |||
| Series 2013 B: | |||
| 5% 1/1/22 | 110,000 | 118,364 | |
| 5% 1/1/23 | 130,000 | 144,313 | |
| Series 2014 B: | |||
| 5% 1/1/20 | 15,000 | 15,044 | |
| 5% 1/1/21 | 10,000 | 10,408 | |
| 5% 1/1/23 | 55,000 | 61,056 | |
| Chicago Motor Fuel Tax Rev. Series 2013: | |||
| 5% 1/1/20 | 5,000 | 5,010 | |
| 5% 1/1/21 | 10,000 | 10,254 | |
| 5% 1/1/22 | 5,000 | 5,227 | |
| 5% 1/1/23 | 10,000 | 10,638 | |
| Chicago O'Hare Int'l. Arpt. Rev.: | |||
| Series 2012 A, 5% 1/1/21 | 30,000 | 31,223 | |
| Series 2012 B: | |||
| 4% 1/1/20 (b) | 1,110,000 | 1,112,275 | |
| 5% 1/1/21 (b) | 100,000 | 103,902 | |
| 5% 1/1/22 (b) | 1,875,000 | 2,012,756 | |
| Series 2013 A: | |||
| 5% 1/1/21 (b) | 1,800,000 | 1,870,236 | |
| 5% 1/1/23 (b) | 505,000 | 558,505 | |
| Series 2013 B, 5% 1/1/22 | 85,000 | 91,554 | |
| Series 2013 C, 5% 1/1/22 (b) | 700,000 | 751,429 | |
| Series 2013 D, 5% 1/1/22 | 70,000 | 75,398 | |
| Series 2015 B, 5% 1/1/21 | 600,000 | 624,468 | |
| Series 2017 D, 5% 1/1/27 (b) | 35,000 | 42,380 | |
| Series 2018 A, 5% 1/1/21 (b) | 250,000 | 259,755 | |
| Chicago Park District Gen. Oblig.: | |||
| Series 2010 A, 4.5% 1/1/23 | 400,000 | 405,896 | |
| Series 2010 C, 5% 1/1/20 | 250,000 | 250,664 | |
| Series 2013 D, 5% 1/1/20 | 355,000 | 355,942 | |
| Series 2015 B, 5% 1/1/21 | 425,000 | 439,998 | |
| Series 2018 E, 5% 11/15/20 | 290,000 | 299,396 | |
| Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017: | |||
| 5% 6/1/20 | 860,000 | 874,514 | |
| 5% 6/1/21 | 635,000 | 667,048 | |
| 5% 6/1/25 | 25,000 | 29,154 | |
| Chicago Wastewtr. Transmission Rev. Series 2012, 5% 1/1/23 | 25,000 | 26,690 | |
| Cook County Gen. Oblig.: | |||
| Series 2009 C, 5% 11/15/21 | 185,000 | 185,479 | |
| Series 2009 D, 5% 11/15/21 | 500,000 | 501,295 | |
| Series 2010 A, 5.25% 11/15/22 | 110,000 | 113,809 | |
| Series 2011 A, 5.25% 11/15/22 | 20,000 | 21,323 | |
| Series 2012 C: | |||
| 5% 11/15/20 | 155,000 | 160,052 | |
| 5% 11/15/21 | 120,000 | 127,626 | |
| 5% 11/15/22 | 590,000 | 644,345 | |
| Series 2014 A: | |||
| 5% 11/15/20 | 20,000 | 20,652 | |
| 5% 11/15/21 | 10,000 | 10,636 | |
| 5% 11/15/22 | 30,000 | 32,763 | |
| Series 2016 A, 5% 11/15/21 | 2,250,000 | 2,392,988 | |
| Series 2018, 5% 11/15/20 | 615,000 | 635,043 | |
| Cook County School District No. 87 Series 2012 A, 3% 12/1/19 | 1,215,000 | 1,215,000 | |
| DeKalb County Cmnty. Unit Scd Series 2001, 0% 1/1/21 (AMBAC Insured) | 1,175,000 | 1,153,991 | |
| Illinois Edl. Facilities Auth. Rev. Bonds Series 1998 B, 1.875%, tender 2/13/20 (a) | 2,000,000 | 2,002,553 | |
| Illinois Fin. Auth. Rev.: | |||
| (Bradley Univ. Proj.) Series 2017 C, 5% 8/1/26 | 35,000 | 41,579 | |
| (Hosp. Sisters Svcs., Inc. Proj.) Series 2012 C, 5% 8/15/20 | 690,000 | 707,670 | |
| (OSF Healthcare Sys.): | |||
| Series 2010 A, 6% 5/15/39 (Pre-Refunded to 5/15/20 @ 100) | 1,000,000 | 1,021,420 | |
| Series 2018 A, 5% 5/15/20 | 700,000 | 711,673 | |
| Bonds: | |||
| (Ascension Health Cr. Group Proj.) Series 2012 E2, 1.75%, tender 4/1/21 (a) | 3,030,000 | 3,047,483 | |
| Series 2016 B, 1 month U.S. LIBOR + 1.350% 2.597%, tender 5/1/21 (a)(c) | 1,090,000 | 1,092,136 | |
| Series 2017 B, 5%, tender 12/15/22 (a) | 265,000 | 293,445 | |
| Series E, 2.25%, tender 4/29/22 (a) | 500,000 | 510,440 | |
| Series 2010, 5% 5/1/20 | 250,000 | 253,808 | |
| Series 2011 IL, 5% 12/1/22 (Pre-Refunded to 12/1/21 @ 100) | 25,000 | 26,851 | |
| Series 2012 A: | |||
| 5% 5/15/22 | 250,000 | 271,128 | |
| 5% 5/15/23 | 30,000 | 32,543 | |
| Series 2012: | |||
| 5% 9/1/20 | 30,000 | 30,835 | |
| 5% 9/1/21 | 45,000 | 47,934 | |
| 5% 9/1/22 | 75,000 | 82,628 | |
| Series 2015 A: | |||
| 5% 11/15/22 | 10,000 | 11,060 | |
| 5% 11/15/22 | 800,000 | 880,920 | |
| 5% 11/15/24 | 35,000 | 40,680 | |
| 5% 11/15/25 | 45,000 | 53,490 | |
| 5% 11/15/26 | 45,000 | 53,303 | |
| Series 2015 B, 5% 11/15/24 | 45,000 | 52,654 | |
| Series 2016 A: | |||
| 5% 8/15/20 | 10,000 | 10,214 | |
| 5% 2/15/21 | 15,000 | 15,647 | |
| 5% 8/15/21 | 15,000 | 15,770 | |
| 5% 2/15/23 | 20,000 | 22,238 | |
| 5% 8/15/23 | 35,000 | 38,782 | |
| 5% 8/15/24 | 50,000 | 56,713 | |
| Series 2016 C: | |||
| 5% 2/15/20 | 110,000 | 110,752 | |
| 5% 2/15/22 | 225,000 | 243,396 | |
| 5% 2/15/23 | 100,000 | 111,690 | |
| 5% 2/15/24 | 115,000 | 132,275 | |
| Series 2016 D, 5% 2/15/20 | 1,980,000 | 1,994,577 | |
| Series 2016: | |||
| 5% 5/15/21 | 705,000 | 742,027 | |
| 5% 7/1/22 | 65,000 | 71,308 | |
| 5% 5/15/25 | 10,000 | 11,746 | |
| 5% 5/15/26 | 20,000 | 23,975 | |
| 5% 5/15/27 | 25,000 | 29,757 | |
| Series 2017 A, 5% 7/15/21 | 500,000 | 530,075 | |
| Series 2017: | |||
| 5% 1/1/23 | 35,000 | 39,000 | |
| 5% 1/1/25 | 50,000 | 59,027 | |
| Series 2019, 5% 4/1/26 | 1,000,000 | 1,205,050 | |
| Illinois Gen. Oblig.: | |||
| Series 2006, 5% 6/1/21 | 405,000 | 423,229 | |
| Series 2010: | |||
| 5% 1/1/21 (FSA Insured) | 35,000 | 35,097 | |
| 5% 1/1/23 (FSA Insured) | 250,000 | 250,728 | |
| Series 2012 A, 4% 1/1/23 | 30,000 | 31,080 | |
| Series 2012: | |||
| 5% 8/1/20 (FSA Insured) | 785,000 | 803,517 | |
| 5% 8/1/21 | 55,000 | 57,746 | |
| 5% 8/1/22 | 760,000 | 817,585 | |
| Series 2013: | |||
| 5% 7/1/21 | 140,000 | 146,646 | |
| 5% 7/1/22 | 375,000 | 402,566 | |
| Series 2014: | |||
| 5% 2/1/20 | 665,000 | 668,528 | |
| 5% 2/1/21 | 865,000 | 896,746 | |
| 5% 2/1/22 | 65,000 | 69,031 | |
| 5% 4/1/23 | 50,000 | 54,426 | |
| 5% 2/1/25 | 50,000 | 54,917 | |
| Series 2016: | |||
| 5% 1/1/20 | 1,760,000 | 1,764,504 | |
| 5% 11/1/20 | 900,000 | 926,393 | |
| 5% 1/1/21 | 2,865,000 | 2,963,327 | |
| 5% 2/1/21 | 4,000,000 | 4,146,800 | |
| 5% 11/1/21 | 1,505,000 | 1,590,093 | |
| 5% 1/1/22 | 1,650,000 | 1,748,522 | |
| 5% 1/1/26 | 300,000 | 340,872 | |
| 5% 2/1/26 | 1,235,000 | 1,403,442 | |
| Series 2017 A, 5% 12/1/23 | 750,000 | 828,465 | |
| Series 2017 D: | |||
| 5% 11/1/20 | 9,000,000 | 9,237,453 | |
| 5% 11/1/21 | 2,180,000 | 2,299,050 | |
| 5% 11/1/23 | 420,000 | 461,446 | |
| Series 2018 A: | |||
| 5% 10/1/20 | 4,200,000 | 4,311,941 | |
| 5% 10/1/21 | 1,500,000 | 1,581,165 | |
| 5% 10/1/26 | 1,340,000 | 1,536,766 | |
| Series 2018 B, 5% 10/1/20 | 1,600,000 | 1,642,644 | |
| Series 2019 A, 5% 11/1/20 | 4,000,000 | 4,117,303 | |
| Series 2019 B, 5% 9/1/20 | 1,260,000 | 1,290,217 | |
| Illinois Health Facilities Auth. Rev. Series 2003, 1.6% 11/15/22 | 185,000 | 186,497 | |
| Illinois Muni. Elec. Agcy. Pwr. Supply: | |||
| Series 2007 C, 5.25% 2/1/20 | 185,000 | 186,162 | |
| Series 2015 A: | |||
| 5% 2/1/21 | 470,000 | 489,858 | |
| 5% 2/1/22 | 640,000 | 689,715 | |
| 5% 2/1/23 | 25,000 | 27,799 | |
| Illinois Reg'l. Trans. Auth.: | |||
| Series 1994 C, 7.75% 6/1/20 (FGIC Insured) | 1,000,000 | 1,031,888 | |
| Series 2000, 6.25% 7/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 650,000 | 668,605 | |
| Series 2002 A, 6% 7/1/21 | 460,000 | 493,874 | |
| Series 2010A, 5% 7/1/20 | 465,000 | 466,342 | |
| Series 2017 A: | |||
| 5% 7/1/20 | 210,000 | 214,505 | |
| 5% 7/1/21 | 210,000 | 222,195 | |
| Illinois Sales Tax Rev.: | |||
| Series 2011, 4% 6/15/20 | 1,635,000 | 1,653,998 | |
| Series 2013, 5% 6/15/20 | 2,380,000 | 2,420,228 | |
| Series 2016 D, 5% 6/15/23 | 1,500,000 | 1,639,125 | |
| Illinois State Univ. Revs. Series 2018 A, 5% 4/1/23 (FSA Insured) | 290,000 | 318,017 | |
| Illinois Toll Hwy. Auth. Toll Hwy. Rev. Series 2014 A: | |||
| 5% 12/1/20 | 2,600,000 | 2,698,166 | |
| 5% 12/1/21 | 640,000 | 688,051 | |
| 5% 12/1/22 | 1,090,000 | 1,207,273 | |
| Kane County School District #129, Aurora West Side Series 2014 A, 2.75% 2/1/22 | 1,000,000 | 1,021,730 | |
| Kendall, Kane & Will Counties Cmnty. Unit School District #308: | |||
| Series 2008, 0% 2/1/20 (FSA Insured) | 2,000,000 | 1,995,146 | |
| Series 2011, 5.5% 2/1/23 | 550,000 | 613,344 | |
| McHenry County Cmnty. School District #200 Series 2006 B: | |||
| 0% 1/15/24 | 105,000 | 97,375 | |
| 0% 1/15/25 | 110,000 | 99,782 | |
| 0% 1/15/26 | 80,000 | 70,758 | |
| McHenry County Conservation District Gen. Oblig. Series 2014, 5% 2/1/23 | 50,000 | 55,614 | |
| Metropolitan Pier & Exposition: | |||
| Series 1994, 0% 6/15/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 365,000 | 354,707 | |
| Series 2012 B, 5% 12/15/22 | 1,655,000 | 1,784,984 | |
| Minooka Ill Spl. Assmt Series 2014, 3.5% 12/1/19 (FSA Insured) | 119,000 | 119,000 | |
| Railsplitter Tobacco Settlement Auth. Rev.: | |||
| Series 2010: | |||
| 5.25% 6/1/20 | 2,295,000 | 2,338,613 | |
| 5.25% 6/1/21 | 500,000 | 528,265 | |
| Series 2017: | |||
| 5% 6/1/22 | 1,920,000 | 2,086,598 | |
| 5% 6/1/23 | 1,700,000 | 1,903,048 | |
| Rockford Park District Series 2019 B, 3% 12/15/20 | 1,165,000 | 1,180,324 | |
| Skokie Pk District Series 2003, 0% 12/1/22 | 1,830,000 | 1,751,292 | |
| Univ. of Illinois Board of Trustees Ctfs. of Prtn. Series 2014 C, 5% 3/15/23 | 265,000 | 295,565 | |
| Univ. of Illinois Rev.: | |||
| Series 2005 A, 5.5% 4/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 700,000 | 738,374 | |
| Series 2011 A, 5% 4/1/21 | 250,000 | 262,065 | |
| Series 2011, 5% 4/1/22 | 350,000 | 366,310 | |
| Series 2019 A, 5% 4/1/22 | 485,000 | 525,386 | |
| Waukegan Gen. Oblig.: | |||
| Series 2018 A: | |||
| 3% 12/30/20 (FSA Insured) | 1,000,000 | 1,017,440 | |
| 4% 12/30/21 (FSA Insured) | 410,000 | 430,861 | |
| 4% 12/30/22 (FSA Insured) | 425,000 | 455,269 | |
| Series 2018 B, 4% 12/30/22 (FSA Insured) | 400,000 | 428,488 | |
| Whiteside & Lee Counties Cmnty. Unit School District Series 2018 A, 4% 12/1/21 | 1,325,000 | 1,389,846 | |
| Will County Cmnty. Consolidated School District Series 2013, 2.3% 1/1/21 | 2,950,000 | 2,983,365 | |
| Will County Cmnty. Unit School District No. 200-U Series 2012, 4% 11/1/20 | 1,910,000 | 1,957,596 | |
| TOTAL ILLINOIS | 130,190,993 | ||
| Indiana - 1.4% | |||
| Hammond Loc Pub. Impt. Bd Bank Series 2019 A, 3.1% 12/31/19 | 4,250,000 | 4,253,979 | |
| Indiana Bond Bank Series 2019 A, 4% 1/3/20 | 6,500,000 | 6,515,944 | |
| Indiana Fin. Auth. Econ. Dev. Rev. Bonds (Republic Svcs., Inc. Proj.): | |||
| Series 2012, 1.4%, tender 12/2/19 (a)(b) | 400,000 | 400,000 | |
| Series A, 1.4%, tender 12/2/19 (a)(b) | 8,000,000 | 8,000,000 | |
| Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (a) | 710,000 | 736,668 | |
| Indiana Fin. Auth. Hosp. Rev.: | |||
| Bonds: | |||
| Series 2011 H, 1.65%, tender 7/1/22 (a) | 3,300,000 | 3,318,909 | |
| Series 2011 L: | |||
| SIFMA Municipal Swap Index + 0.280% 1.38%, tender 7/2/21 (a)(c) | 3,300,000 | 3,300,924 | |
| SIFMA Municipal Swap Index + 0.280% 1.38%, tender 7/2/21 (a)(c) | 3,500,000 | 3,500,980 | |
| Series 2015 B, 1.65%, tender 7/2/22 (a) | 1,190,000 | 1,196,819 | |
| Series 2013: | |||
| 5% 8/15/22 | 15,000 | 16,502 | |
| 5% 8/15/23 | 20,000 | 22,651 | |
| Indiana Fin. Auth. Rev.: | |||
| (Butler Univ. Proj.) Series 2019: | |||
| 3% 2/1/22 | 210,000 | 217,489 | |
| 3% 2/1/23 | 225,000 | 236,527 | |
| 4% 2/1/24 | 200,000 | 220,768 | |
| 4% 2/1/25 | 275,000 | 309,218 | |
| (DePauw Univ. Proj.) Series 2019: | |||
| 5% 7/1/20 | 450,000 | 459,337 | |
| 5% 7/1/21 | 565,000 | 596,713 | |
| 5% 7/1/22 | 600,000 | 653,424 | |
| Series 2010 B, 5% 12/1/19 | 290,000 | 290,000 | |
| Series 2012: | |||
| 5% 3/1/20 (Escrowed to Maturity) | 15,000 | 15,140 | |
| 5% 3/1/21 (Escrowed to Maturity) | 25,000 | 26,176 | |
| Series 2016, 4% 9/1/20 | 130,000 | 132,453 | |
| Indiana Fin. Auth. Wastewtr. Util. Rev. (CWA Auth. Proj.): | |||
| Series 2012 A: | |||
| 5% 10/1/20 | 20,000 | 20,627 | |
| 5% 10/1/22 | 35,000 | 38,572 | |
| Series 2014 A: | |||
| 5% 10/1/20 | 10,000 | 10,314 | |
| 5% 10/1/21 | 10,000 | 10,681 | |
| 5% 10/1/22 | 15,000 | 16,553 | |
| Series 2015 A: | |||
| 5% 10/1/24 | 35,000 | 40,994 | |
| 5% 10/1/25 | 35,000 | 41,000 | |
| Indiana Health Facility Fing. Auth. Rev. Bonds: | |||
| Series 2001 A2, 2%, tender 2/1/23 (a) | 155,000 | 158,063 | |
| Series 2005 A-5, 1.35%, tender 8/4/20 (a) | 2,430,000 | 2,431,927 | |
| Series 2005 A-8, 1.25%, tender 5/1/20 (a) | 340,000 | 340,026 | |
| Series 2017: | |||
| 1.35%, tender 8/4/20 (a) | 155,000 | 155,123 | |
| 1.375%, tender 5/1/20 (a) | 880,000 | 880,517 | |
| Indianapolis Local Pub. Impt. (Indianapolis Arpt. Auth. Proj.) Series 2016 A1: | |||
| 5% 1/1/21 (b) | 960,000 | 998,621 | |
| 5% 1/1/23 (b) | 45,000 | 49,753 | |
| 5% 1/1/24 (b) | 60,000 | 68,152 | |
| 5% 1/1/25 (b) | 65,000 | 75,691 | |
| Lafayette School Corp. Series 2019: | |||
| 4% 7/15/20 (e) | 415,000 | 420,862 | |
| 4% 1/15/21 (e) | 425,000 | 435,804 | |
| Lake Central Multi-District School Bldg. Corp. Series 2012 B: | |||
| 4% 1/15/20 | 30,000 | 30,095 | |
| 4% 1/15/21 | 25,000 | 25,749 | |
| 5% 7/15/20 | 25,000 | 25,571 | |
| 5% 7/15/21 | 20,000 | 21,180 | |
| Michigan City School Bldg. Corp. (Michigan Gen. Oblig. Proj.) Series 2016 A, 5% 7/15/20 | 1,040,000 | 1,053,765 | |
| Mount Vernon Ind. Envir. Bonds (Southern Indiana Gas & Elec. Co. Proj.) Series 2015, 2.375%, tender 9/1/20 (a)(b) | 1,000,000 | 1,001,269 | |
| Purdue Univ. Rev. Series 2012 AA, 5% 7/1/27 | 255,000 | 279,202 | |
| Whiting Envir. Facilities Rev.: | |||
| (BP Products North America, Inc. Proj.) Series 2009, 5.25% 1/1/21 | 1,825,000 | 1,899,077 | |
| Bonds: | |||
| (BA Products North America, Inc. Proj.) Series 2019 A, 5%, tender 6/5/26 (a)(b) | 1,640,000 | 1,942,695 | |
| (BP Products North America, Inc. Proj.): | |||
| Series 2015, 5%, tender 11/1/22 (a)(b) | 980,000 | 1,073,178 | |
| Series 2016 A, 5%, tender 3/1/23 (a)(b) | 500,000 | 551,710 | |
| TOTAL INDIANA | 48,517,392 | ||
| Iowa - 0.6% | |||
| Iowa Fin. Auth. Multi-family Rev. Bonds (Elevate at Jordan Creek Apts. Proj.) Series 2018, 2%, tender 3/1/20 (a) | 12,600,000 | 12,617,580 | |
| Iowa Fin. Auth. Rev. Series 2018 B: | |||
| 5% 2/15/20 | 300,000 | 302,221 | |
| 5% 2/15/22 | 540,000 | 582,682 | |
| Iowa Fin. Auth. Single Family Mtg. Bonds Series 2018 B, SIFMA Municipal Swap Index + 0.300% 1.4%, tender 5/3/21 (a)(c) | 3,500,000 | 3,495,240 | |
| Iowa Student Ln. Liquidity Corp. Student Ln. Rev.: | |||
| Series 2015 A, 5% 12/1/21 (b) | 1,000,000 | 1,062,660 | |
| Series 2018 A: | |||
| 5% 12/1/20 (b) | 500,000 | 516,051 | |
| 5% 12/1/21 (b) | 500,000 | 531,330 | |
| 5% 12/1/22 (b) | 725,000 | 791,591 | |
| Series 2019 B, 5% 12/1/23 (b) | 600,000 | 678,708 | |
| TOTAL IOWA | 20,578,063 | ||
| Kansas - 0.2% | |||
| Desoto Usd # 232 Series 2015 A, 5% 9/1/22 | 35,000 | 38,590 | |
| Kansas Dept. of Trans. Hwy. Rev.: | |||
| Series 2004 C1, 1 month U.S. LIBOR + 0.300% 1.547% 9/1/21 (a)(c) | 5,000,000 | 5,015,692 | |
| Series 2018 A, 5% 9/1/20 | 1,020,000 | 1,049,395 | |
| Univ. of Kansas Hosp. Auth. Health Facilities Rev. Series 2019 B: | |||
| 5% 3/1/20 (e) | 675,000 | 681,327 | |
| 5% 3/1/21 (e) | 500,000 | 523,455 | |
| Wichita Health Care Facilities Series III, 4% 5/15/21 | 455,000 | 464,328 | |
| Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A: | |||
| 5% 9/1/22 | 10,000 | 10,997 | |
| 5% 9/1/23 | 15,000 | 16,993 | |
| 5% 9/1/25 | 15,000 | 17,843 | |
| TOTAL KANSAS | 7,818,620 | ||
| Kentucky - 1.6% | |||
| Ashland Med. Ctr. Rev.: | |||
| (Ashland Hosp. Corp. D/B/A King's Daughters Med. Ctr. Proj.) Series 2016 A: | |||
| 4% 2/1/20 | 205,000 | 205,646 | |
| 5% 2/1/24 | 30,000 | 33,422 | |
| (Ashland Hosp. Corp. D/B/A Kings Daughters Med. Ctr. Proj.) Series 2016 A, 5% 2/1/25 | 20,000 | 22,774 | |
| Carroll County Envir. Facilities Rev. Bonds (Kentucky Utils. Co. Proj.) Series 2008 A, 1.2%, tender 6/1/21 (a)(b) | 930,000 | 928,903 | |
| Kenton County Arpt. Board Arpt. Rev. Series 2016: | |||
| 5% 1/1/20 | 55,000 | 55,156 | |
| 5% 1/1/22 | 285,000 | 307,649 | |
| Kentucky Bond Dev. Corp. (Lexington Ctr. Corp. Proj.) Series 2018 A, 5% 9/1/21 | 360,000 | 382,313 | |
| Kentucky Econ. Dev. Fin. Auth. Bonds Series 2009 B, 2.7%, tender 11/10/21 (a) | 345,000 | 352,404 | |
| Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Series 2017 A: | |||
| 5% 6/1/20 | 110,000 | 111,615 | |
| 5% 6/1/21 | 230,000 | 239,957 | |
| Kentucky Higher Ed. Student Ln. Corp. Rev.: | |||
| Series 2019 A1 5% 6/1/23 (b) | 250,000 | 276,348 | |
| Series 2019 A1, 5% 6/1/22 (b) | 200,000 | 215,514 | |
| Kentucky Hsg. Corp. Hsg. Rev. Bonds (Westminster Village Proj.) Series 2019, 2%, tender 4/1/21 (a) | 2,000,000 | 2,013,280 | |
| Kentucky Rural Wtr. Fin. Corp. Series 2018 E1, 2.25% 3/1/20 | 6,000,000 | 6,002,681 | |
| Kentucky State Property & Buildings Commission Rev.: | |||
| (Kentucky St Proj.) Series D: | |||
| 5% 5/1/20 | 1,635,000 | 1,659,767 | |
| 5% 5/1/21 | 530,000 | 557,401 | |
| (Kentucky St Proj.): | |||
| Series 2005 5% 8/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 3,050,000 | 3,234,800 | |
| Series 2005, 5% 8/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 460,000 | 471,191 | |
| (Proj. No. 100) Series 2011 A, 5% 8/1/20 | 1,155,000 | 1,183,098 | |
| (Proj. No. 115) Series 2017, 5% 4/1/20 | 775,000 | 784,357 | |
| (Proj. No. 117) Series B, 3% 5/1/20 | 540,000 | 543,769 | |
| (Proj. No. 98) Series 2010: | |||
| 4% 8/1/20 | 775,000 | 788,771 | |
| 5% 8/1/21 | 710,000 | 727,892 | |
| Series 2015 B, 5% 8/1/20 | 915,000 | 937,259 | |
| Series 2015, 4% 8/1/20 | 300,000 | 305,331 | |
| Series 2017: | |||
| 5% 4/1/21 | 600,000 | 629,202 | |
| 5% 4/1/22 | 400,000 | 432,828 | |
| Series 2018: | |||
| 5% 5/1/21 | 1,145,000 | 1,204,197 | |
| 5% 5/1/23 | 1,415,000 | 1,581,206 | |
| Series A: | |||
| 3% 2/1/20 | 340,000 | 340,928 | |
| 5% 10/1/21 | 200,000 | 213,320 | |
| 5% 11/1/21 | 350,000 | 374,360 | |
| 5% 8/1/22 | 590,000 | 625,194 | |
| 5% 11/1/25 | 350,000 | 414,572 | |
| Series B: | |||
| 5% 11/1/21 | 900,000 | 962,640 | |
| 5% 8/1/22 | 730,000 | 798,036 | |
| 5% 8/1/23 | 350,000 | 393,929 | |
| Series C, 5% 11/1/21 (e) | 975,000 | 1,023,077 | |
| Kentucky, Inc. Pub. Energy: | |||
| Bonds Series 2019 A1, 4%, tender 6/1/25 (a) | 1,000,000 | 1,108,530 | |
| Series 2018 B: | |||
| 4% 7/1/20 | 1,000,000 | 1,014,493 | |
| 4% 7/1/21 | 1,350,000 | 1,401,881 | |
| Louisville Reg'l. Arpt. Auth. Sys. Rev. Series 2014 A: | |||
| 5% 7/1/21 (b) | 1,250,000 | 1,323,200 | |
| 5% 7/1/23 (b) | 1,750,000 | 1,967,578 | |
| 5% 7/1/24 (b) | 155,000 | 178,912 | |
| Louisville/Jefferson County Metropolitan Gov. Series 2012 A: | |||
| 5% 12/1/28 (Pre-Refunded to 6/1/22 @ 100) | 55,000 | 59,922 | |
| 5% 12/1/29 (Pre-Refunded to 6/1/22 @ 100) | 230,000 | 250,583 | |
| 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 | 2,032,140 | |
| Series 2007 A, 1.65%, tender 6/1/21 (a) | 7,250,000 | 7,276,680 | |
| Series 2007 B, 1.65%, tender 6/1/21 (a) | 2,000,000 | 2,007,360 | |
| Paducah Elec. Plant Board Rev. Series 2019, 5% 10/1/22 | 2,005,000 | 2,197,901 | |
| Trimble County Poll. Cont. Rev. Bonds (Louisville Gas and Elec. Co. Proj.): | |||
| Series 2001 A, 2.3%, tender 9/1/21 (a) | 600,000 | 609,090 | |
| Series 2001 B, 2.55%, tender 5/3/21 (a) | 2,590,000 | 2,631,621 | |
| Univ. Louisville Revs. Series 2016 C, 3% 9/1/21 | 780,000 | 801,965 | |
| TOTAL KENTUCKY | 56,196,643 | ||
| Louisiana - 0.6% | |||
| Louisiana Citizens Property Ins. Corp. Assessment Rev. Series 2015, 5% 6/1/21 (FSA Insured) | 1,770,000 | 1,869,332 | |
| Louisiana Gen. Oblig.: | |||
| Series 2012 A, 5% 8/1/22 | 35,000 | 38,484 | |
| Series 2014 D1, 5% 12/1/22 | 30,000 | 33,350 | |
| Series 2016 B: | |||
| 5% 8/1/22 | 310,000 | 340,944 | |
| 5% 8/1/23 | 135,000 | 152,874 | |
| Series 2016 D: | |||
| 5% 9/1/22 | 140,000 | 154,400 | |
| 5% 9/1/24 | 155,000 | 181,114 | |
| Louisiana Hsg. Corp. Multifamily Hsg. Rev. Bonds Series 2018, 2.4%, tender 6/1/20 (a) | 7,000,000 | 7,031,259 | |
| Louisiana Offshore Term. Auth. Deepwater Port Rev. Bonds Series 2010 B-1A, 2%, tender 10/1/22 (a) | 815,000 | 821,300 | |
| Louisiana Pub. Facilities Auth. Rev. Series 2009 A, 5.25% 7/1/20 (Escrowed to Maturity) | 870,000 | 889,452 | |
| Louisiana Stadium and Exposition District Series 2013 A: | |||
| 5% 7/1/21 | 35,000 | 37,027 | |
| 5% 7/1/22 | 20,000 | 21,871 | |
| New Orleans Aviation Board Rev.: | |||
| (North Term. Proj.) Series 2017 B: | |||
| 5% 1/1/20 (b) | 710,000 | 711,964 | |
| 5% 1/1/22 (b) | 280,000 | 300,034 | |
| 5% 1/1/23 (b) | 1,055,000 | 1,163,760 | |
| 5% 1/1/24 (b) | 5,000 | 5,660 | |
| 5% 1/1/25 (b) | 5,000 | 5,796 | |
| 5% 1/1/26 (b) | 10,000 | 11,832 | |
| Series 2017 D1, 5% 1/1/20 | 220,000 | 220,635 | |
| Series 2017 D2: | |||
| 5% 1/1/20 (b) | 50,000 | 50,138 | |
| 5% 1/1/21 (b) | 290,000 | 300,649 | |
| 5% 1/1/22 (b) | 345,000 | 369,685 | |
| 5% 1/1/23 (b) | 10,000 | 11,031 | |
| 5% 1/1/24 (b) | 15,000 | 16,981 | |
| 5% 1/1/25 (b) | 10,000 | 11,592 | |
| St. John Baptist Parish Rev. Bonds (Marathon Oil Corp.) Series 2017, 2%, tender 4/1/23 (a) | 2,780,000 | 2,779,027 | |
| St. Tammany Parish Hosp. Svc. (St. Tammany Parish Hosp. Proj.) Series 2011, 4.5% 7/1/21 (Escrowed to Maturity) | 600,000 | 631,044 | |
| Tobacco Settlement Fing. Corp. Series 2013 A: | |||
| 5% 5/15/20 | 1,225,000 | 1,243,977 | |
| 5% 5/15/21 | 435,000 | 456,241 | |
| 5% 5/15/23 | 100,000 | 111,188 | |
| TOTAL LOUISIANA | 19,972,641 | ||
| Maine - 0.0% | |||
| Maine Fin. Auth. Student Ln. Rev. Series 2019 A, 5% 12/1/23 (FSA Insured) (b) | 500,000 | 562,285 | |
| Maine Health & Higher Edl. Facilities Auth. Rev.: | |||
| (Univ. of New England Proj.) Series 2017 A, 4% 7/1/20 | 250,000 | 253,885 | |
| Series 2017 B, 4% 7/1/21 | 85,000 | 88,504 | |
| Maine Tpk. Auth. Tpk. Rev. Series 2015: | |||
| 5% 7/1/21 | 50,000 | 53,001 | |
| 5% 7/1/22 | 40,000 | 43,903 | |
| TOTAL MAINE | 1,001,578 | ||
| Maryland - 0.5% | |||
| Baltimore Proj. Rev. Series 2017 D: | |||
| 5% 7/1/24 | 70,000 | 81,609 | |
| 5% 7/1/25 | 75,000 | 89,694 | |
| Cmnty. Dev. Admin Dept. Hsg. Series 2018 A, 2.44% 3/1/20 | 3,000,000 | 3,003,488 | |
| County Commissioners of Charles County Consolidated Series 2018, 5% 10/1/20 | 2,990,000 | 3,085,528 | |
| Howard County Gen. Oblig. (MD Consolidated Pub. Impt. Proj.) Series 2018 A, 5% 2/15/20 | 975,000 | 982,576 | |
| Maryland Health & Higher Edl. Facilities Auth. Rev.: | |||
| Series 2015: | |||
| 5% 7/1/22 | 20,000 | 21,813 | |
| 5% 7/1/23 | 20,000 | 22,442 | |
| 5% 7/1/24 | 45,000 | 51,856 | |
| 5% 7/1/25 | 40,000 | 47,247 | |
| Series 2017, 5% 7/1/20 | 1,330,000 | 1,358,922 | |
| Maryland St Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.: | |||
| Series 2018 B, 2.61% 4/1/20 | 4,655,000 | 4,664,416 | |
| Series 2019 B: | |||
| 1.55% 9/1/20 | 1,020,000 | 1,022,783 | |
| 1.6% 3/1/21 | 1,390,000 | 1,396,283 | |
| 4% 9/1/49 | 285,000 | 312,577 | |
| Maryland-Nat'l. Cap. Park and Planning Commission Series 2018 A, 5% 11/1/20 | 675,000 | 698,856 | |
| Montgomery County Gen. Oblig. Bonds Series 2013 MD, 1.22%, tender 12/2/19 (a) | 500,000 | 500,000 | |
| TOTAL MARYLAND | 17,340,090 | ||
| Massachusetts - 0.8% | |||
| Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Series 2019 C, 5% 1/1/21 | 2,500,000 | 2,603,600 | |
| Massachusetts Dev. Fin. Agcy. Rev.: | |||
| (Lesley Univ. Proj.) Series 2016, 5% 7/1/20 | 260,000 | 265,608 | |
| Bonds Series S3, SIFMA Municipal Swap Index + 0.500% 1.6%, tender 1/26/23 (a)(c) | 3,400,000 | 3,406,018 | |
| Series 2011, 7.25% 1/1/32 (Pre-Refunded to 1/1/21 @ 100) | 1,700,000 | 1,810,925 | |
| Series 2016 A, 5% 7/15/22 | 30,000 | 33,028 | |
| Series 2016 I: | |||
| 5% 7/1/21 | 10,000 | 10,545 | |
| 5% 7/1/22 | 15,000 | 16,312 | |
| 5% 7/1/23 | 15,000 | 16,781 | |
| 5% 7/1/24 | 25,000 | 28,713 | |
| 5% 7/1/25 | 20,000 | 23,530 | |
| 5% 7/1/26 | 20,000 | 24,024 | |
| Series 2019 A: | |||
| 5% 7/1/20 | 450,000 | 458,995 | |
| 5% 7/1/21 | 200,000 | 210,728 | |
| 5% 7/1/22 | 450,000 | 488,637 | |
| 5% 7/1/24 | 155,000 | 177,432 | |
| Massachusetts Edl. Fing. Auth. Rev.: | |||
| Series 2011 J, 5.125% 7/1/22 (b) | 2,080,000 | 2,195,544 | |
| Series 2015 A, 5% 1/1/22 (b) | 600,000 | 642,930 | |
| Series 2016 J: | |||
| 5% 7/1/21 (b) | 1,465,000 | 1,546,176 | |
| 5% 7/1/22 (b) | 1,475,000 | 1,603,207 | |
| 5% 7/1/23 (b) | 725,000 | 809,760 | |
| Series 2016, 4% 7/1/20 (b) | 1,950,000 | 1,979,283 | |
| Series 2017 A, 4% 7/1/20 (b) | 95,000 | 96,427 | |
| Massachusetts Gen. Oblig. Bonds Series 2014 D1, 1.05%, tender 7/1/20 (a) | 1,980,000 | 1,977,837 | |
| Massachusetts Health & Edl. Facilities Auth. Rev. (Partners Healthcare Sys., Inc. Proj.): | |||
| Series 2007 G2, 1.28%, tender 12/6/19 (FSA Insured)(a) | 2,435,000 | 2,435,000 | |
| Series 2010, 5% 7/1/21 | 145,000 | 145,409 | |
| Massachusetts Hsg. Fin. Agcy. Hsg. Rev.: | |||
| Bonds Series 2017, 1.5%, tender 7/1/20 (a) | 340,000 | 340,067 | |
| Series 2013 163, 2.5% 6/1/20 (b) | 1,235,000 | 1,241,731 | |
| Massachusetts Port Auth. Rev.: | |||
| Series 2017 A: | |||
| 5% 7/1/24 (b) | 65,000 | 75,152 | |
| 5% 7/1/25 (b) | 25,000 | 29,603 | |
| Series 2019 A, 5% 7/1/20 (b) | 2,250,000 | 2,298,665 | |
| TOTAL MASSACHUSETTS | 26,991,667 | ||
| Michigan - 2.4% | |||
| Clarkston Cmnty. Schools: | |||
| Series 2016 I, 4% 5/1/20 | 90,000 | 91,026 | |
| 5% 5/1/22 | 35,000 | 38,130 | |
| Detroit Downtown Dev. Auth. Tax: | |||
| Series 1, 5% 7/1/22 (FSA Insured) | 500,000 | 543,325 | |
| Series A, 5% 7/1/25 (FSA Insured) | 550,000 | 628,760 | |
| Detroit Swr. Disp. Rev. Series 2006 D, 3 month U.S. LIBOR + 0.600% 2.006% 7/1/32 (a)(c) | 90,000 | 88,767 | |
| Ferris State Univ. Rev. Series 2016, 5% 10/1/20 | 140,000 | 144,378 | |
| Grand Blanc Cmnty. Schools Series 2013: | |||
| 5% 5/1/21 | 45,000 | 47,379 | |
| 5% 5/1/22 | 40,000 | 43,567 | |
| Grand Rapids Pub. Schools 5% 5/1/23 (FSA Insured) | 30,000 | 33,705 | |
| Huron Valley School District Series 2011: | |||
| 5% 5/1/21 | 685,000 | 720,415 | |
| 5% 5/1/22 | 450,000 | 472,986 | |
| Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016: | |||
| 5% 5/15/22 | 20,000 | 21,751 | |
| 5% 5/15/24 | 10,000 | 11,484 | |
| 5% 5/15/25 | 15,000 | 17,645 | |
| 5% 5/15/26 | 15,000 | 18,022 | |
| Kent Hosp. Fin. Auth. Hosp. Facilities Rev. (Spectrum Health Sys. Proj.) Series 2011 A, 5% 11/15/20 | 165,000 | 170,824 | |
| Lapeer Cmnty. Schools Series 2016, 4% 5/1/20 | 310,000 | 313,430 | |
| Michigan Bldg. Auth. Rev.: | |||
| (Facilities Prog.) Series 2016 I: | |||
| 5% 4/15/22 | 455,000 | 495,736 | |
| 5% 4/15/24 | 30,000 | 34,828 | |
| Series I: | |||
| 5% 4/15/20 | 1,850,000 | 1,875,954 | |
| 5% 10/15/20 | 2,000,000 | 2,066,185 | |
| 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 | 1,265,545 | |
| Series 2014 D1, 5% 7/1/22 (FSA Insured) | 2,845,000 | 3,117,295 | |
| (Mclaren Health Care Corp. Proj.) 5% 5/15/21 | 145,000 | 152,831 | |
| Bonds: | |||
| Series 2013 M1, 1.22%, tender 12/2/19 (a) | 13,560,000 | 13,560,000 | |
| Series 2016 MI2, SIFMA Municipal Swap Index + 0.480% 1.58%, tender 2/1/22 (a)(c) | 5,000,000 | 5,006,100 | |
| Series 2019 B, 3.5%, tender 11/15/22 (a) | 5,750,000 | 6,078,440 | |
| Series 2019 MI2, 5%, tender 2/1/25 (a) | 1,605,000 | 1,880,675 | |
| Series 2015 A: | |||
| 5% 8/1/22 | 1,050,000 | 1,152,491 | |
| 5% 8/1/23 | 85,000 | 96,286 | |
| Series 2015 MI, 5% 12/1/22 | 300,000 | 332,652 | |
| Series 2016, 3% 1/1/20 | 40,000 | 40,048 | |
| Series 2019 A, 2% 8/20/20 | 15,000,000 | 15,090,635 | |
| Michigan Gen. Oblig. Series 2016: | |||
| 5% 3/15/21 | 20,000 | 20,978 | |
| 5% 3/15/22 | 50,000 | 54,287 | |
| 5% 3/15/23 | 85,000 | 95,328 | |
| Michigan Hosp. Fin. Auth. Rev.: | |||
| Bonds: | |||
| (Ascension Health Cr. Group Proj.) Series F5, 2.4%, tender 3/15/23 (a) | 80,000 | 82,445 | |
| Series 2005 A, 1.5%, tender 5/1/20 (a) | 305,000 | 305,335 | |
| Series 2005 A4, 5% 11/1/21 | 3,805,000 | 4,075,079 | |
| Series 2008 C: | |||
| 5% 12/1/20 | 500,000 | 518,726 | |
| 5% 12/1/21 | 500,000 | 536,615 | |
| Michigan Strategic Fund Ltd. Oblig. Rev.: | |||
| Bonds: | |||
| Series 2008 ET2, 1.45%, tender 9/1/21 (a) | 2,700,000 | 2,693,493 | |
| Series CC, 1.45%, tender 9/1/21 (a) | 155,000 | 154,626 | |
| Series 2019, 4% 11/15/22 | 730,000 | 765,989 | |
| Milan Area Schools Series 2019, 5% 5/1/20 | 760,000 | 771,291 | |
| Oakland Univ. Rev. Series 2016, 5% 3/1/22 | 385,000 | 417,278 | |
| Portage Pub. Schools Series 2016: | |||
| 5% 5/1/23 | 45,000 | 50,509 | |
| 5% 11/1/23 | 30,000 | 34,177 | |
| 5% 5/1/24 | 40,000 | 46,238 | |
| 5% 11/1/24 | 45,000 | 52,761 | |
| 5% 5/1/25 | 25,000 | 29,709 | |
| 5% 11/1/25 | 25,000 | 30,096 | |
| 5% 11/1/26 | 25,000 | 30,396 | |
| 5% 11/1/28 | 20,000 | 24,177 | |
| Royal Oak City School District Series 2018: | |||
| 5% 5/1/21 | 250,000 | 263,505 | |
| 5% 5/1/22 | 440,000 | 478,905 | |
| Royal Oak Hosp. Fin. Auth. Hosp. Rev. Series 2014 D: | |||
| 5% 9/1/21 | 35,000 | 37,276 | |
| 5% 9/1/23 | 10,000 | 11,356 | |
| Spring Lake Pub. Schools 5% 5/1/21 | 90,000 | 94,757 | |
| Wayne County Arpt. Auth. Rev.: | |||
| Series 2011 A: | |||
| 4.125% 12/1/22 (FSA Insured) (b) | 530,000 | 558,058 | |
| 5% 12/1/19 (b) | 11,575,000 | 11,575,000 | |
| Series 2012 B: | |||
| 5% 12/1/20 (b) | 300,000 | 310,962 | |
| 5% 12/1/22 (b) | 485,000 | 535,522 | |
| Series 2017 A, 5% 12/1/20 | 155,000 | 160,899 | |
| Series 2017 B: | |||
| 5% 12/1/19 (b) | 365,000 | 365,000 | |
| 5% 12/1/20 (b) | 270,000 | 279,866 | |
| 5% 12/1/21 (b) | 300,000 | 321,168 | |
| Zeeland Pub. Schools Series 2015, 5% 5/1/21 | 445,000 | 468,007 | |
| TOTAL MICHIGAN | 81,901,109 | ||
| Minnesota - 0.6% | |||
| Apple Valley Sr. Living Series 2016 B: | |||
| 3% 1/1/20 | 145,000 | 144,971 | |
| 4% 1/1/21 | 150,000 | 151,130 | |
| 4% 1/1/22 | 155,000 | 157,037 | |
| Kanabec County Minn Healthcare R Series 2018, 2.75% 12/1/19 | 875,000 | 875,000 | |
| Maple Grove Health Care Sys. Rev. Series 2017: | |||
| 4% 5/1/20 | 890,000 | 899,219 | |
| 4% 5/1/21 | 110,000 | 113,914 | |
| 4% 5/1/22 | 110,000 | 116,502 | |
| 5% 5/1/23 | 110,000 | 122,686 | |
| Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev.: | |||
| Series 2014 A: | |||
| 5% 1/1/22 | 20,000 | 21,564 | |
| 5% 1/1/23 | 20,000 | 22,266 | |
| Series 2014 B: | |||
| 5% 1/1/21 (b) | 50,000 | 52,012 | |
| 5% 1/1/22 (b) | 45,000 | 48,364 | |
| 5% 1/1/23 (b) | 20,000 | 22,157 | |
| Series 2019 B: | |||
| 5% 1/1/21 (b) | 5,000,000 | 5,201,150 | |
| 5% 1/1/22 (b) | 3,000,000 | 3,224,280 | |
| Minneapolis Multi-family Rev. Bonds Series 2019, 1.55%, tender 11/1/21 (a) | 4,050,000 | 4,053,240 | |
| Minnesota Hsg. Fin. Agcy.: | |||
| Bonds Series 2018 D, SIFMA Municipal Swap Index + 0.430% 1.53%, tender 7/3/23 (a)(c) | 3,000,000 | 2,985,510 | |
| Series 2018 F, 2.4% 1/1/20 (b) | 925,000 | 925,636 | |
| Moorhead Edl. Facilities Rev. (The Concordia College Corp. Proj.) Series 2016, 5% 12/1/25 | 65,000 | 72,920 | |
| Northern Muni. Pwr. Agcy. Elec. Sys. Rev. Series 2017: | |||
| 5% 1/1/22 | 25,000 | 26,906 | |
| 5% 1/1/23 | 25,000 | 27,785 | |
| 5% 1/1/24 | 35,000 | 40,024 | |
| Rochester Health Care Facilities Rev. Bonds (Mayo Foundation Proj.) Series C, 4.5%, tender 11/15/21 (a) | 400,000 | 424,860 | |
| Roseville Independent School District #623 Series 2018A, 5% 2/1/21 | 1,715,000 | 1,786,241 | |
| Western Minnesota Muni. Pwr. Agcy. Pwr. Supply Rev. Series 2014 A: | |||
| 5% 1/1/22 | 20,000 | 21,572 | |
| 5% 1/1/23 | 35,000 | 39,022 | |
| 5% 1/1/24 | 20,000 | 23,016 | |
| TOTAL MINNESOTA | 21,598,984 | ||
| Mississippi - 0.0% | |||
| Mississippi Hosp. Equip. & Facilities Auth. (Forrest County Gen. Hosp. Rfdg. Proj.) Series 2019 B, 5% 1/1/22 | 350,000 | 375,344 | |
| Missouri - 0.4% | |||
| Cape Girardeau County Indl. Dev. Auth. (Southeast Hosp. Proj.) Series 2017 A: | |||
| 5% 3/1/20 | 5,000 | 5,039 | |
| 5% 3/1/21 | 10,000 | 10,376 | |
| 5% 3/1/22 | 15,000 | 15,999 | |
| 5% 3/1/23 | 20,000 | 21,854 | |
| 5% 3/1/24 | 15,000 | 16,768 | |
| 5% 3/1/25 | 15,000 | 17,141 | |
| 5% 3/1/26 | 20,000 | 23,268 | |
| Kansas City Santn Swr. Sys. R Series 2018 A, 4% 1/1/21 | 350,000 | 360,805 | |
| Missouri Health & Edl. Facilities Rev.: | |||
| Series 2016, 5% 5/15/20 | 200,000 | 203,280 | |
| Series 2019 A: | |||
| 5% 2/15/20 | 1,750,000 | 1,763,527 | |
| 5% 2/15/21 | 775,000 | 810,635 | |
| Missouri Hsg. Dev. Commission Single Family Mtg. Rev. Series 2019, 4% 5/1/50 | 65,000 | 71,499 | |
| Missouri State Pub. Util. Commn Rev. Series 2019, 1.5% 3/1/21 | 4,000,000 | 4,003,520 | |
| Saint Louis Arpt. Rev.: | |||
| Series 2017 A, 5% 7/1/23 (FSA Insured) | 1,080,000 | 1,220,335 | |
| Series 2019 B: | |||
| 5% 7/1/21 (b) | 350,000 | 370,496 | |
| 5% 7/1/22 (b) | 365,000 | 397,693 | |
| 5% 7/1/23 (b) | 385,000 | 431,435 | |
| 5% 7/1/24 (b) | 400,000 | 459,792 | |
| 5% 7/1/25 (b) | 420,000 | 494,126 | |
| Series 2019 C, 5% 7/1/25 | 660,000 | 786,568 | |
| Saint Louis Muni. Fin. Corp. Leasehold Rev. Series 2017 B, 4% 6/1/21 (FSA Insured) | 320,000 | 332,214 | |
| St Louis County Libr District Ctfs. Series 2013, 5% 4/1/20 | 1,545,000 | 1,564,425 | |
| TOTAL MISSOURI | 13,380,795 | ||
| Montana - 0.1% | |||
| Montana Board Hsg. Single Family Series 2019 B, 4% 6/1/50 | 30,000 | 33,447 | |
| Montana Facility Fin. Auth. Rev. Series 2016: | |||
| 5% 2/15/20 | 1,815,000 | 1,828,400 | |
| 5% 2/15/21 | 550,000 | 574,277 | |
| TOTAL MONTANA | 2,436,124 | ||
| Nebraska - 0.3% | |||
| Central Plains Energy Proj. Gas Supply: | |||
| Bonds Series 2019, 4%, tender 8/1/25 (a)(e) | 1,170,000 | 1,311,301 | |
| Series 2019: | |||
| 4% 8/1/20 (e) | 2,000,000 | 2,035,271 | |
| 4% 2/1/21 (e) | 900,000 | 927,252 | |
| 4% 8/1/21 (e) | 1,500,000 | 1,564,665 | |
| 4% 2/1/22 (e) | 975,000 | 1,028,323 | |
| 4% 8/1/23 (e) | 580,000 | 631,980 | |
| Douglas County Hsg. Auth. (Sorensen Sr. Residences Proj.) Series 2017 A, 2.05% 3/1/20 | 3,000,000 | 3,000,773 | |
| Nebraska Invt. Fin. Auth. Single Family Hsg. Rev. Series 2019 B, 4% 9/1/49 (b) | 170,000 | 184,612 | |
| TOTAL NEBRASKA | 10,684,177 | ||
| Nevada - 1.5% | |||
| Clark County Arpt. Rev.: | |||
| (Sub Lien Proj.) Series 2017 A-1: | |||
| 5% 7/1/20 (b) | 1,355,000 | 1,384,307 | |
| 5% 7/1/21 (b) | 1,825,000 | 1,931,872 | |
| 5% 7/1/22 (b) | 85,000 | 92,840 | |
| Series 2013 A, 5% 7/1/20 (b) | 500,000 | 510,814 | |
| Series 2014 A, 5% 7/1/20 (b) | 1,000,000 | 1,021,629 | |
| Series 2017 C, 5% 7/1/21 (b) | 9,850,000 | 10,426,816 | |
| Series 2019 D: | |||
| 5% 7/1/21 | 5,800,000 | 6,142,432 | |
| 5% 7/1/22 | 10,000,000 | 10,954,400 | |
| Clark County Poll. Cont. Rev. Bonds (Nevada Pwr. Co. Projs.) Series 2017, 1.6%, tender 5/21/20 (a) | 1,060,000 | 1,061,176 | |
| Clark County School District: | |||
| Series 2012 A, 5% 6/15/21 | 560,000 | 591,438 | |
| Series 2015 B, 5% 6/15/20 | 500,000 | 509,852 | |
| Series 2015 D, 5% 6/15/20 | 210,000 | 214,138 | |
| Series 2016 A: | |||
| 5% 6/15/21 | 35,000 | 36,965 | |
| 5% 6/15/23 | 730,000 | 819,432 | |
| Series 2017 A, 5% 6/15/22 | 2,000,000 | 2,178,240 | |
| Series 2017 C: | |||
| 5% 6/15/20 | 925,000 | 943,227 | |
| 5% 6/15/22 | 300,000 | 326,736 | |
| Series 2017 D, 5% 6/15/20 | 230,000 | 234,532 | |
| Las Vegas New Convention & Visitors Auth. Rev. Series 2019 B, 4% 7/1/20 | 350,000 | 355,705 | |
| Nevada Dept. of Bus. & Industry Bonds (Republic Svcs., Inc. Proj.) Series 2001, 1.875%, tender 12/3/19 (a)(b)(d)(e) | 2,400,000 | 2,400,000 | |
| Nevada Gen. Oblig. Series 2013 D1, 5% 3/1/24 | 60,000 | 67,290 | |
| Washoe County Gas & Wtr. Facilities Bonds (Sierra Pacific Pwr. Co. Proj.) Series 2016 B, 3%, tender 6/1/22 (a) | 115,000 | 119,422 | |
| Washoe County Gas Facilities Rev. Bonds: | |||
| Series 2016 F, 2.05%, tender 4/15/22 (a)(b) | 7,900,000 | 7,972,285 | |
| Series 2016, 2.05%, tender 4/15/22 (a)(b) | 1,100,000 | 1,110,065 | |
| TOTAL NEVADA | 51,405,613 | ||
| New Hampshire - 0.1% | |||
| Nat'l. Fin. Auth. Solid Bonds (Waste Mgmt., Inc. Proj.) Series 2019 A2, 2.15%, tender 7/1/24 (a)(b) | 555,000 | 559,712 | |
| New Hampshire Bus. Fin. Auth. Wtr. Facility (Pennichuck Wtr. Works, Inc. Proj.) Series 2014 A, 5% 1/1/24 (b) | 260,000 | 290,407 | |
| New Hampshire Health & Ed. Facilities Auth. Rev.: | |||
| (Southern NH Med. Ctr. Proj.) Series 2016, 3% 10/1/21 | 225,000 | 230,814 | |
| (Wentworth-Douglas Hosp. Proj.) Series 2011 A, 6% 1/1/34 (Pre-Refunded to 1/1/21 @ 100) | 2,710,000 | 2,849,159 | |
| Series 2012: | |||
| 4% 7/1/20 | 60,000 | 60,842 | |
| 4% 7/1/21 | 35,000 | 36,345 | |
| Series 2016: | |||
| 3% 10/1/20 | 280,000 | 283,323 | |
| 5% 10/1/21 | 25,000 | 26,571 | |
| 5% 10/1/23 | 425,000 | 479,086 | |
| TOTAL NEW HAMPSHIRE | 4,816,259 | ||
| New Jersey - 3.2% | |||
| Camden County Impt. Auth. Health Care Redev. Rev. Series 2014 A: | |||
| 5% 2/15/20 | 70,000 | 70,484 | |
| 5% 2/15/21 | 55,000 | 57,258 | |
| 5% 2/15/22 | 55,000 | 59,148 | |
| 5% 2/15/23 | 70,000 | 77,439 | |
| Garden State Preservation Trust Open Space & Farmland Preservation Series B, 0% 11/1/22 (FSA Insured) | 580,000 | 556,237 | |
| Hudson County Impt. Auth. Rev. Series 2019 A, 3% 3/6/20 | 1,000,000 | 1,004,716 | |
| New Jersey Econ. Dev. Auth. Rev.: | |||
| (New Jersey Gen. Oblig. Proj.) Series 2011 EE, 4.5% 9/1/20 (Escrowed to Maturity) | 115,000 | 117,794 | |
| (New Jersey Transit Corp. Proj.) Series 2017 B, 5% 11/1/22 | 1,800,000 | 1,978,128 | |
| (Provident Montclair Proj.) Series 2017: | |||
| 4% 6/1/22 (FSA Insured) | 20,000 | 21,202 | |
| 5% 6/1/23 (FSA Insured) | 25,000 | 27,914 | |
| 5% 6/1/24 (FSA Insured) | 20,000 | 22,949 | |
| Series 2011 EE, 5% 9/1/20 | 30,000 | 30,783 | |
| Series 2012 II: | |||
| 5% 3/1/21 (Escrowed to Maturity) | 150,000 | 156,960 | |
| 5% 3/1/22 | 135,000 | 145,164 | |
| 5% 3/1/23 | 525,000 | 563,924 | |
| Series 2013, 5% 3/1/23 | 3,625,000 | 4,004,356 | |
| Series 2015 XX, 5% 6/15/21 | 500,000 | 526,660 | |
| Series 2016 BBB, 5% 6/15/21 | 1,090,000 | 1,148,119 | |
| Series 2017 B, 5% 11/1/20 | 4,180,000 | 4,313,388 | |
| Series 2017 DDD, 5% 6/15/22 | 220,000 | 238,517 | |
| Series PP, 5% 6/15/20 | 50,000 | 50,937 | |
| New Jersey Edl. Facility: | |||
| ( William Paterson College Proj.) Series 2017 B, 5% 7/1/20 | 123,000 | 125,675 | |
| Series 2014: | |||
| 5% 6/15/20 | 240,000 | 244,496 | |
| 5% 6/15/21 | 240,000 | 252,797 | |
| Series 2016 A: | |||
| 5% 7/1/21 | 50,000 | 52,598 | |
| 5% 7/1/22 | 140,000 | 151,761 | |
| 5% 7/1/23 | 75,000 | 83,602 | |
| 5% 7/1/24 | 175,000 | 200,244 | |
| Series 2016 E, 5% 7/1/22 | 625,000 | 681,481 | |
| New Jersey Health Care Facilities Fing. Auth. Rev.: | |||
| Series 2016 A: | |||
| 5% 7/1/21 | 5,000 | 5,264 | |
| 5% 7/1/22 | 5,000 | 5,432 | |
| 5% 7/1/23 | 15,000 | 16,731 | |
| 5% 7/1/24 | 20,000 | 22,838 | |
| 5% 7/1/24 | 10,000 | 11,419 | |
| 5% 7/1/24 | 25,000 | 29,122 | |
| 5% 7/1/25 | 10,000 | 11,666 | |
| 5% 7/1/26 | 5,000 | 5,938 | |
| 5% 7/1/27 | 5,000 | 5,922 | |
| Series 2016: | |||
| 4% 7/1/20 | 425,000 | 430,616 | |
| 5% 7/1/21 | 220,000 | 231,200 | |
| New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.: | |||
| Series 2011 1, 5% 12/1/20 (b) | 3,520,000 | 3,645,772 | |
| Series 2012 1A, 5% 12/1/20 (b) | 2,000,000 | 2,071,462 | |
| Series 2013: | |||
| 4% 12/1/20 (b) | 1,055,000 | 1,082,311 | |
| 5% 12/1/21 (b) | 1,500,000 | 1,604,985 | |
| Series 2015 1A: | |||
| 5% 12/1/21 (b) | 4,500,000 | 4,814,955 | |
| 5% 12/1/22 (b) | 200,000 | 220,462 | |
| Series 2015 A, 5% 12/1/20 (b) | 1,700,000 | 1,760,742 | |
| Series 2016 1A, 5% 12/1/19 (b) | 750,000 | 750,000 | |
| Series 2017 1A: | |||
| 5% 12/1/22 (b) | 215,000 | 236,997 | |
| 5% 12/1/23 (b) | 45,000 | 50,940 | |
| Series 2017 1B: | |||
| 5% 12/1/19 (b) | 855,000 | 855,000 | |
| 5% 12/1/20 (b) | 1,665,000 | 1,724,492 | |
| 5% 12/1/21 (b) | 190,000 | 203,298 | |
| Series 2018 B: | |||
| 5% 12/1/20 (b) | 4,475,000 | 4,634,895 | |
| 5% 12/1/21 (b) | 835,000 | 893,442 | |
| Series 2019 A: | |||
| 5% 12/1/20 | 1,150,000 | 1,192,953 | |
| 5% 12/1/22 | 245,000 | 271,511 | |
| 5% 12/1/23 | 80,000 | 91,227 | |
| 5% 12/1/24 | 45,000 | 52,694 | |
| New Jersey Hsg. & Mtg. Fin. Agcy.: | |||
| (Spruce Spires Proj.) Bonds Series 2018 B, 2.02%, tender 8/1/20 (a) | 5,000,000 | 5,020,950 | |
| Bonds Series 2019 C, 1.58%, tender 6/1/20 (a) | 1,500,000 | 1,501,251 | |
| New Jersey Hsg. & Mtg. Fin. Agcy. Multi-family Rev. Series 2017 B, 1.75% 11/1/20 | 1,800,000 | 1,806,653 | |
| New Jersey Hsg. & Mtg. Fin. Agcy. Rev.: | |||
| Series 2018 B: | |||
| 2.25% 10/1/20 (b) | 4,545,000 | 4,567,655 | |
| 2.5% 4/1/21 (b) | 4,330,000 | 4,369,966 | |
| Series 2019 D: | |||
| 4% 4/1/20 (b) | 110,000 | 110,882 | |
| 4% 10/1/22 (b) | 1,340,000 | 1,418,578 | |
| 4% 4/1/23 (b) | 115,000 | 122,656 | |
| 4% 10/1/23 (b) | 125,000 | 134,446 | |
| 4% 4/1/25 (b) | 150,000 | 164,826 | |
| New Jersey Sports & Exposition Auth. Contract Rev. Series 2018 A, 5% 9/1/20 | 1,000,000 | 1,023,906 | |
| New Jersey Tobacco Settlement Fing. Corp. Series 2018 A: | |||
| 5% 6/1/20 | 3,275,000 | 3,330,598 | |
| 5% 6/1/21 | 1,985,000 | 2,085,064 | |
| 5% 6/1/22 | 2,330,000 | 2,521,153 | |
| New Jersey Tpk. Auth. Tpk. Rev.: | |||
| Bonds Series 2017 C5, 1 month U.S. LIBOR + 0.460% 1.707%, tender 1/1/21 (a)(c) | 5,905,000 | 5,910,255 | |
| Series 2017 C1, 1 month U.S. LIBOR + 0.340% 1.587% 1/1/21 (a)(c) | 195,000 | 195,281 | |
| New Jersey Trans. Trust Fund Auth.: | |||
| Series 1999 A, 5.75% 6/15/20 | 35,000 | 35,795 | |
| Series 2006 A, 5.25% 12/15/20 | 275,000 | 285,649 | |
| Series 2006, 5.25% 12/15/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 165,000 | 177,621 | |
| Series 2011 B, 5.25% 6/15/22 | 345,000 | 364,503 | |
| Series 2013 A: | |||
| 5% 12/15/19 | 960,000 | 961,138 | |
| 5% 6/15/20 | 395,000 | 402,400 | |
| Series 2013 AA, 5% 6/15/23 | 500,000 | 557,045 | |
| Series 2016 A: | |||
| 5% 6/15/20 | 10,960,000 | 11,170,044 | |
| 5% 6/15/21 | 1,700,000 | 1,792,769 | |
| 5% 6/15/22 | 1,700,000 | 1,847,067 | |
| 5% 6/15/27 | 90,000 | 106,207 | |
| Series 2016 A-2, 5% 6/15/23 | 630,000 | 703,716 | |
| Series 2018 A: | |||
| 4% 6/15/20 | 1,110,000 | 1,125,396 | |
| 5% 6/15/21 | 3,995,000 | 4,213,007 | |
| 5% 6/15/22 | 4,175,000 | 4,536,179 | |
| Series AA, 5% 6/15/20 | 375,000 | 382,025 | |
| New Jersey Transit Corp. Ctfs. of Prtn. Series 2014 A, 5% 9/15/21 | 480,000 | 510,758 | |
| Rutgers State Univ. Rev. Series Q: | |||
| 5% 5/1/21 (e) | 125,000 | 130,711 | |
| 5% 5/1/22 (e) | 80,000 | 86,649 | |
| 5% 5/1/23 (e) | 65,000 | 72,652 | |
| South Jersey Port Corp. Rev. Series 2012 R, 4% 1/1/20 (b) | 1,750,000 | 1,752,340 | |
| TOTAL NEW JERSEY | 109,396,808 | ||
| 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 | 223,874 | |
| (Southern California Edison Co. Four Corners Proj.): | |||
| Series 2005 A, 1.875%, tender 4/1/20 (a) | 1,010,000 | 1,010,518 | |
| Series 2005 B, 1.875%, tender 4/1/20 (a) | 690,000 | 690,354 | |
| Series 2011, 1.875%, tender 4/1/20 (a) | 135,000 | 135,069 | |
| New Mexico Mtg. Fin. Auth. Series 2019 C, 4% 7/1/50 | 540,000 | 591,494 | |
| New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev.: | |||
| Bonds Series 2019 A, 5%, tender 5/1/25 (Liquidity Facility Royal Bank of Canada) (a) | 1,000,000 | 1,167,550 | |
| Series 2019 A: | |||
| 4% 5/1/22 (Liquidity Facility Royal Bank of Canada) | 140,000 | 148,618 | |
| 4% 5/1/23 (Liquidity Facility Royal Bank of Canada) | 580,000 | 628,691 | |
| 4% 11/1/23 (Liquidity Facility Royal Bank of Canada) | 245,000 | 268,432 | |
| 4% 11/1/24 (Liquidity Facility Royal Bank of Canada) | 250,000 | 278,758 | |
| 4% 5/1/25 (Liquidity Facility Royal Bank of Canada) | 960,000 | 1,077,994 | |
| New Mexico Severance Tax Rev. Series 2015 B, 5% 7/1/21 | 1,495,000 | 1,584,730 | |
| TOTAL NEW MEXICO | 7,806,082 | ||
| New York - 1.6% | |||
| Albany County Arpt. Auth. Arpt. Rev. Series 2020 B, 5% 12/15/21 (b)(e) | 500,000 | 529,340 | |
| Dorm. Auth. New York Univ. Rev.: | |||
| Series 2016 A: | |||
| 5% 7/1/22 | 10,000 | 10,938 | |
| 5% 7/1/24 | 40,000 | 46,286 | |
| Series 2017: | |||
| 4% 12/1/19 (d) | 300,000 | 300,000 | |
| 4% 12/1/20 (d) | 200,000 | 204,757 | |
| Long Island Pwr. Auth. Elec. Sys. Rev. Bonds Series 2019 B, 1.65%, tender 9/1/24 (a) | 800,000 | 801,872 | |
| New York City Gen. Oblig.: | |||
| Series 2006, 1.24%, tender 6/1/36 (FSA Insured) (a) | 2,425,000 | 2,425,000 | |
| Series 2007 C-4, 1.3%, tender 1/1/32 (FSA Insured) (a) | 225,000 | 225,000 | |
| Series 2007, 1%, tender 12/6/19 (FSA Insured) (a) | 4,200,000 | 4,200,000 | |
| Series 2008 A-3, 1.24%, tender 8/1/26 (FSA Insured) (a) | 3,775,000 | 3,775,000 | |
| Series 2008 C-4, 1.45%, tender 10/1/27 (a) | 10,400,000 | 10,400,000 | |
| New York City Hsg. Dev. Corp.: | |||
| Bonds: | |||
| Series 2016 C2, 1.45%, tender 4/29/20 (a) | 1,300,000 | 1,300,135 | |
| Series 2017 G-2, 2%, tender 12/31/21 (a) | 2,630,000 | 2,640,520 | |
| Series 2017 A2A, 1.9% 5/1/21 | 1,150,000 | 1,150,540 | |
| New York Dorm. Auth. Revs. Bonds Series 2019 B1, 5%, tender 5/1/22 (a) | 675,000 | 720,576 | |
| New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Bonds Series 2008 A, SIFMA Municipal Swap Index + 0.450% 1.55%, tender 6/1/22 (a)(c) | 1,395,000 | 1,395,544 | |
| New York Metropolitan Trans. Auth. Rev.: | |||
| Bonds: | |||
| Series 2011 B, 1 month U.S. LIBOR + 0.550% 1.744%, tender 11/1/22 (a)(c) | 1,745,000 | 1,742,522 | |
| Series 2018 A, 5%, tender 11/15/20 (a) | 3,000,000 | 3,100,965 | |
| Series 2008 B2, 5% 11/15/21 | 110,000 | 117,855 | |
| Series 2012 B, 5% 11/15/22 | 45,000 | 49,841 | |
| Series 2012 E, 5% 11/15/21 | 55,000 | 58,928 | |
| Series 2012 F, 5% 11/15/21 | 765,000 | 819,629 | |
| Series 2014 C, 5% 11/15/21 | 60,000 | 64,285 | |
| Series 2016 B, 5% 11/15/21 | 50,000 | 53,571 | |
| New York St Mtg. Agcy. Homeowner Series 2014 189, 2.5% 10/1/21 (b) | 1,640,000 | 1,662,107 | |
| New York State Energy Research & Dev. Auth. Poll. Cont. Rev. Series 1999, 1.3%, tender 12/6/19 (AMBAC Insured) (a) | 300,000 | 300,000 | |
| New York State Hsg. Fin. Agcy. Rev. Bonds Series 2019 F: | |||
| 1.8%, tender 5/1/20 (a) | 695,000 | 695,137 | |
| 1.875%, tender 11/1/21 (a) | 2,500,000 | 2,503,025 | |
| New York State Mtg. Agcy. Homeowner Mtg. Series 221, 3.5% 10/1/32 (b) | 75,000 | 80,653 | |
| New York State Mtg. Agcy. Rev. Series 52, 1.8% 4/1/20 (b) | 1,885,000 | 1,885,952 | |
| New York Trans. Dev. Corp. (Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/22 (b) | 1,500,000 | 1,604,460 | |
| Niagara Frontier Trans. Auth. Arpt. Rev. Series 2019 A: | |||
| 5% 4/1/20 (b) | 1,500,000 | 1,518,110 | |
| 5% 4/1/22 (b) | 700,000 | 755,944 | |
| 5% 4/1/23 (b) | 2,575,000 | 2,860,696 | |
| 5% 4/1/24 (b) | 1,720,000 | 1,960,095 | |
| Onondaga County Ind. Dev. Agcy. Swr. Facilities Rev. (Bristol-Meyers Squibb Co. Proj.) 5.75% 3/1/24 (b) | 570,000 | 656,982 | |
| Oyster Bay Gen. Oblig. Series 2018, 4% 2/15/20 | 2,000,000 | 2,009,817 | |
| Yonkers Gen. Oblig. Series 2017 C, 5% 10/1/22 (Build America Mutual Assurance Insured) | 55,000 | 60,808 | |
| TOTAL NEW YORK | 54,686,890 | ||
| New York And New Jersey - 0.5% | |||
| Port Auth. of New York & New Jersey: | |||
| Series 178-180, 5% 12/1/19 (b) | 1,335,000 | 1,335,000 | |
| Series 188, 5% 5/1/21 (b) | 11,465,000 | 12,064,390 | |
| Series 2018, 5% 9/15/22 (b) | 4,000,000 | 4,406,640 | |
| TOTAL NEW YORK AND NEW JERSEY | 17,806,030 | ||
| Non-State Specific - 0.3% | |||
| Fed. Home Ln. Mtg. Corp. Series M 052, 1.31% 6/15/36 (a) | 8,980,000 | 8,980,000 | |
| North Carolina - 0.8% | |||
| Durham Hsg. Auth. MultiFamily Hsg. Rev. Bonds Series 2017, 1.85%, tender 1/1/20 | 875,000 | 875,339 | |
| Montgomery County Pub. Facilities Corp. Ltd. Oblig. Series 2018, 3% 9/1/20 | 2,500,000 | 2,510,110 | |
| New Hanover County Hosp. Rev. Series 2017, 5% 10/1/26 | 290,000 | 341,101 | |
| North Carolina Cap. Facilities Fin. Agcy. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2010 B, 1.4%, tender 12/3/19 (a)(b) | 8,500,000 | 8,500,000 | |
| North Carolina Eastern Muni. Pwr. Agcy. Pwr. Sys. Rev. Series 1993 B, 6% 1/1/22 (Escrowed to Maturity) | 1,750,000 | 1,923,740 | |
| North Carolina Grant Anticipation Rev.: | |||
| Series 2017: | |||
| 5% 3/1/22 | 80,000 | 86,745 | |
| 5% 3/1/23 | 80,000 | 89,611 | |
| Series 2019, 5% 3/1/20 | 10,000,000 | 10,092,991 | |
| North Carolina Med. Care Commission Health Care Facilities Rev. Bonds Series 2019 B, 2.2%, tender 12/1/22 (a) | 1,420,000 | 1,439,511 | |
| North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev.: | |||
| Series 2010 A, 5% 1/1/20 | 115,000 | 115,338 | |
| Series 2015 E: | |||
| 5% 1/1/22 | 110,000 | 118,529 | |
| 5% 1/1/23 | 35,000 | 38,943 | |
| Raleigh Durham Arpt. Auth. Arpt. Rev.: | |||
| Series 2015 B, 5% 5/1/22 (b) | 550,000 | 598,769 | |
| Series 2017 A: | |||
| 5% 5/1/22 (b) | 400,000 | 435,468 | |
| 5% 5/1/23 (b) | 235,000 | 263,686 | |
| TOTAL NORTH CAROLINA | 27,429,881 | ||
| North Dakota - 0.1% | |||
| North Dakota Hsg. Fin. Agcy. Bonds (Home Mtg. Fin. Prog.) Series 2019 B, SIFMA Municipal Swap Index + 0.400% 1.5%, tender 2/1/22 (a)(c) | 4,000,000 | 3,999,320 | |
| Ohio - 1.9% | |||
| Akron Bath Copley Hosp. District Rev.: | |||
| Series 2012, 5% 11/15/20 | 325,000 | 336,661 | |
| Series 2016, 5% 11/15/24 | 45,000 | 52,279 | |
| Allen County Hosp. Facilities Rev.: | |||
| Bonds: | |||
| (Mercy Health Proj.) Series 2015 B, SIFMA Municipal Swap Index + 0.750% 1.85%, tender 12/5/19 (a)(c) | 4,430,000 | 4,432,425 | |
| (Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) | 120,000 | 130,388 | |
| Series 2010 B, 4.125% 9/1/20 | 500,000 | 510,272 | |
| Series 2017 A: | |||
| 5% 8/1/21 | 780,000 | 826,597 | |
| 5% 8/1/22 | 300,000 | 328,290 | |
| American Muni. Pwr., Inc. Rev. Bonds: | |||
| (Combined Hydroelectric Proj.) Series 2018, 2.25%, tender 8/15/21 (a) | 3,000,000 | 3,024,480 | |
| Series 2019 A, 2.3%, tender 2/15/22 (a) | 1,800,000 | 1,827,072 | |
| Cleveland Arpt. Sys. Rev.: | |||
| Series 2016 A, 5% 1/1/26 (FSA Insured) | 10,000 | 11,772 | |
| Series 2019 B, 5% 1/1/21 (b) | 1,700,000 | 1,768,391 | |
| 5% 1/1/20 (FSA Insured) | 10,000 | 10,029 | |
| 5% 1/1/22 (FSA Insured) | 30,000 | 32,397 | |
| 5% 1/1/24 (FSA Insured) | 25,000 | 28,738 | |
| 5% 1/1/25 (FSA Insured) | 370,000 | 437,196 | |
| Cleveland Pub. Pwr. Sys. Rev. Series 2016, 5% 11/15/21 (FSA Insured) | 1,400,000 | 1,499,414 | |
| Columbus Gen. Oblig. Series 2018 A, 5% 4/1/20 | 3,185,000 | 3,225,576 | |
| Cuyahoga Metropolitan Hsg. Auth. Bonds: | |||
| (Carver Park Phase II Proj.) Series 2018, 2.2%, tender 6/1/20 (a) | 3,675,000 | 3,690,340 | |
| (Riverside Park Phase II Proj.) Series 2019, 2%, tender 4/1/21 (a) | 3,000,000 | 3,016,740 | |
| Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013: | |||
| 5% 6/15/22 | 45,000 | 48,081 | |
| 5% 6/15/23 | 40,000 | 43,600 | |
| Franklin County Hosp. Facilities Rev.: | |||
| Bonds (Ohio Health Corp.) Series 2018 B, SIFMA Municipal Swap Index + 0.430% 1.53%, tender 11/15/21 (a)(c) | 3,800,000 | 3,807,410 | |
| Series 2016 C, 5% 11/1/23 | 60,000 | 68,527 | |
| Franklin County Multi-family Rev. Bonds Series 2017, 1.77%, tender 6/1/20 (a) | 175,000 | 175,039 | |
| Franklin County Rev. Bonds Series 2013 OH, 1.25%, tender 2/3/20 (a) | 9,245,000 | 9,245,442 | |
| Hamilton County Convention Facilities Auth. Rev. Series 2014, 5% 12/1/21 | 45,000 | 48,314 | |
| Hamilton County HealthCare Facilities Rev.: | |||
| (Christ Hosp., OH. Proj.) Series 2012, 5% 6/1/20 | 220,000 | 223,911 | |
| Series 2012, 5% 6/1/21 | 400,000 | 421,284 | |
| Lucas County Hosp. Rev. Series 2011 D, 4% 11/15/20 | 2,200,000 | 2,246,628 | |
| Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019: | |||
| 5% 8/1/24 | 620,000 | 724,879 | |
| 5% 8/1/25 | 310,000 | 369,678 | |
| 5% 8/1/26 | 535,000 | 649,709 | |
| Ohio Gen. Oblig.: | |||
| Series 2018, 5% 5/1/20 | 3,845,000 | 3,906,454 | |
| Series 2019 A, 5% 5/1/20 | 5,000,000 | 5,079,706 | |
| Ohio Higher Edl. Facility Commission Rev.: | |||
| (Case Western Reserve Univ. Proj.) Series 2016, 5% 12/1/22 | 585,000 | 649,584 | |
| (Kenyon College, Oh. Proj.) Series 2017, 4% 7/1/20 | 50,000 | 50,792 | |
| Ohio Hosp. Facilities Rev. Series 2017 A: | |||
| 5% 1/1/21 | 60,000 | 62,473 | |
| 5% 1/1/22 | 35,000 | 37,759 | |
| 5% 1/1/23 | 45,000 | 50,171 | |
| 5% 1/1/24 | 40,000 | 45,964 | |
| 5% 1/1/25 | 45,000 | 53,245 | |
| Ohio Hsg. Fin. Agcy. Multi-family Hsg. Rev.: | |||
| Bonds (Brandt Meadows Apts. Proj.) Series 2019, 2%, tender 9/1/20 (a) | 3,700,000 | 3,713,610 | |
| Series 2018, 2.4% 4/1/21 (a) | 3,820,000 | 3,831,639 | |
| Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 | 45,000 | 50,394 | |
| Ross County Hosp. Facilities Rev. (Adena Health Sys. Obligated Group Proj.) Series 2019, 5% 12/1/20 | 375,000 | 388,741 | |
| Scioto County Hosp. Facilities Rev.: | |||
| Series 2016: | |||
| 5% 2/15/20 | 700,000 | 704,883 | |
| 5% 2/15/21 | 15,000 | 15,622 | |
| 5% 2/15/22 | 25,000 | 26,891 | |
| 5% 2/15/23 | 45,000 | 49,842 | |
| 5% 2/15/24 | 35,000 | 39,751 | |
| 5% 2/15/25 | 35,000 | 40,766 | |
| 5% 2/15/26 | 385,000 | 457,877 | |
| Series 2019, 5% 2/15/29 | 1,000,000 | 1,134,480 | |
| Univ. of Akron Gen. Receipts Series 2019 A: | |||
| 5% 1/1/24 | 300,000 | 343,059 | |
| 5% 1/1/25 | 400,000 | 468,776 | |
| TOTAL OHIO | 64,464,038 | ||
| Oklahoma - 0.3% | |||
| Beckham Independent School District#6 Elk City Series 2019, 2% 7/1/21 | 1,405,000 | 1,413,275 | |
| Canadian Cny Edl. Facilities Auth. (Yukon Pub. Schools Proj.) Series 2019, 5% 12/1/20 | 2,050,000 | 2,114,984 | |
| Midwest City-Del City School District Series 2018 A, 2.5% 1/1/20 | 660,000 | 660,665 | |
| Oklahoma County Fin. Auth. Edl. Facilities (Midwest City- Del City School Dis Proj.) Series 2018, 5% 10/1/21 | 240,000 | 256,210 | |
| Oklahoma County Independent School District No. 53 Series 2017, 1.75% 7/1/20 | 265,000 | 265,181 | |
| Oklahoma County Independent School District No. 9 Series 2018, 2.5% 6/1/21 | 1,535,000 | 1,555,554 | |
| Oklahoma Dev. Fin. Auth. Rev.: | |||
| (Oklahoma City Univ. Proj.) Series 2019, 5% 8/1/23 (e) | 560,000 | 620,558 | |
| Series 2004 A, 2.375% 12/1/21 (a) | 30,000 | 30,496 | |
| Oklahoma Hsg. Fin. Agcy. Collateralized Bonds Series 2019, 1.6%, tender 7/1/22 | 185,000 | 185,179 | |
| Tulsa County Indl. Auth. Edl. Facilities Lease Rev. Series 2018, 5% 9/1/20 | 1,500,000 | 1,541,636 | |
| TOTAL OKLAHOMA | 8,643,738 | ||
| Oregon - 0.1% | |||
| Oregon Bus. Dev. Commission Bonds Series 250, 5%, tender 3/1/22 (a)(b) | 1,920,000 | 2,069,414 | |
| Oregon Bus. Dev. Commn Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23 (a) | 770,000 | 796,034 | |
| Oregon Facilities Auth. Rev.: | |||
| (Legacy Health Proj.) Series 2011 A, 5.25% 5/1/21 | 255,000 | 269,183 | |
| Series 2011 C, 5% 10/1/20 | 110,000 | 113,366 | |
| TOTAL OREGON | 3,247,997 | ||
| Pennsylvania - 2.9% | |||
| Adams County Indl. Dev. Auth. Rev. Series 2010, 5% 8/15/20 | 490,000 | 502,792 | |
| Allegheny County Arpt. Auth. Rev.: | |||
| Series 2001, 5% 1/1/21 (Escrowed to Maturity) (b) | 1,650,000 | 1,714,565 | |
| Series 2006 B: | |||
| 5% 1/1/21 (Escrowed to Maturity) (b) | 690,000 | 717,000 | |
| 5% 1/1/22 (Escrowed to Maturity) (b) | 400,000 | 429,896 | |
| Bethlehem Area School District Auth. Bonds (School District Rfdg. Proj.) Series 2018 A, 1 month U.S. LIBOR + 0.480% 1.685%, tender 11/1/21 (a)(c) | 3,995,000 | 3,996,278 | |
| Butler Area School District Series 2018, 5% 10/1/22 | 1,250,000 | 1,373,550 | |
| Chester County Health & Ed. Auth. Rev. Series 2017: | |||
| 5% 11/1/20 | 155,000 | 158,057 | |
| 5% 11/1/21 | 160,000 | 166,229 | |
| Commonwealth Fing. Auth. Rev.: | |||
| Series 2019 B, 5% 6/1/24 | 265,000 | 302,707 | |
| Series 2020 A, 5% 6/1/23 (e) | 350,000 | 386,530 | |
| Commonwealth Fing. Auth. Tobacco Series 2018, 5% 6/1/21 | 1,000,000 | 1,051,930 | |
| Cumberland County Muni. Auth. Rev. Bonds Series 2014 T1, 2%, tender 4/30/20 (a) | 325,000 | 324,784 | |
| Delaware Valley Reg'l. Fin. Auth. Local Govt. Rev. Bonds SIFMA Municipal Swap Index + 0.420% 1.52%, tender 9/1/22 (a)(c) | 5,000,000 | 5,002,900 | |
| Doylestown Hosp. Auth. Hosp. Rev. Series 2016 B, 5% 7/1/20 | 150,000 | 152,675 | |
| Easton Area School District Series 2013 A, 5% 4/1/23 | 705,000 | 753,455 | |
| Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A, 5% 7/1/21 | 1,000,000 | 1,058,070 | |
| 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 | 734,103 | |
| Series B, 1.8%, tender 8/15/22 (a) | 75,000 | 75,754 | |
| Luzerne County Series 2015 B, 5% 5/15/20 (FSA Insured) | 600,000 | 609,404 | |
| Montgomery County Higher Ed. & Health Auth. Rev.: | |||
| Bonds Series 2017, 3%, tender 5/1/21 (a) | 1,250,000 | 1,266,950 | |
| Series 2014 A: | |||
| 5% 10/1/20 | 30,000 | 30,684 | |
| 5% 10/1/23 | 5,000 | 5,501 | |
| Series 2017: | |||
| 2% 12/1/19 | 160,000 | 160,000 | |
| 2% 12/1/20 | 145,000 | 144,603 | |
| 3% 12/1/21 | 155,000 | 156,989 | |
| Series 2019, 5% 9/1/26 | 1,250,000 | 1,513,563 | |
| 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 | 1,100,615 | |
| Series 1999 B, 2.7%, tender 4/1/20 (a)(b) | 2,850,000 | 2,862,497 | |
| Montgomery County Indl. Dev. Auth. Rev. (Meadowood Sr. Living Proj.) Series 2018 A: | |||
| 3% 12/1/19 | 140,000 | 140,000 | |
| 3% 12/1/20 | 250,000 | 252,696 | |
| New Kensington-Arnold School District Series 2019 A: | |||
| 4% 5/15/21 | 940,000 | 976,058 | |
| 4% 5/15/22 | 975,000 | 1,034,748 | |
| Northeastern Hosp. & Ed. Auth. Series 2016 A: | |||
| 4% 3/1/20 | 160,000 | 160,719 | |
| 5% 3/1/21 | 110,000 | 113,661 | |
| Pennsylvania Ctfs. Prtn. Series 2018 A, 5% 7/1/20 | 300,000 | 306,067 | |
| Pennsylvania Econ. Dev. Auth. Governmental Lease (Forum Place Proj.) Series 2012, 5% 3/1/20 | 45,000 | 45,383 | |
| Pennsylvania Econ. Dev. Fing. Auth. Indl. Dev. Rev. (The Pennsylvania Rapid Bridge Replacement Proj.) Series 2015, 5% 12/31/20 (b) | 980,000 | 1,013,634 | |
| Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds: | |||
| (Republic Svcs., Inc. Proj.) Series 2019 A, 1.45%, tender 1/15/20 (a)(b) | 7,000,000 | 6,998,752 | |
| (Waste Mgmt., Inc. Proj.) Series 2013, 1.45%, tender 2/3/20 (a)(b) | 2,250,000 | 2,249,432 | |
| (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)(b) | 70,000 | 70,046 | |
| 1.5%, tender 1/2/20 (a)(b) | 3,000,000 | 2,999,757 | |
| Pennsylvania Gen. Oblig.: | |||
| Series 2011, 5% 7/1/21 | 40,000 | 42,407 | |
| Series 2016: | |||
| 5% 1/15/20 | 3,585,000 | 3,601,074 | |
| 5% 1/15/22 | 1,215,000 | 1,311,204 | |
| Pennsylvania Higher Edl. Facilities Auth. Rev.: | |||
| Bonds: | |||
| Series 2014 T3 and T4, 2.05%, tender 5/1/20 (a) | 1,700,000 | 1,702,477 | |
| 2.25%, tender 4/30/20 (a) | 1,000,000 | 1,002,257 | |
| Series 2014: | |||
| 5% 12/1/21 | 5,000 | 5,382 | |
| 5% 12/1/22 | 20,000 | 22,264 | |
| Pennsylvania Hsg. Fin. Agcy.: | |||
| Bonds Series 2018 127C, 1.775%, tender 10/1/23 (a) | 4,000,000 | 4,017,320 | |
| Series 2018 127A: | |||
| 2.05% 4/1/20 (b) | 1,815,000 | 1,817,332 | |
| 2.15% 10/1/20 (b) | 1,710,000 | 1,716,422 | |
| 2.25% 4/1/21 (b) | 1,900,000 | 1,914,326 | |
| Pennsylvania Hsg. Fin. Agcy. Multifamily Hsg. Dev. Rev. Bonds Series 2018, 2.45%, tender 7/1/21 (a) | 2,000,000 | 2,033,440 | |
| Pennsylvania Hsg. Fin. Agcy. Single Family Mtg. Rev. Series 114A, 2.9% 10/1/21 (b) | 585,000 | 598,993 | |
| Pennsylvania Indl. Dev. Auth. Rev. Series 2012, 5% 7/1/21 | 335,000 | 354,835 | |
| Pennsylvania Pub. School Bldg. Auth. School Rev. (The School District of Harrisburg Proj.) Series 2016 A, 5% 12/1/21 (FSA Insured) | 110,000 | 118,169 | |
| Pennsylvania Tpk. Commission Tpk. Rev.: | |||
| Series 2018 A1: | |||
| SIFMA Municipal Swap Index + 0.350% 1.45% 12/1/20 (a)(c) | 2,800,000 | 2,802,883 | |
| SIFMA Municipal Swap Index + 0.430% 1.53% 12/1/21 (a)(c) | 3,500,000 | 3,508,435 | |
| Series 2018 B, SIFMA Municipal Swap Index + 0.500% 1.6% 12/1/21 (a)(c) | 3,460,000 | 3,467,958 | |
| Philadelphia Arpt. Rev.: | |||
| Series 2010 D, 5% 6/15/21 (b) | 490,000 | 499,604 | |
| Series 2011 A, 5% 6/15/21 (b) | 225,000 | 237,598 | |
| Series 2017 A, 5% 7/1/24 | 10,000 | 11,644 | |
| Series 2017 B: | |||
| 5% 7/1/21 (b) | 1,300,000 | 1,374,867 | |
| 5% 7/1/22 (b) | 500,000 | 546,120 | |
| 5% 7/1/24 (b) | 55,000 | 63,511 | |
| Philadelphia Auth. For Indl. Dev. (Rebuild Proj.) Series 2018, 5% 5/1/20 | 400,000 | 406,159 | |
| Philadelphia Auth. Indl. Dev. Lease Rev. Series 2019, 5% 10/1/20 | 1,300,000 | 1,340,218 | |
| Philadelphia Gas Works Rev.: | |||
| Series 10, 5% 7/1/20 (FSA Insured) | 305,000 | 311,472 | |
| Series 15, 5% 8/1/21 | 25,000 | 26,511 | |
| Series 2015 13: | |||
| 5% 8/1/20 | 600,000 | 614,556 | |
| 5% 8/1/21 | 850,000 | 901,357 | |
| Series 2016 14, 5% 10/1/20 | 1,145,000 | 1,179,748 | |
| Series 2017 15: | |||
| 4% 8/1/20 | 130,000 | 132,301 | |
| 5% 8/1/22 | 480,000 | 526,056 | |
| Philadelphia Gen. Oblig.: | |||
| Series 2019 A, 5% 8/1/20 | 1,530,000 | 1,568,455 | |
| Series 2019 B, 5% 2/1/21 | 1,500,000 | 1,564,800 | |
| Philadelphia Hospitals & Higher Ed. Facilities Auth. Hosp. Rev. Series 2017, 5% 7/1/20 | 220,000 | 224,000 | |
| Philadelphia School District Series 2019 A: | |||
| 5% 9/1/20 | 600,000 | 616,564 | |
| 5% 9/1/21 | 115,000 | 122,252 | |
| 5% 9/1/23 | 185,000 | 209,002 | |
| Phoenixville Area School District Gen. Oblig. Series 2016 B, 4% 8/15/21 | 500,000 | 524,175 | |
| Pittsburgh & Allegheny County Parking Sys. Series 2017, 4% 12/15/19 | 85,000 | 85,076 | |
| Pittsburgh Urban Redev. Auth. Rev. Bonds (Crawford Square Apts. Proj.) Series 2018, 2.25%, tender 6/1/20 (a) | 1,500,000 | 1,500,542 | |
| Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev.: | |||
| Bonds Series 2017 C, 1 month U.S. LIBOR + 0.640% 1.89%, tender 12/1/19 (FSA Insured) (a)(c) | 3,270,000 | 3,271,279 | |
| Series 2019 A: | |||
| 5% 9/1/23 | 270,000 | 306,194 | |
| 5% 9/1/25 (FSA Insured) | 500,000 | 599,040 | |
| 5% 9/1/26 (FSA Insured) | 625,000 | 766,613 | |
| Quakertown Gen. Auth. Health Facilities Series 2017 A, 3.125% 7/1/21 | 705,000 | 704,394 | |
| Reading School District Series 2017: | |||
| 5% 3/1/21 (FSA Insured) | 50,000 | 52,206 | |
| 5% 3/1/25 (FSA Insured) | 5,000 | 5,849 | |
| 5% 3/1/26 (FSA Insured) | 5,000 | 5,978 | |
| 5% 3/1/27 (FSA Insured) | 5,000 | 6,100 | |
| 5% 3/1/28 (FSA Insured) | 5,000 | 6,045 | |
| Scranton School District: | |||
| Series 2017 A, 5% 6/1/20 | 135,000 | 137,171 | |
| Series 2017 B, 5% 6/1/20 | 120,000 | 121,929 | |
| Univ. of Pittsburgh Commonwealth Sys. of Higher Ed. Series 2018, SIFMA Municipal Swap Index + 0.240% 1.34% 9/15/21 (a)(c) | 4,500,000 | 4,498,650 | |
| TOTAL PENNSYLVANIA | 98,834,712 | ||
| Pennsylvania, New Jersey - 0.0% | |||
| Delaware River Port Auth. Pennsylvania & New Jersey Rev. Series 2018 B, 5% 1/1/21 | 1,000,000 | 1,041,660 | |
| Rhode Island - 0.2% | |||
| Rhode Is Comm Corp. Spl. Facilities Rev. Series 2018, 5% 7/1/21 | 685,000 | 721,963 | |
| Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev. Series 2016: | |||
| 5% 5/15/20 | 1,515,000 | 1,538,745 | |
| 5% 5/15/22 | 45,000 | 48,723 | |
| 5% 5/15/23 | 25,000 | 27,834 | |
| 5% 5/15/24 | 50,000 | 57,072 | |
| 5% 5/15/25 | 120,000 | 140,069 | |
| Rhode Island Health & Edl. Bldg. Corp. Pub. Schools Rev. Series 2015, 5% 5/15/25 (FSA Insured) | 130,000 | 153,370 | |
| Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev. Series 2015, 5% 11/1/20 | 300,000 | 310,185 | |
| Rhode Island Hsg. & Mtg. Fin. Corp. Series 2019 70, 4% 10/1/49 | 105,000 | 115,222 | |
| Rhode Island Student Ln. Auth. Student Ln. Rev.: | |||
| Series 2015 A, 5% 12/1/19 (b) | 1,160,000 | 1,160,000 | |
| Series 2019 A, 5% 12/1/28 (b) | 490,000 | 600,113 | |
| Series A, 5% 12/1/20 (b) | 250,000 | 258,453 | |
| Tobacco Settlement Fing. Corp. Series 2015 A: | |||
| 5% 6/1/21 | 555,000 | 582,589 | |
| 5% 6/1/26 | 75,000 | 86,526 | |
| 5% 6/1/27 | 20,000 | 22,984 | |
| TOTAL RHODE ISLAND | 5,823,848 | ||
| South Carolina - 0.7% | |||
| Greenville County School District Series 2019 C, 4% 6/1/20 | 5,000,000 | 5,071,451 | |
| Lancaster County School District ( South Carolina Gen. Oblig. Proj.) Series 2017, 5% 3/1/22 | 45,000 | 48,825 | |
| Piedmont Muni. Pwr. Agcy. Elec. Rev. Series A4, 5% 1/1/20 (Escrowed to Maturity) | 785,000 | 787,302 | |
| Richland County Gen. Oblig. Series 2019, 3% 2/27/20 | 9,000,000 | 9,040,300 | |
| Richland County School District #2 Gen. Oblig. (South Carolina Gen. Oblig. Proj.) Series 2015 A, 5% 2/1/23 | 55,000 | 61,520 | |
| Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015: | |||
| 5% 12/1/23 | 95,000 | 107,739 | |
| 5% 12/1/26 | 25,000 | 29,272 | |
| South Carolina Assoc. of Governmental Organizations Ctfs. of Prtn. Series 2019 D, 2% 3/2/20 | 5,600,000 | 5,612,207 | |
| South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50 | 155,000 | 171,486 | |
| South Carolina Jobs-Econ. Dev. Auth. (Anmed Health Proj.) Series 2016, 5% 2/1/20 | 190,000 | 191,114 | |
| South Carolina Ports Auth. Ports Rev. Series 2019 B, 5% 7/1/22 (b) | 310,000 | 338,759 | |
| South Carolina Pub. Svc. Auth. Rev.: | |||
| Series 2012 B, 5% 12/1/20 | 20,000 | 20,741 | |
| Series 2012 C, 5% 12/1/20 | 400,000 | 414,819 | |
| Series 2012, 5% 12/1/19 | 180,000 | 180,000 | |
| Series 2014 C: | |||
| 5% 12/1/22 | 25,000 | 27,659 | |
| 5% 12/1/23 | 110,000 | 125,116 | |
| Series 2015 C, 5% 12/1/21 | 400,000 | 429,456 | |
| Series A, 5% 12/1/23 | 1,015,000 | 1,154,481 | |
| TOTAL SOUTH CAROLINA | 23,812,247 | ||
| South Dakota - 0.0% | |||
| South Dakota Health & Edl. Facilities Auth. Rev. Series 2014 B: | |||
| 4% 11/1/20 | 15,000 | 15,377 | |
| 4% 11/1/21 | 10,000 | 10,504 | |
| 5% 11/1/22 | 10,000 | 11,041 | |
| TOTAL SOUTH DAKOTA | 36,922 | ||
| Tennessee - 0.7% | |||
| Greeneville Health & Edl. Facilities Board Series 2018 A, 5% 7/1/22 | 1,000,000 | 1,085,860 | |
| Jackson Hosp. Rev. Series 2018 A, 5% 4/1/20 | 835,000 | 844,636 | |
| Lewisburg Indl. Dev. Board Bonds (Waste Mgmt. Tennessee Proj.) Series 2012, 1.45%, tender 2/3/20 (a)(b) | 5,250,000 | 5,248,674 | |
| Memphis Health, Edl. & Hsg. Facilities Board Bonds Series 2018, 2.03%, tender 8/1/20 (a) | 7,400,000 | 7,429,769 | |
| Metropolitan Govt. Nashville & Davidson County Health & Edl. Facilities Board Bonds (Twelfth and Wedgewood Apts. Proj.) Series 2017, 1.8%, tender 12/1/19 | 325,000 | 325,000 | |
| 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 | 3,417,421 | |
| Tennergy Corp. Gas Rev. Bonds Series 2019 A, 5%, tender 10/1/24 (a) | 2,050,000 | 2,361,457 | |
| Tennessee Energy Acquisition Corp. Series 2018, 5% 11/1/22 | 1,500,000 | 1,639,455 | |
| TOTAL TENNESSEE | 22,352,272 | ||
| Texas - 8.4% | |||
| Alamito Pub. Facilities Corp. Bonds: | |||
| (Cramer Three Apts. Proj.) Series 2018, 2.5%, tender 5/1/21 (a) | 5,000,000 | 5,064,100 | |
| (Sandoval Apts. and Valle Verde Apts. Proj.) Series 2018, 2.25%, tender 6/1/20 (a) | 3,000,000 | 3,011,425 | |
| Series 2019, 1.51%, tender 5/1/22 (a) | 6,000,000 | 6,003,960 | |
| Alamo Cmnty. College District Series 2017, 3% 8/15/21 | 3,000,000 | 3,095,700 | |
| Aledo Independent School District Series 2015, 0% 2/15/24 | 25,000 | 23,487 | |
| Allen Independent School District Series 2011, 5% 2/15/41 (Pre-Refunded to 2/15/21 @ 100) | 860,000 | 899,018 | |
| Austin Affordable Pfc, Inc. Multifamily Hsg. Rev. Bonds Series 2019, 1.46%, tender 6/1/22 (a) | 5,000,000 | 5,002,950 | |
| Austin Arpt. Sys. Rev.: | |||
| Series 2019 B, 5% 11/15/22 (b) | 600,000 | 663,072 | |
| Series 2019, 5% 11/15/20 (b) | 2,615,000 | 2,707,810 | |
| Austin-Bergstrom Landhost Ente Series 2017: | |||
| 5% 10/1/20 | 235,000 | 241,776 | |
| 5% 10/1/21 | 280,000 | 297,494 | |
| Brownsville Independent School District Series 2017, 4% 8/15/22 | 1,910,000 | 2,049,048 | |
| Burleson Independent School District Bonds Series 2018, 2.5%, tender 8/1/22 (a) | 5,000,000 | 5,128,800 | |
| Cap. Area Hsg. Fin. Corp. Multi-family Hsg. Rev. Bonds: | |||
| Series 2018, 2.05%, tender 8/1/20 (a) | 10,000,000 | 10,041,889 | |
| Series 2019, 2.1%, tender 9/1/22 (a) | 2,800,000 | 2,830,688 | |
| Central Reg'l. Mobility Auth.: | |||
| Bonds Series 2015 B, 5%, tender 1/7/21 (a) | 1,000,000 | 1,019,990 | |
| Series 2011, 6% 1/1/41 (Pre-Refunded to 1/1/21 @ 100) | 5,720,000 | 6,013,722 | |
| Series 2016: | |||
| 5% 1/1/21 | 10,000 | 10,367 | |
| 5% 1/1/22 | 35,000 | 37,482 | |
| 5% 1/1/23 | 55,000 | 60,688 | |
| 5% 1/1/24 | 75,000 | 84,935 | |
| 5% 1/1/26 | 65,000 | 77,565 | |
| Cypress-Fairbanks Independent School District Bonds: | |||
| Series 2014 B2, 1.4%, tender 8/17/20 (a) | 1,700,000 | 1,700,823 | |
| Series 2014 B3, 1.4%, tender 8/17/20 (a) | 2,425,000 | 2,426,174 | |
| Series 2015 B2, 2.125%, tender 8/16/21 (a) | 8,000,000 | 8,109,360 | |
| Series 2017 A-2, 1.25%, tender 8/15/22 (a) | 3,000,000 | 2,991,360 | |
| Series 2017 A-3, 3%, tender 8/17/20 (a) | 630,000 | 637,357 | |
| Series 2017 A1, 2.125%, tender 8/16/21 (a) | 9,015,000 | 9,138,235 | |
| Dallas County Gen. Oblig. Series 2016 5% 8/15/22 | 75,000 | 82,614 | |
| Dallas Fort Worth Int'l. Arpt. Rev.: | |||
| Series 2013 F: | |||
| 5% 11/1/21 | 65,000 | 69,665 | |
| 5% 11/1/22 | 110,000 | 121,948 | |
| Series 2014 D, 5% 11/1/21 (b) | 2,515,000 | 2,693,037 | |
| Dallas Independent School District Bonds: | |||
| Series 2016 B5, 5%, tender 2/15/21 (a) | 175,000 | 182,660 | |
| Series 2016, 5%, tender 2/15/22 (a) | 5,000 | 5,418 | |
| Series 2019, 5%, tender 2/15/22 (a) | 200,000 | 215,808 | |
| Denton Independent School District: | |||
| Bonds Series 2013, 2%, tender 8/1/20 (a) | 1,530,000 | 1,536,714 | |
| Series 2016, 0% 8/15/25 | 35,000 | 32,074 | |
| El Paso County Hosp. District Series 2013, 5% 8/15/20 | 1,160,000 | 1,185,839 | |
| Fort Bend Independent School District Bonds: | |||
| Series 2019 A, 1.95%, tender 8/1/22 (a) | 6,450,000 | 6,542,622 | |
| Series C, 1.35%, tender 8/1/20 (a) | 40,000 | 40,005 | |
| Series D, 1.5%, tender 8/1/21 (a) | 70,000 | 70,183 | |
| Fort Worth Gen. Oblig. Series 2015 A, 5% 3/1/23 | 35,000 | 39,217 | |
| Fort Worth Independent School District Series 2015, 5% 2/15/22 | 35,000 | 37,941 | |
| Grapevine-Colleyville Independent School District Bonds: | |||
| Series 2012, 2%, tender 8/1/20 (a) | 975,000 | 980,179 | |
| Series B, 2%, tender 8/1/20 (a) | 880,000 | 884,500 | |
| Harlandale Independent School District Bonds Series 2015, 3%, tender 8/15/21 (a) | 6,000,000 | 6,066,960 | |
| Harris County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
| Bonds: | |||
| Series 2015 3, 1 month U.S. LIBOR + 0.850% 2%, tender 12/5/19 (a)(c) | 665,000 | 665,242 | |
| Series 2019 B, 5%, tender 12/1/22 (a) | 5,000,000 | 5,528,350 | |
| Series 2019 C, SIFMA Municipal Swap Index + 0.420% 1.52%, tender 12/1/22 (a)(c) | 3,250,000 | 3,250,000 | |
| Series 2013 A, 5% 12/1/21 | 450,000 | 483,044 | |
| Series 2013 B, SIFMA Municipal Swap Index + 0.900% 2% 6/1/22 (a)(c) | 600,000 | 607,236 | |
| Series 2014 A, 5% 12/1/26 | 120,000 | 139,468 | |
| Series 2015, 5% 10/1/20 | 570,000 | 587,778 | |
| Series 2019 A: | |||
| 5% 12/1/20 | 1,000,000 | 1,037,249 | |
| 5% 12/1/21 | 1,860,000 | 1,996,580 | |
| Series 2020: | |||
| 5% 6/1/22 (e) | 1,000,000 | 1,077,040 | |
| 5% 6/1/23 (e) | 1,385,000 | 1,536,505 | |
| Harris County Flood Cont. District Series 2019 A, 4% 10/1/20 | 5,000,000 | 5,118,676 | |
| Harris County Gen. Oblig.: | |||
| Series 2012 B, 0.005% x SIFMA Municipal Swap Index 1.45% 8/15/21 (a) | 8,000,000 | 8,007,600 | |
| Series 2019 A, 4% 10/1/20 | 5,000,000 | 5,118,676 | |
| Harris County Indl. Dev. Corp. Solid Waste Disp. Rev. Series 2006, 5% 2/1/23 (Pre-Refunded to 12/1/19 @ 100) | 5,000,000 | 5,000,000 | |
| Houston Arpt. Sys. Rev.: | |||
| (Houston TX Arpt. Sys. Rev. Subord Proj.) Series 2011 A, 5% 7/1/21 (b) | 675,000 | 715,075 | |
| Series 2011 A, 5% 7/1/22 (b) | 215,000 | 226,984 | |
| Series 2012 A, 5% 7/1/23 (b) | 235,000 | 255,924 | |
| Series 2018 A, 5% 7/1/21 (b) | 275,000 | 291,327 | |
| Series 2018 C: | |||
| 5% 7/1/20 (b) | 3,760,000 | 3,842,427 | |
| 5% 7/1/21 (b) | 335,000 | 354,889 | |
| Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev. Series 2019, 5% 9/1/20 | 2,485,000 | 2,553,224 | |
| Houston Gen. Oblig. Series 2013 A, 5% 3/1/22 | 1,600,000 | 1,732,288 | |
| Houston Independent School District Bonds: | |||
| Series 2012: | |||
| 1.45%, tender 6/1/20 (a) | 4,360,000 | 4,362,568 | |
| 2.4%, tender 6/1/21 (a) | 2,985,000 | 3,032,999 | |
| Series 2013 B: | |||
| 1.45%, tender 6/1/20 (a) | 2,385,000 | 2,386,405 | |
| 2.4%, tender 6/1/21 (a) | 3,100,000 | 3,149,848 | |
| Series 2014 A, 2.2%, tender 6/1/20 (a) | 3,000,000 | 3,012,818 | |
| Houston Util. Sys. Rev. Bonds: | |||
| Series 2012 A, SIFMA Municipal Swap Index + 0.900% 2%, tender 12/5/19 (a)(c) | 500,000 | 500,155 | |
| Series 2018 C, 1 month U.S. LIBOR + 0.360% 1.565%, tender 8/1/21 (a)(c) | 8,000,000 | 8,008,720 | |
| Irving Hosp. Auth. Hosp. Rev. Series 2017 A: | |||
| 5% 10/15/20 | 130,000 | 133,798 | |
| 5% 10/15/21 | 65,000 | 69,035 | |
| Katy Independent School District Bonds Series 2015 C, 0.670% x 1 month U.S. LIBOR 1.463%, tender 8/16/21 (a)(c) | 5,000,000 | 4,999,350 | |
| Leander Independent School District Series 2013 A: | |||
| 0% 8/15/21 | 550,000 | 538,054 | |
| 0% 8/15/23 | 1,000,000 | 949,790 | |
| Love Field Arpt. Modernization Rev. Series 2015, 5% 11/1/23 (b) | 375,000 | 424,913 | |
| Lower Colorado River Auth. Rev.: | |||
| (LCRA Transmission Corp. Proj.) Series 2011 B, 5% 5/15/23 | 400,000 | 421,580 | |
| (LCRA Transmission Svcs. Corp. Proj.) Series 2019 A, 5% 5/15/21 | 1,335,000 | 1,407,891 | |
| Series 2010 B, 5% 5/15/21 | 915,000 | 930,967 | |
| Series 2010, 5% 5/15/20 | 80,000 | 81,363 | |
| Mansfield Independent School District Series 2016, 5% 2/15/24 | 95,000 | 109,607 | |
| Matagorda County Navigation District No. 1 Poll. Cont. Rev. Bonds Series 1996, 1.75%, tender 9/1/20 (a)(b) | 2,555,000 | 2,559,690 | |
| Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2008 A, 1.45%, tender 2/3/20 (a)(b) | 5,000,000 | 4,998,738 | |
| Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/26 | 55,000 | 65,006 | |
| North East Texas Independent School District: | |||
| Bonds Series 2013 B, 1.42%, tender 8/1/21 (a) | 355,000 | 355,053 | |
| Series 2018, 5% 8/1/20 | 1,080,000 | 1,107,435 | |
| North Harris County Reg'l. Wtr. Auth. Series 2013, 4% 12/15/22 | 35,000 | 37,829 | |
| North Texas Tollway Auth. Rev.: | |||
| Series 2011 A, 5.5% 9/1/41 (Pre-Refunded to 9/1/21 @ 100) | 1,715,000 | 1,842,510 | |
| Series 2011 D, 5% 9/1/28 (Pre-Refunded to 9/1/21 @ 100) | 2,150,000 | 2,291,363 | |
| Series 2019 A, 5% 1/1/21 | 1,700,000 | 1,770,074 | |
| Northside Independent School District: | |||
| Bonds: | |||
| Series 2017, 1.45%, tender 6/1/20 (a) | 975,000 | 975,574 | |
| 2%, tender 6/1/21 (a) | 2,705,000 | 2,732,537 | |
| Series 2011, 2.125%, tender 8/1/20 (a) | 3,705,000 | 3,709,678 | |
| Port Arthur Navigation District Exempt Facilities Bonds (Emerald Renewable Diesel LLC Proj.) Series 2018, 1.9%, tender 12/4/19 (a)(b)(d) | 20,000,000 | 20,000,316 | |
| Prosper Independent School District Bonds Series 2019 B, 2%, tender 8/15/23 (a)(e) | 1,000,000 | 1,022,950 | |
| Sam Rayburn Muni. Pwr. Agcy. Series 2012, 5% 10/1/20 | 20,000 | 20,587 | |
| San Antonio Arpt. Sys. Rev.: | |||
| Series 2012, 4% 7/1/20 (b) | 1,385,000 | 1,406,686 | |
| Series 2019 A: | |||
| 5% 7/1/20 (b)(e) | 500,000 | 510,463 | |
| 5% 7/1/20 (b)(e) | 1,000,000 | 1,021,394 | |
| 5% 7/1/21 (b)(e) | 640,000 | 676,755 | |
| 5% 7/1/21 (b)(e) | 1,330,000 | 1,404,227 | |
| 5% 7/1/22 (b)(e) | 275,000 | 300,366 | |
| 5% 7/1/22 (b)(e) | 265,000 | 289,089 | |
| 5% 7/1/23 (b)(e) | 195,000 | 218,882 | |
| 5% 7/1/25 (b)(e) | 400,000 | 471,532 | |
| 5% 7/1/26 (b)(e) | 500,000 | 603,015 | |
| San Antonio Elec. & Gas Sys. Rev.: | |||
| Bonds: | |||
| Series 2015 A, 2.25%, tender 12/1/19 (a) | 4,360,000 | 4,360,000 | |
| Series 2015 B, 2%, tender 12/1/21 (a) | 3,550,000 | 3,582,447 | |
| Series 2018, 5% 2/1/20 | 1,500,000 | 1,509,265 | |
| San Antonio Pub. Facilities Corp. and Rfdg. Lease (Convention Ctr. Proj.) Series 2012: | |||
| 5% 9/15/21 | 20,000 | 21,348 | |
| 5% 9/15/22 | 75,000 | 82,538 | |
| San Antonio Wtr. Sys. Rev. Bonds Series 2013 F, 2%, tender 11/1/21 (a) | 1,000,000 | 1,011,650 | |
| Sherman Independent School District Bonds Series 2018 B: | |||
| 3%, tender 1/31/20 (a) | 75,000 | 75,881 | |
| 3%, tender 1/31/20 (a) | 3,925,000 | 3,967,960 | |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev.: | |||
| (Scott & White Healthcare Proj.) Series 2013 A: | |||
| 5% 8/15/21 | 15,000 | 15,938 | |
| 5% 8/15/23 | 20,000 | 22,581 | |
| Series 2013, 5% 9/1/20 | 20,000 | 20,555 | |
| 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 | 266,005 | |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
| Series 2016 A, 5% 2/15/26 | 35,000 | 42,242 | |
| Series 2017 A, 5% 2/15/24 | 45,000 | 51,641 | |
| Texas A&M Univ. Rev. Series B, 5% 5/15/20 | 4,030,000 | 4,100,145 | |
| Texas Dept. of Hsg. & Cmnty. Affairs Multi-family Hsg. Rev. Bonds: | |||
| Series 2017, 1.8%, tender 12/1/19 (a) | 545,000 | 545,000 | |
| Series 2018: | |||
| 2%, tender 2/1/20 (a) | 3,400,000 | 3,403,804 | |
| 2.2%, tender 5/1/20 (a) | 4,000,000 | 4,011,393 | |
| 2.23%, tender 5/1/20 (a) | 3,300,000 | 3,311,430 | |
| Series 2019, 2.11%, tender 2/1/22 | 2,880,000 | 2,899,757 | |
| Texas Gen. Oblig.: | |||
| Bonds: | |||
| Series 2019 C2, 1.85%, tender 8/1/22 (a) | 165,000 | 165,485 | |
| Series 2019 E2, 2.25%, tender 8/1/22 (a) | 740,000 | 744,507 | |
| Series 2013 B, 5.25% 8/1/21 (b) | 940,000 | 1,000,968 | |
| Series 2018, 4% 8/1/21 (b) | 790,000 | 825,060 | |
| Texas State Univ. Sys. Fing. Rev. Series 2019 A: | |||
| 3% 3/15/20 (e) | 1,850,000 | 1,859,626 | |
| 4% 3/15/21 (e) | 2,000,000 | 2,071,860 | |
| Texas Trans. Commission Central Texas Tpk. Sys. Rev. Bonds Series 2015 A, 5%, tender 4/1/20 (a) | 2,475,000 | 2,504,221 | |
| Texas Wtr. Dev. Board Rev. Series 2019 A: | |||
| 5% 10/15/20 | 1,340,000 | 1,384,699 | |
| 5% 4/15/21 | 850,000 | 894,591 | |
| Tomball Independent School District Bonds Series 2014 B2, 2.125%, tender 8/15/21 (a) | 1,000,000 | 1,013,670 | |
| 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 | 1,847,915 | |
| Trinity River Auth. Reg'l. Wastewtr. Sys. Rev. Series 2016, 5% 8/1/23 | 35,000 | 39,728 | |
| Univ. of Texas Board of Regents Sys. Rev. Series 2017 C: | |||
| 5% 8/15/20 | 1,090,000 | 1,119,544 | |
| 5% 8/15/21 | 1,945,000 | 2,072,028 | |
| TOTAL TEXAS | 286,039,333 | ||
| Virginia - 1.9% | |||
| Amelia County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) 2.125%, tender 4/1/20 (a)(b) | 1,070,000 | 1,071,811 | |
| 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)(b) | 1,750,000 | 1,780,940 | |
| Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Series 2019, 5% 11/1/23 | 2,000,000 | 2,267,820 | |
| Chesapeake Hosp. Auth. Hosp. Facility Rev. Series 2019, 4% 7/1/20 | 2,285,000 | 2,322,244 | |
| Chesapeake Trans. Sys. Toll Road Rev. Series 2012 A: | |||
| 4% 7/15/20 | 15,000 | 15,227 | |
| 5% 7/15/21 | 10,000 | 10,549 | |
| Fairfax County Indl. Dev. Auth. Bonds (Inova Health Sys. Proj.) Series 2018 B, 5%, tender 5/15/23 (a) | 250,000 | 281,118 | |
| Fairfax County Redev. & Hsg. Auth. Rev. Bonds Series 2018: | |||
| 2.21%, tender 8/1/20 (a)(b) | 2,000,000 | 2,011,266 | |
| 2.26%, tender 8/1/20 (a) | 2,000,000 | 2,011,922 | |
| Fredericksburg Econ. Dev. Auth. Rev. Series 2014, 5% 6/15/24 | 50,000 | 57,786 | |
| Halifax County Indl. Dev. Auth. Bonds 2.15%, tender 9/1/20 (a) | 2,870,000 | 2,887,137 | |
| 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)(b) | 735,000 | 753,853 | |
| 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 | 2,527,500 | |
| Series 2008 C, 1.8%, tender 4/1/22 (a) | 1,600,000 | 1,608,176 | |
| Series 2008 B, 2.15%, tender 9/1/20 (a) | 2,110,000 | 2,122,599 | |
| Lynchburg Econ. Dev. (Centra Health Proj.) Series A, 5% 1/1/20 | 130,000 | 130,370 | |
| Newport New Redev. & Hsg. Multi-family Hsg. Bonds Series 2018, 2.05%, tender 8/1/20 (a) | 7,000,000 | 7,031,383 | |
| Russell County Poll. Cont. (Appalachian Pwr. Co. Proj.) Series K 4.625% 11/1/21 | 250,000 | 251,925 | |
| Spotsylvania County Econ. Dev. Bonds (Palmers Creek Apt. Proj.) Series 2019, 1.45%, tender 2/1/22 (a) | 5,000,000 | 5,000,950 | |
| Stafford County Econ. Dev. Auth. Hosp. Facilities Rev. Series 2016: | |||
| 5% 6/15/24 | 25,000 | 28,893 | |
| 5% 6/15/25 | 20,000 | 23,679 | |
| 5% 6/15/26 | 35,000 | 42,365 | |
| Staunton Redev. & Hsg. Auth. M Bonds Series 2019, 1.95%, tender 5/1/20 (a) | 5,500,000 | 5,522,782 | |
| Sussex County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds Series 2003 A, 2.4%, tender 5/2/22 (a)(b) | 805,000 | 819,321 | |
| Virginia Pub. Bldg. Auth. Pub. Facilities Rev.: | |||
| Series 2016 C, 5% 8/1/20 (b) | 2,000,000 | 2,048,923 | |
| Series 2019 B, 5% 8/1/20 (b) | 4,030,000 | 4,128,580 | |
| Virginia Pub. School Auth. School Fing. Series 2018 B, 5% 8/1/20 | 4,670,000 | 4,789,888 | |
| Virginia Resources Auth. Moral Oblig. (Virginia Pooled Fing. Prog.) Series 2018 C, 5% 11/1/20 | 1,115,000 | 1,153,681 | |
| Virginia St Pub. School Auth. Spl. Oblig. Series 2018, 5% 3/1/20 | 3,790,000 | 3,825,905 | |
| Wise County Indl. Dev. Auth. Waste & Sewage Rev. Bonds: | |||
| (Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 1.875%, tender 6/1/20 (a) | 4,315,000 | 4,326,336 | |
| Series 2009 A, 2.15%, tender 9/1/20 (a) | 2,605,000 | 2,620,555 | |
| 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 | 303,744 | |
| TOTAL VIRGINIA | 63,779,228 | ||
| Washington - 1.5% | |||
| Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Bonds Series 2015 S2A, 1.4%, tender 11/1/21 (a) | 20,000,000 | 19,996,600 | |
| Grant County Pub. Util. District #2 Series 2012 A, 5% 1/1/21 | 40,000 | 41,631 | |
| King County Hsg. Auth. Rev.: | |||
| Series 2018: | |||
| 2.05% 5/1/20 | 765,000 | 767,307 | |
| 2.15% 5/1/20 | 405,000 | 406,270 | |
| 3.5% 5/1/21 | 500,000 | 514,520 | |
| Series 2019: | |||
| 3% 11/1/23 | 1,175,000 | 1,247,956 | |
| 4% 11/1/24 | 135,000 | 151,548 | |
| King County Swr. Rev. Bonds Series 2012, 2.6%, tender 12/1/21 (a) | 3,600,000 | 3,645,036 | |
| Port of Seattle Gen. Oblig. Series 2011, 5.25% 12/1/21 (b) | 300,000 | 317,529 | |
| Port of Seattle Rev.: | |||
| Series 2010 C, 5% 2/1/20 (b) | 3,405,000 | 3,425,359 | |
| Series 2015 C: | |||
| 5% 4/1/20 (b) | 1,885,000 | 1,907,946 | |
| 5% 4/1/21 (b) | 540,000 | 566,498 | |
| Series 2016 B: | |||
| 5% 10/1/21 (b) | 60,000 | 64,052 | |
| 5% 10/1/22 (b) | 55,000 | 60,695 | |
| 5% 10/1/23 (b) | 65,000 | 73,713 | |
| Series 2017 C, 5% 5/1/22 (b) | 540,000 | 586,537 | |
| Series 2019: | |||
| 5% 4/1/21 (b) | 1,000,000 | 1,049,070 | |
| 5% 4/1/22 (b) | 215,000 | 232,903 | |
| 5% 4/1/23 (b) | 215,000 | 239,893 | |
| Port of Seattle Spl. Facility Rev. Series 2013, 5% 6/1/22 (b) | 500,000 | 544,545 | |
| Seattle Muni. Lt. & Pwr. Rev.: | |||
| Bonds Series 2018 B2, SIFMA Municipal Swap Index + 0.290% 1.39%, tender 11/1/21 (a)(c) | 10,000,000 | 10,001,100 | |
| Series 2019 A, 5% 4/1/20 | 3,520,000 | 3,564,727 | |
| Tacoma Elec. Sys. Rev.: | |||
| Series 2013 A: | |||
| 4% 1/1/21 | 5,000 | 5,153 | |
| 5% 1/1/21 | 40,000 | 41,649 | |
| Series 2017: | |||
| 5% 1/1/22 | 15,000 | 16,182 | |
| 5% 1/1/25 | 15,000 | 17,740 | |
| 5% 1/1/26 | 10,000 | 12,140 | |
| Tobacco Settlement Auth. Rev.: | |||
| Series 2013, 5% 6/1/20 | 1,190,000 | 1,210,380 | |
| Series 2018, 5% 6/1/22 | 215,000 | 232,750 | |
| Washington Gen. Oblig. Series 2003 C, 0% 6/1/20 | 345,000 | 343,066 | |
| Washington Health Care Facilities Auth. Rev.: | |||
| (Providence Health Systems Proj.) Series 2012 A, 5% 10/1/24 | 250,000 | 275,663 | |
| (Virginia Mason Med. Ctr. Proj.) Series 2017: | |||
| 5% 8/15/25 | 20,000 | 23,068 | |
| 5% 8/15/26 | 45,000 | 52,695 | |
| 5% 8/15/27 | 50,000 | 59,273 | |
| Bonds Series 2012 B, 5%, tender 10/1/21 (a) | 250,000 | 266,555 | |
| Series 2012 A, 5% 10/1/22 | 445,000 | 490,679 | |
| TOTAL WASHINGTON | 52,452,428 | ||
| West Virginia - 0.3% | |||
| Harrison County Commission Solid Waste Disp. Rev. Bonds (Monongahela Pwr. Co. Proj.) Series 2018 A, 3%, tender 10/15/21 (a)(b) | 5,700,000 | 5,826,996 | |
| Mason Co. Poll. Cont. Rev. (Appalachian Pwr. Co. Proj.) Series 2003 L, 2.75% 10/1/22 | 2,445,000 | 2,529,230 | |
| 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)(b) | 2,125,000 | 2,126,548 | |
| West Virginia Hsg. Dev. Fund Series 2017 A, 2.4% 11/1/22 (b) | 960,000 | 975,926 | |
| TOTAL WEST VIRGINIA | 11,458,700 | ||
| Wisconsin - 2.1% | |||
| Crosse Resources Recovery Rev. Series 1996, 6% 11/1/21 (b) | 1,500,000 | 1,623,705 | |
| Glendale River Hills School District Series 2019, 2% 4/17/20 | 2,800,000 | 2,808,121 | |
| Milwaukee Area Tech Coliseum District Series 2019 20C, 4% 12/1/19 | 2,335,000 | 2,335,000 | |
| Milwaukee County Arpt. Rev.: | |||
| Series 2013 A: | |||
| 5% 12/1/20 (b) | 30,000 | 31,114 | |
| 5% 12/1/22 (b) | 30,000 | 33,153 | |
| 5.25% 12/1/23 (b) | 35,000 | 40,089 | |
| Series 2016 A: | |||
| 5% 12/1/19 (b) | 625,000 | 625,000 | |
| 5% 12/1/22 (b) | 1,000,000 | 1,105,100 | |
| Pub. Fin. Auth. Rev. (Denver Int'l. Arpt. Great Hall Proj.) Series 2017, 5% 9/30/22 (b) | 35,000 | 35,021 | |
| Pub. Fin. Auth. Solid Waste Bonds (Waste Mgmt., Inc. Proj.): | |||
| Series 2017 A, 1.45%, tender 2/3/20 (a)(b) | 25,000,000 | 24,993,688 | |
| Series 2017 A-2, 1.45%, tender 2/3/20 (a)(b) | 6,000,000 | 5,998,485 | |
| Pub. Fin. Auth. Wis Edl. Facilities: | |||
| Series 2016, 5% 1/1/20 | 135,000 | 135,298 | |
| Series 2018, 5% 7/1/20 (d) | 545,000 | 551,247 | |
| Waukesha Gen. Oblig. Series 2019 D, 4% 7/1/20 | 4,200,000 | 4,249,657 | |
| Wisconsin Health & Edl. Facilities: | |||
| (Agnesian Healthcare Proj.) Series 2017, 5% 7/1/21 | 100,000 | 105,420 | |
| Bonds: | |||
| (Ascension Health Cr. Group Proj.) Series 2013 B: | |||
| 5%, tender 6/1/20 (a) | 2,020,000 | 2,057,423 | |
| 5%, tender 6/1/21 (a) | 1,905,000 | 2,008,689 | |
| Series 2013 B-5, 1.375%, tender 12/3/19 (a) | 325,000 | 325,000 | |
| Series 2018 B, 5%, tender 1/26/22 (a) | 5,710,000 | 6,160,862 | |
| Series 2018 C, SIFMA Municipal Swap Index + 0.450% 1.55%, tender 7/27/22 (a)(c) | 3,885,000 | 3,887,720 | |
| Series 2018 C3, 1.65%, tender 7/26/23 (a) | 4,000,000 | 4,009,760 | |
| Series 2014: | |||
| 5% 5/1/20 | 10,000 | 10,130 | |
| 5% 5/1/21 | 15,000 | 15,665 | |
| Series 2017 A, 2.65% 11/1/20 | 2,875,000 | 2,875,973 | |
| Series 2019 A: | |||
| 5% 12/1/23 | 30,000 | 34,035 | |
| 5% 12/1/24 | 100,000 | 116,468 | |
| 5% 12/1/25 | 125,000 | 148,895 | |
| 5% 12/1/26 | 200,000 | 242,812 | |
| Series 2019, 5% 10/1/21 | 400,000 | 426,788 | |
| Series 2020, 4% 7/1/21 (e) | 820,000 | 850,643 | |
| Wisconsin Health & Edl. Facilities Auth. Series 2014 A, 5% 12/1/21 | 370,000 | 396,943 | |
| Wisconsin Health & Edl. Facilities Auth. Rev.: | |||
| Series 2010, 5% 12/15/20 | 350,000 | 356,575 | |
| Series 2012, 5% 10/1/21 | 30,000 | 32,009 | |
| Wisconsin Hsg. & Econ. Dev. Auth. Series 2018 A, 2.05% 9/1/20 (b) | 1,195,000 | 1,199,305 | |
| Wisconsin Hsg. & Econ. Dev. Auth. Hsg. Rev. Bonds Series 2017 A, 1.95%, tender 5/1/20 (a) | 1,295,000 | 1,296,149 | |
| TOTAL WISCONSIN | 71,121,942 | ||
| Wyoming - 0.2% | |||
| Wyoming Cmnty. Dev. Auth. Hsg. Rev. Bonds Series 2018 4, 1.42%, tender 9/1/21 (a) | 5,000,000 | 5,005,850 | |
| TOTAL MUNICIPAL BONDS | |||
| (Cost $1,907,064,852) | 1,917,508,217 | ||
| Municipal Notes - 27.9% | |||
| Alabama - 0.3% | |||
| Health Care Auth. for Baptist Health Series 2013 B, 1.48% 12/6/19, VRDN (a) | 6,705,000 | $6,705,000 | |
| Tuscaloosa County Indl. Dev. Auth. Solid Waste Disp. Rev. (Nucor Corp. Proj.) Series 2004, 1.25% 12/4/19, VRDN (a)(b) | 2,700,000 | 2,700,000 | |
| West Jefferson Indl. Dev. Board Solid Waste Disp. Rev. (Alabama Pwr. Co. Miller Plant Proj.) Series 2008, 1.28% 12/2/19, VRDN (a)(b) | 1,290,000 | 1,290,000 | |
| Wilsonville Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Gaston Plant Proj.) Series 2008, 1.28% 12/2/19, VRDN (a)(b) | 725,000 | 725,000 | |
| TOTAL ALABAMA | 11,420,000 | ||
| Alaska - 0.1% | |||
| Anchorage Gen. Oblig. TAN Series 2019, 2% 12/20/19 | 2,025,000 | 2,025,962 | |
| Arkansas - 0.1% | |||
| Blytheville Indl. Dev. Rev. (Nucor Corp. Proj.) Series 2002, 1.25% 12/6/19, VRDN (a)(b) | 2,800,000 | 2,800,000 | |
| California - 0.9% | |||
| 1500 Mission Urban Hsg. LP Participating VRDN Series DBE 80 38, 1.45% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,500,000 | 1,500,000 | |
| Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Participating VRDN Series XF 10 44, 1.2% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,400,000 | 1,400,000 | |
| Buck Institute Age Research Participating VRDN Series Floaters XF 10 35, 1.2% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,400,000 | 1,400,000 | |
| California Health Facilities Fing. Auth. Rev. Participating VRDN: | |||
| Series Floaters 013, 1.22% 1/10/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(g)(h) | 2,430,000 | 2,430,000 | |
| Series Floaters XG 01 75, 1.25% 12/6/19 (Liquidity Facility Bank of America NA) (a)(f)(g) | 5,300,000 | 5,300,000 | |
| California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev. (Westgate Pasadena Apts. Proj.) Series 2013 B, 1.34% 12/6/19, VRDN (a)(b) | 6,000,000 | 6,000,000 | |
| San Francisco Calif. City & Cnty. Arpts. Commn. Int'l. Arpt. Rev. Participating VRDN Series 15 ZF 01 64, 1.35% 12/6/19 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(g) | 1,705,000 | 1,705,000 | |
| San Francisco City & County Arpts. Commission Int'l. Arpt. Rev. Participating VRDN: | |||
| Series Floaters XM 06 75, 1.29% 12/6/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(g) | 500,000 | 500,000 | |
| Series Floaters ZF 26 76, 1.3% 12/6/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(g) | 2,000,000 | 2,000,000 | |
| Series Floaters ZM 06 41, 1.35% 12/6/19 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(g) | 5,250,000 | 5,250,000 | |
| Shafter Indl. Dev. Auth. Indl. Dev. Rev. 1.4% 12/6/19, LOC Deutsche Bank AG New York Branch, VRDN (a)(b) | 350,000 | 350,000 | |
| Wilshire Vermont Station Apts Participating VRDN Series Spears DBE 80 16, 1.4% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(f)(g) | 4,245,000 | 4,245,000 | |
| TOTAL CALIFORNIA | 32,080,000 | ||
| Colorado - 1.9% | |||
| Colorado Ed. Ln. Prog. TRAN Series 2019 A, 3% 6/29/20 | 5,000,000 | 5,053,700 | |
| Colorado Edl. & Cultural Facilities Auth. Rev. (Mesivta of Greater Los Angeles Proj.) Series 2005, 1.45% 12/6/19, LOC Deutsche Bank AG, VRDN (a) | 785,000 | 785,000 | |
| Colorado Gen. Fdg. Rev. TRAN Series 2019, 3% 6/26/20 | 30,000,000 | 30,317,556 | |
| Colorado Reg'l. Trans. District Sales Tax Rev. Participating VRDN Series Floaters 16 XF1031, 1.2% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 400,000 | 400,000 | |
| Denver City & County Arpt. Rev. Participating VRDN: | |||
| Series DBE 8027, 1.35% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(f)(g) | 1,700,000 | 1,700,000 | |
| Series Floaters XF 10 36, 1.2% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 400,000 | 400,000 | |
| Series Floaters XL 00 90, 1.35% 12/6/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(g) | 25,225,000 | 25,225,000 | |
| Series Floaters XM 07 15, 1.4% 12/6/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(g) | 1,600,000 | 1,600,000 | |
| TOTAL COLORADO | 65,481,256 | ||
| Connecticut - 0.1% | |||
| New Britain Gen. Oblig. BAN Series 2018, 5% 12/19/19 | 2,300,000 | 2,304,062 | |
| Delaware - 0.2% | |||
| Delaware Health Facilities Auth. Rev. Series 2019, 1.23% tender 12/2/19, CP mode | 8,000,000 | 8,000,032 | |
| District Of Columbia - 0.1% | |||
| Children's Nat'l. Med. Ctr., Participating VRDN Series 2015 XF 1047, 1.2% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 2,500,000 | 2,500,000 | |
| Florida - 2.5% | |||
| Aqua One Cmnty. Dev. District Fla Participating VRDN Series Floaters XF 10 76, 1.35% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 4,900,000 | 4,900,000 | |
| Avenir Cmnty. Dev. District Participating VRDN Series Floaters XF 10 74, 1.35% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 2,160,000 | 2,160,000 | |
| Broward County Arpt. Sys. Rev. Participating VRDN Series Floaters XL 00 88, 1.3% 12/6/19 (Liquidity Facility Citibank NA) (a)(b)(f)(g) | 6,730,000 | 6,730,000 | |
| Broward County Port Facilities Rev. Participating VRDN Series XM 07 80, 1.35% 12/6/19 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(g) | 1,200,000 | 1,200,000 | |
| Broward County School District TAN Series 2019, 3% 6/30/20 | 10,000,000 | 10,108,496 | |
| Greater Orlando Aviation Auth. Arpt. Facilities Rev. Participating VRDN Series Floaters XF 05 77, 1.3% 12/6/19 (Liquidity Facility Royal Bank of Canada) (a)(b)(f)(g) | 1,165,000 | 1,165,000 | |
| Jacksonville Health Care Series 2019, 1.24% 2/12/20, CP | 2,000,000 | 1,999,997 | |
| Lee County Indl. Dev. Auth. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2016 A, 1.27% 12/2/19, VRDN (a)(b) | 4,060,000 | 4,060,000 | |
| Miami-Dade County School District TAN Series 2019: | |||
| 2% 2/27/20 | 6,795,000 | 6,808,826 | |
| 3% 2/27/20 | 3,085,000 | 3,098,520 | |
| Palm Beach County Health Facilities Auth. Rev. Participating VRDN Series Floaters 017, 1.4% 1/10/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) | 37,600,000 | 37,600,000 | |
| Pinellas County Health Facilities Auth. Rev. (Suncoast Hospice Proj.) Series 2004, 1.22% 12/6/19, LOC Wells Fargo Bank NA, VRDN (a) | 760,000 | 760,000 | |
| Saint Lucie County Solid Waste Disp. (Florida Pwr. & Lt. Co. Proj.) Series 2003, 1.25% 12/2/19, VRDN (a)(b) | 1,300,000 | 1,300,000 | |
| South Miami Health Facilities Auth. Hosp. Rev. Participating VRDN Series Floaters XF 25 17, 1.2% 12/6/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(f)(g) | 2,210,000 | 2,210,000 | |
| TOTAL FLORIDA | 84,100,839 | ||
| Georgia - 0.6% | |||
| Atlanta Arpt. Rev.: | |||
| Series J1, 1.45% 3/23/20, LOC Bank of America NA, CP | 5,036,000 | 5,039,907 | |
| Series J2, 1.9% 3/23/20, LOC Bank of America NA, CP (b) | 1,500,000 | 1,501,152 | |
| Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Vogtle Proj.) Series 2012, 1.3% 12/2/19, VRDN (a)(b) | 3,875,000 | 3,875,000 | |
| Monroe County Dev. Auth. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2019, 1.23% 12/2/19, VRDN (a)(b) | 5,865,000 | 5,865,000 | |
| Private Coll And Univ. Auth. Series 2019, 1.26% 2/5/20, CP | 3,000,000 | 3,000,539 | |
| TOTAL GEORGIA | 19,281,598 | ||
| Idaho - 0.5% | |||
| Idaho Gen. Oblig. TAN Series 2019, 3% 6/30/20 | 13,500,000 | 13,648,037 | |
| Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series A, 1.25% 12/6/19 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (a) | 1,745,000 | 1,745,000 | |
| TOTAL IDAHO | 15,393,037 | ||
| Illinois - 0.4% | |||
| Chicago Board of Ed. Participating VRDN Series Floaters XG 01 08, 1.25% 12/6/19 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) | 500,000 | 500,000 | |
| Chicago Park District Gen. Oblig. Participating VRDN Series ROC II R 11935, 1.35% 12/6/19 (Liquidity Facility Citibank NA) (a)(f)(g) | 2,400,000 | 2,400,000 | |
| Cook County Gen. Oblig. Participating VRDN Series 2015 XF0124, 1.33% 12/6/19 (Liquidity Facility JPMorgan Chase Bank) (a)(f)(g) | 1,280,000 | 1,280,000 | |
| Illinois Gen. Oblig. Participating VRDN: | |||
| Series Floaters XM 01 86, 1.35% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,000,000 | 1,000,000 | |
| Series Floaters XM 07 11, 1.4% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 7,400,000 | 7,400,000 | |
| Metropolitan Pier & Exposition Participating VRDN Series Floaters XF 10 45, 1.25% 12/6/19 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) | 1,620,000 | 1,620,000 | |
| Village of Oswego Indl. Dev. (Griffith Laboratories Worldwide, Inc.) Series 1995, 1.33% 12/6/19, LOC Wells Fargo Bank NA, VRDN (a)(b) | 700,000 | 700,000 | |
| TOTAL ILLINOIS | 14,900,000 | ||
| Indiana - 0.5% | |||
| Ctr. Grove Multi-Facility School Bldg. Corp. BAN Series 2019, 2.5% 12/15/20 | 3,200,000 | 3,214,789 | |
| Hamilton County HealthCare Facilities Rev. Participating VRDN Series XF 10 26, 1.2% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 650,000 | 650,000 | |
| Indiana Dev. Fin. Auth. Envir. Rev. (PSI Energy Proj.): | |||
| Series 2003 A, 1.22% 12/6/19, VRDN (a)(b) | 1,820,000 | 1,820,000 | |
| Series 2003 B, 1.16% 12/6/19, VRDN (a)(b) | 4,750,000 | 4,750,000 | |
| Indiana Fin. Auth. Econ. Dev. Rev. Series 2006, 1.3% 12/6/19, LOC PNC Bank NA, VRDN (a)(b) | 605,000 | 605,000 | |
| Indiana Univ. Student Fee Revs. Series 2019: | |||
| 1.25% 3/24/20, CP | 3,050,000 | 3,049,897 | |
| 1.26% 5/11/20, CP | 1,325,000 | 1,324,937 | |
| 1.3% 12/5/19, CP | 2,000,000 | 2,000,058 | |
| TOTAL INDIANA | 17,414,681 | ||
| Kansas - 0.3% | |||
| Wamego Kansas Poll. Cont. Rfdg. Rev. (Kansas Gas & Elec. Co. Proj.) Series 1994, 1.28% 12/6/19, VRDN (a) | 500,000 | 500,000 | |
| Wichita Gen. Oblig. BAN Series 298, 4% 10/15/20 | 10,000,000 | 10,246,624 | |
| TOTAL KANSAS | 10,746,624 | ||
| Kentucky - 0.0% | |||
| Kentucky State Property & Buildings Commission Rev. Participating VRDN Series XG 0113, 1.3% 12/6/19 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) | 900,000 | 900,000 | |
| Louisiana - 1.4% | |||
| Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.): | |||
| Series 2010 A1, 1.2% 12/6/19, VRDN (a) | 12,300,000 | 12,300,000 | |
| Series 2010 B1, 1.22% 12/6/19, VRDN (a) | 35,820,000 | 35,820,000 | |
| TOTAL LOUISIANA | 48,120,000 | ||
| Maine - 0.0% | |||
| Auburn Rev. Oblig. Secs Series 2001, 1.31% 12/6/19, LOC TD Banknorth, NA, VRDN (a)(b) | 130,000 | 130,000 | |
| Maryland - 0.6% | |||
| Baltimore County Gen. Oblig. BAN Series 2019, 4% 3/19/20 | 17,300,000 | 17,447,131 | |
| Baltimore Proj. Rev. Bonds Series Floaters G 42, 1.3%, tender 7/1/20 (Liquidity Facility Royal Bank of Canada) (a)(f)(g)(h) | 4,500,000 | 4,500,000 | |
| TOTAL MARYLAND | 21,947,131 | ||
| Massachusetts - 0.5% | |||
| Massachusetts Edl. Fing. Auth. Rev. Participating VRDN Series Floaters XF 23 06, 1.35% 12/6/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(g) | 2,230,000 | 2,230,000 | |
| Massachusetts Gen. Oblig. RAN Series 2019: | |||
| 4% 5/21/20 | 8,000,000 | 8,106,406 | |
| 4% 6/18/20 | 2,000,000 | 2,030,839 | |
| Nahant BAN: | |||
| Series 2019 A, 2.5% 6/26/20 | 500,000 | 503,204 | |
| Series 2019 B, 2.5% 7/9/20 | 1,300,000 | 1,309,328 | |
| Truro Massachusetts BAN Series 2019, 2.5% 6/19/20 | 1,300,000 | 1,308,474 | |
| TOTAL MASSACHUSETTS | 15,488,251 | ||
| Michigan - 0.5% | |||
| Michigan Fin. Auth. Rev. RAN Series 2019 A, 4% 8/20/20 | 13,000,000 | 13,263,497 | |
| Michigan Strategic Fund Ltd. Oblig. Rev. Series 2005, 1.3% 12/6/19, LOC PNC Bank NA, VRDN (a)(b) | 720,000 | 720,000 | |
| Waterford School District RAN Series 2019, 2% 9/23/20 | 2,600,000 | 2,612,265 | |
| TOTAL MICHIGAN | 16,595,762 | ||
| Minnesota - 0.3% | |||
| Shakopee Minn Sr Hsg. Rev. Participating VRDN Series Floaters 001, 1.4% 1/10/20 (Liquidity Facility Barclays Bank PLC) (a)(f)(g)(h) | 5,000,000 | 5,000,000 | |
| Univ. of Minnesota Gen. Oblig. Series G, 0% 2/5/20, CP | 4,000,000 | 3,999,844 | |
| TOTAL MINNESOTA | 8,999,844 | ||
| Mississippi - 0.3% | |||
| Mississippi Bus. Fin. Corp. Rev. (Utils. Optimization LLC Proj.) Series 2002 A, 1.32% 12/6/19, LOC Cap. One Bank, VRDN (a)(b) | 450,000 | 450,000 | |
| Mississippi Bus. Fin. Corp. Solid Waste Disp. Rev. (Gulf Pwr. Co. Proj.) Series 2012, 1.23% 12/2/19, VRDN (a)(b) | 7,930,000 | 7,930,000 | |
| TOTAL MISSISSIPPI | 8,380,000 | ||
| Missouri - 0.3% | |||
| Curators of the Univ. of Missouri Series A: | |||
| 1.2% 2/7/20, CP | 3,500,000 | 3,500,328 | |
| 1.2% 3/6/20, CP | 2,350,000 | 2,350,308 | |
| Kansas City Indl. Dev. Auth. Participating VRDN Series XM 07 45, 1.32% 12/6/19 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (a)(b)(f)(g) | 3,500,000 | 3,500,000 | |
| TOTAL MISSOURI | 9,350,636 | ||
| Nebraska - 0.0% | |||
| Stanton County Indl. Dev. Rev. Series 1998, 1.25% 12/6/19, VRDN (a)(b) | 125,000 | 125,000 | |
| Nevada - 0.1% | |||
| Clark County Arpt. Rev. Participating VRDN Series ROC II R 11823, 1.25% 12/6/19 (Liquidity Facility Citibank NA) (a)(f)(g) | 4,590,000 | 4,590,000 | |
| Sparks Econ. Dev. Rev. (RIX Industries Proj.) Series 2002, 1.32% 12/6/19, LOC Wells Fargo Bank NA, VRDN (a)(b) | 120,000 | 120,000 | |
| TOTAL NEVADA | 4,710,000 | ||
| New Jersey - 0.9% | |||
| Asbury Park Gen. Oblig. BAN Series 2019, 2.5% 7/9/20 | 3,100,000 | 3,120,375 | |
| Burlington County Bridge Commission Lease Rev. BAN (Governmental Leasing Prog.) Series 2019 B, 2.75% 4/17/20 | 5,000,000 | 5,029,421 | |
| East Brunswick Township Gen. Oblig. BAN Series 2019, 3.5% 1/10/20 | 1,677,000 | 1,681,288 | |
| Flemington BAN 3.5% 1/15/20 | 2,400,000 | 2,406,276 | |
| Millburn Township Gen. Oblig. BAN Series 2019: | |||
| 2.25% 6/12/20 | 1,400,000 | 1,407,339 | |
| 2.75% 1/30/20 | 400,000 | 401,068 | |
| Millstone Township Gen. Oblig. BAN Series 2019, 2.25% 8/28/20 | 2,900,000 | 2,920,381 | |
| Passaic Gen. Oblig. BAN Series 2019, 2.25% 8/27/20 | 1,600,000 | 1,610,497 | |
| Roselle County of Union BAN Series 2018, 3.5% 12/6/19 | 2,658,145 | 2,658,833 | |
| South River Borough Gen. Oblig. BAN Series 2018, 3.5% 12/10/19 | 5,300,000 | 5,302,360 | |
| Warren Township School District BAN Series 2019, 2.5% 7/23/20 | 2,246,000 | 2,260,556 | |
| Wood-Ridge Gen. Oblig. BAN Series 2019, 2% 9/11/20 | 3,000,000 | 3,019,365 | |
| TOTAL NEW JERSEY | 31,817,759 | ||
| New York - 6.7% | |||
| Binghamton Gen. Oblig. BAN Series 2019 B, 3.5% 4/17/20 | 5,000,000 | 5,042,456 | |
| Broome County Gen. Oblig. BAN Series 2019 A, 2.5% 5/1/20 | 5,000,000 | 5,028,377 | |
| Build NYC FC Hanson Office Assn. Participating VRDN Series BAML 50 20, 1.33% 12/6/19 (Liquidity Facility Bank of America NA) (a)(b)(f)(g) | 8,800,000 | 8,800,000 | |
| Galway Cent School District BAN Series 2019, 3% 4/30/20 | 5,000,000 | 5,034,894 | |
| Hempstead Union Free School District TAN Series 2019, 2.5% 6/25/20 | 2,000,000 | 2,012,304 | |
| Middletown BAN Series 2019, 2% 8/27/20 | 16,419,175 | 16,508,999 | |
| Nassau County Gen. Oblig.: | |||
| BAN Series 2019 A, 5% 6/1/20 | 11,500,000 | 11,713,671 | |
| RAN Series 2019 A, 4% 12/10/19 | 4,450,000 | 4,452,715 | |
| Nassau County IDA Bryant Landing Participating VRDN Series BAML 50 18, 1.33% 12/6/19 (Liquidity Facility Bank of America NA) (a)(b)(f)(g) | 7,400,000 | 7,400,000 | |
| New York City Gen. Oblig. Series 2006, 1.45% 12/6/19 (FSA Insured), VRDN (a) | 7,625,000 | 7,625,000 | |
| New York Metropolitan Trans. Auth. Rev. BAN: | |||
| Series 2018 B: | |||
| 5% 5/15/21 | 12,000,000 | 12,621,360 | |
| 5% 5/15/21 | 570,000 | 599,515 | |
| Series 2018 B1, 5% 5/15/20 | 5,375,000 | 5,463,895 | |
| Series 2018 C, 5% 9/1/21 | 3,695,000 | 3,924,016 | |
| Series 2019 A, 4% 2/3/20 | 21,940,000 | 22,037,883 | |
| Series 2019 B, 5% 5/15/22 | 9,820,000 | 10,672,180 | |
| Series 2019 C, 4% 7/1/20 | 7,000,000 | 7,108,380 | |
| Series 2019 D1, 5% 9/1/22 | 30,600,000 | 33,546,780 | |
| Series 2019 D2, 4% 7/1/20 | 8,000,000 | 8,123,863 | |
| Series 2019 E, 4% 9/1/20 | 10,000,000 | 10,199,224 | |
| Port Chester-Rye BAN Series 2019, 2.5% 6/12/20 | 10,000,000 | 10,066,587 | |
| Poughkeepsie Gen. Oblig. BAN Series 2019 A, 3% 5/2/20 | 1,417,544 | 1,423,372 | |
| Rockland County Gen. Oblig. TAN Series 2019, 3% 4/2/20 | 5,800,000 | 5,833,767 | |
| Smithtown Central School District TAN Series 2019, 1.75% 6/26/20 | 1,500,000 | 1,505,149 | |
| South Glens Falls Central School District BAN Series 2019 B, 2.5% 7/24/20 | 600,000 | 604,291 | |
| Suffolk County Gen. Oblig. RAN Series 2019, 2% 3/20/20 | 10,000,000 | 10,025,275 | |
| Syosset Central School District TAN Series 2019, 2% 6/25/20 | 9,500,000 | 9,545,227 | |
| Ulster County Indl. Dev. Agcy. I (Selux Corp. Proj.) Series A, 1.48% 12/6/19, LOC Manufacturers & Traders Trust Co., VRDN (a)(b) | 35,000 | 35,000 | |
| Village of Island Park BAN Series 2019 A, 3% 3/5/20 | 2,442,000 | 2,452,121 | |
| TOTAL NEW YORK | 229,406,301 | ||
| Non-State Specific - 0.5% | |||
| BB&T Muni. Trust Series 2016, 2.15% 12/31/19, CP(a)(d) | 32,456 | 32,458 | |
| Fed. Home Ln. Mtg. Corp.: | |||
| Series 2018 M46, 1.31% 12/6/19 (Liquidity Facility Freddie Mac), VRDN (a) | 4,935,000 | 4,935,000 | |
| Series M051, 1.31% 12/6/19 (Liquidity Facility Freddie Mac), VRDN (a) | 9,965,000 | 9,965,000 | |
| Pittsburg WTSW Participating VRDN Series 50 27, 1.4% 12/2/19 (Liquidity Facility JPMorgan Chase Bank) (a)(b)(f)(g) | 3,000,000 | 3,000,000 | |
| TOTAL NON-STATE SPECIFIC | 17,932,458 | ||
| North Carolina - 0.0% | |||
| Alamance County Idnl Facilities Poll Fing. Auth. Series 2001, 1.27% 12/6/19, LOC Wells Fargo Bank NA, VRDN (a)(b) | 300,000 | 300,000 | |
| Hertford County Indl. Facilities Poll. Cont. Fing. Auth. Series 2000 B, 1.25% 12/6/19, VRDN (a)(b) | 500,000 | 500,000 | |
| TOTAL NORTH CAROLINA | 800,000 | ||
| Ohio - 0.8% | |||
| East Clinton Local School District BAN Series 2019: | |||
| 2.8% 12/3/19 | 2,700,000 | 2,700,114 | |
| 3% 12/17/19 | 2,600,000 | 2,601,756 | |
| Englewood BAN Series 2019, 3% 1/22/20 | 3,300,000 | 3,307,111 | |
| Forest Park Gen. Oblig. BAN Series 2019, 2.5% 5/27/20 | 600,000 | 603,069 | |
| Freddie Mac Participating VRDN Series BAML 30 02, 1.18% 12/6/19 (Liquidity Facility Bank of America NA) (a)(f)(g) | 4,000,000 | 4,000,000 | |
| Lorain County Gen. Oblig. BAN Series 2019, 3% 2/7/20 | 2,000,000 | 2,006,627 | |
| Ohio Higher Edl. Facility Commission Rev. Series B5, 1.37% tender 12/11/19, CP mode | 4,000,000 | 4,000,457 | |
| Ohio Indl. Dev. Rev. Series 2000, 1.32% 12/5/19, LOC JPMorgan Chase Bank, VRDN (a)(b) | 900,000 | 900,000 | |
| Tipp City BAN Series 2019, 3% 2/12/20 | 1,000,000 | 1,003,333 | |
| Trumbull County BAN Series 2019 2, 2% 7/23/20 | 2,375,000 | 2,384,966 | |
| Union Township Clermont County Gen. Oblig. BAN Series 2019, 2.25% 9/2/20 | 5,000,000 | 5,039,790 | |
| TOTAL OHIO | 28,547,223 | ||
| Pennsylvania - 0.6% | |||
| Montgomery County Higher Ed. & Health Auth. Rev. Series 2018 D, 1.27% 12/5/22, VRDN (a) | 1,500,000 | 1,500,000 | |
| Pennsylvania Econ. Dev. Participating VRDN Series XM 0048, 1.2% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 3,300,000 | 3,300,000 | |
| Pennsylvania Econ. Dev. Fing. Auth. Indl. Dev. Rev. Series A4, 1.3% 12/6/19, LOC PNC Bank NA, VRDN (a)(b) | 400,000 | 400,000 | |
| Pennsylvania Higher Edl. Facilities Auth. Rev. Series 2015 B, 1.27% 12/5/22, VRDN (a) | 2,635,000 | 2,635,000 | |
| Philadelphia Arpt. Rev. Series B3, 1.5% 12/20/19, LOC Wells Fargo Bank NA, CP (b) | 3,000,000 | 3,000,391 | |
| Philadelphia Auth. For Indl. Series 2017 B, 1.27% 12/5/22, VRDN (a) | 3,300,000 | 3,300,000 | |
| Philadelphia School District TRAN Series 2019 C, 4% 3/31/20 | 5,500,000 | 5,549,270 | |
| TOTAL PENNSYLVANIA | 19,684,661 | ||
| South Carolina - 0.3% | |||
| Berkeley County Indl. Dev. Rev.: | |||
| (Nucor Corp. Proj.) Series 1997, 1.25% 12/6/19, VRDN (a)(b) | 1,100,000 | 1,100,000 | |
| Series A, 1.26% 12/6/19, VRDN (a)(b) | 600,000 | 600,000 | |
| Greenville Hosp. Sys. Facilities Rev. Participating VRDN Series XF 01 45, 1.2% 12/6/19 (a)(f)(g) | 8,020,000 | 8,020,000 | |
| South Carolina Pub. Svc. Auth. Rev. Participating VRDN: | |||
| Series Floaters XG 02 09, 1.5% 12/6/19 (Liquidity Facility Toronto-Dominion Bank) (a)(f)(g) | 1,000,000 | 1,000,000 | |
| Series Floaters XM 02 91, 1.35% 12/6/19 (Liquidity Facility Royal Bank of Canada) (a)(f)(g) | 300,000 | 300,000 | |
| South Carolina St. Pub. Svc. Auth. Rev. Participating VRDN Series XG 0046, 1.5% 12/6/19 (Liquidity Facility Toronto-Dominion Bank) (a)(f)(g) | 80,000 | 80,000 | |
| TOTAL SOUTH CAROLINA | 11,100,000 | ||
| Tennessee - 0.1% | |||
| Tennessee Gen. Oblig. Series 2019, 1.15% 4/8/20 (Liquidity Facility Tennessee Consldatd Retire Sys.), CP | 3,000,000 | 2,999,887 | |
| Texas - 4.1% | |||
| Dallas Fort Worth Int'l. Arpt. Rev. Participating VRDN Series Floaters XF 10 61, 1.3% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(f)(g) | 2,880,000 | 2,880,000 | |
| Deutsche Spears/Lifers Trust Participating VRDN Series Floaters XG 00 58, 1.22% 12/6/19 (Liquidity Facility Deutsche Bank AG) (a)(f)(g) | 1,085,000 | 1,085,000 | |
| Harris County Cultural Ed. Facilities Fin. Corp. Rev. Series 2019, 1.47% tender 12/4/19, CP mode | 4,200,000 | 4,200,197 | |
| Harris County Gen. Oblig.: | |||
| Series 2019, 1.18% 2/7/20 (Liquidity Facility JPMorgan Chase Bank), CP | 2,500,000 | 2,499,948 | |
| Series C, 1.47% 12/5/19 (Liquidity Facility Bank of America NA), CP | 5,000,000 | 5,000,228 | |
| Houston Arpt. Sys. Rev.: | |||
| Series 2019, 1.45% 1/10/20, LOC Sumitomo Mitsui Banking Corp., CP (b) | 7,300,000 | 7,301,906 | |
| Series A, 1.45% 1/9/20, LOC Sumitomo Mitsui Banking Corp., CP (b) | 5,000,000 | 5,001,387 | |
| Houston Gen. Oblig. TRAN Series 2019, 3% 6/26/20 | 5,000,000 | 5,052,926 | |
| North Texas Tollway Auth. Rev. Participating VRDN Series XM0085, 1.25% 12/6/19 (Liquidity Facility Barclays Bank PLC) (a)(f)(g) | 2,100,000 | 2,100,000 | |
| Port Arthur Navigation District Envir. Facilities Rev. (Motiva Enterprises LLC Proj.): | |||
| Series 2004, 1.34% 12/6/19, VRDN (a)(b) | 28,715,000 | 28,715,000 | |
| Series 2010 C, 1.27% 12/2/19, VRDN (a) | 6,170,000 | 6,170,000 | |
| Series 2010 D, 1.27% 12/6/19, VRDN (a) | 4,300,000 | 4,300,000 | |
| San Antonio Elec. & Gas Sys. Rev. Series 2019, 1.3% 1/29/20 (Liquidity Facility JPMorgan Chase Bank), CP | 3,000,000 | 3,000,792 | |
| Texas A&M Univ. Rev. Series 2019, 1.28% 12/4/19, CP | 1,550,000 | 1,550,042 | |
| Texas Gen. Oblig.: | |||
| Series 2004 B, 1.26% 12/6/19 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (a)(b) | 6,865,000 | 6,865,000 | |
| TRAN Series 2019, 4% 8/27/20 | 43,000,000 | 43,895,122 | |
| Texas Private Activity Bond Surface Trans. Corp. Participating VRDN Series XM 07 56, 1.35% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(b)(f)(g) | 2,100,000 | 2,100,000 | |
| Texas Trans. Commission Participating VRDN Series XM 07 53, 1.35% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 1,700,000 | 1,700,000 | |
| Univ. of Texas Board of Regents Sys. Rev.: | |||
| Series 2019, 1.18% 1/23/20 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP | 5,000,000 | 4,999,919 | |
| Series A, 0% 12/3/19 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP | 2,000,000 | 1,999,720 | |
| TOTAL TEXAS | 140,417,187 | ||
| Utah - 0.2% | |||
| Salt Lake City Arpt. Rev. Participating VRDN Series Floaters XM 06 99, 1.4% 12/6/19 (Liquidity Facility Cr. Suisse AG) (a)(b)(f)(g) | 6,600,000 | 6,600,000 | |
| Virginia - 0.6% | |||
| Longwood Hsg. Foundation LLC Participating VRDN Series DBE 80 39, 1.45% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 4,000,000 | 4,000,000 | |
| Norfolk Wtr. Rev. Participating VRDN Series Floaters XS 00 03, 1.44% 2/3/20 (a)(f)(g) | 11,985,000 | 11,985,000 | |
| Suffolk Hsg. Auth. Mfam Apts Participating VRDN Series XF 10 86, 1.45% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 5,625,000 | 5,625,000 | |
| TOTAL VIRGINIA | 21,610,000 | ||
| Washington - 0.2% | |||
| Kitsap County Indl. Dev. Corpre (Cara Land Co., L.L.C. Proj.) Series 2006, 1.32% 12/6/19, LOC Wells Fargo Bank NA, VRDN (a)(b) | 625,000 | 625,000 | |
| Port Chehalis Indl. Dev. Rev. (JLT Holding, LLC Proj.) Series 2003, 1.27% 12/6/19, LOC Wells Fargo Bank NA, VRDN (a)(b) | 955,000 | 955,000 | |
| Washington Econ. Dev. Fin. Auth. Rev. Participating VRDN Series Floaters 005, 1.45% 1/10/20 (Liquidity Facility Barclays Bank PLC) (a)(b)(f)(g)(h) | 5,200,000 | 5,200,000 | |
| Washington Health Care Facilities Auth. Rev. Participating VRDN Series Floaters XG 00 51, 1.25% 12/6/19 (Liquidity Facility Deutsche Bank AG New York Branch) (a)(f)(g) | 800,000 | 800,000 | |
| TOTAL WASHINGTON | 7,580,000 | ||
| Wisconsin - 0.4% | |||
| Brodhead Indl. Dev. Series 2000, 1.2% 12/5/19, LOC JPMorgan Chase Bank, VRDN (a)(b) | 800,000 | 800,000 | |
| Deutsche Bank Spears/Lifers Trust Participating VRDN Series Floaters XF 10 28, 1.17% 12/6/19 (Liquidity Facility Deutsche Bank AG) (a)(f)(g) | 2,370,000 | 2,370,000 | |
| JPMorgan Chase Participating VRDN Series Floaters XF 01 27, 1.28% 12/6/19 (a)(f)(g) | 1,060,000 | 1,060,000 | |
| Milwaukee Gen. Oblig. RAN Series 2019 R2: | |||
| 3% 5/7/20 | 5,000,000 | 5,038,930 | |
| 4% 5/7/20 | 5,000,000 | 5,060,332 | |
| TOTAL WISCONSIN | 14,329,262 | ||
| TOTAL MUNICIPAL NOTES | |||
| (Cost $955,618,711) | 956,019,453 | ||
| Shares | |||
| Short-Term Funds - 2.9% | |||
| JPMorgan Ultra-Short Municipal Fund Class I | |||
| (Cost $100,180,598) | 9,955,356 | 100,051,329 | |
| Municipal Bond Funds - 0.3% | |||
| Nuveen AMT-Free Quality Municipal Income Fund Preferred Shares 1.42%(a)(i) | 5,000,000 | 5,000,000 | |
| Nuveen NY AMT-Free Quality Municipal Income Fund Preferred Shares 1.37%(a)(d)(i) | 6,800,000 | 6,800,000 | |
| TOTAL MUNICIPAL BOND FUNDS | |||
| (Cost $11,800,000) | 11,800,000 | ||
| Shares | Value | ||
| Money Market Funds - 13.2% | |||
| Fidelity Investments Money Market Government Portfolio Institutional Class 1.57% (j)(k) | 233,469,905 | 233,469,905 | |
| Fidelity Municipal Cash Central Fund 1.20% (l)(m) | 12,952,705 | 12,954,000 | |
| Fidelity SAI Municipal Money Market Fund 1.19% (j)(k) | 199,161,231 | 199,161,173 | |
| State Street Institutional U.S. Government Money Market Fund Premier Class 1.59% (j) | 6,030,517 | 6,030,517 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $451,606,776) | 451,615,595 | ||
| TOTAL INVESTMENT IN SECURITIES - 100.3% | |||
| (Cost $3,426,270,937) | 3,436,994,594 | ||
| NET OTHER ASSETS (LIABILITIES) - (0.3)% | (10,612,026) | ||
| NET ASSETS - 100% | $3,426,382,568 |
Security Type Abbreviations
VRDN – VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)
CP – COMMERCIAL PAPER
BAN – BOND ANTICIPATION NOTE
RAN – REVENUE ANTICIPATION NOTE
TAN – TAX ANTICIPATION NOTE
TRAN – TAX AND REVENUE ANTICIPATION NOTE
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.
(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 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 $31,220,543 or 0.9% 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 - 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 $17,130,000 or 0.5% 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) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Municipal Cash Central Fund.
(m) 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 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, 1.3%, tender 7/1/20 (Liquidity Facility Royal Bank of Canada) | 7/1/19 | $4,500,000 |
| California Health Facilities Fing. Auth. Rev. Participating VRDN Series Floaters 013, 1.22% 1/10/20 (Liquidity Facility Barclays Bank PLC) | 2/2/18 - 2/9/18 | $2,430,000 |
| Shakopee Minn Sr Hsg. Rev. Participating VRDN Series Floaters 001, 1.4% 1/10/20 (Liquidity Facility Barclays Bank PLC) | 1/10/19 | $5,000,000 |
| Washington Econ. Dev. Fin. Auth. Rev. Participating VRDN Series Floaters 005, 1.45% 1/10/20 (Liquidity Facility Barclays Bank PLC) | 3/1/18 - 1/18/19 | $5,200,000 |
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 Municipal Cash Central Fund | $184,963 |
| Total | $184,963 |
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 1.57% | $200,078,086 | $77,832,092 | $44,440,273 | $2,301,460 | $-- | $-- | $233,469,905 |
| Fidelity SAI Municipal Money Market Fund 1.19% | 281,762,299 | 10,999,434 | 93,577,193 | 1,533,306 | 4,833 | (28,200) | 199,161,173 |
| Total | $481,840,385 | $88,831,526 | $138,017,466 | $3,834,766 | $4,833 | $(28,200) | $432,631,078 |
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 November 30, 2019, 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 | $2,873,527,670 | $-- | $2,873,527,670 | $-- |
| Money Market Funds | 451,615,595 | 451,615,595 | -- | -- |
| Investment Companies | 11,800,000 | -- | 11,800,000 | -- |
| Short-Term Funds | 100,051,329 | 100,051,329 | -- | -- |
| Total Investments in Securities: | $3,436,994,594 | $551,666,924 | $2,885,327,670 | $-- |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| November 30, 2019 (Unaudited) | ||
| Assets | ||
| Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $2,980,694,633) | $2,991,409,516 | |
| Fidelity Central Funds (cost $12,954,000) | 12,954,000 | |
| Other affiliated issuers (cost $432,622,304) | 432,631,078 | |
| Total Investment in Securities (cost $3,426,270,937) | $3,436,994,594 | |
| Cash | 465,767 | |
| Receivable for investments sold | 4,306,992 | |
| Receivable for fund shares sold | 714,486 | |
| Interest receivable | 22,627,088 | |
| Distributions receivable from Fidelity Central Funds | 11,898 | |
| Prepaid expenses | 3,969 | |
| Other receivables | 4,074 | |
| Total assets | 3,465,128,868 | |
| Liabilities | ||
| Payable for investments purchased | ||
| Regular delivery | $855,324 | |
| Delayed delivery | 32,745,074 | |
| Payable for fund shares redeemed | 833,000 | |
| Distributions payable | 4,004,958 | |
| Accrued management fee | 241,997 | |
| Other payables and accrued expenses | 65,947 | |
| Total liabilities | 38,746,300 | |
| Net Assets | $3,426,382,568 | |
| Net Assets consist of: | ||
| Paid in capital | $3,414,353,013 | |
| Total accumulated earnings (loss) | 12,029,555 | |
| Net Assets | $3,426,382,568 | |
| Net Asset Value, offering price and redemption price per share ($3,426,382,568 ÷ 341,419,066 shares) | $10.04 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Six months ended November 30, 2019 (Unaudited) | ||
| Investment Income | ||
| Dividends: | ||
| Unaffiliated issuers | $533,814 | |
| Affiliated issuers | 3,834,766 | |
| Interest | 26,190,367 | |
| Income from Fidelity Central Funds | 184,813 | |
| Total income | 30,743,760 | |
| Expenses | ||
| Management fee | $5,735,825 | |
| Accounting fees and expenses | 48,722 | |
| Custodian fees and expenses | 14,328 | |
| Independent trustees' fees and expenses | 19,321 | |
| Registration fees | 42,049 | |
| Audit | 34,129 | |
| Legal | 5,570 | |
| Miscellaneous | 12,622 | |
| Total expenses before reductions | 5,912,566 | |
| Expense reductions | (4,305,078) | |
| Total expenses after reductions | 1,607,488 | |
| Net investment income (loss) | 29,136,272 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 1,207,716 | |
| Affiliated issuers | 4,833 | |
| Capital gain distributions from Fidelity Central Funds | 150 | |
| Total net realized gain (loss) | 1,212,699 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 1,795,885 | |
| Affiliated issuers | (28,200) | |
| Total change in net unrealized appreciation (depreciation) | 1,767,685 | |
| Net gain (loss) | 2,980,234 | |
| Net increase (decrease) in net assets resulting from operations | $32,116,656 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Six months ended November 30, 2019 (Unaudited) | Year ended May 31, 2019 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $29,136,272 | $58,228,306 |
| Net realized gain (loss) | 1,212,699 | 270,192 |
| Change in net unrealized appreciation (depreciation) | 1,767,685 | 11,365,239 |
| Net increase (decrease) in net assets resulting from operations | 32,116,656 | 69,863,737 |
| Distributions to shareholders | (29,089,919) | (58,929,136) |
| Share transactions | ||
| Proceeds from sales of shares | 346,448,258 | 1,046,812,103 |
| Reinvestment of distributions | 1,997,189 | 3,887,466 |
| Cost of shares redeemed | (340,966,246) | (864,875,731) |
| Net increase (decrease) in net assets resulting from share transactions | 7,479,201 | 185,823,838 |
| Total increase (decrease) in net assets | 10,505,938 | 196,758,439 |
| Net Assets | ||
| Beginning of period | 3,415,876,630 | 3,219,118,191 |
| End of period | $3,426,382,568 | $3,415,876,630 |
| Other Information | ||
| Shares | ||
| Sold | 34,521,028 | 104,689,689 |
| Issued in reinvestment of distributions | 198,988 | 388,671 |
| Redeemed | (33,970,711) | (86,524,339) |
| Net increase (decrease) | 749,305 | 18,554,021 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Tax-Sensitive Short Duration Fund
| Six months ended (Unaudited) November 30, | Years endedMay 31, | ||
| 2019 | 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 | .085 | .174 | .053 |
| Net realized and unrealized gain (loss) | .010 | .042 | (.014) |
| Total from investment operations | .095 | .216 | .039 |
| Distributions from net investment income | (.085) | (.173) | (.049) |
| Distributions from net realized gain | – | (.003) | – |
| Total distributions | (.085) | (.176) | (.049) |
| Net asset value, end of period | $10.04 | $10.03 | $9.99 |
| Total ReturnC,D | .95% | 2.19% | .39% |
| Ratios to Average Net AssetsE,F,G | |||
| Expenses before reductions | .35%H | .37% | .52%H |
| Expenses net of fee waivers, if any | .10%H | .12% | .26%H,I |
| Expenses net of all reductions | .09%H | .12% | .26%H,I |
| Net investment income (loss) | 1.70%H | 1.74% | 1.28%H |
| Supplemental Data | |||
| Net assets, end of period (000 omitted) | $3,426,383 | $3,415,877 | $3,219,118 |
| Portfolio turnover rateG | 77%H | 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 (Unaudited)
For the period ended November 30, 2019
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 (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 November 30, 2019 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 $4,071 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. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to market discount, 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 | $11,389,532 |
| Gross unrealized depreciation | (598,154) |
| Net unrealized appreciation (depreciation) | $10,791,378 |
| Tax cost | $3,426,203,216 |
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. 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 (including the Underlying Fund shares), other than short-term securities, aggregated $1,092,980,893 and $1,007,944,179, respectively.
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 annualized management fee rate was .33% 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 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 an annualized rate of less than .005%.
Interfund Trades. The Fund 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 Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. 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 are available on the SEC website or upon request.
6. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $4,173 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow 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 $4,282,395.
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 $22,683.
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.
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 (June 1, 2019 to November 30, 2019).
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 June 1, 2019 | Ending Account Value November 30, 2019 | Expenses Paid During Period-B June 1, 2019 to November 30, 2019 |
|
| Actual | .10% | $1,000.00 | $1,009.50 | $.50 |
| Hypothetical-C | $1,000.00 | $1,024.50 | $.51 |
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
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Tax-Sensitive 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, T. Rowe Price Associates, Inc., and Wells Capital Management, Inc. (Wells Cap) (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, 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 addition, the Board approved amendments to the fund's sub-advisory agreement with Wells Cap to: (i) expand the scope of, and add certain exceptions to, the most favored nation provision in the sub-advisory agreement; (ii) implement a new temporary fee schedule, effective August 1, 2019, to maintain the effective sub-advisory fee rates paid by the fund at lower asset levels, (iii) make other non-material amendments to the agreement. At its September 2019 meeting, the Board also discussed with representatives of Wells Cap an injunction against an affiliate of Wells Cap that required Wells Cap to obtain exemptive relief from the U.S. Securities and Exchange Commission to continue to serve as Sub-Adviser to the fund. The Board noted that Strategic Advisers is closely monitoring Wells Cap following these events and will report to the Board regarding its ongoing observations of Wells Cap. The Board also noted that the amended sub-advisory agreement would not result in changes to the nature, extent, and quality of the services that Wells Cap provides to the fund.In reaching its determination to renew the fund's Advisory Contracts and approve the amendments to the sub-advisory agreements described above (Amendments), 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 and approve the Amendments, 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 and the approval of the Amendments 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 and the approval of the Amendments do 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 and approve the Amendments 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 itsaffiliates 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-year period 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 Tax-Sensitive Short Duration Fund
Strategic Advisers Tax-Sensitive Short Duration Fund
TSS-SANN-0120
1.9885905.101
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
Semi-Annual Report
November 30, 2019
See the inside front cover for important information about access to your fund’s shareholder reports.
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
|
Board Approval of Investment Advisory Contracts and Management Fees |
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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2019
| (excluding cash equivalents) | % of fund's net assets |
| Fidelity SAI U.S. Quality Index Fund | 11.3 |
| Fidelity Growth Company Fund | 8.6 |
| Fidelity SAI U.S. Large Cap Index Fund | 8.4 |
| Fidelity Contrafund | 6.9 |
| Fidelity Large Cap Value Enhanced Index Fund | 6.7 |
| Fidelity SAI U.S. Momentum Index Fund | 5.7 |
| Fidelity SAI U.S. Value Index Fund | 2.9 |
| Fidelity Small Cap Index Fund | 2.5 |
| Fidelity SAI U.S. Low Volatility Index Fund | 2.2 |
| Microsoft Corp. | 1.1 |
| 56.3 |
Asset Allocation (% of fund's net assets)
| As of November 30, 2019 | ||
| Common Stocks | 43.7% | |
| Large Blend Funds | 10.6% | |
| Large Growth Funds | 32.5% | |
| Large Value Funds | 9.6% | |
| Small Blend Funds | 2.5% | |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.1% | |
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 November 30, 2019 (Unaudited)
Showing Percentage of Net Assets
| Common Stocks - 43.7% | |||
| Shares | Value | ||
| COMMUNICATION SERVICES - 3.9% | |||
| Diversified Telecommunication Services - 0.4% | |||
| AT&T, Inc. | 550,501 | $20,577,727 | |
| GCI Liberty, Inc. (a) | 258,800 | 18,372,212 | |
| Verizon Communications, Inc. | 1,366,387 | 82,311,153 | |
| 121,261,092 | |||
| Entertainment - 1.2% | |||
| Activision Blizzard, Inc. | 1,224,300 | 67,128,369 | |
| Cinemark Holdings, Inc. (b) | 408,900 | 13,849,443 | |
| DouYu International Holdings Ltd. ADR (b) | 316,050 | 2,357,733 | |
| Electronic Arts, Inc. (a) | 358,700 | 36,232,287 | |
| Lions Gate Entertainment Corp. Class B | 805,000 | 6,979,350 | |
| Netflix, Inc. (a) | 99,600 | 31,340,136 | |
| Nihon Falcom Corp. | 5,000 | 59,450 | |
| Take-Two Interactive Software, Inc. (a) | 45,198 | 5,484,777 | |
| The Walt Disney Co. | 852,028 | 129,150,404 | |
| Viacom, Inc.: | |||
| Class A (b) | 166,200 | 4,341,144 | |
| Class B (non-vtg.) | 100,000 | 2,407,000 | |
| Vivendi SA | 769,700 | 21,133,542 | |
| World Wrestling Entertainment, Inc. Class A (b) | 403,200 | 25,006,464 | |
| 345,470,099 | |||
| Interactive Media & Services - 1.0% | |||
| Alphabet, Inc.: | |||
| Class A (a) | 101,400 | 132,234,726 | |
| Class C (a) | 45,000 | 58,723,200 | |
| Eventbrite, Inc. (a) | 10,900 | 234,459 | |
| Facebook, Inc. Class A (a) | 461,500 | 93,056,860 | |
| Twitter, Inc. (a) | 146,700 | 4,534,497 | |
| Wise Talent Information Technology Co. Ltd. (a)(b) | 1,390,800 | 3,247,723 | |
| Yahoo! Japan Corp. | 4,350,000 | 14,987,662 | |
| YY, Inc. ADR (a) | 8,900 | 567,731 | |
| 307,586,858 | |||
| Media - 1.2% | |||
| Altice U.S.A., Inc. Class A (a) | 619,460 | 15,845,787 | |
| AMC Networks, Inc. Class A (a) | 9,100 | 349,713 | |
| CBS Corp. Class B | 101,100 | 4,082,418 | |
| Charter Communications, Inc. Class A (a) | 42,200 | 19,834,422 | |
| Comcast Corp. Class A | 5,229,010 | 230,860,792 | |
| Corus Entertainment, Inc. Class B (non-vtg.) | 95,400 | 411,894 | |
| Discovery Communications, Inc.: | |||
| Class A (a)(b) | 550,000 | 18,117,000 | |
| Class C (non-vtg.) (a) | 212,200 | 6,476,344 | |
| F@N Communications, Inc. | 26,900 | 124,396 | |
| Fox Corp. Class A | 336,133 | 12,020,116 | |
| Hyundai HCN | 461,413 | 1,413,963 | |
| Interpublic Group of Companies, Inc. | 1,192,500 | 26,712,000 | |
| Liberty Media Corp. Liberty SiriusXM Series A (a) | 123,000 | 5,990,100 | |
| Nippon Television Network Corp. | 59,800 | 785,893 | |
| WOWOW INC. | 73,700 | 1,813,874 | |
| 344,838,712 | |||
| Wireless Telecommunication Services - 0.1% | |||
| Okinawa Cellular Telephone Co. | 28,300 | 1,004,803 | |
| T-Mobile U.S., Inc. (a) | 300,400 | 23,596,420 | |
| 24,601,223 | |||
| TOTAL COMMUNICATION SERVICES | 1,143,757,984 | ||
| CONSUMER DISCRETIONARY - 3.6% | |||
| Auto Components - 0.3% | |||
| Adient PLC | 100,000 | 2,186,000 | |
| Aptiv PLC | 134,700 | 12,645,636 | |
| BorgWarner, Inc. | 376,400 | 15,827,620 | |
| Cooper Tire & Rubber Co. | 175,000 | 5,043,500 | |
| Cooper-Standard Holding, Inc. (a) | 5,000 | 142,150 | |
| DaikyoNishikawa Corp. | 27,200 | 209,307 | |
| DTR Automotive Corp. | 11,829 | 303,410 | |
| Eagle Industry Co. Ltd. | 67,200 | 657,752 | |
| G-Tekt Corp. | 455,000 | 7,160,574 | |
| Gentex Corp. | 47,200 | 1,340,480 | |
| Hi-Lex Corp. | 85,000 | 1,444,114 | |
| Hyundai Mobis | 86,687 | 17,978,765 | |
| IJT Technology Holdings Co. Ltd. | 276,000 | 1,652,166 | |
| Lear Corp. | 122,500 | 14,737,975 | |
| Linamar Corp. | 10,000 | 334,714 | |
| Strattec Security Corp. | 11,700 | 273,546 | |
| TPR Co. Ltd. | 173,000 | 3,287,032 | |
| 85,224,741 | |||
| Automobiles - 0.0% | |||
| Audi AG | 4,727 | 4,197,816 | |
| Fiat Chrysler Automobiles NV | 50,100 | 738,975 | |
| Fiat Chrysler Automobiles NV (Italy) | 101,500 | 1,500,795 | |
| General Motors Co. | 88,100 | 3,171,600 | |
| Renault SA | 28,800 | 1,378,907 | |
| 10,988,093 | |||
| Distributors - 0.0% | |||
| Arata Corp. | 5,000 | 196,948 | |
| Harima-Kyowa Co. Ltd. (b) | 24,100 | 365,619 | |
| Yagi & Co. Ltd. | 50,800 | 737,719 | |
| 1,300,286 | |||
| Diversified Consumer Services - 0.1% | |||
| Afya Ltd. (b) | 55,669 | 1,533,124 | |
| Heian Ceremony Service Co. Ltd. | 128,400 | 1,031,471 | |
| MegaStudy Co. Ltd. | 79,794 | 807,194 | |
| Multicampus Co. Ltd. | 28,028 | 819,747 | |
| Service Corp. International | 617,142 | 27,166,591 | |
| 31,358,127 | |||
| Hotels, Restaurants & Leisure - 0.5% | |||
| Domino's Pizza, Inc. | 124,800 | 36,728,640 | |
| Eldorado Resorts, Inc. (a)(b) | 185,561 | 9,929,369 | |
| McDonald's Corp. | 280,900 | 54,629,432 | |
| Royal Caribbean Cruises Ltd. | 149,900 | 17,990,998 | |
| The Restaurant Group PLC | 1,119,700 | 2,143,200 | |
| Wendy's Co. | 725,750 | 15,560,080 | |
| 136,981,719 | |||
| Household Durables - 0.2% | |||
| Cuckoo Holdings Co. Ltd. | 19,647 | 1,787,905 | |
| FJ Next Co. Ltd. | 309,600 | 3,050,163 | |
| Gree Electric Appliances, Inc. of Zhuhai (A Shares) | 398,613 | 3,271,116 | |
| Hamilton Beach Brands Holding Co. Class A | 15,700 | 308,662 | |
| Iida Group Holdings Co. Ltd. | 58,300 | 1,036,314 | |
| Lennar Corp. Class A | 311,300 | 18,569,045 | |
| Mohawk Industries, Inc. (a) | 54,600 | 7,609,602 | |
| Toll Brothers, Inc. | 463,885 | 18,634,260 | |
| Whirlpool Corp. | 18,100 | 2,590,110 | |
| 56,857,177 | |||
| Internet & Direct Marketing Retail - 0.8% | |||
| Amazon.com, Inc. (a) | 68,600 | 123,534,880 | |
| eBay, Inc. | 429,500 | 15,255,840 | |
| Etsy, Inc. (a) | 323,700 | 14,045,343 | |
| Expedia, Inc. | 129,600 | 13,175,136 | |
| Hyundai Home Shopping Network Corp. | 4,861 | 349,771 | |
| Mercari, Inc. (a)(b) | 10,000 | 220,618 | |
| NS Shopping Co. Ltd. | 21,105 | 175,979 | |
| Pinduoduo, Inc. ADR (a) | 142,900 | 5,137,255 | |
| The Booking Holdings, Inc. (a) | 35,770 | 68,107,153 | |
| 240,001,975 | |||
| Leisure Products - 0.2% | |||
| Brunswick Corp. | 595,292 | 34,985,311 | |
| Hasbro, Inc. | 172,700 | 17,563,590 | |
| 52,548,901 | |||
| Multiline Retail - 0.2% | |||
| Big Lots, Inc. | 1,000 | 20,900 | |
| Dollar General Corp. | 235,800 | 37,105,488 | |
| Dollar Tree, Inc. (a) | 231,600 | 21,182,136 | |
| Lifestyle International Holdings Ltd. | 759,000 | 821,227 | |
| Macy's, Inc. (b) | 40,000 | 612,800 | |
| Ryohin Keikaku Co. Ltd. | 1,000 | 22,784 | |
| 59,765,335 | |||
| Specialty Retail - 0.9% | |||
| Arc Land Sakamoto Co. Ltd. | 30,000 | 348,200 | |
| AT-Group Co. Ltd. | 128,800 | 2,114,100 | |
| AutoNation, Inc. (a) | 100,000 | 5,109,000 | |
| Bed Bath & Beyond, Inc. (b) | 306,300 | 4,465,854 | |
| Best Buy Co., Inc. | 37,700 | 3,040,128 | |
| Burlington Stores, Inc. (a) | 197,545 | 44,447,625 | |
| Dunelm Group PLC | 231,500 | 2,552,376 | |
| Foot Locker, Inc. | 10,000 | 400,500 | |
| GameStop Corp. Class A (b) | 164,300 | 1,041,662 | |
| Gap, Inc. | 5,000 | 83,050 | |
| GNC Holdings, Inc. Class A (a)(b) | 680,400 | 2,000,376 | |
| Hibbett Sports, Inc. (a)(b) | 70,200 | 1,991,574 | |
| Hour Glass Ltd. | 1,000,000 | 595,934 | |
| JB Hi-Fi Ltd. (b) | 63,375 | 1,603,649 | |
| John David Group PLC | 877,200 | 8,628,876 | |
| Ku Holdings Co. Ltd. | 47,500 | 401,983 | |
| Lookers PLC | 828,728 | 576,625 | |
| Lowe's Companies, Inc. | 297,680 | 34,920,841 | |
| Mandarake, Inc. (b) | 15,700 | 86,521 | |
| Sally Beauty Holdings, Inc. (a) | 675,000 | 12,440,250 | |
| Samse SA | 2,200 | 399,953 | |
| The Home Depot, Inc. | 252,200 | 55,612,622 | |
| Tiffany & Co., Inc. | 118,200 | 15,815,160 | |
| TJX Companies, Inc. | 615,282 | 37,612,189 | |
| Tokatsu Holdings Co. Ltd. | 18,700 | 75,880 | |
| Ulta Beauty, Inc. (a) | 70,100 | 16,393,586 | |
| Urban Outfitters, Inc. (a) | 100,000 | 2,566,000 | |
| Vitamin Shoppe, Inc. (a)(b) | 211,900 | 1,373,112 | |
| Williams-Sonoma, Inc. | 130,000 | 9,022,000 | |
| 265,719,626 | |||
| Textiles, Apparel & Luxury Goods - 0.4% | |||
| Capri Holdings Ltd. (a) | 59,500 | 2,209,830 | |
| Carter's, Inc. | 82,360 | 8,508,612 | |
| Columbia Sportswear Co. | 195,000 | 18,037,500 | |
| Embry Holdings Ltd. | 280,000 | 51,148 | |
| Ff Group (a)(c) | 2,700 | 3,570 | |
| Fossil Group, Inc. (a) | 20,800 | 155,792 | |
| G-III Apparel Group Ltd. (a) | 5,000 | 148,000 | |
| Levi Strauss & Co. Class A (b) | 1,023,100 | 17,167,618 | |
| NIKE, Inc. Class B | 321,900 | 30,094,431 | |
| PVH Corp. | 243,300 | 23,590,368 | |
| Sitoy Group Holdings Ltd. | 2,613,000 | 390,538 | |
| Tapestry, Inc. | 565,700 | 15,211,673 | |
| Ted Baker PLC | 59,126 | 304,035 | |
| Wolverine World Wide, Inc. | 1,000 | 32,100 | |
| Yue Yuen Industrial (Holdings) Ltd. | 420,000 | 1,242,048 | |
| 117,147,263 | |||
| TOTAL CONSUMER DISCRETIONARY | 1,057,893,243 | ||
| CONSUMER STAPLES - 3.1% | |||
| Beverages - 0.4% | |||
| Britvic PLC | 499,246 | 6,256,589 | |
| C&C Group PLC (United Kingdom) | 3,643,100 | 18,375,323 | |
| Constellation Brands, Inc. Class A (sub. vtg.) | 143,500 | 26,699,610 | |
| PepsiCo, Inc. | 187,100 | 25,413,793 | |
| The Coca-Cola Co. | 561,660 | 29,992,644 | |
| Yantai Changyu Pioneer Wine Co. Ltd. (B Shares) | 690,621 | 1,330,391 | |
| 108,068,350 | |||
| Food & Staples Retailing - 0.8% | |||
| Amsterdam Commodities NV | 34,400 | 776,989 | |
| Halows Co. Ltd. | 21,800 | 506,847 | |
| Kroger Co. | 150,000 | 4,101,000 | |
| Nihon Chouzai Co. Ltd. | 6,700 | 231,457 | |
| OM2 Network Co. Ltd. | 60,000 | 662,402 | |
| Qol Holdings Co. Ltd. | 50,800 | 738,183 | |
| Retail Partners Co. Ltd. | 130,700 | 1,110,866 | |
| Sapporo Clinical Laboratory | 8,200 | 136,542 | |
| Satoh & Co. Ltd. (b) | 12,300 | 175,024 | |
| Sysco Corp. | 724,200 | 58,334,310 | |
| U.S. Foods Holding Corp. (a) | 783,900 | 31,175,703 | |
| United Natural Foods, Inc. (a) | 30,500 | 278,160 | |
| Walgreens Boots Alliance, Inc. | 433,800 | 25,854,480 | |
| Walmart, Inc. | 1,081,300 | 128,772,017 | |
| 252,853,980 | |||
| Food Products - 0.7% | |||
| Axyz Co. Ltd. | 10,000 | 218,881 | |
| Changshouhua Food Co. Ltd. | 2,144,000 | 922,981 | |
| Conagra Brands, Inc. | 703,100 | 20,298,497 | |
| Danone SA | 293,200 | 24,125,178 | |
| Ingredion, Inc. | 25,000 | 2,079,250 | |
| JC Comsa Corp. | 26,800 | 104,339 | |
| Kaneko Seeds Co. Ltd. | 75,300 | 1,052,906 | |
| Lotte Samkang Co. Ltd. | 1,057 | 385,649 | |
| Mondelez International, Inc. | 660,800 | 34,718,432 | |
| Nestle SA sponsored ADR | 257,000 | 26,712,580 | |
| Pickles Corp. | 27,500 | 695,668 | |
| Post Holdings, Inc. (a) | 342,477 | 36,165,571 | |
| Prima Meat Packers Ltd. | 14,600 | 338,514 | |
| S Foods, Inc. | 26,000 | 719,978 | |
| Seaboard Corp. | 2,219 | 9,123,574 | |
| The J.M. Smucker Co. | 100,400 | 10,551,036 | |
| Toyo Sugar Refining Co. Ltd. | 39,400 | 407,251 | |
| TreeHouse Foods, Inc. (a) | 284,600 | 13,914,094 | |
| Tyson Foods, Inc. Class A | 142,600 | 12,818,314 | |
| 195,352,693 | |||
| Household Products - 0.3% | |||
| Colgate-Palmolive Co. | 16,800 | 1,139,376 | |
| Procter & Gamble Co. (d) | 771,898 | 94,217,870 | |
| 95,357,246 | |||
| Personal Products - 0.1% | |||
| Hengan International Group Co. Ltd. | 202,500 | 1,337,376 | |
| Herbalife Nutrition Ltd. (a) | 685,082 | 31,246,590 | |
| Unilever NV (NY Reg.) | 268,700 | 16,001,085 | |
| 48,585,051 | |||
| Tobacco - 0.8% | |||
| Altria Group, Inc. | 3,098,240 | 153,982,528 | |
| British American Tobacco PLC sponsored ADR | 400,714 | 15,872,282 | |
| KT&G Corp. | 20,099 | 1,663,999 | |
| Philip Morris International, Inc. | 645,700 | 53,547,901 | |
| Scandinavian Tobacco Group A/S (e) | 32,565 | 376,482 | |
| 225,443,192 | |||
| TOTAL CONSUMER STAPLES | 925,660,512 | ||
| ENERGY - 2.5% | |||
| Energy Equipment & Services - 0.1% | |||
| AKITA Drilling Ltd. Class A (non-vtg.) | 25,313 | 17,151 | |
| Baker Hughes, A GE Co. Class A | 458,223 | 10,273,360 | |
| Carbo Ceramics, Inc. (a)(b) | 159,200 | 65,288 | |
| Diamond Offshore Drilling, Inc. (a)(b) | 393,700 | 2,224,405 | |
| DMC Global, Inc. (b) | 7,100 | 327,239 | |
| Forum Energy Technologies, Inc. (a) | 120,600 | 157,986 | |
| Geospace Technologies Corp. (a) | 39,300 | 566,706 | |
| Halliburton Co. | 23,600 | 495,364 | |
| High Arctic Energy Services, Inc. | 362,600 | 526,852 | |
| Liberty Oilfield Services, Inc. Class A | 124,500 | 1,100,580 | |
| National Oilwell Varco, Inc. | 66,500 | 1,499,575 | |
| Odfjell Drilling Ltd. (a) | 97,600 | 269,276 | |
| Patterson-UTI Energy, Inc. | 35,900 | 320,946 | |
| Raiznext Corp. | 381,700 | 4,304,677 | |
| RigNet, Inc. (a) | 81,000 | 421,200 | |
| Schlumberger Ltd. | 106,800 | 3,866,160 | |
| Shelf Drilling Ltd. (a)(b)(e) | 246,799 | 504,529 | |
| Solaris Oilfield Infrastructure, Inc. Class A | 110,800 | 1,188,884 | |
| Tecnicas Reunidas SA (a) | 37,400 | 911,506 | |
| Tenaris SA sponsored ADR | 23,900 | 508,831 | |
| Transocean Ltd. (United States) (a) | 466,500 | 2,323,170 | |
| Valaris PLC Class A (b) | 319,125 | 1,359,473 | |
| 33,233,158 | |||
| Oil, Gas & Consumable Fuels - 2.4% | |||
| Arch Coal, Inc. (b) | 3,100 | 229,741 | |
| Baytex Energy Corp. (a) | 1,949,600 | 2,113,547 | |
| Black Stone Minerals LP | 17,700 | 210,099 | |
| Bonavista Energy Corp. (b) | 877,200 | 316,989 | |
| Bonterra Energy Corp. (b) | 218,300 | 519,331 | |
| Brigham Minerals, Inc. Class A | 81,800 | 1,583,648 | |
| Cabot Oil & Gas Corp. | 142,500 | 2,271,450 | |
| Canadian Natural Resources Ltd. | 82,400 | 2,305,190 | |
| Canadian Natural Resources Ltd. | 6,000 | 167,820 | |
| Cenovus Energy, Inc. (Canada) | 2,437,086 | 21,704,982 | |
| Cheniere Energy, Inc. (a) | 100,200 | 6,066,108 | |
| Chevron Corp. | 903,500 | 105,826,955 | |
| China Petroleum & Chemical Corp.: | |||
| (H Shares) | 23,000,000 | 12,898,504 | |
| sponsored ADR (H Shares) | 9,000 | 502,650 | |
| Cimarex Energy Co. | 51,300 | 2,358,261 | |
| CNOOC Ltd. sponsored ADR | 16,400 | 2,381,608 | |
| CNX Resources Corp. (a) | 124,400 | 859,604 | |
| ConocoPhillips Co. | 256,700 | 15,386,598 | |
| Contango Oil & Gas Co. (a)(b) | 223,300 | 736,890 | |
| Delek Logistics Partners LP | 6,300 | 202,356 | |
| Delek U.S. Holdings, Inc. | 300,828 | 10,321,409 | |
| Devon Energy Corp. | 109,900 | 2,405,711 | |
| Diamondback Energy, Inc. | 234,472 | 18,134,064 | |
| Encana Corp. (Toronto) | 260,524 | 1,029,700 | |
| Eni SpA | 12,600 | 189,854 | |
| Enterprise Products Partners LP | 170,800 | 4,495,456 | |
| EOG Resources, Inc. | 165,100 | 11,705,590 | |
| Equinor ASA sponsored ADR | 1,378,491 | 25,543,438 | |
| Exxon Mobil Corp. | 3,060,145 | 208,487,679 | |
| GasLog Partners LP (b) | 797,621 | 11,605,386 | |
| Golar LNG Partners LP | 775,166 | 7,371,829 | |
| Hess Corp. | 509,800 | 31,653,482 | |
| Hoegh LNG Partners LP | 241,000 | 3,725,860 | |
| HollyFrontier Corp. | 3,500 | 180,425 | |
| Husky Energy, Inc. (b) | 990,500 | 7,277,934 | |
| Imperial Oil Ltd. | 118,600 | 2,979,509 | |
| Kosmos Energy Ltd. | 186,800 | 1,115,196 | |
| Lundin Petroleum AB | 52,000 | 1,602,949 | |
| Magnolia Oil & Gas Corp. Class A (a)(b) | 1,742,100 | 18,919,206 | |
| Marathon Oil Corp. | 103,400 | 1,204,610 | |
| Marathon Petroleum Corp. | 149,742 | 9,080,355 | |
| Motor Oil (HELLAS) Corinth Refineries SA | 99,400 | 2,326,182 | |
| Murphy Oil Corp. | 216,000 | 4,970,160 | |
| National Energy Services Reunited Corp. (a) | 2,000 | 18,300 | |
| Noble Energy, Inc. | 289,300 | 6,005,868 | |
| Northern Oil & Gas, Inc. (a) | 664,300 | 1,182,454 | |
| NuVista Energy Ltd. (a) | 5,000 | 9,222 | |
| Occidental Petroleum Corp. | 115,600 | 4,458,692 | |
| Oil & Natural Gas Corp. Ltd. | 1,000,000 | 1,836,263 | |
| Par Pacific Holdings, Inc. (a) | 82,300 | 2,048,447 | |
| Parex Resources, Inc. (a) | 174,000 | 2,570,112 | |
| Parsley Energy, Inc. Class A | 985,780 | 14,766,984 | |
| PDC Energy, Inc. (a) | 88,700 | 2,016,151 | |
| Peabody Energy Corp. | 16,000 | 154,880 | |
| Phillips 66 Co. | 87,700 | 10,060,944 | |
| Pioneer Natural Resources Co. | 85,900 | 10,981,456 | |
| QEP Resources, Inc. | 35,700 | 116,739 | |
| Scorpio Tankers, Inc. | 14,600 | 502,094 | |
| Seven Generations Energy Ltd. (a) | 5,000 | 27,253 | |
| Sinopec Kantons Holdings Ltd. | 4,288,000 | 1,687,111 | |
| Southwestern Energy Co. (a)(b) | 3,019,684 | 5,495,825 | |
| Star Petroleum Refining PCL | 2,244,600 | 739,039 | |
| Suncor Energy, Inc. | 63,900 | 2,006,045 | |
| Teekay LNG Partners LP | 779,200 | 11,882,800 | |
| Teekay Offshore Partners LP | 1,960,207 | 3,038,321 | |
| Texas Pacific Land Trust (b) | 200 | 134,996 | |
| Thai Oil PCL (For. Reg.) | 396,400 | 905,083 | |
| Total SA sponsored ADR | 429,200 | 22,550,168 | |
| Valero Energy Corp. | 161,600 | 15,431,184 | |
| Viper Energy Partners LP | 119,400 | 2,832,168 | |
| Whiting Petroleum Corp. (a)(b) | 23,300 | 106,714 | |
| World Fuel Services Corp. | 47,900 | 2,030,960 | |
| 690,564,588 | |||
| TOTAL ENERGY | 723,797,746 | ||
| FINANCIALS - 8.0% | |||
| Banks - 3.7% | |||
| Bank of America Corp. (d) | 4,835,209 | 161,109,164 | |
| BankUnited, Inc. | 581,381 | 20,383,218 | |
| Boston Private Financial Holdings, Inc. | 983,419 | 11,545,339 | |
| Citigroup, Inc. (d) | 938,670 | 70,512,890 | |
| Credit Agricole Atlantique Vendee | 6,600 | 1,138,049 | |
| East West Bancorp, Inc. | 5,000 | 229,100 | |
| EFG Eurobank Ergasias SA (a) | 2,478,700 | 2,610,866 | |
| First Citizens Bancshares, Inc. | 15,893 | 8,261,181 | |
| First Foundation, Inc. | 650,873 | 10,667,808 | |
| First Horizon National Corp. | 970,970 | 15,613,198 | |
| FNB Corp., Pennsylvania | 2,134,655 | 26,512,415 | |
| Gunma Bank Ltd. | 396,600 | 1,406,332 | |
| Hiroshima Bank Ltd. | 65,700 | 324,237 | |
| Huntington Bancshares, Inc. | 2,415,500 | 35,966,795 | |
| IBERIABANK Corp. | 197,700 | 14,430,123 | |
| JPMorgan Chase & Co. (d) | 618,771 | 81,529,267 | |
| KeyCorp | 674,195 | 13,072,641 | |
| M&T Bank Corp. | 242,200 | 39,900,028 | |
| Mitsubishi UFJ Financial Group, Inc. | 1,371,600 | 7,270,565 | |
| NIBC Holding NV (e) | 590,026 | 4,583,139 | |
| Northrim Bancorp, Inc. | 5,000 | 187,350 | |
| Ogaki Kyoritsu Bank Ltd. | 43,500 | 1,006,996 | |
| PNC Financial Services Group, Inc. | 630,211 | 96,554,627 | |
| Shinsei Bank Ltd. | 69,900 | 1,100,692 | |
| Signature Bank | 61,800 | 7,623,648 | |
| Skandiabanken ASA (e) | 98,800 | 733,971 | |
| Societe Generale Series A | 158,600 | 4,984,199 | |
| Sumitomo Mitsui Financial Group, Inc. | 338,000 | 12,376,328 | |
| SunTrust Banks, Inc. | 658,800 | 46,669,392 | |
| Synovus Financial Corp. | 98,900 | 3,767,101 | |
| Tcf Financial Corp. | 699,100 | 29,704,759 | |
| The Keiyo Bank Ltd. | 125,700 | 721,437 | |
| The San-In Godo Bank Ltd. | 120,400 | 744,935 | |
| U.S. Bancorp | 1,597,327 | 95,887,540 | |
| Unicaja Banco SA (e) | 1,549,300 | 1,561,069 | |
| United Community Bank, Inc. | 612,899 | 18,999,869 | |
| Van Lanschot NV (Bearer) | 5,800 | 137,394 | |
| Wells Fargo & Co. | 4,366,313 | 237,789,406 | |
| Yamaguchi Financial Group, Inc. | 108,200 | 744,604 | |
| 1,088,361,672 | |||
| Capital Markets - 1.0% | |||
| Affiliated Managers Group, Inc. | 154,400 | 13,181,128 | |
| Apollo Global Management LLC Class A | 188,300 | 8,247,540 | |
| Ares Capital Corp. | 34,629 | 648,601 | |
| BlackRock, Inc. Class A | 29,000 | 14,352,390 | |
| Cboe Global Markets, Inc. | 160,400 | 19,071,560 | |
| Charles Schwab Corp. | 153,365 | 7,591,568 | |
| E*TRADE Financial Corp. | 331,648 | 14,692,006 | |
| Goldman Sachs Group, Inc. | 276,600 | 61,225,410 | |
| Invesco Ltd. | 441,000 | 7,743,960 | |
| Lazard Ltd. Class A | 462,708 | 17,879,037 | |
| Morgan Stanley | 546,730 | 27,052,200 | |
| Morningstar, Inc. | 69,500 | 10,918,450 | |
| Raymond James Financial, Inc. | 78,090 | 7,014,044 | |
| State Street Corp. | 955,146 | 71,731,465 | |
| Virtu Financial, Inc. Class A (b) | 483,300 | 8,022,780 | |
| 289,372,139 | |||
| Consumer Finance - 0.8% | |||
| 360 Finance, Inc. ADR | 671,123 | 6,375,669 | |
| Aeon Credit Service (Asia) Co. Ltd. | 3,340,000 | 2,662,374 | |
| Ally Financial, Inc. | 257,500 | 8,198,800 | |
| American Express Co. | 194,400 | 23,351,328 | |
| Capital One Financial Corp. | 862,500 | 86,258,625 | |
| Discover Financial Services | 512,700 | 43,512,849 | |
| First Cash Financial Services, Inc. | 159,810 | 12,919,040 | |
| Navient Corp. | 78,400 | 1,125,040 | |
| OneMain Holdings, Inc. | 602,859 | 25,977,194 | |
| Qudian, Inc. ADR (a)(b) | 341,600 | 1,694,336 | |
| Santander Consumer U.S.A. Holdings, Inc. | 157,000 | 3,697,350 | |
| Shriram Transport Finance Co. Ltd. | 173,000 | 2,717,886 | |
| SLM Corp. | 599,100 | 5,110,323 | |
| Synchrony Financial | 548,036 | 20,502,027 | |
| 244,102,841 | |||
| Diversified Financial Services - 0.7% | |||
| AXA Equitable Holdings, Inc. | 770,000 | 19,049,800 | |
| Berkshire Hathaway, Inc.: | |||
| Class A (a) | 2 | 660,990 | |
| Class B (a) | 672,800 | 148,217,840 | |
| Fuyo General Lease Co. Ltd. | 78,100 | 5,160,510 | |
| Ricoh Leasing Co. Ltd. | 96,500 | 3,364,536 | |
| Voya Financial, Inc. | 377,410 | 21,995,455 | |
| 198,449,131 | |||
| Insurance - 1.4% | |||
| AFLAC, Inc. | 244,200 | 13,391,928 | |
| Allstate Corp. | 150,800 | 16,791,580 | |
| American International Group, Inc. | 294,600 | 15,513,636 | |
| ASR Nederland NV | 78,300 | 2,909,919 | |
| Assurant, Inc. | 191,730 | 25,475,165 | |
| Axis Capital Holdings Ltd. | 214,700 | 12,705,946 | |
| Brown & Brown, Inc. | 589,782 | 22,258,373 | |
| Chubb Ltd. | 242,500 | 36,733,900 | |
| Db Insurance Co. Ltd. | 139,982 | 6,600,353 | |
| FNF Group | 342,900 | 16,332,327 | |
| Genworth Financial, Inc. Class A | 289,400 | 1,146,024 | |
| Hartford Financial Services Group, Inc. | 281,900 | 17,438,334 | |
| Hyundai Fire & Marine Insurance Co. Ltd. | 180,042 | 4,267,482 | |
| Lincoln National Corp. | 33,100 | 1,954,555 | |
| Marsh & McLennan Companies, Inc. | 287,200 | 31,037,704 | |
| MetLife, Inc. | 1,169,400 | 58,364,754 | |
| NN Group NV | 134,103 | 5,147,773 | |
| Prudential Financial, Inc. | 56,800 | 5,317,616 | |
| Reinsurance Group of America, Inc. | 200,480 | 33,171,421 | |
| Sony Financial Holdings, Inc. | 60,900 | 1,413,690 | |
| Sul America SA unit | 219,800 | 2,742,243 | |
| The Travelers Companies, Inc. | 437,700 | 59,842,344 | |
| Willis Group Holdings PLC | 82,400 | 16,186,656 | |
| 406,743,723 | |||
| Mortgage Real Estate Investment Trusts - 0.3% | |||
| AGNC Investment Corp. | 1,958,100 | 33,914,292 | |
| MFA Financial, Inc. | 3,304,800 | 25,314,768 | |
| Redwood Trust, Inc. | 964,900 | 15,612,082 | |
| 74,841,142 | |||
| Thrifts & Mortgage Finance - 0.1% | |||
| ASAX Co. Ltd. | 159,600 | 948,090 | |
| Essent Group Ltd. | 584,030 | 31,917,240 | |
| Genworth Mortgage Insurance Ltd. | 232,786 | 577,865 | |
| 33,443,195 | |||
| TOTAL FINANCIALS | 2,335,313,843 | ||
| HEALTH CARE - 7.2% | |||
| Biotechnology - 1.6% | |||
| AbbVie, Inc. | 466,700 | 40,943,591 | |
| Acceleron Pharma, Inc. (a) | 50,000 | 2,448,000 | |
| Alexion Pharmaceuticals, Inc. (a) | 236,000 | 26,889,840 | |
| Alnylam Pharmaceuticals, Inc. (a) | 44,000 | 5,154,160 | |
| Amgen, Inc. | 555,600 | 130,410,432 | |
| Argenx SE ADR (a) | 54,700 | 8,098,335 | |
| Ascendis Pharma A/S sponsored ADR (a) | 70,000 | 8,062,600 | |
| BeiGene Ltd. ADR (a) | 20,000 | 4,065,800 | |
| BELLUS Health, Inc. (a) | 260,000 | 1,820,000 | |
| Biogen, Inc. (a) | 55,000 | 16,489,550 | |
| bluebird bio, Inc. (a) | 48,000 | 3,885,120 | |
| Blueprint Medicines Corp. (a) | 406,298 | 33,332,688 | |
| Cell Biotech Co. Ltd. | 46,872 | 708,258 | |
| FibroGen, Inc. (a) | 72,000 | 3,050,640 | |
| Gilead Sciences, Inc. | 168,700 | 11,343,388 | |
| Global Blood Therapeutics, Inc. (a) | 263,530 | 17,524,745 | |
| Intercept Pharmaceuticals, Inc. (a)(b) | 89,700 | 9,720,789 | |
| Neurocrine Biosciences, Inc. (a) | 294,268 | 34,314,591 | |
| Principia Biopharma, Inc. (a) | 80,000 | 2,866,400 | |
| Sage Therapeutics, Inc. (a) | 18,000 | 2,785,860 | |
| Sarepta Therapeutics, Inc. (a) | 339,392 | 38,178,206 | |
| Seattle Genetics, Inc. (a) | 108,500 | 13,057,975 | |
| Turning Point Therapeutics, Inc. (b) | 54,000 | 3,035,880 | |
| United Therapeutics Corp. (a) | 51,200 | 4,723,712 | |
| Vertex Pharmaceuticals, Inc. (a) | 170,000 | 37,697,500 | |
| Xencor, Inc. (a) | 90,000 | 3,546,000 | |
| Zymeworks, Inc. (a)(b) | 99,900 | 4,354,641 | |
| 468,508,701 | |||
| Health Care Equipment & Supplies - 1.1% | |||
| A&T Corp. | 21,000 | 247,194 | |
| Atricure, Inc. (a) | 100,000 | 2,975,000 | |
| Becton, Dickinson & Co. | 185,700 | 48,003,450 | |
| Boston Scientific Corp. (a) | 1,545,121 | 66,826,483 | |
| Danaher Corp. | 72,000 | 10,510,560 | |
| Dentsply Sirona, Inc. | 362,200 | 20,478,788 | |
| Fukuda Denshi Co. Ltd. | 59,550 | 4,201,481 | |
| Genmark Diagnostics, Inc. (a) | 330,000 | 1,841,400 | |
| Glaukos Corp. (a) | 279,400 | 17,917,922 | |
| Hologic, Inc. (a) | 466,800 | 23,956,176 | |
| Insulet Corp. (a) | 72,000 | 13,370,400 | |
| Intuitive Surgical, Inc. (a) | 46,000 | 27,273,400 | |
| Masimo Corp. (a) | 48,000 | 7,443,360 | |
| Medtronic PLC | 82,600 | 9,200,814 | |
| Meridian Bioscience, Inc. | 1,000 | 9,150 | |
| Nanosonics Ltd. (a) | 600,000 | 2,706,953 | |
| Penumbra, Inc. (a) | 65,500 | 11,588,260 | |
| STERIS PLC | 158,949 | 24,023,552 | |
| Stryker Corp. | 100,000 | 20,486,000 | |
| ViewRay, Inc. (a)(b) | 2,099,416 | 6,970,061 | |
| Wright Medical Group NV (a) | 362,587 | 10,794,215 | |
| 330,824,619 | |||
| Health Care Providers& Services - 2.4% | |||
| Anthem, Inc. | 289,778 | 83,647,317 | |
| Centene Corp. (a) | 1,138,300 | 68,833,001 | |
| Cigna Corp. | 616,277 | 123,206,098 | |
| CVS Health Corp. | 1,257,412 | 94,645,401 | |
| HCA Holdings, Inc. | 120,000 | 16,639,200 | |
| HealthEquity, Inc. (a) | 60,000 | 3,773,400 | |
| Humana, Inc. | 124,400 | 42,449,012 | |
| Laboratory Corp. of America Holdings (a) | 55,000 | 9,475,950 | |
| McKesson Corp. | 185,190 | 26,785,882 | |
| MEDNAX, Inc. (a) | 70,000 | 1,828,400 | |
| Molina Healthcare, Inc. (a) | 199,300 | 27,005,150 | |
| Patterson Companies, Inc. | 49,100 | 955,486 | |
| Quest Diagnostics, Inc. | 3,700 | 394,235 | |
| RadNet, Inc. (a) | 609,500 | 11,678,020 | |
| Tokai Corp. | 107,400 | 2,788,552 | |
| UnitedHealth Group, Inc. | 623,900 | 174,610,893 | |
| Universal Health Services, Inc. Class B | 40,000 | 5,579,600 | |
| 694,295,597 | |||
| Health Care Technology - 0.1% | |||
| Teladoc Health, Inc. (a)(b) | 224,670 | 18,813,866 | |
| Life Sciences Tools & Services - 0.2% | |||
| 10X Genomics, Inc. (a)(b) | 84,000 | 5,450,760 | |
| Bio-Rad Laboratories, Inc. Class A (a) | 76,016 | 28,078,790 | |
| Bruker Corp. | 492,300 | 25,200,837 | |
| ICON PLC (a) | 4,400 | 717,904 | |
| Lonza Group AG | 16,000 | 5,434,959 | |
| 64,883,250 | |||
| Pharmaceuticals - 1.8% | |||
| Allergan PLC | 206,600 | 38,208,604 | |
| Astellas Pharma, Inc. | 260,000 | 4,437,489 | |
| AstraZeneca PLC: | |||
| (United Kingdom) | 380,000 | 36,710,969 | |
| sponsored ADR | 59,500 | 2,884,560 | |
| Bayer AG | 503,482 | 38,025,283 | |
| Bristol-Myers Squibb Co. | 2,332,500 | 132,812,550 | |
| Bristol-Myers Squibb Co. rights (a) | 727,000 | 1,563,050 | |
| Dawnrays Pharmaceutical Holdings Ltd. | 6,848,000 | 1,224,700 | |
| Dechra Pharmaceuticals PLC | 100,000 | 3,665,212 | |
| Eli Lilly & Co. | 240,000 | 28,164,000 | |
| Genomma Lab Internacional SA de CV (a) | 1,796,300 | 1,678,596 | |
| GlaxoSmithKline PLC sponsored ADR | 961,558 | 43,731,658 | |
| Johnson & Johnson | 644,585 | 88,623,992 | |
| Korea United Pharm, Inc. | 37,112 | 585,913 | |
| Mylan NV (a) | 25,000 | 469,500 | |
| MyoKardia, Inc. (a) | 50,000 | 3,257,500 | |
| Nippon Chemiphar Co. Ltd. | 10,400 | 282,288 | |
| Recordati SpA | 70,000 | 2,936,187 | |
| Roche Holding AG (participation certificate) | 253,306 | 78,092,461 | |
| Sanofi SA sponsored ADR | 523,600 | 24,441,648 | |
| Taro Pharmaceutical Industries Ltd. | 9,500 | 919,125 | |
| Theravance Biopharma, Inc. (a) | 111,034 | 2,416,100 | |
| Zogenix, Inc. (a) | 84,164 | 4,021,356 | |
| 539,152,741 | |||
| TOTAL HEALTH CARE | 2,116,478,774 | ||
| INDUSTRIALS - 4.6% | |||
| Aerospace & Defense - 1.1% | |||
| General Dynamics Corp. | 188,123 | 34,189,474 | |
| Harris Corp. | 68,500 | 13,774,665 | |
| HEICO Corp. Class A | 323,546 | 32,496,960 | |
| Huntington Ingalls Industries, Inc. | 92,100 | 23,178,807 | |
| Lockheed Martin Corp. | 161,800 | 63,268,654 | |
| Teledyne Technologies, Inc. (a) | 50,900 | 17,407,291 | |
| The Boeing Co. | 131,800 | 48,262,524 | |
| United Technologies Corp. (d) | 676,569 | 100,362,245 | |
| Vectrus, Inc. (a) | 5,000 | 254,700 | |
| 333,195,320 | |||
| Air Freight & Logistics - 0.2% | |||
| FedEx Corp. | 68,330 | 10,936,217 | |
| Onelogix Group Ltd. | 291,841 | 65,737 | |
| United Parcel Service, Inc. Class B (d) | 396,106 | 47,425,771 | |
| 58,427,725 | |||
| Airlines - 0.1% | |||
| Alaska Air Group, Inc. | 354,400 | 24,457,144 | |
| Hawaiian Holdings, Inc. | 2,000 | 60,580 | |
| 24,517,724 | |||
| Building Products - 0.2% | |||
| Apogee Enterprises, Inc. | 5,000 | 191,200 | |
| Fortune Brands Home & Security, Inc. | 851,729 | 53,880,377 | |
| KVK Corp. | 5,500 | 75,599 | |
| Nihon Dengi Co. Ltd. | 88,000 | 2,440,870 | |
| 56,588,046 | |||
| Commercial Services & Supplies - 0.0% | |||
| Nippon Kanzai Co. Ltd. | 26,600 | 480,122 | |
| VSE Corp. | 1,000 | 40,790 | |
| 520,912 | |||
| Construction & Engineering - 0.0% | |||
| Arcadis NV (b) | 50,193 | 1,020,887 | |
| Boustead Projs. Pte Ltd. | 1,846,700 | 1,262,551 | |
| Joban Kaihatsu Co. Ltd. | 1,400 | 75,489 | |
| Kawasaki Setsubi Kogyo Co. Ltd. | 23,200 | 96,684 | |
| Meisei Industrial Co. Ltd. | 360,100 | 3,034,292 | |
| Seikitokyu Kogyo Co. Ltd. | 64,600 | 513,636 | |
| Watanabe Sato Co. Ltd. | 4,100 | 73,742 | |
| 6,077,281 | |||
| Electrical Equipment - 0.5% | |||
| Acuity Brands, Inc. | 1,000 | 130,780 | |
| Aichi Electric Co. Ltd. | 40,400 | 1,033,815 | |
| AMETEK, Inc. | 407,800 | 40,376,278 | |
| Eaton Corp. PLC | 14,200 | 1,313,500 | |
| Emerson Electric Co. | 670,200 | 49,500,972 | |
| Gerard Perrier Industrie SA (b) | 5,000 | 333,845 | |
| Iwabuchi Corp. | 1,600 | 78,523 | |
| Sunrun, Inc. (a) | 1,213,300 | 16,840,604 | |
| Terasaki Electric Co. Ltd. | 33,600 | 347,914 | |
| Vestas Wind Systems A/S | 147,200 | 14,009,228 | |
| Vivint Solar, Inc. (a)(b) | 1,632,540 | 11,999,169 | |
| 135,964,628 | |||
| Industrial Conglomerates - 0.7% | |||
| 3M Co. | 7,700 | 1,307,229 | |
| Carlisle Companies, Inc. | 195,420 | 30,481,612 | |
| General Electric Co. | 15,843,008 | 178,550,700 | |
| Mytilineos SA | 202,900 | 2,257,908 | |
| Reunert Ltd. | 56,900 | 267,596 | |
| 212,865,045 | |||
| Machinery - 0.7% | |||
| Conrad Industries, Inc. (a) | 5,400 | 54,000 | |
| Crane Co. | 1,000 | 83,070 | |
| Cummins, Inc. | 1,000 | 182,860 | |
| Flowserve Corp. | 601,527 | 29,294,365 | |
| Fortive Corp. | 673,100 | 48,577,627 | |
| Fukushima Industries Corp. | 4,100 | 132,270 | |
| Gardner Denver Holdings, Inc. (a) | 626,900 | 21,233,103 | |
| Haitian International Holdings Ltd. | 1,150,000 | 2,570,834 | |
| Hy-Lok Corp. | 14,316 | 216,322 | |
| IDEX Corp. | 186,927 | 30,420,500 | |
| Ingersoll-Rand PLC | 609,100 | 79,859,101 | |
| Koike Sanso Kogyo Co. Ltd. | 2,200 | 45,822 | |
| Nakanishi Manufacturing Co. Ltd. | 20,000 | 193,932 | |
| Nansin Co. Ltd. | 32,900 | 166,274 | |
| Oshkosh Corp. | 5,000 | 452,300 | |
| Sakura Rubber Co. Ltd. | 14,500 | 809,678 | |
| The Hanshin Diesel Works Ltd. | 4,500 | 82,869 | |
| Westinghouse Air Brake Co. | 37,962 | 2,982,674 | |
| Yamada Corp. | 19,700 | 456,402 | |
| 217,814,003 | |||
| Marine - 0.0% | |||
| Japan Transcity Corp. | 237,400 | 1,191,122 | |
| Professional Services - 0.1% | |||
| ABIST Co. Ltd. (b) | 24,400 | 599,185 | |
| Bertrandt AG | 15,400 | 899,289 | |
| Career Design Center Co. Ltd. | 22,100 | 269,231 | |
| McMillan Shakespeare Ltd. | 46,017 | 465,643 | |
| RELX PLC (London Stock Exchange) | 521,814 | 12,640,166 | |
| SHL-JAPAN Ltd. | 29,000 | 534,838 | |
| 15,408,352 | |||
| Road & Rail - 0.7% | |||
| Autohellas SA | 51,600 | 409,341 | |
| CSX Corp. | 602,500 | 43,102,850 | |
| Daqin Railway Co. Ltd. (A Shares) | 2,500,041 | 2,819,121 | |
| Landstar System, Inc. | 216,020 | 24,066,788 | |
| Lyft, Inc. | 410,400 | 20,101,392 | |
| Meitetsu Transport Co. Ltd. | 5,000 | 108,755 | |
| NANSO Transport Co. Ltd. | 43,900 | 473,424 | |
| Nikkon Holdings Co. Ltd. | 40,300 | 999,950 | |
| Old Dominion Freight Lines, Inc. | 164,473 | 31,511,382 | |
| Schneider National, Inc. Class B | 626,500 | 14,252,875 | |
| STEF-TFE Group | 3,667 | 360,395 | |
| Tohbu Network Co. Ltd. | 42,500 | 388,412 | |
| Uber Technologies, Inc. (b) | 935,000 | 27,676,000 | |
| Union Pacific Corp. | 138,243 | 24,329,386 | |
| Utoc Corp. | 121,800 | 589,965 | |
| 191,190,036 | |||
| Trading Companies & Distributors - 0.3% | |||
| AerCap Holdings NV (a) | 75,000 | 4,635,750 | |
| Canox Corp. | 52,100 | 406,630 | |
| Daiichi Jitsugyo Co. Ltd. | 5,900 | 200,855 | |
| Green Cross Co. Ltd. | 81,100 | 668,545 | |
| HD Supply Holdings, Inc. (a) | 781,080 | 31,102,606 | |
| Howden Joinery Group PLC | 26,900 | 219,384 | |
| Itochu Corp. | 1,620,000 | 35,355,145 | |
| Kamei Corp. | 194,100 | 2,135,774 | |
| Mitani Shoji Co. Ltd. | 47,900 | 2,372,674 | |
| Mitsubishi Corp. | 201,900 | 5,288,296 | |
| MRC Global, Inc. (a) | 1,304,740 | 17,405,232 | |
| MSC Industrial Direct Co., Inc. Class A | 5,000 | 367,050 | |
| Narasaki Sangyo Co. Ltd. | 9,600 | 172,488 | |
| Nishikawa Keisoku Co. Ltd. | 5,800 | 231,640 | |
| Pla Matels Corp. | 49,800 | 269,890 | |
| Shinsho Corp. | 77,000 | 1,812,054 | |
| 102,644,013 | |||
| Transportation Infrastructure - 0.0% | |||
| Isewan Terminal Service Co. Ltd. | 169,800 | 1,295,769 | |
| Qingdao Port International Co. Ltd. (H Shares) (e) | 3,809,000 | 2,238,241 | |
| 3,534,010 | |||
| TOTAL INDUSTRIALS | 1,359,938,217 | ||
| INFORMATION TECHNOLOGY - 6.8% | |||
| Communications Equipment - 0.2% | |||
| Cisco Systems, Inc. | 819,200 | 37,117,952 | |
| Ericsson (B Shares) sponsored ADR (b) | 467,500 | 4,226,200 | |
| F5 Networks, Inc. (a) | 35,000 | 5,099,850 | |
| Juniper Networks, Inc. | 41,100 | 1,029,966 | |
| 47,473,968 | |||
| Electronic Equipment & Components - 0.4% | |||
| Arrow Electronics, Inc. (a) | 144,200 | 11,484,088 | |
| Avnet, Inc. | 654,500 | 26,605,425 | |
| Daido Signal Co. Ltd. | 98,300 | 461,764 | |
| Elematec Corp. | 98,400 | 949,647 | |
| Fabrinet (a) | 14,500 | 877,105 | |
| Flextronics International Ltd. (a) | 881,000 | 10,457,470 | |
| HAGIAWARA ELECTRIC Co. Ltd. | 15,000 | 387,132 | |
| Insight Enterprises, Inc. (a) | 5,000 | 327,950 | |
| Jabil, Inc. | 269,900 | 10,482,916 | |
| Kingboard Chemical Holdings Ltd. | 311,000 | 856,142 | |
| Makus, Inc. | 587,111 | 1,746,970 | |
| New Cosmos Electric Co. Ltd. | 6,200 | 95,476 | |
| PAX Global Technology Ltd. (b) | 4,204,000 | 1,836,652 | |
| Riken Kieki Co. Ltd. | 46,800 | 989,720 | |
| ScanSource, Inc. (a) | 28,100 | 995,302 | |
| TE Connectivity Ltd. | 289,700 | 26,858,087 | |
| Trimble, Inc. (a) | 570,300 | 23,114,259 | |
| 118,526,105 | |||
| IT Services - 1.2% | |||
| Alliance Data Systems Corp. | 69,500 | 7,430,245 | |
| Amdocs Ltd. | 360,900 | 25,010,370 | |
| Avant Corp. | 251,800 | 2,393,274 | |
| Cielo SA | 346,800 | 634,835 | |
| Cognizant Technology Solutions Corp. Class A | 467,400 | 29,965,014 | |
| Data Applications Co. Ltd. | 5,000 | 81,338 | |
| DXC Technology Co. | 52,700 | 1,967,291 | |
| E-Credible Co. Ltd. | 78,916 | 1,232,541 | |
| Enea Data AB (a) | 57,300 | 1,088,995 | |
| Fastly, Inc. Class A (b) | 237,854 | 4,854,600 | |
| FDM Group Holdings PLC | 5,000 | 62,854 | |
| Fidelity National Information Services, Inc. | 272,200 | 37,604,430 | |
| FleetCor Technologies, Inc. (a) | 7,300 | 2,240,516 | |
| Gartner, Inc. (a) | 117,900 | 18,918,234 | |
| Genpact Ltd. | 143,700 | 5,848,590 | |
| Global Payments, Inc. | 58,300 | 10,558,130 | |
| GoDaddy, Inc. (a) | 26,600 | 1,765,708 | |
| GreenSky, Inc. Class A (a)(b) | 512,700 | 3,814,488 | |
| IBM Corp. | 51,500 | 6,924,175 | |
| Korea Information & Communication Co. Ltd. (a) | 18,423 | 113,847 | |
| Leidos Holdings, Inc. | 205,400 | 18,658,536 | |
| MasterCard, Inc. Class A | 44,100 | 12,887,343 | |
| MongoDB, Inc. Class A (a)(b) | 103,400 | 15,375,580 | |
| PagSeguro Digital Ltd. (a) | 316,540 | 10,743,368 | |
| PayPal Holdings, Inc. (a) | 218,500 | 23,600,185 | |
| Square, Inc. (a) | 143,400 | 9,911,808 | |
| The Western Union Co. | 579,200 | 15,568,896 | |
| Twilio, Inc. Class A (a)(b) | 118,000 | 12,187,040 | |
| Verra Mobility Corp. (a) | 207,000 | 3,098,790 | |
| Visa, Inc. Class A | 267,557 | 49,366,942 | |
| WEX, Inc. (a) | 101,600 | 20,434,808 | |
| 354,342,771 | |||
| Semiconductors & Semiconductor Equipment - 1.2% | |||
| Advanced Micro Devices, Inc. (a) | 243,400 | 9,529,110 | |
| Analog Devices, Inc. | 41,700 | 4,710,015 | |
| Applied Materials, Inc. (d) | 482,400 | 27,930,960 | |
| Broadcom, Inc. | 63,000 | 19,921,230 | |
| KLA-Tencor Corp. | 41,300 | 6,767,418 | |
| Lam Research Corp. | 19,400 | 5,176,502 | |
| Marvell Technology Group Ltd. | 1,165,250 | 30,727,643 | |
| Mellanox Technologies Ltd. (a) | 20,200 | 2,320,980 | |
| Microchip Technology, Inc. (b) | 59,200 | 5,596,768 | |
| Micron Technology, Inc. (a) | 942,100 | 44,759,171 | |
| Miraial Co. Ltd. | 30,400 | 386,737 | |
| NVIDIA Corp. | 134,100 | 29,064,834 | |
| NXP Semiconductors NV | 394,000 | 45,538,520 | |
| ON Semiconductor Corp. (a) | 710,800 | 15,260,876 | |
| Phison Electronics Corp. | 44,000 | 410,063 | |
| Qorvo, Inc. (a) | 18,200 | 1,896,622 | |
| Qualcomm, Inc. | 852,630 | 71,237,237 | |
| Sanken Electric Co. Ltd. | 127,600 | 3,708,353 | |
| Skyworks Solutions, Inc. | 188,700 | 18,549,210 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 247,100 | 13,118,539 | |
| Xilinx, Inc. | 9,300 | 862,854 | |
| 357,473,642 | |||
| Software - 2.6% | |||
| Adobe, Inc. (a) | 98,900 | 30,612,517 | |
| Autodesk, Inc. (a) | 277,800 | 50,254,020 | |
| Blackbaud, Inc. | 213,200 | 17,670,016 | |
| BlackLine, Inc. (a) | 246,800 | 13,282,776 | |
| Box, Inc. Class A (a) | 798,300 | 14,560,992 | |
| Citrix Systems, Inc. | 204,900 | 23,114,769 | |
| Cloudflare, Inc. (a)(b) | 136,700 | 2,662,916 | |
| eBase Co. Ltd. | 75,500 | 838,352 | |
| Elastic NV (a) | 74,100 | 5,884,281 | |
| Encourage Technologies Co. Ltd. | 5,000 | 38,613 | |
| Envestnet, Inc. (a) | 100 | 7,121 | |
| Everbridge, Inc. (a) | 48,758 | 4,287,779 | |
| HubSpot, Inc. (a) | 166,100 | 25,081,100 | |
| Instructure, Inc. (a) | 219,800 | 11,702,152 | |
| LivePerson, Inc. (a) | 328,700 | 13,046,103 | |
| Micro Focus International PLC sponsored ADR | 12,029 | 176,465 | |
| Microsoft Corp. | 2,094,400 | 317,050,272 | |
| Minori Solutions Co. Ltd. | 5,000 | 123,195 | |
| Nortonlifelock, Inc. | 1,078,200 | 26,847,180 | |
| Oracle Corp. | 513,369 | 28,820,536 | |
| Parametric Technology Corp. (a) | 309,700 | 23,723,020 | |
| Pivotal Software, Inc. (a) | 1,294,700 | 19,446,394 | |
| Pluralsight, Inc. (a) | 104,300 | 1,772,057 | |
| Proofpoint, Inc. (a) | 140,620 | 16,690,188 | |
| RealPage, Inc. (a) | 400,200 | 22,023,006 | |
| RingCentral, Inc. (a) | 13,600 | 2,345,592 | |
| Salesforce.com, Inc. (a) | 214,100 | 34,874,749 | |
| SAP SE sponsored ADR (b) | 192,356 | 26,150,798 | |
| ShotSpotter, Inc. (a)(b) | 34,100 | 836,132 | |
| Sinosoft Tech Group Ltd. | 4,769,000 | 883,351 | |
| SS&C Technologies Holdings, Inc. | 84,100 | 5,050,205 | |
| SurveyMonkey (a) | 254,221 | 4,339,552 | |
| System Research Co. Ltd. | 14,200 | 234,244 | |
| Talend SA ADR (a) | 49,600 | 1,882,816 | |
| Toho System Science Co. Ltd. (b) | 11,200 | 96,728 | |
| Varonis Systems, Inc. (a) | 81,300 | 6,350,343 | |
| Workday, Inc. Class A (a) | 23,000 | 4,119,760 | |
| Workiva, Inc. (a) | 28,000 | 1,214,360 | |
| Zendesk, Inc. (a) | 23,200 | 1,832,800 | |
| 759,927,250 | |||
| Technology Hardware, Storage & Peripherals - 1.2% | |||
| Apple, Inc. (d) | 1,103,094 | 294,801,872 | |
| Dell Technologies, Inc. (a) | 17,996 | 872,626 | |
| Elecom Co. Ltd. | 44,100 | 1,664,531 | |
| Hewlett Packard Enterprise Co. | 67,500 | 1,068,525 | |
| HP, Inc. | 452,000 | 9,076,160 | |
| NetApp, Inc. | 1,000 | 60,590 | |
| Pure Storage, Inc. Class A (a) | 222,800 | 3,580,396 | |
| Samsung Electronics Co. Ltd. | 48,300 | 2,056,624 | |
| Western Digital Corp. | 637,900 | 32,105,507 | |
| 345,286,831 | |||
| TOTAL INFORMATION TECHNOLOGY | 1,983,030,567 | ||
| MATERIALS - 1.2% | |||
| Chemicals - 0.3% | |||
| Amyris, Inc. (a)(b) | 881,585 | 3,543,972 | |
| C. Uyemura & Co. Ltd. | 62,700 | 4,377,883 | |
| Cabot Corp. | 7,400 | 347,726 | |
| CF Industries Holdings, Inc. | 722,010 | 33,364,082 | |
| Corteva, Inc. | 66,566 | 1,732,047 | |
| Innospec, Inc. | 165,811 | 16,315,802 | |
| Isamu Paint Co. Ltd. | 2,600 | 78,532 | |
| KPC Holdings Corp. | 7,154 | 330,660 | |
| LG Chemical Ltd. | 10,490 | 2,721,735 | |
| NOF Corp. | 18,300 | 611,282 | |
| Sherwin-Williams Co. | 22,400 | 13,062,112 | |
| Toho Acetylene Co. Ltd. | 78,450 | 976,502 | |
| Yara International ASA | 44,900 | 1,692,125 | |
| Yip's Chemical Holdings Ltd. | 450,000 | 134,514 | |
| 79,288,974 | |||
| Construction Materials - 0.2% | |||
| Kunimine Industries Co. Ltd. | 5,000 | 54,880 | |
| Mitani Sekisan Co. Ltd. | 14,700 | 484,984 | |
| Summit Materials, Inc. (a) | 1,687,200 | 40,273,464 | |
| 40,813,328 | |||
| Containers & Packaging - 0.2% | |||
| Crown Holdings, Inc. (a) | 602,230 | 45,709,257 | |
| Graphic Packaging Holding Co. | 1,336,400 | 21,743,228 | |
| Mayr-Melnhof Karton AG | 8,500 | 1,127,582 | |
| Packaging Corp. of America | 5,000 | 559,500 | |
| Silgan Holdings, Inc. | 16,200 | 499,122 | |
| 69,638,689 | |||
| Metals & Mining - 0.5% | |||
| ArcelorMittal SA Class A unit (b) | 86,200 | 1,474,882 | |
| BHP Billiton Ltd. sponsored ADR (b) | 191,500 | 9,867,995 | |
| Chubu Steel Plate Co. Ltd. | 151,600 | 973,997 | |
| CI Resources Ltd. | 136,202 | 105,946 | |
| CK-SAN-ETSU Co. Ltd. | 32,800 | 909,779 | |
| Compania de Minas Buenaventura SA sponsored ADR | 150,400 | 2,311,648 | |
| First Quantum Minerals Ltd. | 1,426,400 | 13,219,140 | |
| Kaiser Aluminum Corp. | 182,300 | 19,976,434 | |
| Labrador Iron Ore Royalty Corp. | 4,700 | 89,485 | |
| Lundin Mining Corp. | 2,320,500 | 12,560,713 | |
| Mount Gibson Iron Ltd. | 3,793,094 | 2,065,347 | |
| Newmont Goldcorp Corp. | 1,464,700 | 56,244,480 | |
| Pacific Metals Co. Ltd. (b) | 52,000 | 1,141,035 | |
| Perenti Global Ltd. | 2,027,719 | 2,667,663 | |
| Rio Tinto PLC sponsored ADR | 49,000 | 2,673,440 | |
| Royal Gold, Inc. | 187,800 | 22,023,306 | |
| Teck Resources Ltd. Class B (sub. vtg.) | 82,400 | 1,291,552 | |
| 149,596,842 | |||
| TOTAL MATERIALS | 339,337,833 | ||
| REAL ESTATE - 1.5% | |||
| Equity Real Estate Investment Trusts (REITs) - 1.3% | |||
| Alexandria Real Estate Equities, Inc. | 64,800 | 10,531,296 | |
| American Homes 4 Rent Class A | 174,100 | 4,650,211 | |
| American Tower Corp. | 186,317 | 39,877,428 | |
| Apartment Investment & Management Co. Class A | 362,400 | 19,486,248 | |
| CoreSite Realty Corp. | 189,742 | 21,514,845 | |
| Corporate Office Properties Trust (SBI) | 198,000 | 5,777,640 | |
| Crown Castle International Corp. | 44,116 | 5,896,545 | |
| Digital Realty Trust, Inc. | 75,400 | 9,119,630 | |
| Empire State Realty Trust, Inc. | 1,230,426 | 17,176,747 | |
| Equinix, Inc. | 38,900 | 22,050,465 | |
| Equity Commonwealth | 576,800 | 18,947,880 | |
| Equity Lifestyle Properties, Inc. | 65,300 | 4,837,424 | |
| Front Yard Residential Corp. Class B | 504,000 | 5,846,400 | |
| Healthcare Trust of America, Inc. | 874,360 | 26,536,826 | |
| Liberty Property Trust (SBI) | 472,524 | 29,116,929 | |
| Medical Properties Trust, Inc. | 1,300,030 | 26,988,623 | |
| Omega Healthcare Investors, Inc. | 55,800 | 2,345,274 | |
| Outfront Media, Inc. | 856,540 | 21,396,369 | |
| Potlatch Corp. | 85,993 | 3,734,676 | |
| Prologis, Inc. | 202,500 | 18,538,875 | |
| Public Storage | 4,900 | 1,032,332 | |
| Sabra Health Care REIT, Inc. | 1,234,600 | 27,506,888 | |
| Simon Property Group, Inc. | 163,500 | 24,722,835 | |
| Store Capital Corp. | 43,100 | 1,754,601 | |
| Weingarten Realty Investors (SBI) | 362,800 | 11,551,552 | |
| Welltower, Inc. | 132,500 | 11,205,525 | |
| Weyerhaeuser Co. | 195,900 | 5,781,009 | |
| 397,925,073 | |||
| Real Estate Management & Development - 0.2% | |||
| Arealink Co. Ltd. | 25,000 | 322,610 | |
| CBRE Group, Inc. (a) | 633,800 | 36,139,276 | |
| Cushman & Wakefield PLC (a)(b) | 278,200 | 5,394,298 | |
| Howard Hughes Corp. (a) | 102,000 | 11,261,820 | |
| Nisshin Fudosan Co. Ltd. | 64,700 | 290,919 | |
| 53,408,923 | |||
| TOTAL REAL ESTATE | 451,333,996 | ||
| UTILITIES - 1.3% | |||
| Electric Utilities - 0.8% | |||
| Duke Energy Corp. | 150,300 | 13,251,951 | |
| Edison International | 207,000 | 14,303,700 | |
| Entergy Corp. | 96,200 | 11,196,718 | |
| Evergy, Inc. | 439,997 | 27,838,610 | |
| Exelon Corp. | 1,437,839 | 63,840,052 | |
| NextEra Energy, Inc. | 50,100 | 11,714,382 | |
| OGE Energy Corp. | 485,900 | 20,436,954 | |
| PNM Resources, Inc. | 83,000 | 4,021,350 | |
| PPL Corp. | 797,000 | 27,121,910 | |
| Southern Co. | 929,800 | 57,638,302 | |
| 251,363,929 | |||
| Gas Utilities - 0.1% | |||
| Atmos Energy Corp. | 17,500 | 1,871,800 | |
| Busan City Gas Co. Ltd. | 54,716 | 1,658,201 | |
| China Resource Gas Group Ltd. | 648,000 | 3,609,106 | |
| Enagas SA | 50,598 | 1,260,482 | |
| Hokuriku Gas Co. | 6,200 | 171,970 | |
| Keiyo Gas Co. Ltd. | 3,000 | 82,800 | |
| Seoul City Gas Co. Ltd. | 11,774 | 715,630 | |
| South Jersey Industries, Inc. (b) | 475,200 | 14,845,248 | |
| YESCO Co. Ltd. | 22,407 | 720,787 | |
| 24,936,024 | |||
| Independent Power and Renewable Electricity Producers - 0.1% | |||
| NextEra Energy Partners LP (b) | 79,900 | 4,245,087 | |
| NRG Energy, Inc. | 422,700 | 16,793,871 | |
| The AES Corp. | 122,500 | 2,316,475 | |
| Vistra Energy Corp. | 211,700 | 5,616,401 | |
| 28,971,834 | |||
| Multi-Utilities - 0.3% | |||
| CenterPoint Energy, Inc. | 198,900 | 4,884,984 | |
| Dominion Energy, Inc. | 309,557 | 25,727,282 | |
| MDU Resources Group, Inc. | 946,000 | 27,471,840 | |
| Public Service Enterprise Group, Inc. | 92,900 | 5,509,899 | |
| Sempra Energy | 110,200 | 16,229,154 | |
| 79,823,159 | |||
| TOTAL UTILITIES | 385,094,946 | ||
| TOTAL COMMON STOCKS | |||
| (Cost $11,433,433,514) | 12,821,637,661 | ||
| Preferred Stocks - 0.0% | |||
| Convertible Preferred Stocks - 0.0% | |||
| HEALTH CARE - 0.0% | |||
| Health Care Equipment & Supplies - 0.0% | |||
| Becton, Dickinson & Co. Series A, 6.125% | 57,200 | 3,556,771 | |
| Nonconvertible Preferred Stocks - 0.0% | |||
| UTILITIES - 0.0% | |||
| Electric Utilities - 0.0% | |||
| Companhia Paranaense de Energia-Copel (PN-B) | 36,200 | 530,982 | |
| TOTAL PREFERRED STOCKS | |||
| (Cost $3,754,410) | 4,087,753 | ||
| Equity Funds - 55.2% | |||
| Large Blend Funds - 10.6% | |||
| Fidelity SAI U.S. Large Cap Index Fund (f) | 145,651,114 | 2,465,873,361 | |
| Fidelity SAI U.S. Low Volatility Index Fund (f) | 40,962,113 | 633,683,889 | |
| TOTAL LARGE BLEND FUNDS | 3,099,557,250 | ||
| Large Growth Funds - 32.5% | |||
| Fidelity Contrafund (f) | 147,973,766 | 2,040,558,230 | |
| Fidelity Growth Company Fund (f) | 116,602,482 | 2,511,617,467 | |
| Fidelity SAI U.S. Momentum Index Fund (f) | 119,004,267 | 1,670,819,903 | |
| Fidelity SAI U.S. Quality Index Fund (f) | 228,963,082 | 3,324,543,950 | |
| TOTAL LARGE GROWTH FUNDS | 9,547,539,550 | ||
| Large Value Funds - 9.6% | |||
| Fidelity Large Cap Value Enhanced Index Fund (f) | 141,378,242 | 1,958,088,649 | |
| Fidelity SAI U.S. Value Index Fund (f) | 81,845,389 | 870,016,483 | |
| TOTAL LARGE VALUE FUNDS | 2,828,105,132 | ||
| Small Blend Funds - 2.5% | |||
| Fidelity Small Cap Index Fund (f) | 34,443,154 | 722,617,372 | |
| TOTAL EQUITY FUNDS | |||
| (Cost $14,904,715,249) | 16,197,819,304 | ||
| Money Market Funds - 2.0% | |||
| Fidelity Cash Central Fund 1.61% (g) | 308,496,929 | 308,558,629 | |
| Fidelity Securities Lending Cash Central Fund 1.61% (g)(h) | 276,759,324 | 276,787,000 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $585,341,867) | 585,345,629 | ||
| TOTAL INVESTMENT IN SECURITIES - 100.9% | |||
| (Cost $26,927,245,040) | 29,608,890,347 | ||
| NET OTHER ASSETS (LIABILITIES) - (0.9)% | (260,105,997) | ||
| NET ASSETS - 100% | $29,348,784,350 |
| Written Options | ||||||
| Counterparty | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | |
| Call Options | ||||||
| Apple, Inc. | Chicago Board Options Exchange | 280 | $7,483,000 | $260.00 | 1/17/20 | $(363,300) |
| Applied Materials, Inc. | Chicago Board Options Exchange | 441 | 2,553,390 | 57.50 | 1/17/20 | (118,850) |
| Applied Materials, Inc. | Chicago Board Options Exchange | 170 | 984,300 | 60.00 | 1/17/20 | (25,840) |
| Bank of America Corp. | Chicago Board Options Exchange | 1,527 | 5,087,964 | 34.00 | 1/17/20 | (105,363) |
| Citigroup, Inc. | Chicago Board Options Exchange | 170 | 1,277,040 | 80.00 | 1/17/20 | (11,730) |
| JPMorgan Chase & Co. | Chicago Board Options Exchange | 1,165 | 15,350,040 | 120.00 | 12/20/19 | (1,409,649) |
| JPMorgan Chase & Co. | Chicago Board Options Exchange | 283 | 3,728,808 | 135.00 | 1/17/20 | (50,233) |
| Procter & Gamble Co. | Chicago Board Options Exchange | 242 | 2,953,852 | 125.00 | 3/20/20 | (85,305) |
| Procter & Gamble Co. | Chicago Board Options Exchange | 242 | 2,953,852 | 130.00 | 3/20/20 | (42,108) |
| United Parcel Service, Inc. | Chicago Board Options Exchange | 340 | 4,070,820 | 130.00 | 4/17/20 | (74,630) |
| United Technologies Corp. | Chicago Board Options Exchange | 227 | 3,367,318 | 150.00 | 1/17/20 | (65,263) |
| TOTAL WRITTEN OPTIONS | $(2,352,271) |
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 $49,810,384.
(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 $9,997,431 or 0.0% of net assets.
(f) Affiliated Fund
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(h) 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 | $3,649,614 |
| Fidelity Securities Lending Cash Central Fund | 880,224 |
| Total | $4,529,838 |
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.
| Affil- iate | 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 | $300,000,000 | $-- | $-- | $-- | $198,575,854 | $2,040,558,230 |
| Fidelity Growth Company Fund | 1,975,431,920 | 170,000,000 | -- | -- | -- | 366,185,547 | 2,511,617,467 |
| Fidelity Large Cap Value Enhanced Index Fund | 1,533,078,826 | 200,000,000 | -- | -- | -- | 225,009,823 | 1,958,088,649 |
| Fidelity SAI U.S. Large Cap Index Fund | -- | 3,539,442,083 | 1,187,430,772 | 16,921,318 | (13,225,520) | 127,087,570 | 2,465,873,361 |
| Fidelity SAI U.S. Low Volatility Index Fund | 563,638,676 | -- | -- | -- | -- | 70,045,213 | 633,683,889 |
| Fidelity SAI U.S. Momentum Index Fund | 1,466,830,954 | 64,973,920 | -- | 14,973,917 | -- | 139,015,029 | 1,670,819,903 |
| Fidelity SAI U.S. Quality Index Fund | 2,429,472,096 | 803,821,090 | -- | 328,821,091 | -- | 91,250,764 | 3,324,543,950 |
| Fidelity SAI U.S. Value Index Fund | 550,613,983 | 208,274,427 | -- | 8,274,420 | -- | 111,128,073 | 870,016,483 |
| Fidelity Small Cap Index Fund | 503,719,722 | 151,844,833 | -- | 1,844,833 | -- | 67,052,817 | 722,617,372 |
| Fidelity Total Market Index Fund | 1,297,238,579 | 621,564,840 | 2,016,357,078 | -- | 85,174,780 | 12,378,879 | -- |
| Total | $11,862,007,132 | $6,059,921,193 | $3,203,787,850 | $370,835,579 | $71,949,260 | $1,407,729,569 | $16,197,819,304 |
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 November 30, 2019, 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 | $1,143,757,984 | $1,143,757,984 | $-- | $-- |
| Consumer Discretionary | 1,057,893,243 | 1,057,889,673 | -- | 3,570 |
| Consumer Staples | 925,660,512 | 901,535,334 | 24,125,178 | -- |
| Energy | 723,797,746 | 710,709,388 | 13,088,358 | -- |
| Financials | 2,335,313,843 | 2,310,682,751 | 24,631,092 | -- |
| Health Care | 2,120,035,545 | 1,963,650,061 | 156,385,484 | -- |
| Industrials | 1,359,938,217 | 1,359,938,217 | -- | -- |
| Information Technology | 1,983,030,567 | 1,983,030,567 | -- | -- |
| Materials | 339,337,833 | 339,337,833 | -- | -- |
| Real Estate | 451,333,996 | 451,333,996 | -- | -- |
| Utilities | 385,625,928 | 385,625,928 | -- | -- |
| Equity Funds | 16,197,819,304 | 16,197,819,304 | -- | -- |
| Money Market Funds | 585,345,629 | 585,345,629 | -- | -- |
| Total Investments in Securities: | $29,608,890,347 | $29,390,656,665 | $218,230,112 | $3,570 |
| Derivative Instruments: | ||||
| Liabilities | ||||
| Written Options | $(2,352,271) | $(2,352,271) | $-- | $-- |
| Total Liabilities | $(2,352,271) | $(2,352,271) | $-- | $-- |
| Total Derivative Instruments: | $(2,352,271) | $(2,352,271) | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2019. 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 | $(2,352,271) |
| Total Equity Risk | 0 | (2,352,271) |
| Total Value of Derivatives | $0 | $(2,352,271) |
(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
| November 30, 2019 (Unaudited) | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $266,268,961) — See accompanying schedule: Unaffiliated issuers (cost $11,437,187,924) | $12,825,725,414 | |
| Fidelity Central Funds (cost $585,341,867) | 585,345,629 | |
| Other affiliated issuers (cost $14,904,715,249) | 16,197,819,304 | |
| Total Investment in Securities (cost $26,927,245,040) | $29,608,890,347 | |
| Cash | 1,104,469 | |
| Foreign currency held at value (cost $20,670) | 20,671 | |
| Receivable for investments sold | 10,524,520 | |
| Receivable for fund shares sold | 51,973,978 | |
| Dividends receivable | 23,250,045 | |
| Distributions receivable from Fidelity Central Funds | 607,533 | |
| Prepaid expenses | 24,806 | |
| Other receivables | 71,751 | |
| Total assets | 29,696,468,120 | |
| Liabilities | ||
| Payable for investments purchased | $56,929,894 | |
| Payable for fund shares redeemed | 8,005,129 | |
| Accrued management fee | 3,075,265 | |
| Written options, at value (premium received $944,920) | 2,352,271 | |
| Other payables and accrued expenses | 526,227 | |
| Collateral on securities loaned | 276,794,984 | |
| Total liabilities | 347,683,770 | |
| Net Assets | $29,348,784,350 | |
| Net Assets consist of: | ||
| Paid in capital | $26,197,251,388 | |
| Total accumulated earnings (loss) | 3,151,532,962 | |
| Net Assets | $29,348,784,350 | |
| Net Asset Value, offering price and redemption price per share ($29,348,784,350 ÷ 2,659,768,234 shares) | $11.03 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Six months ended November 30, 2019 (Unaudited) | ||
| Investment Income | ||
| Dividends: | ||
| Unaffiliated issuers | $113,205,310 | |
| Affiliated issuers | 68,918,033 | |
| Income from Fidelity Central Funds (including $880,224 from security lending) | 4,529,838 | |
| Total income | 186,653,181 | |
| Expenses | ||
| Management fee | $49,110,353 | |
| Accounting fees | 153,828 | |
| Custodian fees and expenses | 80,144 | |
| Independent trustees' fees and expenses | 139,586 | |
| Registration fees | 1,055,848 | |
| Audit | 35,053 | |
| Legal | 39,055 | |
| Miscellaneous | 80,059 | |
| Total expenses before reductions | 50,693,926 | |
| Expense reductions | (32,496,127) | |
| Total expenses after reductions | 18,197,799 | |
| Net investment income (loss) | 168,455,382 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers (net of foreign taxes of $41) | 44,836,393 | |
| Fidelity Central Funds | (5,911) | |
| Other affiliated issuers | 71,949,260 | |
| Foreign currency transactions | 14,669 | |
| Capital gain distributions from underlying funds: | ||
| Affiliated issuers | 301,917,546 | |
| Total net realized gain (loss) | 418,711,957 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers (net of decrease in deferred foreign taxes of $118,806) | 1,424,856,727 | |
| Fidelity Central Funds | 1,435 | |
| Other affiliated issuers | 1,407,729,569 | |
| Assets and liabilities in foreign currencies | (84,492) | |
| Written options | (385,799) | |
| Total change in net unrealized appreciation (depreciation) | 2,832,117,440 | |
| Net gain (loss) | 3,250,829,397 | |
| Net increase (decrease) in net assets resulting from operations | $3,419,284,779 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Six months ended November 30, 2019 (Unaudited) | Year ended May 31, 2019 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $168,455,382 | $348,806,724 |
| Net realized gain (loss) | 418,711,957 | 15,522,252 |
| Change in net unrealized appreciation (depreciation) | 2,832,117,440 | (397,686,143) |
| Net increase (decrease) in net assets resulting from operations | 3,419,284,779 | (33,357,167) |
| Distributions to shareholders | (161,609,366) | (408,509,406) |
| Share transactions | ||
| Proceeds from sales of shares | 5,778,074,037 | 10,552,036,542 |
| Reinvestment of distributions | 133,686,864 | 407,855,035 |
| Cost of shares redeemed | (2,232,355,484) | (4,743,732,730) |
| Net increase (decrease) in net assets resulting from share transactions | 3,679,405,417 | 6,216,158,847 |
| Total increase (decrease) in net assets | 6,937,080,830 | 5,774,292,274 |
| Net Assets | ||
| Beginning of period | 22,411,703,520 | 16,637,411,246 |
| End of period | $29,348,784,350 | $22,411,703,520 |
| Other Information | ||
| Shares | ||
| Sold | 556,681,976 | 1,069,485,869 |
| Issued in reinvestment of distributions | 12,719,968 | 45,736,139 |
| Redeemed | (215,236,544) | (480,126,871) |
| Net increase (decrease) | 354,165,400 | 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
| Six months ended (Unaudited) November 30, | Years endedMay 31, | ||
| 2019 | 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 | .07 | .18 | .01 |
| Net realized and unrealized gain (loss) | 1.31 | (.20) | (.05)C |
| Total from investment operations | 1.38 | (.02) | (.04) |
| Distributions from net investment income | (.05) | (.09)D | – |
| Distributions from net realized gain | (.02) | (.13)D | – |
| Total distributions | (.07) | (.22) | – |
| Net asset value, end of period | $11.03 | $9.72 | $9.96 |
| Total ReturnE,F | 14.21% | (.04)% | (.40)% |
| Ratios to Average Net AssetsG,H,I | |||
| Expenses before reductions | .39%J | .42% | .54%J |
| Expenses net of fee waivers, if any | .14%J | .17% | .29%J,K |
| Expenses net of all reductions | .14%J | .17% | .29%J,K |
| Net investment income (loss) | 1.31%J | 1.81% | .55%J |
| Supplemental Data | |||
| Net assets, end of period (000 omitted) | $29,348,784 | $22,411,704 | $16,637,411 |
| Portfolio turnover rateI | 46%J | 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 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.
D The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.
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 (Unaudited)
For the period ended November 30, 2019
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 (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 November 30, 2019 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 $15,929 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. 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.
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, options, foreign currency transactions, passive foreign investment companies (PFIC), partnerships, 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 | $3,071,826,216 |
| Gross unrealized depreciation | (449,066,598) |
| Net unrealized appreciation (depreciation) | $2,622,759,618 |
| Tax cost | $26,984,723,378 |
Restricted Securities. 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 (including the Underlying Fund shares), other than short-term securities, aggregated $9,826,359,627 and $5,804,904,614, respectively.
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 annualized 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 an annualized rate of 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 | $81,158 |
Interfund Trades. The Fund 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.
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.
Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $24,892.
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 Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. 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 are available on the SEC website or upon request.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $29,446 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow 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 $32,248,435.
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 $222,002 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 $25,690.
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 | 49% |
| Fidelity SAI U.S. Large Cap Index Fund | 14% |
| Fidelity SAI U.S. Low Volatility Index Fund | 14% |
| Fidelity SAI U.S. Momentum Index Fund | 48% |
| Fidelity SAI U.S. Quality Index Fund | 34% |
| Fidelity SAI U.S. Value Index Fund | 41% |
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 (June 1, 2019 to November 30, 2019).
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 June 1, 2019 | Ending Account Value November 30, 2019 | Expenses Paid During Period-B June 1, 2019 to November 30, 2019 |
|
| Actual | .14% | $1,000.00 | $1,142.10 | $.75 |
| 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
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Fidelity U.S. Total Stock 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 Geode Capital Management, LLC (Geode) (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, 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 addition, the Board approved amendments to the fund's sub-advisory agreement with Geode to add certain exceptions to the most favored nation provision in the sub-advisory agreement, and make other non-material amendments to the agreement. The Board noted that the other terms of the amended sub-advisory agreement are not materially different from those of the existing sub-advisory agreement and that Geode will continue to provide the same services to the fund.In reaching its determination to renew the fund's Advisory Contracts and approve the amendments to the sub-advisory agreement described above (Amendments), 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 and approve the Amendments, 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 and the approval of the Amendments 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 and the approval of the Amendments do 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 and approve the Amendments 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. As the fund recently commenced operations, the Board did not believe that it was appropriate to assign significant weight to its limited investment performance. 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 1.00%. 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 % 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.Strategic Advisers Fidelity U.S. Total Stock Fund
TSF-SANN-0120
1.9887484.101
Strategic Advisers® Fidelity® Core Income Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
Semi-Annual Report
November 30, 2019
See the inside front cover for important information about access to your fund’s shareholder reports.
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
|
Board Approval of Investment Advisory Contracts and Management Fees |
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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2019
| (by issuer, excluding cash equivalents) | % of fund's net assets |
| Fidelity SAI Total Bond Fund | 35.7 |
| U.S. Treasury Obligations | 12.5 |
| Fidelity SAI U.S. Treasury Bond Index Fund | 10.5 |
| Fannie Mae | 5.4 |
| Ginnie Mae | 4.9 |
| Freddie Mac | 3.0 |
| Fidelity U.S. Bond Index Fund | 3.0 |
| Fidelity SAI Long-Term Treasury Bond Index Fund | 2.4 |
| Fidelity Inflation-Protected Bond Index Fund | 2.4 |
| Fidelity Floating Rate High Income Fund | 1.7 |
Asset Allocation (% of fund's net assets)
| As of November 30, 2019 | ||
| Corporate Bonds | 12.8% | |
| U.S. Government and U.S. Government Agency Obligations | 28.9% | |
| Asset-Backed Securities | 1.6% | |
| CMOs and Other Mortgage Related Securities | 2.4% | |
| Municipal Securities | 0.2% | |
| Bank Loan Funds | 1.7% | |
| High Yield Fixed-Income Funds | 1.2% | |
| Intermediate-Term Bond Funds | 38.8% | |
| Long Government Bond Funds | 2.4% | |
| Other Investments | 0.3% | |
| Short-Term Investments and Net Other Assets (Liabilities)* | (0.8)% | |
| Intermediate Government Funds | 10.5% | |
* 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.
Schedule of Investments November 30, 2019 (Unaudited)
Showing Percentage of Net Assets
| Nonconvertible Bonds - 12.8% | |||
| Principal Amount | Value | ||
| COMMUNICATION SERVICES - 1.4% | |||
| Diversified Telecommunication Services - 0.6% | |||
| AT&T, Inc.: | |||
| 3.6% 2/17/23 | $4,947,000 | $5,168,634 | |
| 4.3% 2/15/30 | 3,992,000 | 4,388,296 | |
| 4.45% 4/1/24 | 479,000 | 517,551 | |
| 4.5% 3/9/48 | 28,904,000 | 31,477,149 | |
| 4.75% 5/15/46 | 41,310,000 | 46,183,004 | |
| 4.9% 6/15/42 | 6,909,000 | 7,775,210 | |
| 5.55% 8/15/41 | 12,537,000 | 15,229,208 | |
| 6.2% 3/15/40 | 2,303,000 | 2,912,804 | |
| BellSouth Capital Funding Corp. 7.875% 2/15/30 | 102,000 | 143,990 | |
| C&W Senior Financing Designated Activity Co.: | |||
| 6.875% 9/15/27 (a) | 1,191,000 | 1,257,249 | |
| 7.5% 10/15/26 (a) | 1,490,000 | 1,599,888 | |
| Level 3 Financing, Inc.: | |||
| 5.25% 3/15/26 | 1,028,000 | 1,070,405 | |
| 5.375% 1/15/24 | 279,000 | 283,534 | |
| 5.375% 5/1/25 | 613,000 | 634,455 | |
| 5.625% 2/1/23 | 1,951,000 | 1,958,316 | |
| Qwest Corp. 6.75% 12/1/21 | 247,000 | 264,861 | |
| Sable International Finance Ltd. 5.75% 9/7/27 (a) | 1,295,000 | 1,358,131 | |
| SFR Group SA 7.375% 5/1/26 (a) | 975,000 | 1,040,813 | |
| Telecom Italia Capital SA: | |||
| 6% 9/30/34 | 286,000 | 305,979 | |
| 6.375% 11/15/33 | 162,000 | 179,415 | |
| Telecom Italia SpA 5.303% 5/30/24 (a) | 2,014,000 | 2,165,594 | |
| Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (a) | 800,000 | 848,000 | |
| U.S. West Communications 7.25% 9/15/25 | 263,000 | 301,096 | |
| Verizon Communications, Inc.: | |||
| 4.862% 8/21/46 | 3,453,000 | 4,318,634 | |
| 5.012% 4/15/49 | 1,323,000 | 1,701,904 | |
| 133,084,120 | |||
| Entertainment - 0.0% | |||
| NBCUniversal, Inc.: | |||
| 4.45% 1/15/43 | 2,043,000 | 2,385,166 | |
| 5.95% 4/1/41 | 1,429,000 | 1,959,557 | |
| 4,344,723 | |||
| Media - 0.7% | |||
| Altice Financing SA: | |||
| 6.625% 2/15/23 (a) | 970,000 | 991,825 | |
| 7.5% 5/15/26 (a) | 819,000 | 871,170 | |
| CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
| 5% 2/1/28 (a) | 2,401,000 | 2,527,053 | |
| 5.125% 2/15/23 | 153,000 | 155,486 | |
| 5.125% 5/1/23 (a) | 557,000 | 570,229 | |
| 5.125% 5/1/27 (a) | 1,159,000 | 1,228,540 | |
| 5.375% 5/1/25 (a) | 1,393,000 | 1,441,755 | |
| 5.5% 5/1/26 (a) | 988,000 | 1,042,340 | |
| 5.75% 2/15/26 (a) | 438,000 | 462,620 | |
| 5.875% 4/1/24 (a) | 594,000 | 619,245 | |
| 5.875% 5/1/27 (a) | 697,000 | 742,305 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
| 4.464% 7/23/22 | 5,986,000 | 6,280,350 | |
| 4.908% 7/23/25 | 4,642,000 | 5,091,068 | |
| 5.375% 5/1/47 | 41,310,000 | 46,009,720 | |
| 5.75% 4/1/48 | 18,275,000 | 21,161,741 | |
| Comcast Corp.: | |||
| 3.9% 3/1/38 | 1,096,000 | 1,216,071 | |
| 4.6% 8/15/45 | 2,885,000 | 3,496,743 | |
| 4.65% 7/15/42 | 2,578,000 | 3,115,898 | |
| CSC Holdings LLC: | |||
| 5.375% 7/15/23 (a) | 1,258,000 | 1,291,023 | |
| 5.5% 5/15/26 (a) | 503,000 | 531,374 | |
| 5.5% 4/15/27 (a) | 564,000 | 599,955 | |
| DISH DBS Corp. 5.875% 11/15/24 | 638,000 | 637,203 | |
| Fox Corp.: | |||
| 3.666% 1/25/22 (a) | 902,000 | 931,188 | |
| 4.03% 1/25/24 (a) | 1,586,000 | 1,687,035 | |
| 4.709% 1/25/29 (a) | 2,296,000 | 2,605,687 | |
| 5.476% 1/25/39 (a) | 2,264,000 | 2,785,225 | |
| 5.576% 1/25/49 (a) | 1,502,000 | 1,914,036 | |
| Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (a) | 1,320,000 | 1,324,950 | |
| Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (a) | 2,100,000 | 2,113,125 | |
| Sirius XM Radio, Inc.: | |||
| 4.625% 7/15/24 (a) | 337,000 | 353,008 | |
| 5% 8/1/27 (a) | 835,000 | 878,838 | |
| 5.375% 7/15/26 (a) | 975,000 | 1,029,844 | |
| Time Warner Cable, Inc.: | |||
| 4% 9/1/21 | 12,819,000 | 13,125,088 | |
| 4.5% 9/15/42 | 886,000 | 887,307 | |
| 5.5% 9/1/41 | 1,530,000 | 1,701,829 | |
| 5.875% 11/15/40 | 3,289,000 | 3,799,222 | |
| 6.55% 5/1/37 | 5,846,000 | 7,142,527 | |
| 7.3% 7/1/38 | 3,785,000 | 4,853,723 | |
| Virgin Media Secured Finance PLC 5.5% 8/15/26 (a) | 709,000 | 745,322 | |
| Ziggo B.V. 5.5% 1/15/27 (a) | 3,982,000 | 4,216,142 | |
| 152,177,810 | |||
| Wireless Telecommunication Services - 0.1% | |||
| Millicom International Cellular SA 6.625% 10/15/26 (a) | 1,253,000 | 1,364,987 | |
| Neptune Finco Corp. 6.625% 10/15/25 (a) | 4,701,000 | 5,001,394 | |
| SoftBank Corp. 5.375% 7/30/22 (Reg. S) | 543,000 | 562,005 | |
| T-Mobile U.S.A., Inc.: | |||
| 4.5% 2/1/26 | 376,000 | 385,870 | |
| 5.125% 4/15/25 | 425,000 | 439,344 | |
| 6% 4/15/24 | 404,000 | 417,972 | |
| 8,171,572 | |||
| TOTAL COMMUNICATION SERVICES | 297,778,225 | ||
| CONSUMER DISCRETIONARY - 0.5% | |||
| Automobiles - 0.1% | |||
| General Motors Financial Co., Inc.: | |||
| 3.7% 5/9/23 | 8,751,000 | 9,004,311 | |
| 4.25% 5/15/23 | 1,359,000 | 1,424,742 | |
| 4.375% 9/25/21 | 5,310,000 | 5,492,749 | |
| 15,921,802 | |||
| Diversified Consumer Services - 0.0% | |||
| GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (a) | 655,000 | 687,955 | |
| Service Corp. International 5.125% 6/1/29 | 325,000 | 346,938 | |
| 1,034,893 | |||
| Hotels, Restaurants & Leisure - 0.1% | |||
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc. 4.25% 5/15/24 (a) | 743,000 | 759,718 | |
| Aramark Services, Inc.: | |||
| 4.75% 6/1/26 | 973,000 | 1,007,055 | |
| 5% 2/1/28 (a) | 975,000 | 1,023,750 | |
| Caesars Resort Collection LLC 5.25% 10/15/25 (a) | 836,000 | 863,973 | |
| GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 | 486,000 | 533,400 | |
| Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.: | |||
| 4.625% 4/1/25 | 836,000 | 858,990 | |
| 4.875% 4/1/27 | 164,000 | 173,840 | |
| KFC Holding Co./Pizza Hut Holding LLC 5% 6/1/24 (a) | 836,000 | 867,350 | |
| MCE Finance Ltd. 4.875% 6/6/25 (a) | 750,000 | 765,613 | |
| MGM Growth Properties Operating Partnership LP: | |||
| 4.5% 9/1/26 | 2,508,000 | 2,639,670 | |
| 4.5% 1/15/28 | 637,000 | 665,665 | |
| 5.75% 2/1/27 (a) | 256,000 | 286,720 | |
| MGM Mirage, Inc.: | |||
| 5.75% 6/15/25 | 1,249,000 | 1,394,196 | |
| 6% 3/15/23 | 606,000 | 666,600 | |
| Penn National Gaming, Inc. 5.625% 1/15/27 (a) | 600,000 | 622,500 | |
| Twin River Worldwide Holdings, Inc. 6.75% 6/1/27 (a) | 360,000 | 370,800 | |
| Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (a) | 478,000 | 504,290 | |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | |||
| 5.25% 5/15/27 (a) | 787,000 | 820,448 | |
| 5.5% 3/1/25 (a) | 700,000 | 746,375 | |
| Wynn Macau Ltd.: | |||
| 4.875% 10/1/24 (a) | 762,000 | 773,430 | |
| 5.5% 10/1/27 (a) | 670,000 | 687,797 | |
| 17,032,180 | |||
| Household Durables - 0.3% | |||
| Lennar Corp.: | |||
| 4.75% 11/29/27 | 9,429,000 | 10,159,748 | |
| 5% 6/15/27 | 12,243,000 | 13,237,744 | |
| 5.25% 6/1/26 | 2,965,000 | 3,239,263 | |
| Toll Brothers Finance Corp.: | |||
| 4.35% 2/15/28 | 14,431,000 | 14,981,182 | |
| 4.875% 11/15/25 | 45,000 | 48,870 | |
| 4.875% 3/15/27 | 15,464,000 | 16,739,780 | |
| 5.625% 1/15/24 | 950,000 | 1,040,250 | |
| 59,446,837 | |||
| Leisure Products - 0.0% | |||
| Hasbro, Inc.: | |||
| 2.6% 11/19/22 | 2,845,000 | 2,854,386 | |
| 3% 11/19/24 | 6,474,000 | 6,470,724 | |
| Mattel, Inc. 6.75% 12/31/25 (a) | 715,000 | 748,963 | |
| 10,074,073 | |||
| Textiles, Apparel & Luxury Goods - 0.0% | |||
| The William Carter Co. 5.625% 3/15/27 (a) | 446,000 | 480,565 | |
| TOTAL CONSUMER DISCRETIONARY | 103,990,350 | ||
| CONSUMER STAPLES - 0.6% | |||
| Beverages - 0.4% | |||
| Anheuser-Busch InBev Finance, Inc.: | |||
| 3.65% 2/1/26 | 8,244,000 | 8,813,197 | |
| 4.7% 2/1/36 | 6,600,000 | 7,684,716 | |
| 4.9% 2/1/46 | 14,391,000 | 17,142,950 | |
| Anheuser-Busch InBev Worldwide, Inc.: | |||
| 4.75% 4/15/58 | 5,641,000 | 6,768,029 | |
| 5.45% 1/23/39 | 5,480,000 | 6,949,886 | |
| 5.55% 1/23/49 | 13,389,000 | 17,757,912 | |
| 5.8% 1/23/59 (Reg. S) | 14,304,000 | 20,132,656 | |
| Constellation Brands, Inc. 4.75% 11/15/24 | 3,799,000 | 4,209,339 | |
| 89,458,685 | |||
| Food & Staples Retailing - 0.0% | |||
| C&S Group Enterprises LLC 5.375% 7/15/22 (a) | 911,000 | 920,110 | |
| Walgreens Boots Alliance, Inc. 3.3% 11/18/21 | 1,926,000 | 1,954,775 | |
| 2,874,885 | |||
| Food Products - 0.2% | |||
| CF Industries Holdings, Inc. 5.15% 3/15/34 | 867,000 | 945,030 | |
| Conagra Brands, Inc. 3.8% 10/22/21 | 1,548,000 | 1,593,797 | |
| H.J. Heinz Co.: | |||
| 4.375% 6/1/46 | 6,995,000 | 6,812,537 | |
| 5.2% 7/15/45 | 6,203,000 | 6,690,939 | |
| H.J. Heinz Finance Co. 7.125% 8/1/39 (a) | 9,489,000 | 12,285,770 | |
| JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
| 5.75% 6/15/25 (a) | 2,236,000 | 2,319,850 | |
| 5.875% 7/15/24 (a) | 2,434,000 | 2,509,454 | |
| 6.75% 2/15/28 (a) | 269,000 | 296,882 | |
| JBS U.S.A. Lux SA / JBS Food Co.: | |||
| 5.5% 1/15/30 (a) | 710,000 | 757,038 | |
| 6.5% 4/15/29 (a) | 676,000 | 748,670 | |
| Lamb Weston Holdings, Inc.: | |||
| 4.625% 11/1/24 (a) | 557,000 | 588,331 | |
| 4.875% 11/1/26 (a) | 369,000 | 390,218 | |
| 35,938,516 | |||
| Tobacco - 0.0% | |||
| Vector Group Ltd. 6.125% 2/1/25 (a) | 934,000 | 893,138 | |
| TOTAL CONSUMER STAPLES | 129,165,224 | ||
| ENERGY - 1.7% | |||
| Energy Equipment & Services - 0.0% | |||
| El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21 | 1,456,000 | 1,518,219 | |
| Jonah Energy LLC 7.25% 10/15/25 (a) | 301,000 | 87,290 | |
| Nabors Industries, Inc. 5.5% 1/15/23 | 359,000 | 315,920 | |
| Summit Midstream Holdings LLC: | |||
| 5.5% 8/15/22 | 830,000 | 717,950 | |
| 5.75% 4/15/25 | 2,117,000 | 1,598,335 | |
| 4,237,714 | |||
| Oil, Gas & Consumable Fuels - 1.7% | |||
| Alberta Energy Co. Ltd. 8.125% 9/15/30 | 5,649,000 | 7,199,758 | |
| Amerada Hess Corp.: | |||
| 7.125% 3/15/33 | 1,403,000 | 1,760,692 | |
| 7.3% 8/15/31 | 1,709,000 | 2,146,069 | |
| 7.875% 10/1/29 | 4,789,000 | 6,151,994 | |
| Canadian Natural Resources Ltd.: | |||
| 3.45% 11/15/21 | 2,648,000 | 2,707,812 | |
| 5.85% 2/1/35 | 2,024,000 | 2,471,724 | |
| Cenovus Energy, Inc.: | |||
| 4.25% 4/15/27 | 6,131,000 | 6,437,732 | |
| 6.75% 11/15/39 | 741,000 | 918,180 | |
| Cheniere Corpus Christi Holdings LLC: | |||
| 5.875% 3/31/25 | 549,000 | 613,617 | |
| 7% 6/30/24 | 1,941,000 | 2,226,987 | |
| Cheniere Energy Partners LP: | |||
| 5.25% 10/1/25 | 4,335,000 | 4,465,050 | |
| 5.625% 10/1/26 | 730,000 | 768,310 | |
| Chesapeake Energy Corp. 8% 6/15/27 | 1,505,000 | 718,638 | |
| Citgo Holding, Inc. 9.25% 8/1/24 (a) | 245,000 | 256,944 | |
| Columbia Pipeline Group, Inc.: | |||
| 3.3% 6/1/20 | 2,797,000 | 2,810,809 | |
| 4.5% 6/1/25 | 852,000 | 925,990 | |
| Consolidated Energy Finance SA 3 month U.S. LIBOR + 3.750% 5.8685% 6/15/22 (a)(b)(c) | 1,236,000 | 1,223,704 | |
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
| 5.75% 4/1/25 | 1,671,000 | 1,679,856 | |
| 6.25% 4/1/23 | 750,000 | 751,875 | |
| CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 | 896,000 | 907,200 | |
| DCP Midstream LLC: | |||
| 4.75% 9/30/21 (a) | 2,233,000 | 2,274,869 | |
| 5.35% 3/15/20 (a) | 2,290,000 | 2,298,588 | |
| 5.85% 5/21/43 (a)(b) | 4,466,000 | 4,108,720 | |
| DCP Midstream Operating LP: | |||
| 3.875% 3/15/23 | 3,116,000 | 3,162,740 | |
| 5.375% 7/15/25 | 1,605,000 | 1,709,293 | |
| 5.6% 4/1/44 | 2,703,000 | 2,581,365 | |
| Denbury Resources, Inc.: | |||
| 7.75% 2/15/24 (a) | 770,000 | 572,688 | |
| 9.25% 3/31/22 (a) | 70,000 | 57,925 | |
| El Paso Corp. 6.5% 9/15/20 | 7,470,000 | 7,721,515 | |
| Enable Midstream Partners LP 3.9% 5/15/24 (b) | 869,000 | 875,789 | |
| Enbridge Energy Partners LP 4.2% 9/15/21 | 2,622,000 | 2,700,482 | |
| Enbridge, Inc.: | |||
| 4% 10/1/23 | 3,854,000 | 4,075,216 | |
| 4.25% 12/1/26 | 1,461,000 | 1,592,566 | |
| Energy Transfer Partners LP: | |||
| 4.2% 9/15/23 | 1,203,000 | 1,258,111 | |
| 4.25% 3/15/23 | 1,393,000 | 1,448,069 | |
| 4.5% 4/15/24 | 1,576,000 | 1,666,257 | |
| 4.95% 6/15/28 | 4,103,000 | 4,414,371 | |
| 5.25% 4/15/29 | 2,564,000 | 2,829,844 | |
| 5.8% 6/15/38 | 2,288,000 | 2,582,885 | |
| 6% 6/15/48 | 1,490,000 | 1,699,725 | |
| 6.25% 4/15/49 | 1,761,000 | 2,081,227 | |
| EQT Corp. 3.9% 10/1/27 | 700,000 | 610,008 | |
| Global Partners LP/GLP Finance Corp. 7% 8/1/27 (a) | 1,200,000 | 1,254,282 | |
| Hess Corp.: | |||
| 5.6% 2/15/41 | 2,100,000 | 2,393,730 | |
| 5.8% 4/1/47 | 5,019,000 | 5,954,070 | |
| Hess Infrastructure Partners LP 5.625% 2/15/26 (a) | 1,343,000 | 1,396,720 | |
| Hess Midstream Partners LP 5.125% 6/15/28 (a)(d) | 280,000 | 283,220 | |
| Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
| 5% 12/1/24 (a) | 782,000 | 696,285 | |
| 5.75% 10/1/25 (a) | 543,000 | 471,688 | |
| Kinder Morgan Energy Partners LP 3.45% 2/15/23 | 2,000,000 | 2,057,023 | |
| Kinder Morgan, Inc. 5.55% 6/1/45 | 3,046,000 | 3,578,698 | |
| Marathon Petroleum Corp. 5.125% 3/1/21 | 1,583,000 | 1,641,165 | |
| MPLX LP: | |||
| 3 month U.S. LIBOR + 0.900% 3.0021% 9/9/21 (b)(c) | 2,253,000 | 2,260,641 | |
| 3 month U.S. LIBOR + 1.100% 3.2021% 9/9/22 (b)(c) | 3,392,000 | 3,404,008 | |
| 4.8% 2/15/29 | 1,376,000 | 1,489,851 | |
| 4.875% 12/1/24 | 1,974,000 | 2,135,729 | |
| 5.5% 2/15/49 | 4,129,000 | 4,546,565 | |
| Nakilat, Inc. 6.067% 12/31/33 (a) | 1,213,000 | 1,479,481 | |
| Occidental Petroleum Corp.: | |||
| 2.6% 8/13/21 | 2,203,000 | 2,213,871 | |
| 2.7% 8/15/22 | 1,947,000 | 1,963,132 | |
| 2.9% 8/15/24 | 6,433,000 | 6,463,263 | |
| 3.125% 2/15/22 | 4,013,000 | 4,073,653 | |
| 3.2% 8/15/26 | 865,000 | 870,066 | |
| 3.5% 8/15/29 | 2,726,000 | 2,752,735 | |
| 4.3% 8/15/39 | 397,000 | 401,666 | |
| 4.4% 8/15/49 | 3,397,000 | 3,449,652 | |
| 4.85% 3/15/21 | 1,251,000 | 1,289,597 | |
| 5.55% 3/15/26 | 4,939,000 | 5,598,239 | |
| 6.45% 9/15/36 | 4,300,000 | 5,228,668 | |
| 6.6% 3/15/46 | 4,886,000 | 6,270,056 | |
| 7.5% 5/1/31 | 6,280,000 | 8,191,342 | |
| Parsley Energy LLC/Parsley 5.25% 8/15/25 (a) | 1,724,000 | 1,750,412 | |
| Petrobras Global Finance BV 7.25% 3/17/44 | 27,432,000 | 32,824,103 | |
| Petroleos Mexicanos: | |||
| 5.625% 1/23/46 | 7,264,000 | 6,415,020 | |
| 6.35% 2/12/48 | 2,000,000 | 1,887,063 | |
| 6.49% 1/23/27 (a) | 3,630,000 | 3,820,575 | |
| 6.5% 3/13/27 | 4,256,000 | 4,453,851 | |
| 6.75% 9/21/47 | 22,490,000 | 22,180,763 | |
| 6.84% 1/23/30 (a) | 15,264,000 | 16,004,304 | |
| 7.69% 1/23/50 (a) | 52,206,000 | 55,964,832 | |
| Plains All American Pipeline LP/PAA Finance Corp.: | |||
| 3.55% 12/15/29 | 1,968,000 | 1,897,384 | |
| 3.6% 11/1/24 | 1,903,000 | 1,941,798 | |
| 3.65% 6/1/22 | 3,779,000 | 3,865,776 | |
| QEP Resources, Inc. 5.25% 5/1/23 | 836,000 | 794,200 | |
| Range Resources Corp.: | |||
| 4.875% 5/15/25 | 510,000 | 415,650 | |
| 5% 3/15/23 | 227,000 | 197,206 | |
| Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 | 2,000,000 | 2,123,714 | |
| Semgroup Corp. / Rose Rock Finance 5.625% 11/15/23 | 557,000 | 570,925 | |
| Sunoco Logistics Partner Operations LP 5.4% 10/1/47 | 1,732,000 | 1,823,828 | |
| Sunoco LP/Sunoco Finance Corp. 5.5% 2/15/26 | 1,170,000 | 1,209,488 | |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
| 4.25% 11/15/23 | 1,516,000 | 1,529,265 | |
| 5.125% 2/1/25 | 953,000 | 979,112 | |
| 5.375% 2/1/27 | 128,000 | 130,240 | |
| 5.875% 4/15/26 | 881,000 | 926,988 | |
| The Williams Companies, Inc.: | |||
| 3.7% 1/15/23 | 808,000 | 834,166 | |
| 4.55% 6/24/24 | 8,829,000 | 9,451,386 | |
| Viper Energy Partners LP 5.375% 11/1/27 (a) | 600,000 | 623,976 | |
| Western Gas Partners LP: | |||
| 3.95% 6/1/25 | 1,280,000 | 1,256,878 | |
| 4.65% 7/1/26 | 1,675,000 | 1,670,364 | |
| 4.75% 8/15/28 | 1,236,000 | 1,198,401 | |
| 5.375% 6/1/21 | 4,807,000 | 4,949,222 | |
| Williams Partners LP: | |||
| 4% 11/15/21 | 1,425,000 | 1,467,292 | |
| 4.125% 11/15/20 | 474,000 | 480,423 | |
| 4.3% 3/4/24 | 1,992,000 | 2,104,045 | |
| 371,016,940 | |||
| TOTAL ENERGY | 375,254,654 | ||
| FINANCIALS - 6.0% | |||
| Banks - 3.1% | |||
| Bank of America Corp.: | |||
| 3.004% 12/20/23 (b) | 10,687,000 | 10,914,777 | |
| 3.3% 1/11/23 | 2,658,000 | 2,748,791 | |
| 3.419% 12/20/28 (b) | 5,193,000 | 5,444,550 | |
| 3.5% 4/19/26 | 6,078,000 | 6,451,582 | |
| 3.95% 4/21/25 | 37,660,000 | 40,039,027 | |
| 4% 1/22/25 | 26,856,000 | 28,577,795 | |
| 4.1% 7/24/23 | 1,426,000 | 1,520,247 | |
| 4.183% 11/25/27 | 6,909,000 | 7,483,593 | |
| 4.2% 8/26/24 | 8,311,000 | 8,905,332 | |
| 4.25% 10/22/26 | 38,178,000 | 41,737,825 | |
| 4.45% 3/3/26 | 6,522,000 | 7,159,984 | |
| Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 2.6959% 7/20/22 (a)(b)(c) | 8,158,000 | 8,206,836 | |
| Barclays Bank PLC 10.179% 6/12/21 (a) | 1,750,000 | 1,951,105 | |
| Barclays PLC: | |||
| 4.375% 1/12/26 | 4,468,000 | 4,791,418 | |
| 4.836% 5/9/28 | 6,102,000 | 6,515,881 | |
| 5.088% 6/20/30 (b) | 29,218,000 | 31,868,020 | |
| 5.2% 5/12/26 | 1,556,000 | 1,691,248 | |
| BPCE SA 4.875% 4/1/26 (a) | 7,383,000 | 8,096,245 | |
| Capital One NA 2.15% 9/6/22 | 5,537,000 | 5,526,432 | |
| CIT Group, Inc.: | |||
| 4.75% 2/16/24 | 2,520,000 | 2,693,250 | |
| 6.125% 3/9/28 | 4,920,000 | 5,781,000 | |
| Citigroup, Inc.: | |||
| 2.7% 10/27/22 | 32,935,000 | 33,453,452 | |
| 3.352% 4/24/25 (b) | 6,844,000 | 7,094,952 | |
| 4.05% 7/30/22 | 1,320,000 | 1,378,937 | |
| 4.075% 4/23/29 (b) | 4,606,000 | 5,046,863 | |
| 4.125% 7/25/28 | 6,909,000 | 7,509,373 | |
| 4.3% 11/20/26 | 1,766,000 | 1,923,285 | |
| 4.4% 6/10/25 | 19,341,000 | 20,892,644 | |
| 4.45% 9/29/27 | 15,641,000 | 17,214,653 | |
| 4.5% 1/14/22 | 3,193,000 | 3,350,326 | |
| 4.6% 3/9/26 | 15,174,000 | 16,700,968 | |
| 5.3% 5/6/44 | 9,501,000 | 12,043,458 | |
| 5.5% 9/13/25 | 7,738,000 | 8,846,422 | |
| Citizens Financial Group, Inc.: | |||
| 4.15% 9/28/22 (a) | 3,130,000 | 3,250,251 | |
| 4.3% 12/3/25 | 6,411,000 | 6,897,449 | |
| Commonwealth Bank of Australia 3.61% 9/12/34 (a)(b) | 3,723,000 | 3,743,547 | |
| Credit Suisse Group Funding Guernsey Ltd.: | |||
| 3.75% 3/26/25 | 9,717,000 | 10,249,786 | |
| 3.8% 9/15/22 | 4,767,000 | 4,957,518 | |
| 3.8% 6/9/23 | 6,892,000 | 7,203,350 | |
| 4.55% 4/17/26 | 3,126,000 | 3,473,061 | |
| Discover Bank 7% 4/15/20 | 3,087,000 | 3,141,044 | |
| Fifth Third Bancorp 8.25% 3/1/38 | 1,098,000 | 1,691,291 | |
| HSBC Holdings PLC: | |||
| 4.25% 3/14/24 | 1,433,000 | 1,517,357 | |
| 5.25% 3/14/44 | 1,039,000 | 1,285,832 | |
| Huntington Bancshares, Inc. 7% 12/15/20 | 736,000 | 772,383 | |
| Intesa Sanpaolo SpA: | |||
| 5.017% 6/26/24 (a) | 10,324,000 | 10,740,099 | |
| 5.71% 1/15/26 (a) | 29,145,000 | 31,102,993 | |
| JPMorgan Chase & Co.: | |||
| 2.95% 10/1/26 | 3,081,000 | 3,178,584 | |
| 3.797% 7/23/24 (b) | 9,901,000 | 10,415,138 | |
| 3.875% 9/10/24 | 6,291,000 | 6,686,091 | |
| 4.125% 12/15/26 | 25,341,000 | 27,718,852 | |
| 4.35% 8/15/21 | 8,482,000 | 8,812,182 | |
| 4.625% 5/10/21 | 1,251,000 | 1,296,945 | |
| Rabobank Nederland 4.375% 8/4/25 | 4,789,000 | 5,204,359 | |
| Regions Financial Corp. 3.2% 2/8/21 | 2,243,000 | 2,269,903 | |
| Royal Bank of Scotland Group PLC: | |||
| 5.125% 5/28/24 | 25,923,000 | 27,916,461 | |
| 6% 12/19/23 | 22,077,000 | 24,429,487 | |
| 6.1% 6/10/23 | 6,222,000 | 6,816,614 | |
| 6.125% 12/15/22 | 21,905,000 | 23,775,954 | |
| Societe Generale 4.25% 4/14/25 (a) | 7,110,000 | 7,442,574 | |
| Synchrony Bank 3% 6/15/22 | 3,984,000 | 4,039,149 | |
| UniCredit SpA 6.572% 1/14/22 (a) | 6,953,000 | 7,453,786 | |
| Wells Fargo & Co. 4.3% 7/22/27 | 25,328,000 | 27,780,291 | |
| Westpac Banking Corp. 4.11% 7/24/34 (b) | 5,171,000 | 5,360,049 | |
| 664,182,651 | |||
| Capital Markets - 1.6% | |||
| Affiliated Managers Group, Inc. 4.25% 2/15/24 | 1,396,000 | 1,489,174 | |
| Ares Capital Corp. 4.2% 6/10/24 | 12,366,000 | 12,812,380 | |
| Credit Suisse Group AG 2.593% 9/11/25 (a)(b) | 14,306,000 | 14,282,792 | |
| Deutsche Bank AG 4.5% 4/1/25 | 15,769,000 | 15,306,008 | |
| Deutsche Bank AG New York Branch: | |||
| 3.3% 11/16/22 | 7,369,000 | 7,404,765 | |
| 4.1% 1/13/26 | 8,332,000 | 8,362,523 | |
| 5% 2/14/22 | 11,778,000 | 12,252,875 | |
| Goldman Sachs Group, Inc.: | |||
| 2.876% 10/31/22 (b) | 10,640,000 | 10,761,949 | |
| 3.2% 2/23/23 | 5,987,000 | 6,157,859 | |
| 3.272% 9/29/25 (b) | 35,921,000 | 37,166,845 | |
| 4.25% 10/21/25 | 12,215,000 | 13,189,363 | |
| 6.75% 10/1/37 | 59,592,000 | 81,979,222 | |
| Intercontinental Exchange, Inc.: | |||
| 2.75% 12/1/20 | 1,140,000 | 1,149,455 | |
| 3.75% 12/1/25 | 2,038,000 | 2,199,389 | |
| Moody's Corp.: | |||
| 3.25% 1/15/28 | 2,085,000 | 2,194,540 | |
| 4.875% 2/15/24 | 1,958,000 | 2,157,890 | |
| Morgan Stanley: | |||
| 3 month U.S. LIBOR + 0.930% 2.8833% 7/22/22 (b)(c) | 3,745,000 | 3,779,094 | |
| 3.125% 1/23/23 | 5,527,000 | 5,675,596 | |
| 3.125% 7/27/26 | 14,775,000 | 15,312,874 | |
| 3.625% 1/20/27 | 16,594,000 | 17,688,237 | |
| 3.7% 10/23/24 | 4,754,000 | 5,034,993 | |
| 3.75% 2/25/23 | 3,789,000 | 3,966,263 | |
| 3.875% 4/29/24 | 4,377,000 | 4,650,645 | |
| 4.1% 5/22/23 | 7,911,000 | 8,359,472 | |
| 4.431% 1/23/30 (b) | 5,526,000 | 6,232,364 | |
| 4.875% 11/1/22 | 9,955,000 | 10,673,420 | |
| 5% 11/24/25 | 21,351,000 | 24,033,715 | |
| 5.75% 1/25/21 | 4,669,000 | 4,863,857 | |
| MSCI, Inc.: | |||
| 4.75% 8/1/26 (a) | 900,000 | 945,000 | |
| 5.375% 5/15/27 (a) | 1,242,000 | 1,330,493 | |
| 341,413,052 | |||
| Consumer Finance - 0.7% | |||
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
| 2.875% 8/14/24 | 8,576,000 | 8,643,986 | |
| 3.5% 5/26/22 | 1,452,000 | 1,492,062 | |
| 4.125% 7/3/23 | 4,250,000 | 4,476,652 | |
| 4.45% 12/16/21 | 3,670,000 | 3,822,868 | |
| 4.45% 4/3/26 | 4,254,000 | 4,575,149 | |
| 4.5% 5/15/21 | 1,333,000 | 1,376,831 | |
| 4.875% 1/16/24 | 6,629,000 | 7,187,513 | |
| 5% 10/1/21 | 1,999,000 | 2,095,447 | |
| Ally Financial, Inc.: | |||
| 3.875% 5/21/24 | 371,000 | 385,532 | |
| 5.125% 9/30/24 | 1,325,000 | 1,455,844 | |
| 5.75% 11/20/25 | 2,128,000 | 2,343,460 | |
| 8% 11/1/31 | 347,000 | 478,426 | |
| Capital One Financial Corp. 3.8% 1/31/28 | 6,880,000 | 7,298,542 | |
| Discover Financial Services: | |||
| 3.85% 11/21/22 | 2,241,000 | 2,347,915 | |
| 3.95% 11/6/24 | 1,874,000 | 1,989,368 | |
| 4.1% 2/9/27 | 4,579,000 | 4,909,175 | |
| 4.5% 1/30/26 | 5,913,000 | 6,457,767 | |
| 5.2% 4/27/22 | 1,887,000 | 2,012,142 | |
| Ford Motor Credit Co. LLC: | |||
| 4.063% 11/1/24 | 22,139,000 | 22,252,045 | |
| 5.085% 1/7/21 | 3,662,000 | 3,745,617 | |
| 5.584% 3/18/24 | 8,520,000 | 9,116,983 | |
| 5.596% 1/7/22 | 7,576,000 | 7,967,294 | |
| Navient Corp.: | |||
| 5.5% 1/25/23 | 798,000 | 840,893 | |
| 5.875% 10/25/24 | 72,000 | 76,680 | |
| 6.125% 3/25/24 | 209,000 | 223,108 | |
| 6.5% 6/15/22 | 1,506,000 | 1,633,287 | |
| 6.625% 7/26/21 | 975,000 | 1,033,510 | |
| 6.75% 6/15/26 | 606,000 | 648,468 | |
| 7.25% 1/25/22 | 376,000 | 407,960 | |
| 7.25% 9/25/23 | 1,246,000 | 1,383,060 | |
| Springleaf Finance Corp.: | |||
| 6.875% 3/15/25 | 935,000 | 1,067,798 | |
| 7.125% 3/15/26 | 241,000 | 277,753 | |
| Synchrony Financial: | |||
| 2.85% 7/25/22 | 2,154,000 | 2,174,873 | |
| 3.75% 8/15/21 | 1,457,000 | 1,488,994 | |
| 3.95% 12/1/27 | 8,239,000 | 8,602,829 | |
| 4.25% 8/15/24 | 1,467,000 | 1,547,023 | |
| 4.375% 3/19/24 | 3,110,000 | 3,295,370 | |
| 5.15% 3/19/29 | 14,944,000 | 16,827,930 | |
| 147,960,154 | |||
| Diversified Financial Services - 0.3% | |||
| Avolon Holdings Funding Ltd.: | |||
| 3.625% 5/1/22 (a) | 2,141,000 | 2,187,819 | |
| 3.95% 7/1/24 (a) | 2,844,000 | 2,948,944 | |
| 4.375% 5/1/26 (a) | 3,481,000 | 3,672,107 | |
| 5.125% 10/1/23 (a) | 1,743,000 | 1,873,551 | |
| 5.25% 5/15/24 (a) | 4,465,000 | 4,851,669 | |
| 5.5% 1/15/23 (a) | 610,000 | 655,811 | |
| AXA Equitable Holdings, Inc. 3.9% 4/20/23 | 1,038,000 | 1,087,145 | |
| Brixmor Operating Partnership LP: | |||
| 4.125% 6/15/26 | 5,362,000 | 5,723,120 | |
| 4.125% 5/15/29 | 7,147,000 | 7,712,169 | |
| Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 | 348,000 | 364,965 | |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
| 5.875% 2/1/22 | 3,181,000 | 3,199,227 | |
| 6.25% 2/1/22 | 864,000 | 881,280 | |
| 6.25% 5/15/26 | 536,000 | 570,170 | |
| 6.375% 12/15/25 | 387,000 | 409,253 | |
| 6.75% 2/1/24 | 206,000 | 214,240 | |
| Park Aerospace Holdings Ltd.: | |||
| 4.5% 3/15/23 (a) | 464,000 | 485,901 | |
| 5.5% 2/15/24 (a) | 8,448,000 | 9,245,491 | |
| Pine Street Trust I: | |||
| 4.572% 2/15/29 (a) | 7,749,000 | 8,309,370 | |
| 5.568% 2/15/49 (a) | 7,700,000 | 8,603,528 | |
| Radiate Holdco LLC/Radiate Financial Service Ltd. 6.625% 2/15/25 (a) | 365,000 | 368,650 | |
| Voya Financial, Inc. 3.125% 7/15/24 | 2,503,000 | 2,577,248 | |
| 65,941,658 | |||
| Insurance - 0.3% | |||
| American International Group, Inc. 4.875% 6/1/22 | 2,648,000 | 2,833,955 | |
| Aon Corp. 5% 9/30/20 | 983,000 | 1,007,135 | |
| Liberty Mutual Group, Inc. 4.569% 2/1/29 (a) | 2,429,000 | 2,735,988 | |
| Marsh & McLennan Companies, Inc.: | |||
| 4.375% 3/15/29 | 4,970,000 | 5,629,134 | |
| 4.75% 3/15/39 | 2,280,000 | 2,794,431 | |
| 4.8% 7/15/21 | 1,355,000 | 1,407,846 | |
| 4.9% 3/15/49 | 4,538,000 | 5,753,819 | |
| Metropolitan Life Global Funding I U.S. SOFR SEC OVRN FIN RATE INDX + 0.500% 2.04% 5/28/21 (a)(b)(c) | 33,100,000 | 33,169,752 | |
| Pacific LifeCorp 5.125% 1/30/43 (a) | 2,623,000 | 3,099,279 | |
| Pricoa Global Funding I 5.375% 5/15/45 (b) | 3,148,000 | 3,438,853 | |
| Prudential Financial, Inc. 4.5% 11/16/21 | 1,288,000 | 1,348,672 | |
| Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) | 3,000,000 | 3,315,000 | |
| TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) | 1,159,000 | 1,250,916 | |
| Unum Group: | |||
| 4% 6/15/29 | 6,130,000 | 6,393,073 | |
| 5.625% 9/15/20 | 1,914,000 | 1,965,898 | |
| 5.75% 8/15/42 | 1,622,000 | 1,817,237 | |
| 77,960,988 | |||
| Mortgage Real Estate Investment Trusts - 0.0% | |||
| Starwood Property Trust, Inc. 4.75% 3/15/25 | 184,000 | 191,360 | |
| Thrifts & Mortgage Finance - 0.0% | |||
| Quicken Loans, Inc. 5.25% 1/15/28 (a) | 1,502,000 | 1,567,269 | |
| TOTAL FINANCIALS | 1,299,217,132 | ||
| HEALTH CARE - 0.9% | |||
| Health Care Equipment & Supplies - 0.1% | |||
| Becton, Dickinson & Co. 2.404% 6/5/20 | 4,308,000 | 4,315,652 | |
| Hologic, Inc.: | |||
| 4.375% 10/15/25 (a) | 350,000 | 360,500 | |
| 4.625% 2/1/28 (a) | 65,000 | 68,575 | |
| Teleflex, Inc.: | |||
| 4.625% 11/15/27 | 224,000 | 236,880 | |
| 4.875% 6/1/26 | 2,062,000 | 2,154,790 | |
| 7,136,397 | |||
| Health Care Providers & Services - 0.6% | |||
| Anthem, Inc. 3.3% 1/15/23 | 4,322,000 | 4,470,321 | |
| Centene Corp.: | |||
| 4.25% 12/15/27 (a)(d) | 5,895,000 | 6,064,481 | |
| 4.625% 12/15/29 (a)(d) | 8,795,000 | 9,223,756 | |
| 4.75% 1/15/25 (a)(d) | 4,500,000 | 4,674,960 | |
| Cigna Corp.: | |||
| 3.75% 7/15/23 | 5,313,000 | 5,554,401 | |
| 4.125% 11/15/25 | 4,327,000 | 4,668,923 | |
| 4.375% 10/15/28 | 6,630,000 | 7,354,650 | |
| 4.8% 8/15/38 | 4,128,000 | 4,776,076 | |
| 4.9% 12/15/48 | 4,124,000 | 4,885,117 | |
| CVS Health Corp.: | |||
| 2.625% 8/15/24 | 1,098,000 | 1,106,830 | |
| 3% 8/15/26 | 891,000 | 911,798 | |
| 3.25% 8/15/29 | 2,048,000 | 2,079,957 | |
| 4.1% 3/25/25 | 26,844,000 | 28,826,094 | |
| 4.3% 3/25/28 | 12,941,000 | 14,106,314 | |
| 4.78% 3/25/38 | 5,761,000 | 6,543,810 | |
| 5.05% 3/25/48 | 8,470,000 | 10,021,107 | |
| HCA Holdings, Inc.: | |||
| 4.75% 5/1/23 | 138,000 | 147,462 | |
| 5% 3/15/24 | 651,000 | 706,837 | |
| 5.25% 6/15/26 | 2,019,000 | 2,255,958 | |
| MPH Acquisition Holdings LLC 7.125% 6/1/24 (a) | 930,000 | 843,975 | |
| Tenet Healthcare Corp.: | |||
| 4.625% 7/15/24 | 3,152,000 | 3,262,320 | |
| 5.125% 5/1/25 | 669,000 | 687,398 | |
| 6.25% 2/1/27 (a) | 450,000 | 481,500 | |
| Toledo Hospital: | |||
| 5.325% 11/15/28 | 2,395,000 | 2,576,218 | |
| 6.015% 11/15/48 | 4,674,000 | 5,314,529 | |
| Wellcare Health Plans, Inc.: | |||
| 5.25% 4/1/25 | 2,168,000 | 2,268,270 | |
| 5.375% 8/15/26 (a) | 686,000 | 730,590 | |
| 134,543,652 | |||
| Health Care Technology - 0.0% | |||
| IMS Health, Inc.: | |||
| 5% 10/15/26 (a) | 1,449,000 | 1,521,450 | |
| 5% 5/15/27 (a) | 630,000 | 661,500 | |
| 2,182,950 | |||
| Life Sciences Tools & Services - 0.0% | |||
| Charles River Laboratories International, Inc.: | |||
| 4.25% 5/1/28 (a) | 70,000 | 70,525 | |
| 5.5% 4/1/26 (a) | 575,000 | 612,375 | |
| 682,900 | |||
| Pharmaceuticals - 0.2% | |||
| Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) | 28,248,000 | 30,299,825 | |
| Elanco Animal Health, Inc.: | |||
| 3.912% 8/27/21 | 1,077,000 | 1,104,390 | |
| 4.272% 8/28/23 | 3,402,000 | 3,561,625 | |
| 4.9% 8/28/28 | 1,432,000 | 1,548,443 | |
| Mylan NV: | |||
| 3.15% 6/15/21 | 4,013,000 | 4,059,005 | |
| 3.95% 6/15/26 | 2,065,000 | 2,147,691 | |
| Perrigo Finance PLC 3.5% 12/15/21 | 292,000 | 294,228 | |
| Teva Pharmaceutical Finance Netherlands III BV 2.2% 7/21/21 | 748,000 | 723,129 | |
| Valeant Pharmaceuticals International, Inc. 7% 3/15/24 (a) | 1,874,000 | 1,960,673 | |
| Zoetis, Inc. 3.25% 2/1/23 | 1,210,000 | 1,245,116 | |
| 46,944,125 | |||
| TOTAL HEALTH CARE | 191,490,024 | ||
| INDUSTRIALS - 0.2% | |||
| Aerospace & Defense - 0.1% | |||
| BBA U.S. Holdings, Inc. 5.375% 5/1/26 (a) | 1,556,000 | 1,636,103 | |
| BWX Technologies, Inc. 5.375% 7/15/26 (a) | 1,748,000 | 1,844,140 | |
| TransDigm, Inc.: | |||
| 6.25% 3/15/26 (a) | 1,247,000 | 1,338,966 | |
| 6.5% 7/15/24 | 350,000 | 360,938 | |
| 5,180,147 | |||
| Air Freight & Logistics - 0.0% | |||
| Aercap Global Aviation Trust 6.5% 6/15/45 (a)(b) | 1,446,000 | 1,586,985 | |
| Building Products - 0.0% | |||
| Advanced Drain Systems, Inc. 5% 9/30/27 (a) | 510,000 | 522,750 | |
| Masco Corp. 4.45% 4/1/25 | 1,041,000 | 1,127,889 | |
| 1,650,639 | |||
| Commercial Services & Supplies - 0.0% | |||
| ADT Corp. 4.875% 7/15/32 (a) | 433,000 | 376,710 | |
| LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (a) | 700,000 | 705,544 | |
| 1,082,254 | |||
| Construction & Engineering - 0.0% | |||
| AECOM: | |||
| 5.125% 3/15/27 | 1,282,000 | 1,365,330 | |
| 5.875% 10/15/24 | 1,265,000 | 1,382,013 | |
| 2,747,343 | |||
| Electrical Equipment - 0.0% | |||
| Sensata Technologies BV: | |||
| 4.875% 10/15/23 (a) | 791,000 | 838,460 | |
| 5% 10/1/25 (a) | 1,120,000 | 1,212,400 | |
| 2,050,860 | |||
| Trading Companies & Distributors - 0.1% | |||
| Air Lease Corp.: | |||
| 2.25% 1/15/23 | 1,863,000 | 1,855,949 | |
| 3% 9/15/23 | 583,000 | 594,239 | |
| 3.375% 6/1/21 | 1,957,000 | 1,988,064 | |
| 3.75% 2/1/22 | 2,924,000 | 3,006,072 | |
| 3.875% 4/1/21 | 2,112,000 | 2,154,234 | |
| 4.25% 2/1/24 | 7,180,000 | 7,671,425 | |
| 4.25% 9/15/24 | 2,331,000 | 2,499,195 | |
| FLY Leasing Ltd.: | |||
| 5.25% 10/15/24 | 1,159,000 | 1,195,219 | |
| 6.375% 10/15/21 | 464,000 | 472,120 | |
| 21,436,517 | |||
| Transportation Infrastructure - 0.0% | |||
| BNSF Funding Trust I 6.613% 12/15/55 (b) | 1,374,000 | 1,535,445 | |
| TOTAL INDUSTRIALS | 37,270,190 | ||
| INFORMATION TECHNOLOGY - 0.1% | |||
| Electronic Equipment & Components - 0.1% | |||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
| 5.45% 6/15/23 (a) | 5,600,000 | 6,068,831 | |
| 6.02% 6/15/26 (a) | 1,948,000 | 2,225,996 | |
| TTM Technologies, Inc. 5.625% 10/1/25 (a) | 1,170,000 | 1,193,400 | |
| 9,488,227 | |||
| IT Services - 0.0% | |||
| Gartner, Inc. 5.125% 4/1/25 (a) | 149,000 | 156,219 | |
| Semiconductors & Semiconductor Equipment - 0.0% | |||
| Entegris, Inc. 4.625% 2/10/26 (a) | 836,000 | 863,981 | |
| Qorvo, Inc. 5.5% 7/15/26 | 1,458,000 | 1,550,948 | |
| 2,414,929 | |||
| Software - 0.0% | |||
| CDK Global, Inc.: | |||
| 4.875% 6/1/27 | 199,000 | 208,474 | |
| 5.25% 5/15/29 (a) | 107,000 | 113,436 | |
| 5.875% 6/15/26 | 842,000 | 899,888 | |
| Fair Isaac Corp. 5.25% 5/15/26 (a) | 793,000 | 864,370 | |
| Nortonlifelock, Inc.: | |||
| 4.2% 9/15/20 | 144,000 | 145,404 | |
| 5% 4/15/25 (a) | 2,334,000 | 2,356,823 | |
| Nuance Communications, Inc. 5.625% 12/15/26 | 1,382,000 | 1,468,375 | |
| Open Text Corp. 5.875% 6/1/26 (a) | 1,187,000 | 1,263,597 | |
| 7,320,367 | |||
| Technology Hardware, Storage & Peripherals - 0.0% | |||
| Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) | 3,173,000 | 3,354,028 | |
| TOTAL INFORMATION TECHNOLOGY | 22,733,770 | ||
| MATERIALS - 0.1% | |||
| Chemicals - 0.1% | |||
| Nufarm Australia Ltd. 5.75% 4/30/26 (a) | 1,087,000 | 1,065,260 | |
| Nutrien Ltd.: | |||
| 4.2% 4/1/29 | 834,000 | 914,276 | |
| 5% 4/1/49 | 1,452,000 | 1,701,480 | |
| OCI NV 6.625% 4/15/23 (a) | 953,000 | 993,503 | |
| Olin Corp.: | |||
| 5% 2/1/30 | 716,000 | 710,630 | |
| 5.125% 9/15/27 | 975,000 | 1,011,563 | |
| The Chemours Co. LLC: | |||
| 5.375% 5/15/27 | 1,115,000 | 936,600 | |
| 7% 5/15/25 | 849,000 | 785,325 | |
| Valvoline, Inc. 4.375% 8/15/25 | 978,000 | 1,000,005 | |
| W. R. Grace & Co.-Conn. 5.625% 10/1/24 (a) | 1,254,000 | 1,363,725 | |
| 10,482,367 | |||
| Containers & Packaging - 0.0% | |||
| Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 6% 2/15/25 (a) | 355,000 | 372,750 | |
| Crown Americas LLC/Crown Americas Capital Corp. V 4.25% 9/30/26 | 1,026,000 | 1,061,910 | |
| OI European Group BV 4% 3/15/23 (a) | 1,076,000 | 1,073,310 | |
| Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (a) | 251,000 | 254,138 | |
| Silgan Holdings, Inc. 4.75% 3/15/25 | 295,000 | 301,638 | |
| Trivium Packaging Finance BV: | |||
| 5.5% 8/15/26 (a) | 485,000 | 509,257 | |
| 8.5% 8/15/27 (a) | 140,000 | 152,250 | |
| 3,725,253 | |||
| Metals & Mining - 0.0% | |||
| Anglo American Capital PLC 4.125% 4/15/21 (a) | 2,910,000 | 2,974,163 | |
| BHP Billiton Financial (U.S.A.) Ltd. 6.25% 10/19/75 (a)(b) | 1,321,000 | 1,358,913 | |
| Corporacion Nacional del Cobre de Chile (Codelco): | |||
| 3.625% 8/1/27 (a) | 1,499,000 | 1,562,239 | |
| 4.5% 8/1/47 (a) | 1,522,000 | 1,673,724 | |
| Freeport-McMoRan, Inc.: | |||
| 3.55% 3/1/22 | 1,792,000 | 1,800,960 | |
| 3.875% 3/15/23 | 389,000 | 396,936 | |
| 4.55% 11/14/24 | 173,000 | 181,816 | |
| 9,948,751 | |||
| Paper & Forest Products - 0.0% | |||
| Berry Global Escrow Corp. 4.875% 7/15/26 (a) | 489,000 | 511,616 | |
| TOTAL MATERIALS | 24,667,987 | ||
| REAL ESTATE - 0.9% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.6% | |||
| American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 857,000 | 890,839 | |
| Boston Properties, Inc. 4.5% 12/1/28 | 4,766,000 | 5,419,070 | |
| Camden Property Trust: | |||
| 2.95% 12/15/22 | 1,200,000 | 1,225,062 | |
| 4.25% 1/15/24 | 2,252,000 | 2,410,765 | |
| Corporate Office Properties LP 5% 7/1/25 | 2,273,000 | 2,447,429 | |
| Corrections Corp. of America: | |||
| 4.125% 4/1/20 | 240,000 | 240,120 | |
| 4.625% 5/1/23 | 1,421,000 | 1,387,251 | |
| 5% 10/15/22 | 443,000 | 442,446 | |
| CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 720,000 | 748,800 | |
| Duke Realty LP: | |||
| 3.25% 6/30/26 | 589,000 | 611,913 | |
| 3.625% 4/15/23 | 1,544,000 | 1,601,758 | |
| 3.875% 10/15/22 | 4,345,000 | 4,525,361 | |
| 4.375% 6/15/22 | 1,300,000 | 1,365,045 | |
| Equinix, Inc. 5.875% 1/15/26 | 1,912,000 | 2,026,720 | |
| Equity One, Inc. 3.75% 11/15/22 | 5,527,000 | 5,735,262 | |
| Healthcare Trust of America Holdings LP: | |||
| 3.1% 2/15/30 | 1,868,000 | 1,857,733 | |
| 3.5% 8/1/26 | 1,945,000 | 2,027,376 | |
| Highwoods/Forsyth LP 3.2% 6/15/21 | 1,625,000 | 1,643,782 | |
| Hudson Pacific Properties LP 4.65% 4/1/29 | 10,668,000 | 11,755,734 | |
| Lexington Corporate Properties Trust 4.4% 6/15/24 | 948,000 | 988,725 | |
| MPT Operating Partnership LP/MPT Finance Corp.: | |||
| 5% 10/15/27 | 1,359,000 | 1,426,950 | |
| 5.25% 8/1/26 | 2,161,000 | 2,296,516 | |
| 6.375% 3/1/24 | 268,000 | 280,309 | |
| Omega Healthcare Investors, Inc.: | |||
| 3.625% 10/1/29 | 8,376,000 | 8,397,748 | |
| 4.375% 8/1/23 | 4,882,000 | 5,193,578 | |
| 4.5% 1/15/25 | 2,013,000 | 2,132,409 | |
| 4.5% 4/1/27 | 716,000 | 775,950 | |
| 4.75% 1/15/28 | 11,294,000 | 12,373,703 | |
| 4.95% 4/1/24 | 882,000 | 952,730 | |
| 5.25% 1/15/26 | 3,755,000 | 4,142,938 | |
| Retail Opportunity Investments Partnership LP: | |||
| 4% 12/15/24 | 641,000 | 654,090 | |
| 5% 12/15/23 | 494,000 | 521,266 | |
| SBA Communications Corp. 4.875% 9/1/24 | 557,000 | 577,475 | |
| SITE Centers Corp.: | |||
| 3.625% 2/1/25 | 1,532,000 | 1,577,623 | |
| 4.25% 2/1/26 | 2,753,000 | 2,912,306 | |
| 4.625% 7/15/22 | 1,302,000 | 1,358,396 | |
| Store Capital Corp. 4.625% 3/15/29 | 2,374,000 | 2,636,731 | |
| The GEO Group, Inc.: | |||
| 5.875% 10/15/24 | 130,000 | 108,875 | |
| 6% 4/15/26 | 170,000 | 134,725 | |
| Ventas Realty LP: | |||
| 3% 1/15/30 | 11,060,000 | 10,984,535 | |
| 3.125% 6/15/23 | 1,033,000 | 1,059,989 | |
| 4% 3/1/28 | 2,150,000 | 2,316,144 | |
| 4.125% 1/15/26 | 999,000 | 1,074,561 | |
| VICI Properties, Inc. 4.25% 12/1/26 (a) | 440,000 | 448,800 | |
| Weingarten Realty Investors 3.375% 10/15/22 | 456,000 | 466,240 | |
| WP Carey, Inc.: | |||
| 3.85% 7/15/29 | 1,773,000 | 1,873,265 | |
| 4% 2/1/25 | 3,423,000 | 3,597,059 | |
| 4.6% 4/1/24 | 5,327,000 | 5,702,114 | |
| 125,328,216 | |||
| Real Estate Management & Development - 0.3% | |||
| Brandywine Operating Partnership LP: | |||
| 3.95% 2/15/23 | 7,832,000 | 8,134,259 | |
| 3.95% 11/15/27 | 4,382,000 | 4,611,389 | |
| 4.1% 10/1/24 | 3,961,000 | 4,185,826 | |
| 4.55% 10/1/29 | 1,896,000 | 2,071,649 | |
| CBRE Group, Inc. 4.875% 3/1/26 | 7,844,000 | 8,751,899 | |
| Digital Realty Trust LP 3.95% 7/1/22 | 2,137,000 | 2,226,591 | |
| Essex Portfolio LP 3.875% 5/1/24 | 1,923,000 | 2,033,875 | |
| Howard Hughes Corp. 5.375% 3/15/25 (a) | 927,000 | 972,590 | |
| Liberty Property LP: | |||
| 3.25% 10/1/26 | 1,586,000 | 1,659,922 | |
| 3.375% 6/15/23 | 1,643,000 | 1,706,350 | |
| 4.125% 6/15/22 | 1,115,000 | 1,164,503 | |
| Mack-Cali Realty LP: | |||
| 3.15% 5/15/23 | 3,573,000 | 3,513,725 | |
| 4.5% 4/18/22 | 678,000 | 688,064 | |
| Mid-America Apartments LP 4% 11/15/25 | 828,000 | 892,115 | |
| Post Apartment Homes LP 3.375% 12/1/22 | 502,000 | 515,924 | |
| Tanger Properties LP: | |||
| 3.125% 9/1/26 | 2,628,000 | 2,587,991 | |
| 3.75% 12/1/24 | 2,635,000 | 2,688,758 | |
| 3.875% 12/1/23 | 1,186,000 | 1,220,569 | |
| 3.875% 7/15/27 | 10,334,000 | 10,572,044 | |
| 60,198,043 | |||
| TOTAL REAL ESTATE | 185,526,259 | ||
| UTILITIES - 0.4% | |||
| Electric Utilities - 0.2% | |||
| Clearway Energy Operating LLC 5.75% 10/15/25 | 333,000 | 349,650 | |
| Cleco Corporate Holdings LLC 3.375% 9/15/29 (a) | 4,843,000 | 4,832,306 | |
| Duquesne Light Holdings, Inc.: | |||
| 5.9% 12/1/21 (a) | 3,889,000 | 4,137,064 | |
| 6.4% 9/15/20 (a) | 5,173,000 | 5,329,118 | |
| FirstEnergy Corp.: | |||
| 4.25% 3/15/23 | 4,502,000 | 4,745,428 | |
| 7.375% 11/15/31 | 6,310,000 | 8,842,118 | |
| InterGen NV 7% 6/30/23 (a) | 964,000 | 935,080 | |
| IPALCO Enterprises, Inc.: | |||
| 3.45% 7/15/20 | 4,960,000 | 4,988,185 | |
| 3.7% 9/1/24 | 1,963,000 | 2,039,423 | |
| NextEra Energy Partners LP 4.25% 9/15/24 (a) | 616,000 | 632,940 | |
| NRG Yield Operating LLC 5% 9/15/26 | 400,000 | 414,000 | |
| NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (a) | 1,748,758 | 1,897,402 | |
| Vistra Operations Co. LLC: | |||
| 5% 7/31/27 (a) | 463,000 | 480,941 | |
| 5.5% 9/1/26 (a) | 3,498,000 | 3,681,645 | |
| 43,305,300 | |||
| Gas Utilities - 0.0% | |||
| Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 701,000 | 719,113 | |
| Independent Power and Renewable Electricity Producers - 0.0% | |||
| Dolphin Subsidiary II, Inc. 7.25% 10/15/21 | 5,898,000 | 6,133,920 | |
| Emera U.S. Finance LP 2.7% 6/15/21 | 951,000 | 957,903 | |
| NRG Energy, Inc.: | |||
| 5.25% 6/15/29 (a) | 484,000 | 518,751 | |
| 5.75% 1/15/28 | 216,000 | 233,280 | |
| 6.625% 1/15/27 | 185,000 | 200,263 | |
| TerraForm Power Operating LLC: | |||
| 4.25% 1/31/23 (a) | 213,000 | 216,639 | |
| 5% 1/31/28 (a) | 241,000 | 250,491 | |
| The AES Corp.: | |||
| 4.875% 5/15/23 | 882,000 | 897,435 | |
| 6% 5/15/26 | 601,000 | 641,555 | |
| 10,050,237 | |||
| Multi-Utilities - 0.2% | |||
| Dominion Energy, Inc.: | |||
| 3 month U.S. LIBOR + 2.300% 4.4044% 9/30/66 (b)(c) | 5,861,000 | 5,384,794 | |
| 3 month U.S. LIBOR + 2.825% 4.9294% 6/30/66 (b)(c) | 1,683,000 | 1,598,850 | |
| NiSource Finance Corp. 5.95% 6/15/41 | 2,273,000 | 2,938,436 | |
| NiSource, Inc. 2.95% 9/1/29 | 12,206,000 | 12,210,141 | |
| Puget Energy, Inc.: | |||
| 5.625% 7/15/22 | 3,305,000 | 3,535,052 | |
| 6% 9/1/21 | 3,185,000 | 3,386,742 | |
| 6.5% 12/15/20 | 1,021,000 | 1,066,463 | |
| Sempra Energy 6% 10/15/39 | 2,744,000 | 3,561,046 | |
| WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 4.0224% 5/15/67 (b)(c) | 1,843,000 | 1,650,580 | |
| 35,332,104 | |||
| TOTAL UTILITIES | 89,406,754 | ||
| TOTAL NONCONVERTIBLE BONDS | |||
| (Cost $2,548,037,055) | 2,756,500,569 | ||
| U.S. Treasury Obligations - 12.5% | |||
| U.S. Treasury Notes: | |||
| 1.625% 8/15/29 | $162,921,000 | $160,502,641 | |
| 2.125% 7/31/24 | 243,291,000 | 248,631,997 | |
| 2.125% 11/30/24 | 28,603,400 | 29,261,502 | |
| 2.125% 5/15/25 | 45,672,600 | 46,741,268 | |
| 2.25% 10/31/24 | 21,880,400 | 22,512,880 | |
| 2.25% 12/31/24 | 68,047,200 | 70,019,506 | |
| 2.25% 2/15/27 | 81,654,000 | 84,534,217 | |
| 2.375% 5/15/27 | 146,537,200 | 153,137,098 | |
| 2.625% 3/31/25 | 166,883,300 | 174,979,747 | |
| 2.625% 2/15/29 | 373,150,000 | 399,984,731 | |
| 2.75% 6/30/25 | 532,127,400 | 562,433,716 | |
| 2.875% 11/30/25 | 324,464,000 | 346,149,856 | |
| 3.125% 11/15/28 | 364,142,000 | 404,894,610 | |
| TOTAL U.S. TREASURY OBLIGATIONS | |||
| (Cost $2,579,276,405) | 2,703,783,769 | ||
| U.S. Government Agency - Mortgage Securities - 15.1% | |||
| Fannie Mae - 5.4% | |||
| 12 month U.S. LIBOR + 1.445% 4.497% 4/1/37 (b)(c) | 19,694 | 20,411 | |
| 12 month U.S. LIBOR + 1.480% 4.221% 7/1/34 (b)(c) | 4,578 | 4,760 | |
| 12 month U.S. LIBOR + 1.490% 4.234% 1/1/35 (b)(c) | 21,015 | 21,735 | |
| 12 month U.S. LIBOR + 1.523% 4.66% 3/1/36 (b)(c) | 1,941 | 2,013 | |
| 12 month U.S. LIBOR + 1.553% 4.345% 6/1/36 (b)(c) | 17,443 | 18,208 | |
| 12 month U.S. LIBOR + 1.565% 4.69% 3/1/37 (b)(c) | 6,924 | 7,183 | |
| 12 month U.S. LIBOR + 1.590% 4.484% 5/1/36 (b)(c) | 42,622 | 44,479 | |
| 12 month U.S. LIBOR + 1.610% 4.313% 3/1/33 (b)(c) | 12,212 | 12,663 | |
| 12 month U.S. LIBOR + 1.641% 3.879% 9/1/36 (b)(c) | 8,849 | 9,249 | |
| 12 month U.S. LIBOR + 1.645% 4.693% 6/1/47 (b)(c) | 14,365 | 15,035 | |
| 12 month U.S. LIBOR + 1.650% 4.442% 11/1/36 (b)(c) | 7,766 | 8,091 | |
| 12 month U.S. LIBOR + 1.685% 4.56% 4/1/36 (b)(c) | 4,308 | 4,495 | |
| 12 month U.S. LIBOR + 1.690% 4.415% 8/1/35 (b)(c) | 10,178 | 10,664 | |
| 12 month U.S. LIBOR + 1.710% 3.425% 7/1/43 (b)(c) | 483,295 | 500,009 | |
| 12 month U.S. LIBOR + 1.711% 4.595% 6/1/42 (b)(c) | 24,332 | 25,093 | |
| 12 month U.S. LIBOR + 1.718% 4.013% 5/1/35 (b)(c) | 26,182 | 27,334 | |
| 12 month U.S. LIBOR + 1.730% 4.695% 7/1/35 (b)(c) | 9,545 | 9,945 | |
| 12 month U.S. LIBOR + 1.750% 4.064% 8/1/41 (b)(c) | 38,117 | 39,589 | |
| 12 month U.S. LIBOR + 1.750% 4.631% 3/1/40 (b)(c) | 33,573 | 34,922 | |
| 12 month U.S. LIBOR + 1.800% 4.235% 12/1/40 (b)(c) | 811,801 | 843,540 | |
| 12 month U.S. LIBOR + 1.800% 4.5% 7/1/41 (b)(c) | 28,905 | 30,246 | |
| 12 month U.S. LIBOR + 1.800% 4.784% 1/1/42 (b)(c) | 49,694 | 51,214 | |
| 12 month U.S. LIBOR + 1.810% 4.537% 7/1/41 (b)(c) | 16,328 | 17,010 | |
| 12 month U.S. LIBOR + 1.810% 4.81% 12/1/39 (b)(c) | 13,834 | 14,381 | |
| 12 month U.S. LIBOR + 1.818% 4.068% 9/1/41 (b)(c) | 10,153 | 10,613 | |
| 12 month U.S. LIBOR + 1.818% 4.931% 2/1/42 (b)(c) | 60,843 | 62,911 | |
| 12 month U.S. LIBOR + 1.825% 4.95% 2/1/35 (b)(c) | 92,727 | 97,049 | |
| 12 month U.S. LIBOR + 1.830% 3.879% 10/1/41 (b)(c) | 8,730 | 9,081 | |
| 12 month U.S. LIBOR + 1.851% 4.58% 5/1/36 (b)(c) | 11,857 | 12,399 | |
| 12 month U.S. LIBOR + 1.870% 3.75% 10/1/36 (b)(c) | 11,419 | 11,901 | |
| 12 month U.S. LIBOR + 1.900% 4.782% 7/1/37 (b)(c) | 20,727 | 21,765 | |
| 6 month U.S. LIBOR + 1.505% 4.103% 1/1/35 (b)(c) | 25,848 | 26,703 | |
| 6 month U.S. LIBOR + 1.535% 3.851% 12/1/34 (b)(c) | 4,958 | 5,132 | |
| 6 month U.S. LIBOR + 1.535% 3.94% 3/1/35 (b)(c) | 4,094 | 4,239 | |
| 6 month U.S. LIBOR + 1.550% 3.807% 10/1/33 (b)(c) | 2,120 | 2,191 | |
| 6 month U.S. LIBOR + 1.565% 4.085% 7/1/35 (b)(c) | 2,611 | 2,705 | |
| 6 month U.S. LIBOR + 1.740% 4.365% 12/1/34 (b)(c) | 394 | 410 | |
| 6 month U.S. LIBOR + 1.960% 4.21% 9/1/35 (b)(c) | 4,753 | 4,984 | |
| U.S. TREASURY 1 YEAR INDEX + 2.208% 4.833% 3/1/35 (b)(c) | 4,516 | 4,750 | |
| U.S. TREASURY 1 YEAR INDEX + 2.270% 4.27% 6/1/36 (b)(c) | 36,818 | 38,620 | |
| U.S. TREASURY 1 YEAR INDEX + 2.290% 4.266% 10/1/33 (b)(c) | 15,013 | 15,760 | |
| U.S. TREASURY 1 YEAR INDEX + 2.447% 4.859% 7/1/34 (b)(c) | 34,602 | 36,381 | |
| 2.5% 5/1/31 to 8/1/43 | 52,256,225 | 52,606,083 | |
| 3% 7/1/27 to 11/1/49 | 381,411,506 | 390,583,606 | |
| 3.25% 12/1/41 | 7,046 | 7,309 | |
| 3.4% 7/1/42 to 9/1/42 | 153,304 | 159,596 | |
| 3.5% 3/1/26 to 11/1/49 (e)(f) | 299,461,059 | 312,754,634 | |
| 3.525% 5/1/42 | 4,065 | 4,302 | |
| 3.65% 5/1/42 to 8/1/42 | 88,345 | 93,038 | |
| 3.9% 4/1/42 | 10,825 | 11,540 | |
| 4% 11/1/31 to 11/1/49 | 209,639,457 | 221,735,610 | |
| 4.25% 11/1/41 | 34,881 | 37,716 | |
| 4.5% to 4.5% 6/1/20 to 9/1/49 | 138,461,775 | 148,089,937 | |
| 5% 3/1/20 to 2/1/49 | 18,129,981 | 19,915,876 | |
| 5.248% 8/1/41 (b) | 471,441 | 513,117 | |
| 5.5% 10/1/21 to 5/1/44 | 4,940,381 | 5,545,533 | |
| 6% to 6% 6/1/20 to 1/1/42 | 2,352,450 | 2,694,892 | |
| 6.5% 3/1/22 to 5/1/38 | 359,082 | 401,942 | |
| 6.528% 2/1/39 (b) | 491,919 | 531,585 | |
| 7% to 7% 9/1/21 to 7/1/37 | 249,800 | 282,442 | |
| 7.5% to 7.5% 9/1/22 to 9/1/32 | 120,774 | 137,655 | |
| 8% 3/1/37 | 3,245 | 3,882 | |
| 8.5% 2/1/22 to 11/1/22 | 1,296 | 1,364 | |
| 9% 10/1/30 | 7,943 | 9,310 | |
| 9.5% 9/1/21 to 8/1/22 | 37 | 37 | |
| TOTAL FANNIE MAE | 1,158,260,869 | ||
| Freddie Mac - 2.9% | |||
| 12 month U.S. LIBOR + 1.325% 4.175% 1/1/36 (b)(c) | 8,524 | 8,782 | |
| 12 month U.S. LIBOR + 1.370% 3.971% 3/1/36 (b)(c) | 28,553 | 29,536 | |
| 12 month U.S. LIBOR + 1.500% 4.285% 3/1/36 (b)(c) | 33,531 | 34,702 | |
| 12 month U.S. LIBOR + 1.510% 3.39% 11/1/35 (b)(c) | 9,859 | 10,199 | |
| 12 month U.S. LIBOR + 1.750% 4.006% 9/1/41 (b)(c) | 158,548 | 164,431 | |
| 12 month U.S. LIBOR + 1.750% 4.25% 12/1/40 (b)(c) | 368,962 | 381,441 | |
| 12 month U.S. LIBOR + 1.750% 4.408% 7/1/41 (b)(c) | 84,473 | 87,713 | |
| 12 month U.S. LIBOR + 1.793% 4.695% 4/1/37 (b)(c) | 12,425 | 12,930 | |
| 12 month U.S. LIBOR + 1.864% 4.739% 4/1/36 (b)(c) | 9,754 | 10,246 | |
| 12 month U.S. LIBOR + 1.870% 4.801% 4/1/41 (b)(c) | 9,668 | 10,051 | |
| 12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (b)(c) | 13,101 | 13,702 | |
| 12 month U.S. LIBOR + 1.880% 4.434% 10/1/42 (b)(c) | 69,735 | 72,558 | |
| 12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (b)(c) | 12,561 | 13,058 | |
| 12 month U.S. LIBOR + 1.910% 4.734% 6/1/41 (b)(c) | 24,210 | 25,231 | |
| 12 month U.S. LIBOR + 1.910% 4.785% 5/1/41 (b)(c) | 19,863 | 20,877 | |
| 12 month U.S. LIBOR + 1.910% 4.811% 5/1/41 (b)(c) | 22,833 | 23,769 | |
| 12 month U.S. LIBOR + 1.920% 4.67% 6/1/36 (b)(c) | 5,576 | 5,849 | |
| 12 month U.S. LIBOR + 1.961% 4.821% 6/1/33 (b)(c) | 14,342 | 15,045 | |
| 12 month U.S. LIBOR + 1.998% 4.913% 4/1/38 (b)(c) | 28,120 | 29,468 | |
| 12 month U.S. LIBOR + 2.045% 4.784% 7/1/36 (b)(c) | 17,657 | 18,515 | |
| 12 month U.S. LIBOR + 2.060% 4.728% 3/1/33 (b)(c) | 423 | 442 | |
| 12 month U.S. LIBOR + 2.200% 5.075% 12/1/36 (b)(c) | 31,667 | 33,087 | |
| 6 month U.S. LIBOR + 1.125% 3.601% 8/1/37 (b)(c) | 9,210 | 9,388 | |
| 6 month U.S. LIBOR + 1.445% 3.695% 3/1/35 (b)(c) | 12,669 | 13,100 | |
| 6 month U.S. LIBOR + 1.608% 4.205% 12/1/35 (b)(c) | 2,525 | 2,613 | |
| 6 month U.S. LIBOR + 1.661% 4.199% 2/1/37 (b)(c) | 29,020 | 30,102 | |
| 6 month U.S. LIBOR + 1.720% 4.247% 8/1/37 (b)(c) | 17,888 | 18,620 | |
| 6 month U.S. LIBOR + 1.740% 3.83% 5/1/37 (b)(c) | 4,613 | 4,790 | |
| 6 month U.S. LIBOR + 1.840% 4.122% 10/1/36 (b)(c) | 41,299 | 43,123 | |
| 6 month U.S. LIBOR + 1.910% 4.192% 10/1/35 (b)(c) | 25,010 | 26,089 | |
| 6 month U.S. LIBOR + 2.020% 4.6% 6/1/37 (b)(c) | 24,067 | 25,047 | |
| 6 month U.S. LIBOR + 2.040% 4.665% 6/1/37 (b)(c) | 13,840 | 14,408 | |
| 6 month U.S. LIBOR + 2.270% 4.488% 10/1/35 (b)(c) | 19,313 | 20,184 | |
| U.S. TREASURY 1 YEAR INDEX + 2.035% 4.573% 6/1/33 (b)(c) | 34,147 | 35,829 | |
| U.S. TREASURY 1 YEAR INDEX + 2.286% 4.828% 6/1/33 (b)(c) | 66,633 | 69,845 | |
| U.S. TREASURY 1 YEAR INDEX + 2.410% 4.717% 3/1/35 (b)(c) | 128,183 | 134,547 | |
| 2.5% 6/1/31 to 9/1/34 | 35,846,143 | 36,294,062 | |
| 3% 6/1/31 to 10/1/49 | 69,982,210 | 72,064,988 | |
| 3.5% 6/1/27 to 9/1/49 (f)(g) | 216,224,274 | 226,384,276 | |
| 3.5% 8/1/47 | 6,072,948 | 6,357,052 | |
| 4% 6/1/33 to 10/1/48 (f) | 215,369,601 | 227,561,534 | |
| 4% 4/1/48 | 177,732 | 185,695 | |
| 4.5% 6/1/25 to 12/1/48 | 47,840,070 | 51,192,650 | |
| 5% 6/1/20 to 7/1/41 | 5,095,732 | 5,627,669 | |
| 5.5% 2/1/20 to 6/1/41 | 2,449,838 | 2,740,974 | |
| 6% 6/1/20 to 6/1/39 | 514,973 | 583,433 | |
| 6.5% 4/1/21 to 9/1/39 | 861,722 | 990,599 | |
| 7% 8/1/21 to 9/1/36 | 244,216 | 279,238 | |
| 7.5% 1/1/27 to 7/1/34 | 66,034 | 76,351 | |
| 8% 7/1/24 to 4/1/32 | 5,272 | 6,034 | |
| 8.5% 12/1/22 to 1/1/28 | 3,887 | 4,313 | |
| TOTAL FREDDIE MAC | 631,818,185 | ||
| Ginnie Mae - 5.6% | |||
| 3.5% 9/20/40 to 6/20/48 | 271,063,744 | 283,576,353 | |
| 4% 7/20/33 to 5/20/49 | 189,076,573 | 199,909,027 | |
| 4.5% 6/20/33 to 6/20/48 | 89,609,999 | 95,263,126 | |
| 5.5% 8/15/33 to 9/15/39 | 464,711 | 522,623 | |
| 6% to 6% 10/15/30 to 5/15/40 | 612,147 | 698,310 | |
| 7% to 7% 11/15/22 to 11/15/32 | 235,311 | 267,601 | |
| 7.5% to 7.5% 2/15/22 to 9/15/31 | 75,176 | 83,097 | |
| 8% 6/15/21 to 11/15/29 | 22,904 | 24,869 | |
| 8.5% to 8.5% 10/15/21 to 1/15/31 | 8,440 | 9,555 | |
| 9% 1/15/23 | 39 | 42 | |
| 9.5% 3/15/23 | 9 | 9 | |
| 3% 5/15/42 to 6/20/48 | 59,796,863 | 61,731,689 | |
| 3% 12/1/49 (d) | 5,275,000 | 5,421,299 | |
| 3% 12/1/49 (d) | 150,000 | 154,160 | |
| 3% 12/1/49 (d) | 50,000 | 51,387 | |
| 3% 12/1/49 (d) | 2,850,000 | 2,929,043 | |
| 3% 12/1/49 (d) | 1,675,000 | 1,721,455 | |
| 3% 12/1/49 (d) | 2,600,000 | 2,672,109 | |
| 3% 12/1/49 (d) | 1,550,000 | 1,592,988 | |
| 3% 12/1/49 (d) | 50,000 | 51,387 | |
| 3% 12/1/49 (d) | 2,175,000 | 2,235,322 | |
| 3% 12/1/49 (d) | 950,000 | 976,348 | |
| 3% 12/1/49 (d) | 2,975,000 | 3,057,510 | |
| 3% 12/1/49 (d) | 9,100,000 | 9,352,383 | |
| 3% 12/1/49 (d) | 200,000 | 205,547 | |
| 3% 12/1/49 (d) | 18,875,000 | 19,398,487 | |
| 3% 12/1/49 (d) | 575,000 | 590,947 | |
| 3% 12/1/49 (d) | 1,125,000 | 1,156,201 | |
| 3% 12/1/49 (d) | 700,000 | 719,414 | |
| 3% 12/1/49 (d) | 7,200,000 | 7,399,688 | |
| 3% 12/1/49 (d) | 2,275,000 | 2,338,096 | |
| 3% 12/1/49 (d) | 900,000 | 924,961 | |
| 3% 12/1/49 (d) | 2,100,000 | 2,158,242 | |
| 3% 12/1/49 (d) | 3,875,000 | 3,982,471 | |
| 3% 12/1/49 (d) | 50,000 | 51,387 | |
| 3% 12/1/49 (d) | 37,100,000 | 38,128,946 | |
| 3% 12/1/49 (d) | 65,100,000 | 66,905,509 | |
| 3% 12/1/49 (d) | 5,550,000 | 5,703,926 | |
| 3% 12/1/49 (d) | 35,150,000 | 36,124,864 | |
| 3% 12/1/49 (d) | 27,475,000 | 28,237,003 | |
| 3% 12/1/49 (d) | 4,350,000 | 4,470,645 | |
| 3% 12/1/49 (d) | 21,400,000 | 21,993,516 | |
| 3% 12/1/49 (d) | 12,300,000 | 12,641,133 | |
| 3.5% 12/1/49 (d) | 40,000,000 | 41,340,624 | |
| 3.5% 12/1/49 (d) | 48,500,000 | 50,125,507 | |
| 3.5% 12/1/49 (d) | 40,100,000 | 41,443,976 | |
| 3.5% 12/1/49 (d) | 28,800,000 | 29,765,249 | |
| 3.5% 12/1/49 (d) | 24,225,000 | 25,036,915 | |
| 3.5% 12/1/49 (d) | 33,700,000 | 34,829,476 | |
| 4% 12/1/49 (d) | 22,000,000 | 22,843,907 | |
| 5% 4/15/33 to 6/20/48 | 37,855,253 | 40,549,185 | |
| 6.5% 3/20/31 to 6/15/37 | 75,823 | 87,198 | |
| TOTAL GINNIE MAE | 1,211,454,712 | ||
| Uniform Mortgage Backed Securities - 1.2% | |||
| 2.5% 12/1/34 (d) | 10,000,000 | 10,088,281 | |
| 3% 12/1/49 (d) | 22,100,000 | 22,412,507 | |
| 3% 12/1/49 (d) | 20,500,000 | 20,789,882 | |
| 3% 12/1/49 (d) | 8,800,000 | 8,924,437 | |
| 3% 12/1/49 (d) | 78,325,000 | 79,432,563 | |
| 3% 12/1/49 (d) | 8,450,000 | 8,569,488 | |
| 3% 12/1/49 (d) | 21,400,000 | 21,702,609 | |
| 3% 12/1/49 (d) | 12,300,000 | 12,473,929 | |
| 3.5% 12/1/49 (d) | 22,500,000 | 23,097,656 | |
| 3.5% 12/1/49 (d) | 11,000,000 | 11,292,188 | |
| 3.5% 12/1/49 (d) | 4,200,000 | 4,311,563 | |
| 3.5% 12/1/49 (d) | 6,700,000 | 6,877,969 | |
| 3.5% 12/1/49 (d) | 12,050,000 | 12,370,078 | |
| 4% 12/1/49 (d) | 12,300,000 | 12,761,250 | |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 255,104,400 | ||
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
| (Cost $3,214,352,261) | 3,256,638,166 | ||
| Asset-Backed Securities - 1.6% | |||
| AASET Trust: | |||
| Series 2018-1A Class A, 3.844% 1/16/38 (a) | $3,536,844 | $3,555,467 | |
| Series 2019-1 Class A, 3.844% 5/15/39 (a) | 5,695,502 | 5,738,921 | |
| Series 2019-2: | |||
| Class A, 3.376% 10/16/39 (a) | 9,542,698 | 9,495,589 | |
| Class B, 4.458% 10/16/39 (a) | 1,678,339 | 1,670,311 | |
| Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 3.6184% 7/22/32 (a)(b)(c) | 8,608,000 | 8,603,068 | |
| Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 3.1658% 10/15/32 (a)(b)(c) | 8,066,000 | 8,066,000 | |
| Ares Xli Clo Ltd. / Ares Xli Cl Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 3.2009% 1/15/29 (a)(b)(c) | 9,695,000 | 9,679,856 | |
| Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.360% 2.068% 10/25/35 (b)(c) | 129,197 | 128,826 | |
| Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 0% 1/17/33 (a)(b)(c)(d) | 3,300,000 | 3,300,000 | |
| Blackbird Capital Aircraft Series 2016-1A: | |||
| Class A, 4.213% 12/16/41 (a) | 6,707,594 | 6,892,717 | |
| Class AA, 2.487% 12/16/41 (a) | 1,338,813 | 1,333,833 | |
| Brazos Higher Education Authority, Inc.: | |||
| Series 2010-1 Class A1, 3 month U.S. LIBOR + 0.900% 2.8095% 5/25/29 (b)(c) | 634,803 | 635,102 | |
| Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.850% 2.7896% 7/25/29 (b)(c) | 957,694 | 961,054 | |
| CarMax Auto Owner Trust Series 2019-4 Class A2A, 2.01% 3/15/23 | 4,400,000 | 4,400,010 | |
| Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
| Class A, 3.967% 4/15/39 (a) | 8,387,581 | 8,525,838 | |
| Class B, 5.095% 4/15/39 (a) | 2,877,367 | 2,919,998 | |
| Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (a) | 6,380,858 | 6,503,833 | |
| Cedar Funding Ltd.: | |||
| Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 3.4705% 10/20/32 (a)(b)(c) | 6,412,000 | 6,404,556 | |
| Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 3.4674% 5/29/32 (a)(b)(c) | 4,342,000 | 4,339,816 | |
| Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 3.058% 10/25/37 (a)(b)(c) | 224,769 | 227,171 | |
| CNH Equipment Trust Series 2019-C Class A2, 1.99% 3/15/23 | 4,400,000 | 4,399,265 | |
| Collegiate Funding Services Education Loan Trust Series 2004-A Class A4, 3 month U.S. LIBOR + 0.340% 2.4444% 9/28/30 (b)(c) | 1,462,243 | 1,456,816 | |
| Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (a) | 4,646,063 | 4,671,109 | |
| Consumer Loan Underlying Bond Credit Trust: | |||
| Series 2018-P3 Class A, 3.82% 1/15/26 (a) | 3,841,612 | 3,876,942 | |
| Series 2019-HP1 Class A, 2.59% 12/15/26 (a) | 14,100,000 | 14,098,999 | |
| Series 2019-P1 Class A, 2.94% 7/15/26 (a) | 3,643,550 | 3,657,934 | |
| CPS Auto Receivables Trust Series 2019-D Class A, 2.17% 12/15/22 (a) | 1,843,193 | 1,842,826 | |
| DB Master Finance LLC Series 2017-1A: | |||
| Class A2I, 3.629% 11/20/47 (a) | 3,169,320 | 3,219,934 | |
| Class A2II, 4.03% 11/20/47 (a) | 5,390,980 | 5,573,357 | |
| Dell Equipment Finance Trust Series 2019-2 Class A3, 1.91% 10/22/24 (a) | 6,600,000 | 6,584,796 | |
| DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (a) | 2,700,000 | 2,697,869 | |
| Dryden CLO, Ltd. Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 3.264% 10/20/32 (a)(b)(c) | 2,944,000 | 2,946,202 | |
| Dryden Senior Loan Fund: | |||
| Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 3.2809% 4/15/29 (a)(b)(c) | 10,233,000 | 10,230,350 | |
| Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 3.2399% 5/15/32 (a)(b)(c) | 7,104,000 | 7,103,432 | |
| Enterprise Fleet Financing LLC Series 2019-3 Class A2, 2.06% 5/20/25 (a) | 10,602,000 | 10,606,663 | |
| Exeter Automobile Receivables Trust Series 2019-4A Class A, 2.18% 1/17/23 (a) | 6,284,321 | 6,284,666 | |
| Finance of America Structured Securities Trust Series 2018-HB1 Class A, 3.3751% 9/25/28 (a) | 128,650 | 128,651 | |
| First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.820% 2.533% 3/25/34 (b)(c) | 569 | 545 | |
| Flagship Credit Auto Trust Series 2019-4 Class A, 2.17% 6/17/24 (a) | 2,400,000 | 2,401,664 | |
| Flatiron CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 3.2149% 11/16/32 (a)(b)(c) | 8,949,000 | 8,949,000 | |
| Ford Credit Auto Owner Trust Series 2019-1 Class A, 3.52% 7/15/30 (a) | 2,000,000 | 2,096,050 | |
| Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 | 1,820,000 | 2,006,105 | |
| Hertz Fleet Lease Funding LP Series 2017-1 Class A1, 1 month U.S. LIBOR + 0.650% 2.409% 4/10/31 (a)(b)(c) | 102,688 | 102,718 | |
| Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) | 3,445,115 | 3,563,800 | |
| Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) | 3,949,077 | 3,992,432 | |
| Madison Park Funding Ltd.: | |||
| Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 3.1859% 1/20/29 (a)(b)(c) | 3,495,000 | 3,493,434 | |
| Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 3.603% 7/15/32 (a)(b)(c) | 8,593,000 | 8,588,136 | |
| Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 3.1741% 10/15/32 (a)(b)(c) | 4,271,000 | 4,271,000 | |
| Magnetite CLO Ltd.: | |||
| Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 3.2459% 4/20/30 (a)(b)(c) | 7,329,000 | 7,326,897 | |
| Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 0% 1/15/33 (a)(b)(c) | 5,948,000 | 5,948,000 | |
| Marlette Funding Trust Series 2019-4A Class A, 2.39% 12/17/29 (a) | 5,596,000 | 5,599,313 | |
| Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (a) | 3,871,250 | 4,006,959 | |
| Nationstar HECM Loan Trust: | |||
| Series 2018-2A Class A, 3.1877% 7/25/28 (a) | 87,695 | 87,794 | |
| Series 2018-3A Class A 3.5545% 11/25/28 (a) | 2,700,114 | 2,695,076 | |
| Series 2019-1A Class A, 2.6513% 6/25/29 (a) | 3,162,556 | 3,164,489 | |
| Navient Student Loan Trust Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 2.308% 7/26/66 (a)(b)(c) | 740,000 | 740,457 | |
| Navistar Financial Dealer Note Master Trust Series 2018-1 Class A, 1 month U.S. LIBOR + 0.630% 2.338% 9/25/23 (a)(b)(c) | 373,000 | 373,435 | |
| New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 2.218% 9/25/35 (b)(c) | 172,409 | 172,114 | |
| Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 3.3021% 7/17/32 (a)(b)(c) | 8,594,000 | 8,589,548 | |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (a) | 6,701,000 | 6,734,505 | |
| Prosper Marketplace Issuance Trust: | |||
| Series 2018-2A Class A, 3.35% 10/15/24 (a) | 28,287 | 28,358 | |
| Series 2019-1A Class A, 3.54% 4/15/25 (a) | 2,812,840 | 2,824,211 | |
| Series 2019-2A Class A, 3.2% 9/15/25 (a) | 1,019,351 | 1,023,126 | |
| Series 2019-4A Class A, 2.48% 2/17/26 (a) | 2,950,000 | 2,949,047 | |
| SBA Tower Trust Series 2019-1 2.836% 1/15/50 (a) | 8,715,000 | 8,815,026 | |
| SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 2.5885% 12/15/27 (a)(b)(c) | 1,981,611 | 1,981,588 | |
| SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (a) | 9,773,201 | 9,796,063 | |
| Structured Asset Securities Corp. Series 2005-NC2 Class M3, 1 month U.S. LIBOR + 0.430% 2.138% 5/25/35 (b)(c) | 2,487 | 2,486 | |
| Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 2.568% 9/25/34 (b)(c) | 7,249 | 7,117 | |
| Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a) | 6,820,917 | 6,983,554 | |
| Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) | 11,717,000 | 11,669,627 | |
| Towd Point Mortgage Trust: | |||
| Series 2018-6 Class A1A, 3.75% 3/25/58 (a) | 400,794 | 412,449 | |
| Series 2019-1 Class A1, 3.75% 3/25/58 (a) | 1,415,802 | 1,476,624 | |
| Series 2019-MH1 Class A1, 3% 11/25/58 (a) | 2,592,444 | 2,609,809 | |
| Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 2.6031% 4/6/42 (a)(b)(c) | 778,000 | 567,006 | |
| Upgrade Receivables Trust: | |||
| Series 2018-1A Class A, 3.76% 11/15/24 (a) | 250,805 | 251,508 | |
| Series 2019-1A Class A, 3.48% 3/15/25 (a) | 1,629,279 | 1,634,390 | |
| Series 2019-2A Class A, 2.77% 10/15/25 (a) | 7,099,378 | 7,111,955 | |
| Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 3.3509% 4/15/32 (a)(b)(c) | 8,606,000 | 8,601,542 | |
| TOTAL ASSET-BACKED SECURITIES | |||
| (Cost $334,455,053) | 336,410,734 | ||
| Collateralized Mortgage Obligations - 1.0% | |||
| Private Sponsor - 0.8% | |||
| Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 1.9628% 6/27/36 (a)(b)(c) | 106,428 | 105,132 | |
| BCAP LLC Trust sequential payer Series 2010-RR2 Class 5A2, 5% 12/26/36 (a) | 7,175 | 7,179 | |
| Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(b) | 167,847 | 170,094 | |
| Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 4.5548% 1/25/37 (a)(b) | 10,316 | 10,442 | |
| Credit Suisse Mortgage Trust Series 2010-9R Class 2A5, 4% 2/27/38 (a) | 56,737 | 57,389 | |
| CSMC: | |||
| floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 2.1028% 5/27/37 (a)(b)(c) | 128,292 | 124,130 | |
| Series 2014-3R: | |||
| Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (a)(b)(c) | 571,588 | 57 | |
| Class AA1, 1 month U.S. LIBOR + 0.280% 2.1028% 5/27/37 (a)(b)(c) | 1,267,317 | 1,219,137 | |
| Fannie Mae: | |||
| floater: | |||
| Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 2.508% 2/25/32 (b)(c) | 4,312 | 4,362 | |
| Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 2.7625% 3/18/32 (b)(c) | 7,821 | 7,967 | |
| Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.708% 4/25/32 (b)(c) | 9,134 | 9,283 | |
| Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 2.708% 10/25/32 (b)(c) | 11,628 | 11,819 | |
| Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 2.458% 1/25/32 (b)(c) | 4,430 | 4,474 | |
| Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 6.392% 12/25/33 (b)(h)(i) | 157,434 | 39,933 | |
| Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 4.972% 11/25/36 (b)(h)(i) | 105,178 | 20,048 | |
| Series 2012-154 Class F, 1 month U.S. LIBOR + 0.300% 2.008% 1/25/43 (b)(c) | 1,170,323 | 1,161,553 | |
| Series 2017-36 Class FB, 1 month U.S. LIBOR + 0.350% 2.058% 5/25/47 (b)(c) | 2,734,866 | 2,710,284 | |
| planned amortization class: | |||
| Series 1992-168 Class KB, 7% 10/25/22 | 3,136 | 3,288 | |
| Series 1993-207 Class H, 6.5% 11/25/23 | 48,729 | 51,902 | |
| Series 1996-28 Class PK, 6.5% 7/25/25 | 16,887 | 18,037 | |
| Series 1999-17 Class PG, 6% 4/25/29 | 81,917 | 88,852 | |
| Series 1999-32 Class PL, 6% 7/25/29 | 79,484 | 87,245 | |
| Series 1999-33 Class PK, 6% 7/25/29 | 58,860 | 64,044 | |
| Series 2001-52 Class YZ, 6.5% 10/25/31 | 7,463 | 8,535 | |
| Series 2003-28 Class KG, 5.5% 4/25/23 | 27,050 | 28,043 | |
| Series 2005-102 Class CO 11/25/35 (j) | 31,744 | 28,993 | |
| Series 2005-39 Class TE, 5% 5/25/35 | 30,923 | 33,468 | |
| Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 13.1092% 8/25/35 (b)(i) | 10,698 | 13,555 | |
| Series 2005-81 Class PC, 5.5% 9/25/35 | 84,519 | 92,870 | |
| Series 2006-12 Class BO 10/25/35 (j) | 143,136 | 130,750 | |
| Series 2006-37 Class OW 5/25/36 (j) | 14,386 | 12,970 | |
| Series 2006-45 Class OP 6/25/36 (j) | 47,824 | 42,979 | |
| Series 2006-62 Class KP 4/25/36 (j) | 80,937 | 73,276 | |
| Series 2012-149: | |||
| Class DA, 1.75% 1/25/43 | 241,597 | 238,633 | |
| Class GA, 1.75% 6/25/42 | 253,631 | 249,728 | |
| sequential payer: | |||
| Series 1997-41 Class J, 7.5% 6/18/27 | 13,522 | 15,242 | |
| Series 1999-25 Class Z, 6% 6/25/29 | 48,841 | 54,295 | |
| Series 2001-20 Class Z, 6% 5/25/31 | 86,057 | 94,201 | |
| Series 2001-31 Class ZC, 6.5% 7/25/31 | 44,701 | 50,421 | |
| Series 2002-16 Class ZD, 6.5% 4/25/32 | 24,164 | 27,689 | |
| Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 5.842% 11/25/32 (b)(h)(i) | 89,608 | 12,498 | |
| Series 2012-67 Class AI, 4.5% 7/25/27 (h) | 197,313 | 15,841 | |
| Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 4.932% 12/25/36 (b)(h)(i) | 77,567 | 18,189 | |
| Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 4.732% 5/25/37 (b)(h)(i) | 45,164 | 9,183 | |
| Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 14.9687% 9/25/23 (b)(i) | 3,005 | 3,524 | |
| Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 6.392% 3/25/33 (b)(h)(i) | 13,986 | 2,949 | |
| Series 2005-72 Class ZC, 5.5% 8/25/35 | 573,425 | 622,879 | |
| Series 2005-79 Class ZC, 5.9% 9/25/35 | 319,894 | 364,633 | |
| Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 30.372% 6/25/37 (b)(i) | 50,055 | 101,540 | |
| Series 2007-66: | |||
| Class SA, 39.600% - 1 month U.S. LIBOR 29.352% 7/25/37 (b)(i) | 53,086 | 106,904 | |
| Class SB, 39.600% - 1 month U.S. LIBOR 29.352% 7/25/37 (b)(i) | 19,011 | 33,516 | |
| Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 4.642% 3/25/38 (b)(h)(i) | 300,658 | 56,012 | |
| Series 2010-112 Class SG, 6.360% - 1 month U.S. LIBOR 4.652% 6/25/21 (b)(h)(i) | 222 | 2 | |
| Series 2010-135: | |||
| Class LS, 6.050% - 1 month U.S. LIBOR 4.342% 12/25/40 (b)(h)(i) | 281,812 | 49,135 | |
| Class ZA, 4.5% 12/25/40 | 168,515 | 187,276 | |
| Series 2010-139 Class NI, 4.5% 2/25/40 (h) | 205,899 | 14,877 | |
| Series 2010-150 Class ZC, 4.75% 1/25/41 | 1,183,939 | 1,332,883 | |
| Series 2010-17 Class DI, 4.5% 6/25/21 (h) | 271 | 2 | |
| Series 2010-95 Class ZC, 5% 9/25/40 | 2,528,582 | 2,856,205 | |
| Series 2010-97 Class CI, 4.5% 8/25/25 (h) | 18,132 | 215 | |
| Series 2011-39 Class ZA, 6% 11/25/32 | 184,680 | 209,464 | |
| Series 2011-4 Class PZ, 5% 2/25/41 | 493,017 | 571,341 | |
| Series 2011-67 Class AI, 4% 7/25/26 (h) | 59,508 | 4,170 | |
| Series 2011-83 Class DI, 6% 9/25/26 (h) | 56,340 | 3,033 | |
| Series 2012-100 Class WI, 3% 9/25/27 (h) | 913,291 | 71,529 | |
| Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 4.942% 12/25/30 (b)(h)(i) | 319,303 | 30,478 | |
| Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 4.842% 6/25/41 (b)(h)(i) | 426,203 | 45,190 | |
| Series 2013-133 Class IB, 3% 4/25/32 (h) | 640,768 | 43,211 | |
| Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 4.342% 1/25/44 (b)(h)(i) | 270,807 | 44,906 | |
| Series 2013-51 Class GI, 3% 10/25/32 (h) | 199,959 | 16,764 | |
| Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 5.012% 6/25/35 (b)(h)(i) | 232,631 | 45,821 | |
| Series 2015-42 Class IL, 6% 6/25/45 (h) | 1,290,276 | 265,975 | |
| Series 2015-70 Class JC, 3% 10/25/45 | 1,397,902 | 1,440,117 | |
| Series 2017-30 Class AI, 5.5% 5/25/47 (h) | 602,971 | 123,440 | |
| FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) | 112,507 | 112,349 | |
| Freddie Mac: | |||
| floater: | |||
| Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 2.5654% 1/15/32 (b)(c) | 3,593 | 3,635 | |
| Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 2.6654% 3/15/32 (b)(c) | 5,038 | 5,109 | |
| Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 2.7654% 3/15/32 (b)(c) | 4,908 | 4,988 | |
| Series 2432: | |||
| Class FE, 1 month U.S. LIBOR + 0.900% 2.6654% 6/15/31 (b)(c) | 8,995 | 9,119 | |
| Class FG, 1 month U.S. LIBOR + 0.900% 2.6654% 3/15/32 (b)(c) | 2,785 | 2,824 | |
| Series 4709 Class FE, 1 month U.S. LIBOR + 0.350% 2.1154% 8/15/47 (b)(c) | 1,384,170 | 1,372,911 | |
| floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 2.0154% 5/15/37 (b)(c) | 192,589 | 191,327 | |
| planned amortization class: | |||
| Series 2006-15 Class OP 3/25/36 (j) | 144,550 | 131,127 | |
| Series 2095 Class PE, 6% 11/15/28 | 94,013 | 102,340 | |
| Series 2101 Class PD, 6% 11/15/28 | 5,888 | 6,391 | |
| Series 2104 Class PG, 6% 12/15/28 | 6,313 | 6,910 | |
| Series 2121 Class MG, 6% 2/15/29 | 38,403 | 41,943 | |
| Series 2131 Class BG, 6% 3/15/29 | 202,150 | 220,643 | |
| Series 2137 Class PG, 6% 3/15/29 | 29,015 | 31,795 | |
| Series 2154 Class PT, 6% 5/15/29 | 67,525 | 74,487 | |
| Series 2162 Class PH, 6% 6/15/29 | 13,022 | 14,128 | |
| Series 2520 Class BE, 6% 11/15/32 | 86,393 | 96,538 | |
| Series 2585 Class KS, 7.600% - 1 month U.S. LIBOR 5.8346% 3/15/23 (b)(h)(i) | 1,280 | 35 | |
| Series 2693 Class MD, 5.5% 10/15/33 | 376,867 | 420,885 | |
| Series 2802 Class OB, 6% 5/15/34 | 130,291 | 140,766 | |
| Series 2962 Class BE, 4.5% 4/15/20 | 6,655 | 6,668 | |
| Series 3002 Class NE, 5% 7/15/35 | 213,313 | 228,920 | |
| Series 3110 Class OP 9/15/35 (j) | 83,590 | 78,881 | |
| Series 3119 Class PO 2/15/36 (j) | 174,370 | 157,292 | |
| Series 3121 Class KO 3/15/36 (j) | 29,041 | 26,400 | |
| Series 3123 Class LO 3/15/36 (j) | 98,353 | 88,862 | |
| Series 3145 Class GO 4/15/36 (j) | 95,018 | 86,149 | |
| Series 3189 Class PD, 6% 7/15/36 | 185,260 | 213,632 | |
| Series 3225 Class EO 10/15/36 (j) | 52,383 | 47,250 | |
| Series 3258 Class PM, 5.5% 12/15/36 | 82,113 | 89,014 | |
| Series 3415 Class PC, 5% 12/15/37 | 71,075 | 77,511 | |
| Series 3786 Class HI, 4% 3/15/38 (h) | 161,631 | 6,461 | |
| Series 3806 Class UP, 4.5% 2/15/41 | 594,842 | 633,198 | |
| Series 3832 Class PE, 5% 3/15/41 | 772,000 | 839,248 | |
| Series 4135 Class AB, 1.75% 6/15/42 | 191,995 | 189,723 | |
| Series 4765 Class PE, 3% 12/15/41 | 930,417 | 936,139 | |
| sequential payer: | |||
| Series 2114 Class ZM, 6% 1/15/29 | 3,030 | 3,313 | |
| Series 2135 Class JE, 6% 3/15/29 | 24,928 | 27,462 | |
| Series 2274 Class ZM, 6.5% 1/15/31 | 23,668 | 26,619 | |
| Series 2281 Class ZB, 6% 3/15/30 | 40,866 | 44,217 | |
| Series 2303 Class ZV, 6% 4/15/31 | 17,634 | 19,321 | |
| Series 2357 Class ZB, 6.5% 9/15/31 | 145,814 | 166,714 | |
| Series 2502 Class ZC, 6% 9/15/32 | 44,332 | 49,421 | |
| Series 2519 Class ZD, 5.5% 11/15/32 | 53,039 | 58,079 | |
| Series 2546 Class MJ, 5.5% 3/15/23 | 16,606 | 17,241 | |
| Series 2601 Class TB, 5.5% 4/15/23 | 8,040 | 8,395 | |
| Series 2998 Class LY, 5.5% 7/15/25 | 29,008 | 30,539 | |
| Series 3871 Class KB, 5.5% 6/15/41 | 963,302 | 1,109,401 | |
| Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 4.8346% 2/15/36 (b)(h)(i) | 61,917 | 13,511 | |
| Series 1658 Class GZ, 7% 1/15/24 | 9,466 | 10,002 | |
| Series 2013-4281 Class AI, 4% 12/15/28 (h) | 591,693 | 37,679 | |
| Series 2017-4683 Class LM, 3% 5/15/47 | 1,636,768 | 1,660,464 | |
| Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 6.4346% 11/15/31 (b)(h)(i) | 39,287 | 5,676 | |
| Series 2587 Class IM, 6.5% 3/15/33 (h) | 6,003 | 1,358 | |
| Series 2844: | |||
| Class SC, 46.800% - 1 month U.S. LIBOR 35.325% 8/15/24 (b)(i) | 633 | 781 | |
| Class SD, 86.400% - 1 month U.S. LIBOR 63.5001% 8/15/24 (b)(i) | 1,158 | 1,674 | |
| Series 2933 Class ZM, 5.75% 2/15/35 | 689,638 | 804,552 | |
| Series 2935 Class ZK, 5.5% 2/15/35 | 667,863 | 738,180 | |
| Series 2947 Class XZ, 6% 3/15/35 | 287,398 | 323,064 | |
| Series 2996 Class ZD, 5.5% 6/15/35 | 483,062 | 554,993 | |
| Series 3237 Class C, 5.5% 11/15/36 | 738,696 | 833,704 | |
| Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 4.8946% 11/15/36 (b)(h)(i) | 236,884 | 50,255 | |
| Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 4.9846% 3/15/37 (b)(h)(i) | 352,132 | 78,631 | |
| Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 4.9946% 4/15/37 (b)(h)(i) | 490,244 | 112,493 | |
| Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 4.8146% 6/15/37 (b)(h)(i) | 184,298 | 35,733 | |
| Series 3949 Class MK, 4.5% 10/15/34 | 155,462 | 164,414 | |
| Series 3955 Class YI, 3% 11/15/21 (h) | 13,613 | 284 | |
| Series 4055 Class BI, 3.5% 5/15/31 (h) | 607,320 | 45,049 | |
| Series 4149 Class IO, 3% 1/15/33 (h) | 93,844 | 10,600 | |
| Series 4314 Class AI, 5% 3/15/34 (h) | 172,609 | 14,021 | |
| Series 4427 Class LI, 3.5% 2/15/34 (h) | 1,051,133 | 98,872 | |
| Series 4471 Class PA 4% 12/15/40 | 1,238,257 | 1,273,597 | |
| target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 36,131 | 38,410 | |
| Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
| floater: | |||
| Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 4.9275% 6/16/37 (b)(h)(i) | 104,874 | 22,575 | |
| Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 2.3549% 3/20/60 (b)(c)(k) | 1,206,192 | 1,207,141 | |
| Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 2.1349% 7/20/60 (b)(c)(k) | 153,883 | 153,121 | |
| Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 2.2973% 9/20/60 (b)(c)(k) | 181,022 | 180,067 | |
| Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 2.2973% 8/20/60 (b)(c)(k) | 201,478 | 200,449 | |
| Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 2.3773% 12/20/60 (b)(c)(k) | 390,077 | 388,754 | |
| Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 2.4973% 12/20/60 (b)(c)(k) | 522,184 | 522,096 | |
| Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 2.4973% 2/20/61 (b)(c)(k) | 1,055,104 | 1,055,039 | |
| Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 2.4873% 2/20/61 (b)(c)(k) | 1,373,199 | 1,372,868 | |
| Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 2.4973% 4/20/61 (b)(c)(k) | 470,894 | 470,806 | |
| Series 2011-H14: | |||
| Class FB, 1 month U.S. LIBOR + 0.500% 2.4973% 5/20/61 (b)(c)(k) | 612,407 | 612,272 | |
| Class FC, 1 month U.S. LIBOR + 0.500% 2.4973% 5/20/61 (b)(c)(k) | 530,781 | 530,678 | |
| Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 2.5273% 6/20/61 (b)(c)(k) | 641,327 | 641,630 | |
| Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 2.5473% 9/20/61 (b)(c)(k) | 1,540,850 | 1,542,369 | |
| Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 2.5973% 10/20/61 (b)(c)(k) | 729,863 | 731,355 | |
| Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 2.6973% 11/20/61 (b)(c)(k) | 673,670 | 676,537 | |
| Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 2.6973% 1/20/62 (b)(c)(k) | 423,994 | 425,785 | |
| Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 2.6273% 1/20/62 (b)(c)(k) | 635,157 | 636,877 | |
| Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 2.6273% 3/20/62 (b)(c)(k) | 397,166 | 397,535 | |
| Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 2.6473% 5/20/61 (b)(c)(k) | 28,316 | 28,385 | |
| Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 2.5273% 7/20/60 (b)(c)(k) | 14,248 | 14,254 | |
| Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 2.5973% 1/20/64 (b)(c)(k) | 630,191 | 631,326 | |
| Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 2.5973% 12/20/63 (b)(c)(k) | 1,969,591 | 1,973,739 | |
| Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 2.4973% 6/20/64 (b)(c)(k) | 539,615 | 539,510 | |
| Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 2.2973% 3/20/65 (b)(c)(k) | 21,867 | 21,789 | |
| Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 2.2773% 5/20/63 (b)(c)(k) | 57,322 | 57,218 | |
| Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 2.1973% 4/20/63 (b)(c)(k) | 86,583 | 86,279 | |
| Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 2.3973% 12/20/62 (b)(c)(k) | 148,518 | 148,393 | |
| Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 1.9736% 10/20/47 (b)(c) | 1,411,309 | 1,397,380 | |
| Series 2018-159 Class F, 1 month U.S. LIBOR + 0.350% 2.0736% 11/20/48 (b)(c) | 4,029,235 | 4,005,455 | |
| Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 2.0236% 5/20/48 (b)(c) | 1,742,348 | 1,728,863 | |
| Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 2.0236% 6/20/48 (b)(c) | 2,017,264 | 2,001,072 | |
| Series 2018-78 Class AF, 1 month U.S. LIBOR + 0.300% 2.0236% 6/20/48 (b)(c) | 2,359,922 | 2,342,600 | |
| planned amortization class: | |||
| Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 6.5527% 12/20/40 (b)(i) | 1,185,000 | 1,396,894 | |
| Series 2011-136 Class WI, 4.5% 5/20/40 (h) | 129,397 | 10,799 | |
| Series 2016-69 Class WA, 3% 2/20/46 | 910,975 | 927,189 | |
| Series 2017-134 Class BA, 2.5% 11/20/46 | 252,108 | 254,594 | |
| Series 2017-153 Class GA, 3% 9/20/47 | 2,505,673 | 2,544,641 | |
| Series 2017-182 Class KA, 3% 10/20/47 | 2,341,124 | 2,372,182 | |
| Series 2018-13 Class Q, 3% 4/20/47 | 3,032,817 | 3,067,981 | |
| sequential payer: | |||
| Series 2002-42 Class ZA, 6% 6/20/32 | 14,191 | 15,886 | |
| Series 2004-24 Class ZM, 5% 4/20/34 | 323,912 | 354,808 | |
| Series 2010-160 Class DY, 4% 12/20/40 | 2,809,343 | 3,048,722 | |
| Series 2010-170 Class B, 4% 12/20/40 | 626,924 | 680,366 | |
| Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 2.4973% 9/20/62 (b)(c)(k) | 1,293,604 | 1,293,759 | |
| Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 2.6473% 11/20/65 (b)(c)(k) | 130,355 | 130,453 | |
| Series 2017-139 Class BA, 3% 9/20/47 | 8,879,360 | 8,977,324 | |
| Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 4.7375% 5/16/34 (b)(h)(i) | 69,668 | 12,789 | |
| Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 5.4375% 8/17/34 (b)(h)(i) | 59,849 | 13,274 | |
| Series 2010-116 Class QB, 4% 9/16/40 | 186,679 | 194,068 | |
| Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 4.1875% 2/16/40 (b)(h)(i) | 386,215 | 61,104 | |
| Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 2.1349% 5/20/60 (b)(c)(k) | 462,270 | 459,993 | |
| Series 2011-52 Class HI, 7% 4/16/41 (h) | 64,234 | 13,924 | |
| Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 4.3764% 7/20/41 (b)(h)(i) | 241,016 | 43,914 | |
| Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 4.9375% 6/16/42 (b)(h)(i) | 229,891 | 45,993 | |
| Series 2013-124: | |||
| Class ES, 8.667% - 1 month U.S. LIBOR 6.3685% 4/20/39 (b)(i) | 217,259 | 223,370 | |
| Class ST, 8.800% - 1 month U.S. LIBOR 6.5018% 8/20/39 (b)(i) | 765,959 | 793,713 | |
| Series 2013-149 Class MA, 2.5% 5/20/40 | 3,260,657 | 3,301,700 | |
| Series 2014-2 Class BA, 3% 1/20/44 | 4,148,841 | 4,297,781 | |
| Series 2014-21 Class HA, 3% 2/20/44 | 1,892,837 | 1,963,811 | |
| Series 2014-25 Class HC, 3% 2/20/44 | 2,888,342 | 3,005,384 | |
| Series 2014-5 Class A, 3% 1/20/44 | 2,556,346 | 2,647,925 | |
| Series 2015-H13 Class HA, 2.5% 8/20/64 (k) | 1,605,734 | 1,605,700 | |
| Series 2015-H17 Class HA, 2.5% 5/20/65 (k) | 795,817 | 795,810 | |
| Series 2015-H21 Class HA, 2.5% 6/20/63 (k) | 14,122 | 14,113 | |
| Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 2.29% 5/20/66 (b)(c)(k) | 3,947,030 | 3,946,581 | |
| Series 2017-186 Class HK, 3% 11/16/45 | 2,438,798 | 2,464,934 | |
| Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.14% 8/20/66 (b)(c)(k) | 4,515,897 | 4,503,114 | |
| JP Morgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 2.0524% 6/21/36 (a)(b)(c) | 23,986 | 23,891 | |
| Lanark Master Issuer PLC: | |||
| floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 2.6873% 12/22/69 (a)(b)(c) | 3,726,667 | 3,732,372 | |
| Series 2019-2A Class 1A, 2.71% 12/22/69 (a) | 9,300,000 | 9,346,147 | |
| Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 1.9928% 2/25/37 (b)(c) | 22,621 | 22,555 | |
| Nationstar HECM Loan Trust sequential payer Series 2019-2A Class A, 2.2722% 11/26/29 (a) | 5,045,000 | 5,029,144 | |
| New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (a) | 6,701,069 | 6,856,922 | |
| Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 1.998% 7/25/35 (b)(c) | 12,836 | 12,839 | |
| Permanent Master Issuer PLC floater: | |||
| Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 2.3661% 7/15/58 (a)(b)(c) | 4,236,000 | 4,236,169 | |
| Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 2.5361% 7/15/58 (a)(b)(c) | 3,615,000 | 3,615,871 | |
| Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 10/25/49 (a) | 4,531,000 | 4,575,602 | |
| Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 3.178% 7/20/34(b)(c) | 2,816 | 2,760 | |
| Silverstone Master Issuer PLC floater: | |||
| Series 2015-1A Class 2A2, 3 month U.S. LIBOR + 0.550% 2.5159% 1/21/70 (a)(c) | 1,687,500 | 1,686,839 | |
| Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 2.5359% 1/21/70 (a)(b)(c) | 12,810,000 | 12,792,566 | |
| Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 2.348% 9/25/43 (b)(c) | 129,396 | 130,225 | |
| Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 4.7874% 9/25/33 (b) | 19,016 | 18,982 | |
| Winwater Mortgage Loan Trust sequential payer Series 2015-1 Class A9, 2.5% 1/20/45 (a) | 35,285 | 35,248 | |
| TOTAL PRIVATE SPONSOR | 165,387,260 | ||
| U.S. Government Agency - 0.2% | |||
| Fannie Mae floater: | |||
| Series 2018-32 Class FB, 1 month U.S. LIBOR + 0.300% 2.008% 5/25/48 (b)(c) | 1,659,789 | 1,643,619 | |
| Series 2018-38 Class FG, 1 month U.S. LIBOR + 0.300% 2.008% 6/25/48 (b)(c) | 7,229,983 | 7,162,816 | |
| Fannie Mae Stripped Mortgage-Backed Securities: | |||
| Series 339 Class 5, 5.5% 7/25/33 (h) | 41,061 | 8,341 | |
| Series 343 Class 16, 5.5% 5/25/34 (h) | 35,181 | 6,411 | |
| Series 348 Class 14, 6.5% 8/25/34 (b)(h) | 30,286 | 7,367 | |
| Series 351: | |||
| Class 12, 5.5% 4/25/34 (b)(h) | 19,935 | 4,057 | |
| Class 13, 6% 3/25/34 (h) | 27,361 | 5,515 | |
| Series 359 Class 19, 6% 7/25/35 (b)(h) | 16,999 | 3,803 | |
| Series 384 Class 6, 5% 7/25/37 (h) | 181,827 | 36,139 | |
| Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
| floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 2.8213% 2/15/24 (b)(c) | 11,893 | 11,968 | |
| planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 9,011 | 10,085 | |
| sequential payer: | |||
| Series 2043 Class ZH, 6% 4/15/28 | 27,260 | 29,650 | |
| Series 2056 Class Z, 6% 5/15/28 | 51,343 | 55,879 | |
| Freddie Mac Multi-family Structured pass-thru certificates: | |||
| floater Series 4795 Class FA, 1 month U.S. LIBOR + 0.300% 2.0654% 5/15/48 (b)(c) | 4,901,463 | 4,858,780 | |
| Series 4386 Class AZ, 4.5% 11/15/40 | 1,748,858 | 1,868,456 | |
| Freddie Mac Seasoned Credit Risk Transfer Trust: | |||
| sequential payer: | |||
| Series 2018-3 Class MA, 3.5% 8/25/57 | 14,522,309 | 15,085,482 | |
| Series 2018-4 Class MA, 3.5% 3/25/58 | 5,358,184 | 5,569,760 | |
| Series 2019-1 Class MA, 3.5% 7/25/58 | 9,293,194 | 9,615,514 | |
| Series 2018-3 Class M55D, 4% 8/25/57 | 662,118 | 697,739 | |
| Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.2519% 5/20/65 (b)(k) | 140,346 | 145,256 | |
| TOTAL U.S. GOVERNMENT AGENCY | 46,826,637 | ||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
| (Cost $210,553,574) | 212,213,897 | ||
| Commercial Mortgage Securities - 1.6% | |||
| Asset Securitization Corp. Series 1997-D5 Class PS1, 1.8237% 2/14/43 (b)(h) | 1,811 | 4 | |
| BAMLL Commercial Mortgage Securities Trust: | |||
| sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (a) | 5,768,000 | 5,940,925 | |
| Series 2019-BPR: | |||
| Class BNM, 3.465% 11/5/32 (a) | 1,295,000 | 1,333,846 | |
| Class CNM, 3.8425% 11/5/32 (a)(b) | 536,000 | 549,833 | |
| Barclays Commercial Mortgage Securities LLC: | |||
| Series 2015-STP Class A, 3.3228% 9/10/28 (a) | 67,498 | 67,939 | |
| Series 2018-C2 Class A5, 4.314% 12/15/51 | 700,000 | 790,860 | |
| Bayview Commercial Asset Trust floater: | |||
| Series 2005-3A: | |||
| Class A2, 1 month U.S. LIBOR + 0.400% 2.108% 11/25/35 (a)(b)(c) | 47,277 | 45,866 | |
| Class M1, 1 month U.S. LIBOR + 0.440% 2.148% 11/25/35 (a)(b)(c) | 12,646 | 11,902 | |
| Series 2005-4A: | |||
| Class A2, 1 month U.S. LIBOR + 0.390% 2.098% 1/25/36 (a)(b)(c) | 115,006 | 111,577 | |
| Class M1, 1 month U.S. LIBOR + 0.450% 2.158% 1/25/36 (a)(b)(c) | 37,127 | 35,892 | |
| Class M2, 1 month U.S. LIBOR + 0.470% 2.178% 1/25/36 (a)(b)(c) | 14,001 | 13,313 | |
| Class M3, 1 month U.S. LIBOR + 0.500% 2.208% 1/25/36 (a)(b)(c) | 20,376 | 19,353 | |
| Series 2006-1: | |||
| Class A2, 1 month U.S. LIBOR + 0.360% 2.068% 4/25/36 (a)(b)(c) | 19,953 | 19,280 | |
| Class M1, 1 month U.S. LIBOR + 0.380% 2.088% 4/25/36 (a)(b)(c) | 12,065 | 11,582 | |
| Class M2, 1 month U.S. LIBOR + 0.400% 2.108% 4/25/36 (a)(b)(c) | 12,761 | 12,197 | |
| Class M6, 1 month U.S. LIBOR + 0.640% 2.348% 4/25/36 (a)(b)(c) | 12,065 | 11,293 | |
| Series 2006-2A: | |||
| Class M1, 1 month U.S. LIBOR + 0.310% 2.018% 7/25/36 (a)(b)(c) | 18,572 | 17,946 | |
| Class M2, 1 month U.S. LIBOR + 0.330% 2.038% 7/25/36 (a)(b)(c) | 13,196 | 12,421 | |
| Class M4, 1 month U.S. LIBOR + 0.420% 2.128% 7/25/36 (a)(b)(c) | 12,463 | 11,791 | |
| Series 2006-4A: | |||
| Class A2, 1 month U.S. LIBOR + 0.270% 1.978% 12/25/36 (a)(b)(c) | 291,225 | 280,053 | |
| Class M1, 1 month U.S. LIBOR + 0.290% 1.998% 12/25/36 (a)(b)(c) | 23,405 | 21,825 | |
| Class M3, 1 month U.S. LIBOR + 0.340% 2.048% 12/25/36 (a)(b)(c) | 15,865 | 14,366 | |
| Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 1.978% 3/25/37 (a)(b)(c) | 70,172 | 66,302 | |
| Series 2007-2A: | |||
| Class A1, 1 month U.S. LIBOR + 0.270% 1.978% 7/25/37 (a)(b)(c) | 205,936 | 196,314 | |
| Class A2, 1 month U.S. LIBOR + 0.320% 2.028% 7/25/37 (a)(b)(c) | 192,754 | 180,419 | |
| Class M1, 1 month U.S. LIBOR + 0.370% 2.078% 7/25/37 (a)(b)(c) | 65,661 | 61,017 | |
| Class M2, 1 month U.S. LIBOR + 0.410% 2.118% 7/25/37 (a)(b)(c) | 42,779 | 38,747 | |
| Class M3, 1 month U.S. LIBOR + 0.490% 2.198% 7/25/37 (a)(b)(c) | 36,953 | 43,037 | |
| Series 2007-3: | |||
| Class A2, 1 month U.S. LIBOR + 0.290% 1.998% 7/25/37 (a)(b)(c) | 72,582 | 68,690 | |
| Class M1, 1 month U.S. LIBOR + 0.310% 2.018% 7/25/37 (a)(b)(c) | 38,501 | 36,520 | |
| Class M2, 1 month U.S. LIBOR + 0.340% 2.048% 7/25/37 (a)(b)(c) | 41,081 | 38,636 | |
| Class M3, 1 month U.S. LIBOR + 0.370% 2.078% 7/25/37 (a)(b)(c) | 66,318 | 61,239 | |
| Class M4, 1 month U.S. LIBOR + 0.500% 2.208% 7/25/37 (a)(b)(c) | 104,267 | 97,799 | |
| Class M5, 1 month U.S. LIBOR + 0.600% 2.308% 7/25/37 (a)(b)(c) | 41,741 | 51,083 | |
| Benchmark Mortgage Trust: | |||
| Series 2018-B8 Class A5, 4.2317% 1/15/52 | 6,545,000 | 7,408,087 | |
| Series 2019-B12 Class XA, 1.2066% 8/15/52 (b)(h) | 75,898,713 | 5,693,944 | |
| Series 2019-B14 Class XA, 0.7959% 12/15/61 (b)(h) | 51,000,000 | 2,906,500 | |
| BX Commercial Mortgage Trust floater sequential payer Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 2.626% 11/25/28 (a)(b)(c) | 2,254,000 | 2,254,000 | |
| BX Trust: | |||
| floater: | |||
| Series 2018-EXCL: | |||
| Class A, 1 month U.S. LIBOR + 1.088% 2.853% 9/15/37 (a)(b)(c) | 3,912,654 | 3,909,019 | |
| Class B, 1 month U.S. LIBOR + 1.320% 3.0904% 9/15/37 (a)(b)(c) | 4,536,936 | 4,528,561 | |
| Class D, 1 month U.S. LIBOR + 2.620% 4.3904% 9/15/37 (a)(b)(c) | 2,186,803 | 2,187,259 | |
| Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 3.5654% 11/15/35 (a)(b)(c) | 2,581,755 | 2,588,220 | |
| Series 2019-IMC: | |||
| Class B, 1 month U.S. LIBOR + 1.300% 3.0654% 4/15/34 (a)(b)(c) | 4,437,000 | 4,436,993 | |
| Class C, 1 month U.S. LIBOR + 1.600% 3.3654% 4/15/34 (a)(b)(c) | 2,933,000 | 2,932,994 | |
| Class D, 1 month U.S. LIBOR + 1.900% 3.6654% 4/15/34 (a)(b)(c) | 3,079,000 | 3,088,632 | |
| Series 2019-XL: | |||
| Class B, 1 month U.S. LIBOR + 1.080% 2.8454% 10/15/36 (a)(b)(c) | 4,481,000 | 4,483,795 | |
| Class C, 1 month U.S. LIBOR + 1.250% 3.0154% 10/15/36 (a)(b)(c) | 5,633,000 | 5,634,758 | |
| Class D, 1 month U.S. LIBOR + 1.450% 3.2154% 10/15/36 (a)(b)(c) | 7,979,000 | 7,984,003 | |
| Class E, 1 month U.S. LIBOR + 1.800% 3.5654% 10/15/36 (a)(b)(c) | 11,211,000 | 11,221,537 | |
| floater, sequential payer: | |||
| Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 2.7654% 4/15/34 (a)(b)(c) | 9,272,000 | 9,279,760 | |
| Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 2.6854% 10/15/36 (a)(b)(c) | 28,900,000 | 28,927,111 | |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
| Class A, 1 month U.S. LIBOR + 0.950% 2.8% 11/15/36 (a)(b)(c) | 4,222,000 | 4,221,997 | |
| Class B, 1 month U.S. LIBOR + 1.250% 3.1% 11/15/36 (a)(b)(c) | 1,600,000 | 1,599,999 | |
| CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
| Class A, 1 month U.S. LIBOR + 1.120% 2.8854% 6/15/34 (a)(b)(c) | 14,535,000 | 14,560,164 | |
| Class B, 1 month U.S. LIBOR + 1.500% 3.2654% 6/15/34 (a)(b)(c) | 2,179,000 | 2,180,352 | |
| Class C, 1 month U.S. LIBOR + 1.750% 3.5154% 6/15/34 (a)(b)(c) | 2,462,000 | 2,463,529 | |
| Citigroup Commercial Mortgage Trust: | |||
| sequential payer: | |||
| Series 2017-P7 Class AAB, 3.509% 4/14/50 | 740,000 | 776,228 | |
| Series 2018-B2 Class AAB, 3.962% 3/10/51 | 400,000 | 433,086 | |
| Series 2015-GC33 Class XA, 1.0492% 9/10/58 (b)(h) | 1,631,046 | 67,804 | |
| Series 2016-P6 Class XA, 0.9411% 12/10/49 (b)(h) | 1,651,697 | 57,223 | |
| Series 2018-C6 Class A4, 4.412% 11/10/51 | 1,302,000 | 1,485,066 | |
| COMM Mortgage Trust: | |||
| Series 2014-CR20 Class XA, 1.179% 11/10/47 (b)(h) | 394,669 | 16,775 | |
| Series 2014-LC17 Class XA, 0.9253% 10/10/47 (b)(h) | 1,388,688 | 40,626 | |
| Series 2014-UBS6 Class XA, 1.0469% 12/10/47 (b)(h) | 997,450 | 35,572 | |
| Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 2.6454% 12/15/31 (a)(b)(c) | 1,667,000 | 1,668,297 | |
| Credit Suisse Mortgage Trust: | |||
| floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 2.7454% 5/15/36 (a)(b)(c) | 9,500,000 | 9,513,329 | |
| Series 2018-SITE: | |||
| Class A, 4.284% 4/15/36 (a) | 4,627,000 | 4,890,966 | |
| Class B, 4.5349% 4/15/36 (a) | 1,471,000 | 1,556,389 | |
| Class C, 4.9414% 4/15/36 (a)(b) | 955,000 | 1,006,452 | |
| Class D, 4.9414% 4/15/36 (a)(b) | 1,909,000 | 1,980,706 | |
| CSAIL Commercial Mortgage Trust sequential payer: | |||
| Series 2015-C3 Class A4, 3.7182% 8/15/48 | 7,500,000 | 7,984,998 | |
| Series 2019-C18 Class A4, 2.968% 12/15/52 | 3,200,000 | 3,276,915 | |
| CSAIL Commercial Mtg Trust Series 2018-C14 Class A4 4.4216% 11/15/51 | 3,395,000 | 3,859,950 | |
| Freddie Mac: | |||
| sequential payer: | |||
| Series 2019-K101 Class A2, 2.524% 10/25/29 | 8,800,000 | 9,000,012 | |
| Series K069 Class A2, 3.187% 9/25/27 | 3,630,000 | 3,873,047 | |
| Series K073 Class A2, 3.35% 1/25/28 | 6,811,000 | 7,364,774 | |
| Series K734 Class A2, 3.208% 2/25/26 | 2,438,000 | 2,574,493 | |
| Freddie Mac Multi-family Structured pass-thru certificates Series K078 Class A2, 3.854% 6/25/28 | 11,900,000 | 13,279,317 | |
| GS Mortgage Securities Trust: | |||
| floater Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 3.2154% 9/15/31 (a)(b)(c) | 14,456,000 | 14,406,419 | |
| sequential payer Series 2015-GC32 Class A4, 3.764% 7/10/48 | 9,500,000 | 10,204,166 | |
| JP Morgan Chase Commercial Mortgage Securities Trust floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 2.7654% 9/15/29 (a)(b)(c) | 6,400,000 | 6,399,989 | |
| JPMDB Commercial Mortgage Securities Trust sequential payer Series 2017-C7 Class ASB, 3.2419% 10/15/50 | 7,000,000 | 7,287,090 | |
| JPMorgan Chase Commercial Mortgage Securities Trust: | |||
| Series 2007-CB19 Class B, 6.0058% 2/12/49 (b)(l) | 29,022 | 1,451 | |
| Series 2018-WPT: | |||
| Class AFX, 4.2475% 7/5/33 (a) | 84,000 | 89,573 | |
| Class CFX, 4.9498% 7/5/33 (a) | 767,000 | 820,661 | |
| Class DFX, 5.3503% 7/5/33 (a) | 1,180,000 | 1,265,417 | |
| Class EFX, 5.5422% 7/5/33 (a) | 1,614,000 | 1,713,317 | |
| Morgan Stanley BAML Trust Series 2015-C25 Class XA, 1.2496% 10/15/48 (b)(h) | 1,001,643 | 48,065 | |
| Morgan Stanley Bank of America Merrill Lynch Trust sequential payer Series 2017-C34 Class ASB, 3.354% 11/15/52 | 4,000,000 | 4,182,630 | |
| Morgan Stanley Capital I Trust: | |||
| floater: | |||
| Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 2.6154% 8/15/33 (a)(b)(c) | 213,000 | 212,201 | |
| Series 2019-AGLN Class A, 1 month U.S. LIBOR + 0.950% 2.7154% 3/15/34 (a)(b)(c) | 8,620,000 | 8,619,966 | |
| sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) | 12,347,000 | 12,726,732 | |
| Series 2011-C3 Class AJ, 5.4193% 7/15/49 (a)(b) | 5,300,000 | 5,515,447 | |
| Series 2018-H4 Class A4, 4.31% 12/15/51 | 11,629,000 | 13,187,216 | |
| Series 2019-MEAD: | |||
| Class B, 3.1771% 11/10/36 (a) | 1,783,000 | 1,819,211 | |
| Class C, 3.1771% 11/10/36 (a) | 1,712,000 | 1,723,351 | |
| MSCG Trust Series 2016-SNR: | |||
| Class A, 3.4596% 11/15/34 (a)(b) | 391,209 | 392,912 | |
| Class B, 4.181% 11/15/34 (a) | 1,351,500 | 1,369,477 | |
| Class C, 5.205% 11/15/34 (a) | 948,600 | 969,843 | |
| RETL floater Series 2019-RVP: | |||
| Class A, 1 month U.S. LIBOR + 1.150% 2.9154% 3/15/36 (a)(b)(c) | 3,943,935 | 3,946,383 | |
| Class B, 1 month U.S. LIBOR + 1.550% 3.3154% 3/15/36 (a)(b)(c) | 2,800,000 | 2,805,244 | |
| Class C, 1 month U.S. LIBOR + 2.100% 3.8654% 3/15/36 (a)(b)(c) | 8,787,000 | 8,819,914 | |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.2121% 12/15/50 (b)(h) | 1,248,229 | 80,088 | |
| UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 2.5533% 4/10/46 (a)(b)(c) | 113,853 | 115,115 | |
| Wells Fargo Commercial Mortgage Trust: | |||
| sequential payer Series 2015-C26 Class A4, 3.166% 2/15/48 | 3,550,000 | 3,690,772 | |
| Series 2017-C42 Class XA, 1.0374% 12/15/50 (b)(h) | 1,460,775 | 87,406 | |
| Series 2018-C48 Class A5, 4.302% 1/15/52 | 7,791,000 | 8,804,864 | |
| WF-RBS Commercial Mortgage Trust: | |||
| floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 2.4825% 6/15/46 (a)(b)(c) | 120,657 | 120,745 | |
| Series 2014-C25 Class A5, 3.631% 11/15/47 | 5,490,000 | 5,820,091 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
| (Cost $340,323,028) | 346,752,862 | ||
| Municipal Securities - 0.2% | |||
| Illinois Gen. Oblig.: | |||
| Series 2003: | $ | $ | |
| 4.95% 6/1/23 | 4,114,909 | 4,302,055 | |
| 5.1% 6/1/33 | 22,095,000 | 23,780,407 | |
| Series 2010-1, 6.63% 2/1/35 | 2,035,000 | 2,379,037 | |
| Series 2010-3: | |||
| 6.725% 4/1/35 | 2,710,000 | 3,162,164 | |
| 7.35% 7/1/35 | 1,385,000 | 1,673,357 | |
| Series 2010-5, 6.2% 7/1/21 | 590,000 | 612,863 | |
| Series 2013, 3.6% 12/1/19 | 1,905,000 | 1,905,000 | |
| TOTAL MUNICIPAL SECURITIES | |||
| (Cost $34,285,146) | 37,814,883 | ||
| Bank Notes - 0.1% | |||
| Capital One NA 2.95% 7/23/21 | 3,754,000 | 3,803,090 | |
| Discover Bank: | |||
| (Delaware) 3.2% 8/9/21 | 4,613,000 | 4,689,027 | |
| 3.1% 6/4/20 | 4,072,000 | 4,089,316 | |
| 4.682% 8/9/28 (b) | 2,954,000 | 3,098,805 | |
| KeyBank NA 6.95% 2/1/28 | 619,000 | 778,694 | |
| PNC Bank NA 2.45% 11/5/20 | 4,575,000 | 4,596,826 | |
| RBS Citizens NA 2.55% 5/13/21 | 1,236,000 | 1,244,510 | |
| Regions Bank 6.45% 6/26/37 | 4,251,000 | 5,564,827 | |
| Synchrony Bank 3.65% 5/24/21 | 4,817,000 | 4,904,190 | |
| TOTAL BANK NOTES | |||
| (Cost $31,451,547) | 32,769,285 | ||
| Shares | Value | ||
| Fixed-Income Funds - 57.0% | |||
| Bank Loan Funds - 1.7% | |||
| Fidelity Floating Rate High Income Fund (m) | 40,061,317 | $376,175,769 | |
| High Yield Fixed-Income Funds - 1.2% | |||
| Fidelity New Markets Income Fund (m) | 17,348,936 | 256,417,276 | |
| Inflation-Protected Bond Funds - 2.4% | |||
| Fidelity Inflation-Protected Bond Index Fund (m) | 49,594,285 | 505,861,710 | |
| Intermediate Government Funds - 10.5% | |||
| Fidelity SAI U.S. Treasury Bond Index Fund (m) | 221,466,549 | 2,254,529,469 | |
| Intermediate-Term Bond Funds - 38.8% | |||
| Fidelity Global Credit Fund (m) | 1,622,425 | 15,883,539 | |
| Fidelity SAI Total Bond Fund (m) | 731,588,670 | 7,703,628,661 | |
| Fidelity U.S. Bond Index Fund (m) | 54,972,541 | 657,471,587 | |
| TOTAL INTERMEDIATE-TERM BOND FUNDS | 8,376,983,787 | ||
| Long Government Bond Funds - 2.4% | |||
| Fidelity SAI Long-Term Treasury Bond Index Fund (m) | 45,571,029 | 518,598,313 | |
| TOTAL FIXED-INCOME FUNDS | |||
| (Cost $11,861,543,162) | 12,288,566,324 | ||
| Principal Amount | Value | ||
| Preferred Securities - 0.1% | |||
| ENERGY - 0.0% | |||
| Oil, Gas & Consumable Fuels - 0.0% | |||
| MPLX LP 6.875% (b)(n) | 734,000 | 750,645 | |
| FINANCIALS - 0.1% | |||
| Banks - 0.1% | |||
| Bank of America Corp. 6.25% (b)(n) | 4,113,000 | 4,646,695 | |
| Bank of Nova Scotia 4.65% (b)(n) | 13,095,000 | 13,210,930 | |
| Barclays Bank PLC 7.625% 11/21/22 | 4,883,000 | 5,486,513 | |
| Barclays PLC 7.875% (Reg. S) (b)(n) | 695,000 | 756,097 | |
| Royal Bank of Scotland Group PLC 7.5% (b)(n) | 476,000 | 493,915 | |
| Wells Fargo & Co. 5.9% (b)(n) | 1,671,000 | 1,850,203 | |
| 26,444,353 | |||
| INDUSTRIALS - 0.0% | |||
| Trading Companies & Distributors - 0.0% | |||
| AerCap Holdings NV 5.875% 10/10/79 (b) | 1,785,000 | 1,911,392 | |
| TOTAL PREFERRED SECURITIES | |||
| (Cost $27,760,995) | 29,106,390 | ||
| Shares | Value | ||
| Money Market Funds - 1.5% | |||
| Fidelity Cash Central Fund 1.61% (o) | 208,792,509 | 208,834,267 | |
| Fidelity Investments Money Market Government Portfolio Institutional Class 1.57% (m)(p) | 114,612,981 | 114,612,981 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $323,447,209) | 323,447,248 |
| Purchased Swaptions - 0.1% | ||||
| 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 1.476% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 | 8/27/24 | 15,000,000 | $545,408 | |
| 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 | 135,447 | |
| 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 | 39,200,000 | 1,152,402 | |
| 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 | 957,253 | |
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 2.215% and receive quarterly a floating rate based on 3-month LIBOR, expiring July 2029 | 7/10/24 | 39,000,000 | 764,636 | |
| Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.61% and receive quarterly a floating rate based on 3-month LIBOR, expiring May 2029 | 4/29/22 | 20,000,000 | 171,571 | |
| Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.525% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/4/22 | 10,000,000 | 93,010 | |
| Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.651% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/14/22 | 5,700,000 | 44,938 | |
| Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.755% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2029 | 2/15/22 | 17,000,000 | 104,766 | |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.905% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/28/24 | 37,600,000 | 1,006,464 | |
| 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 | 116,000,000 | 2,319,066 | |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.5675% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/4/22 | 6,000,000 | 52,463 | |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.645% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/14/22 | 7,000,000 | 55,648 | |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.767% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2029 | 2/1/22 | 25,600,000 | 151,352 | |
| Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.57125% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/5/24 | 14,200,000 | 483,294 | |
| 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 | 30,000,000 | 897,981 | |
| 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 | 219,197 | |
| TOTAL PUT OPTIONS | 9,154,896 | |||
| Call Options - 0.1% | ||||
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.476% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 | 8/27/24 | 15,000,000 | 316,077 | |
| 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 | 125,837 | |
| 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 | 39,200,000 | 1,075,385 | |
| 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 | 945,892 | |
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 2.215% and pay quarterly a floating rate based on 3-month LIBOR, expiring July 2029 | 7/10/24 | 39,000,000 | 1,481,637 | |
| Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.61% and pay quarterly a floating rate based on 3-month LIBOR, expiring May 2029 | 4/29/22 | 20,000,000 | 1,322,435 | |
| Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.525% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/4/22 | 10,000,000 | 618,178 | |
| Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.651% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/14/22 | 5,700,000 | 389,223 | |
| Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.755% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2029 | 2/15/22 | 17,000,000 | 1,262,842 | |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.905% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/28/24 | 37,600,000 | 1,134,398 | |
| 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 | 116,000,000 | 4,362,189 | |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.5675% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/4/22 | 6,000,000 | 383,960 | |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.645% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/14/22 | 7,000,000 | 475,755 | |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.767% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2029 | 2/1/22 | 25,600,000 | 1,920,058 | |
| Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.57125% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/5/24 | 14,200,000 | 325,060 | |
| 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 | 30,000,000 | 790,781 | |
| 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 | 503,969 | |
| TOTAL CALL OPTIONS | 17,433,676 | |||
| TOTAL PURCHASED SWAPTIONS | ||||
| (Cost $24,012,278) | 26,588,572 | |||
| TOTAL INVESTMENT IN SECURITIES - 103.6% | ||||
| (Cost $21,529,497,713) | 22,350,592,699 | |||
| NET OTHER ASSETS (LIABILITIES) - (3.6)% | (775,367,248) | |||
| NET ASSETS - 100% | $21,575,225,451 |
| TBA Sale Commitments | ||
| Principal Amount | Value | |
| Ginnie Mae | ||
| 3% 12/1/49 | $(8,200,000) | $(8,427,422) |
| 3% 12/1/49 | (1,400,000) | (1,438,828) |
| 3% 12/1/49 | (18,300,000) | (18,807,540) |
| 3% 12/1/49 | (24,000,000) | (24,665,626) |
| 3% 12/1/49 | (22,300,000) | (22,918,477) |
| 3% 12/1/49 | (21,400,000) | (21,993,516) |
| 3% 12/1/49 | (21,400,000) | (21,993,516) |
| 3% 12/1/49 | (12,300,000) | (12,641,133) |
| 3% 12/1/49 | (12,300,000) | (12,641,133) |
| 3% 12/1/49 | (11,500,000) | (11,818,945) |
| TOTAL GINNIE MAE | (157,346,136) | |
| Uniform Mortgage Backed Securities | ||
| 2.5% 12/1/34 | (6,100,000) | (6,153,851) |
| 3% 12/1/49 | (12,300,000) | (12,473,929) |
| 3% 12/1/49 | (15,700,000) | (15,922,007) |
| 3% 12/1/49 | (7,200,000) | (7,301,812) |
| 3% 12/1/49 | (8,900,000) | (9,025,851) |
| 3% 12/1/49 | (21,400,000) | (21,702,609) |
| 3.5% 12/1/49 | (13,100,000) | (13,447,969) |
| 3.5% 12/1/49 | (6,700,000) | (6,877,969) |
| 3.5% 12/1/49 | (7,100,000) | (7,288,594) |
| 3.5% 12/1/49 | (11,500,000) | (11,805,469) |
| 3.5% 12/1/49 | (3,100,000) | (3,182,344) |
| 3.5% 12/1/49 | (16,200,000) | (16,630,313) |
| 4% 12/1/49 | (3,400,000) | (3,527,500) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (135,340,217) | |
| TOTAL TBA SALE COMMITMENTS | ||
| (Proceeds $292,187,695) | $(292,686,353) |
| Written Swaptions | |||
| Expiration Date | Notional Amount | Value | |
| Put Options | |||
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.45% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/4/24 | 18,000,000 | $(669,758) |
| 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 | 31,000,000 | (759,105) |
| TOTAL PUT OPTIONS | (1,428,863) | ||
| Call Options | |||
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.45% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/4/24 | 18,000,000 | (371,737) |
| 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 | 31,000,000 | (979,565) |
| TOTAL CALL OPTIONS | (1,351,302) | ||
| TOTAL WRITTEN SWAPTIONS | $(2,780,165) |
| Futures Contracts | |||||
| Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
| Purchased | |||||
| Treasury Contracts | |||||
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 8 | March 2020 | $1,034,875 | $236 | $236 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 154 | March 2020 | 18,321,188 | (15,026) | (15,026) |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 1 | March 2020 | 187,719 | 779 | 779 |
| TOTAL PURCHASED | (14,011) | ||||
| Sold | |||||
| Treasury Contracts | |||||
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 92 | March 2020 | 11,901,063 | 45,108 | 45,108 |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 559 | March 2020 | 120,512,539 | 30,760 | 30,760 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 247 | March 2020 | 29,385,281 | 59,324 | 59,324 |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 87 | March 2020 | 13,830,281 | (37,410) | (37,410) |
| TOTAL SOLD | 97,782 | ||||
| TOTAL FUTURES CONTRACTS | $83,771 |
The notional amount of futures purchased as a percentage of Net Assets is 0.1%
The notional amount of futures sold as a percentage of Net Assets is 0.8%
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 11 | Nov. 2054 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | $3,800,000 | $(18,998) | $7,469 | $(11,529) |
| CMBX N.A. AAA Index Series 11 | Nov. 2054 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 5,700,000 | (28,496) | 11,723 | (16,773) |
| CMBX N.A. AAA Index Series 11 | Nov. 2054 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 5,980,000 | (29,896) | 28,965 | (931) |
| CMBX N.A. AAA Index Series 11 | Nov. 2054 | Credit Suisse International | (0.5%) | Monthly | 650,000 | (3,250) | (4,593) | (7,843) |
| CMBX N.A. AAA Index Series 11 | Nov. 2054 | J.P. Morgan Securities LLC | (0.5%) | Monthly | 6,400,000 | (31,995) | 30,018 | (1,977) |
| CMBX N.A. AAA Index Series 11 | Nov. 2054 | J.P. Morgan Securities LLC | (0.5%) | Monthly | 1,340,000 | (6,699) | (8,995) | (15,694) |
| TOTAL CREDIT DEFAULT SWAPS | $(119,334) | $64,587 | $(54,747) | |||||
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 | |||||||||
| 1.5% | Quarterly | 3-month LIBOR(3) | At Maturity | LCH | Dec. 2021 | $129,310,000 | $(91,152) | $0 | $(91,152) |
| 1.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Dec. 2024 | 6,555,000 | (3,697) | 0 | (3,697) |
| 3-month LIBOR(3) | Quarterly | 1.5% | Semi - annual | LCH | Dec. 2024 | 4,110,000 | 64,317 | 0 | 64,317 |
| 1.75% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Dec. 2026 | 7,210,000 | (88,352) | 0 | (88,352) |
| 3-month LIBOR(3) | Quarterly | 1.5% | Semi - annual | LCH | Dec. 2029 | 80,561,000 | 519,602 | 0 | 519,602 |
| TOTAL INTEREST RATE SWAPS | $400,718 | $0 | $400,718 | ||||||
(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 $1,081,726,594 or 5.0% 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 purchased on a delayed delivery or when-issued basis.
(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 $1,050,349.
(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 $3,660,719.
(g) 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 $23,562.
(h) 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.
(i) 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.
(j) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(k) 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.
(l) Level 3 security
(m) Affiliated Fund
(n) Security is perpetual in nature with no stated maturity date.
(o) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(p) 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 | $4,153,238 |
| Fidelity Specialized High Income Central Fund | 898,845 |
| Total | $5,052,083 |
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.
| Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
| Fidelity Floating Rate High Income Fund | $346,073,841 | $33,800,234 | $-- | $8,800,234 | $-- | $(3,698,306) | $376,175,769 |
| Fidelity Global Credit Fund | -- | 15,175,343 | -- | 175,343 | -- | 708,196 | 15,883,539 |
| Fidelity Inflation-Protected Bond Index Fund | 81,897,580 | 422,356,054 | -- | 682,798 | -- | 1,608,076 | 505,861,710 |
| Fidelity Investments Money Market Government Portfolio Institutional Class 1.57% | 122,960,870 | 1,975,932,892 | 1,984,280,781 | 975,870 | -- | -- | 114,612,981 |
| Fidelity New Markets Income Fund | 153,694,426 | 104,094,302 | -- | 4,094,303 | -- | (1,371,452) | 256,417,276 |
| Fidelity SAI Long-Term Treasury Bond Index Fund | -- | 526,818,710 | -- | 1,818,710 | -- | (8,220,397) | 518,598,313 |
| Fidelity SAI Total Bond Fund | 6,623,960,852 | 1,033,004,154 | -- | 114,887,517 | -- | 46,663,655 | 7,703,628,661 |
| Fidelity SAI U.S. Treasury Bond Index Fund | 1,746,084,906 | 471,211,695 | -- | 21,408,700 | -- | 37,232,868 | 2,254,529,469 |
| Fidelity U.S. Bond Index Fund | 354,222,366 | 299,950,763 | 6,243,384 | 6,257,135 | 101,705 | 9,440,137 | 657,471,587 |
| Total | $9,428,894,841 | $4,882,344,147 | $1,990,524,165 | $159,100,610 | $101,705 | $82,362,777 | $12,403,179,305 |
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 November 30, 2019, 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 | $2,756,500,569 | $-- | $2,756,500,569 | $-- |
| U.S. Government and Government Agency Obligations | 2,703,783,769 | -- | 2,703,783,769 | -- |
| U.S. Government Agency - Mortgage Securities | 3,256,638,166 | -- | 3,256,638,166 | -- |
| Asset-Backed Securities | 336,410,734 | -- | 336,410,734 | -- |
| Collateralized Mortgage Obligations | 212,213,897 | -- | 212,213,897 | -- |
| Commercial Mortgage Securities | 346,752,862 | -- | 346,751,411 | 1,451 |
| Municipal Securities | 37,814,883 | -- | 37,814,883 | -- |
| Bank Notes | 32,769,285 | -- | 32,769,285 | -- |
| Fixed-Income Funds | 12,288,566,324 | 12,288,566,324 | -- | -- |
| Preferred Securities | 29,106,390 | -- | 29,106,390 | -- |
| Money Market Funds | 323,447,248 | 323,447,248 | -- | -- |
| Purchased Swaptions | 26,588,572 | -- | 26,588,572 | -- |
| Total Investments in Securities: | $22,350,592,699 | $12,612,013,572 | $9,738,577,676 | $1,451 |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $136,207 | $136,207 | $-- | $-- |
| Swaps | 583,919 | -- | 583,919 | -- |
| Total Assets | $720,126 | $136,207 | $583,919 | $-- |
| Liabilities | ||||
| Futures Contracts | $(52,436) | $(52,436) | $-- | $-- |
| Swaps | (302,535) | -- | (302,535) | -- |
| Written Swaptions | (2,780,165) | -- | (2,780,165) | -- |
| Total Liabilities | $(3,135,136) | $(52,436) | $(3,082,700) | $-- |
| Total Derivative Instruments: | $(2,415,010) | $83,771 | $(2,498,781) | $-- |
| Other Financial Instruments: | ||||
| TBA Sale Commitments | $(292,683,353) | $-- | $(292,683,353) | $-- |
| Total Other Financial Instruments: | $(292,683,353) | $-- | $(292,683,353) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2019. 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) | $0 | $(119,334) |
| Total Credit Risk | 0 | (119,334) |
| Interest Rate Risk | ||
| Futures Contracts(b) | 136,207 | (52,436) |
| Purchased Swaptions(c) | 26,588,572 | 0 |
| Swaps(d) | 583,919 | (183,201) |
| Written Swaptions(e) | 0 | (2,780,165) |
| Total Interest Rate Risk | 27,308,698 | (3,015,802) |
| Total Value of Derivatives | $27,308,698 | $(3,135,136) |
(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
| November 30, 2019 (Unaudited) | ||
| Assets | ||
| Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $9,344,507,342) | $9,738,579,127 | |
| Fidelity Central Funds (cost $208,834,228) | 208,834,267 | |
| Other affiliated issuers (cost $11,976,156,143) | 12,403,179,305 | |
| Total Investment in Securities (cost $21,529,497,713) | $22,350,592,699 | |
| Cash | 29,206 | |
| Receivable for investments sold | 66,880,531 | |
| Receivable for premium on written options | 2,778,400 | |
| Receivable for TBA sale commitments | 292,187,695 | |
| Receivable for fund shares sold | 37,813,787 | |
| Interest receivable | 59,930,505 | |
| Distributions receivable from Fidelity Central Funds | 319,149 | |
| Receivable for daily variation margin on futures contracts | 7,437 | |
| Receivable for daily variation margin on centrally cleared OTC swaps | 90,773 | |
| Prepaid expenses | 16,726 | |
| Other receivables | 1,934 | |
| Total assets | 22,810,648,842 | |
| Liabilities | ||
| Payable for investments purchased | ||
| Regular delivery | $127,012,547 | |
| Delayed delivery | 805,039,593 | |
| TBA sale commitments, at value | 292,686,353 | |
| Payable for fund shares redeemed | 6,139,676 | |
| Distributions payable | 72,920 | |
| Bi-lateral OTC swaps, at value | 119,334 | |
| Accrued management fee | 946,605 | |
| Written options, at value (premium receivable $2,778,400) | 2,780,165 | |
| Other payables and accrued expenses | 626,198 | |
| Total liabilities | 1,235,423,391 | |
| Net Assets | $21,575,225,451 | |
| Net Assets consist of: | ||
| Paid in capital | $20,559,469,033 | |
| Total accumulated earnings (loss) | 1,015,756,418 | |
| Net Assets | $21,575,225,451 | |
| Net Asset Value, offering price and redemption price per share ($21,575,225,451 ÷ 2,025,926,950 shares) | $10.65 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Six months ended November 30, 2019 (Unaudited) | ||
| Investment Income | ||
| Dividends: | ||
| Unaffiliated issuers | $679,762 | |
| Affiliated issuers | 159,100,610 | |
| Interest | 233,445,384 | |
| Income from Fidelity Central Funds | 5,052,083 | |
| Total income | 398,277,839 | |
| Expenses | ||
| Management fee | $29,503,310 | |
| Accounting fees and expenses | 139,639 | |
| Custodian fees and expenses | 133,808 | |
| Independent trustees' fees and expenses | 104,375 | |
| Registration fees | 1,044,025 | |
| Audit | 37,496 | |
| Legal | 27,349 | |
| Miscellaneous | 69,020 | |
| Total expenses before reductions | 31,059,022 | |
| Expense reductions | (24,195,846) | |
| Total expenses after reductions | 6,863,176 | |
| Net investment income (loss) | 391,414,663 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 46,126,669 | |
| Fidelity Central Funds | 9,525,452 | |
| Other affiliated issuers | 101,705 | |
| Futures contracts | (3,156,568) | |
| Swaps | (949,045) | |
| Written options | (190,482) | |
| Total net realized gain (loss) | 51,457,731 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 144,134,437 | |
| Fidelity Central Funds | (4,660,313) | |
| Other affiliated issuers | 82,362,777 | |
| Futures contracts | 762,220 | |
| Swaps | 572,980 | |
| Written options | 10,695 | |
| Delayed delivery commitments | 3,612,552 | |
| Total change in net unrealized appreciation (depreciation) | 226,795,348 | |
| Net gain (loss) | 278,253,079 | |
| Net increase (decrease) in net assets resulting from operations | $669,667,742 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Six months ended November 30, 2019 (Unaudited) | For the period October 16, 2018 (commencement of operations) to May 31, 2019 |
|
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $391,414,663 | $276,260,785 |
| Net realized gain (loss) | 51,457,731 | 89,710,064 |
| Change in net unrealized appreciation (depreciation) | 226,795,348 | 594,228,957 |
| Net increase (decrease) in net assets resulting from operations | 669,667,742 | 960,199,806 |
| Distributions to shareholders | (355,053,936) | (256,473,495) |
| Share transactions | ||
| Proceeds from sales of shares | 5,596,202,018 | 17,598,568,820 |
| Reinvestment of distributions | 294,584,881 | 246,045,283 |
| Cost of shares redeemed | (1,583,431,964) | (1,595,083,704) |
| Net increase (decrease) in net assets resulting from share transactions | 4,307,354,935 | 16,249,530,399 |
| Total increase (decrease) in net assets | 4,621,968,741 | 16,953,256,710 |
| Net Assets | ||
| Beginning of period | 16,953,256,710 | – |
| End of period | $21,575,225,451 | $16,953,256,710 |
| Other Information | ||
| Shares | ||
| Sold | 527,508,284 | 1,753,157,417 |
| Issued in reinvestment of distributions | 27,794,676 | 24,075,678 |
| Redeemed | (149,121,456) | (157,487,649) |
| Net increase (decrease) | 406,181,504 | 1,619,745,446 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Fidelity Core Income Fund
| Six months ended (Unaudited) November 30, | Years endedMay 31, | |
| 2019 | 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 | .214 | .209 |
| Net realized and unrealized gain (loss) | .165 | .445 |
| Total from investment operations | .379 | .654 |
| Distributions from net investment income | (.146) | (.182) |
| Distributions from net realized gain | (.053) | (.002) |
| Total distributions | (.199) | (.184) |
| Net asset value, end of period | $10.65 | $10.47 |
| Total ReturnC,D | 3.64% | 6.60% |
| Ratios to Average Net AssetsE,F | ||
| Expenses before reductions | .32%G | .37%G |
| Expenses net of fee waivers, if any | .07%G | .12%G |
| Expenses net of all reductions | .07%G | .12%G |
| Net investment income (loss) | 4.05%G | 3.30%G |
| Supplemental Data | ||
| Net assets, end of period (000 omitted) | $21,575,225 | $16,953,257 |
| Portfolio turnover rateH | 169%G | 124%G,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. Based on their most recent shareholder report date, the expense of any non-money market Fidelity Central Funds ranged from less than .005% to .01%.
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 Annualized
H Amounts do not include the activity of Underlying Funds.
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 (Unaudited)
For the period ended November 30, 2019
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 (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, 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 November 30, 2019 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 $1,934 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. 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 short-term gain distributions from the Underlying Funds, swaps, futures and options transactions, market discount, 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 | $864,497,659 |
| Gross unrealized depreciation | (34,014,171) |
| Net unrealized appreciation (depreciation) | $830,483,488 |
| Tax cost | $21,520,038,530 |
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. 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 | $(100,665) | $(48,899) |
| Total Credit Risk | (100,665) | (48,899) |
| Interest Rate Risk | ||
| Futures Contracts | (3,156,568) | 762,220 |
| Purchased Options | 847,954 | 1,723,219 |
| Swaps | (848,380) | 621,879 |
| Written Options | (190,482) | 10,695 |
| Total Interest Rate Risk | (3,347,476) | 3,118,013 |
| Total | (3,448,141) | 3,069,114 |
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 (including the Underlying Fund shares and in-kind transactions), other than short-term securities and U.S. government securities, aggregated $8,099,123,951 and $4,301,269,577, respectively.
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 annualized 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 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 an annualized rate of less than .005%.
Interfund Trades. The Fund 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.
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.
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 Mortgage Backed Securities 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.
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.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Specialized High Income Central Fund | FMR Co., Inc (FMRC) | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | Delayed Delivery & When Issued Securities Loans & Direct Debt Instruments Restricted Securities | Less than .005% |
| Fidelity Money Market Central Funds | FIMM | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Ranged from less than .005% to .01% |
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, as applicable. 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 are available on the SEC website or upon request.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $21,635 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
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 $24,190,960.
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 $4,886.
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 Global Credit Fund | 22% |
| Fidelity SAI Long-Term Treasury Bond Index Fund | 82% |
| Fidelity SAI U.S. Treasury Bond Index Fund | 30% |
| Fidelity SAI Total Bond Fund | 54% |
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 (June 1, 2019 to November 30, 2019).
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. 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.
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. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
| Annualized Expense Ratio-A | Beginning Account Value June 1, 2019 | Ending Account Value November 30, 2019 | Expenses Paid During Period-B June 1, 2019 to November 30, 2019 |
|
| Actual | .07% | $1,000.00 | $1,036.40 | $.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 Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Fidelity Core Income 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 agreement with FIAM LLC (the Sub-Adviser) (the Sub-Advisory Agreement), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (together, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreement, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Adviser 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 Agreement, the Board also concluded that the renewal of the 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 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 the Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreement subject to oversight by Strategic Advisers, the 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 the 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 itsaffiliates 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. As the fund recently commenced operations, the Board did not believe that it was appropriate to assign significant weight to its limited investment performance. 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 0.60%. 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 % 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.Strategic Advisers Fidelity Core Income Fund
COI-SANN-0120
1.9887940.101
Strategic Advisers® Fidelity® Emerging Markets Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general public
Semi-Annual Report
November 30, 2019
See the inside front cover for important information about access to your fund’s shareholder reports.
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
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.
Investment Summary (Unaudited)
The information in the following tables is based on the direct investments of the Fund.Top Ten Holdings as of November 30, 2019
(excluding cash equivalents)
| % of fund's net assets | |
| Fidelity SAI Emerging Markets Index Fund | 22.7 |
| Fidelity Emerging Markets Fund | 11.9 |
| Fidelity SAI Emerging Markets Low Volatility Index Fund | 4.8 |
| Schwab Fundamental Emerging Markets Large Co. Index ETF | 3.1 |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 3.0 |
| Samsung Electronics Co. Ltd. | 2.4 |
| Tencent Holdings Ltd. | 2.1 |
| Alibaba Group Holdings Ltd. sponsored ADR | 2.0 |
| Invesco FTSE RAFI Emerging Markets ETF | 1.5 |
| Sberbank of Russia | 1.1 |
| 54.6 |
Asset Allocation (% of fund's net assets)
| As of November 30, 2019 | ||
| Common Stocks | 44.3% | |
| Preferred Stocks | 1.1% | |
| Diversifed Emerging Markets Funds | 39.4% | |
| Investment Companies | 4.6% | |
| Short-Term Investments and Net Other Assets (Liabilities) | 10.6% | |
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 November 30, 2019 (Unaudited)
Showing Percentage of Net Assets
| Common Stocks - 44.3% | |||
| Shares | Value | ||
| COMMUNICATION SERVICES - 3.7% | |||
| Diversified Telecommunication Services - 0.4% | |||
| China Tower Corp. Ltd. (H Shares) (a) | 10,752,000 | $2,197,593 | |
| China Unicom Ltd. | 2,552,000 | 2,186,222 | |
| HKBN Ltd. | 208,500 | 367,023 | |
| PT Telekomunikasi Indonesia Tbk Series B | 10,400,900 | 2,889,372 | |
| Tata Communications Ltd. | 364,800 | 2,263,317 | |
| Telkom SA Ltd. | 80,315 | 257,054 | |
| 10,160,581 | |||
| Entertainment - 0.2% | |||
| Bilibili, Inc. ADR (b)(c) | 16,721 | 288,939 | |
| HUYA, Inc. ADR (b)(c) | 77,500 | 1,635,250 | |
| NetEase, Inc. ADR | 12,424 | 3,917,536 | |
| 5,841,725 | |||
| Interactive Media & Services - 2.6% | |||
| Baidu.com, Inc. sponsored ADR (b) | 64,600 | 7,657,038 | |
| Mail.Ru Group Ltd. GDR (Reg. S) (b) | 49,524 | 1,000,385 | |
| Momo, Inc. ADR | 30,500 | 1,141,615 | |
| Tencent Holdings Ltd. | 1,298,600 | 54,794,628 | |
| Yandex NV Series A (b) | 88,640 | 3,720,221 | |
| 68,313,887 | |||
| Media - 0.1% | |||
| ITE Group PLC | 1,357,400 | 1,450,064 | |
| Pico Far East Holdings Ltd. | 1,772,000 | 545,530 | |
| 1,995,594 | |||
| Wireless Telecommunication Services - 0.4% | |||
| America Movil S.A.B. de CV Series L sponsored ADR | 140,110 | 2,142,282 | |
| Bharti Airtel Ltd. | 207,905 | 1,282,075 | |
| China Mobile Ltd. | 194,000 | 1,462,671 | |
| MTN Group Ltd. | 172,724 | 1,089,008 | |
| Safaricom Ltd. | 10,160,100 | 2,896,520 | |
| Taiwan Mobile Co. Ltd. | 49,000 | 183,788 | |
| 9,056,344 | |||
| TOTAL COMMUNICATION SERVICES | 95,368,131 | ||
| CONSUMER DISCRETIONARY - 6.9% | |||
| Automobiles - 0.2% | |||
| Dongfeng Motor Group Co. Ltd. (H Shares) | 252,000 | 242,079 | |
| Great Wall Motor Co. Ltd. (H Shares) (c) | 1,537,500 | 1,188,252 | |
| Guangzhou Automobile Group Co. Ltd. (H Shares) | 286,000 | 305,429 | |
| Hyundai Motor Co. | 9,961 | 1,020,301 | |
| Suzuki Motor Corp. | 66,500 | 2,951,234 | |
| 5,707,295 | |||
| Diversified Consumer Services - 0.5% | |||
| Estacio Participacoes SA | 508,700 | 4,956,392 | |
| New Oriental Education & Technology Group, Inc. sponsored ADR (b) | 58,866 | 7,127,495 | |
| TAL Education Group ADR (b) | 13,070 | 578,478 | |
| 12,662,365 | |||
| Hotels, Restaurants & Leisure - 0.1% | |||
| City Lodge Hotels Ltd. | 248,500 | 1,373,912 | |
| Galaxy Entertainment Group Ltd. | 14,000 | 91,566 | |
| Huazhu Group Ltd. ADR | 8,498 | 290,717 | |
| Sands China Ltd. | 43,600 | 206,075 | |
| Yum China Holdings, Inc. | 37,425 | 1,666,161 | |
| 3,628,431 | |||
| Household Durables - 0.8% | |||
| Haier Smart Home Co. Ltd. (A Shares) | 4,332,666 | 10,510,602 | |
| Midea Group Co. Ltd. (A Shares) | 1,339,900 | 10,345,835 | |
| 20,856,437 | |||
| Internet & Direct Marketing Retail - 3.9% | |||
| Alibaba Group Holding Ltd. sponsored ADR (b) | 266,071 | 53,214,200 | |
| Ctrip.com International Ltd. ADR (b) | 73,466 | 2,442,010 | |
| JD.com, Inc. sponsored ADR (b) | 232,471 | 7,590,178 | |
| MakeMyTrip Ltd. (b) | 52,453 | 1,365,352 | |
| Meituan Dianping Class B (b) | 725,500 | 9,564,344 | |
| MercadoLibre, Inc. (b) | 8,182 | 4,750,306 | |
| Naspers Ltd. Class N | 147,018 | 20,947,458 | |
| Pinduoduo, Inc. ADR (b) | 51,100 | 1,837,045 | |
| 101,710,893 | |||
| Leisure Products - 0.0% | |||
| Goodbaby International Holdings Ltd. (b) | 794,000 | 152,142 | |
| Multiline Retail - 0.1% | |||
| Poya International Co. Ltd. | 165,000 | 2,334,982 | |
| Specialty Retail - 0.3% | |||
| Chow Tai Fook Jewellery Group Ltd. | 251,800 | 236,418 | |
| Steinhoff Africa Retail Ltd. (a) | 887,348 | 1,070,838 | |
| Zhongsheng Group Holdings Ltd. Class H | 1,992,500 | 7,063,166 | |
| 8,370,422 | |||
| Textiles, Apparel & Luxury Goods - 1.0% | |||
| adidas AG | 11,722 | 3,651,801 | |
| Anta Sports Products Ltd. | 899,000 | 8,452,313 | |
| Best Pacific International Holdings Ltd. | 2,501,000 | 642,167 | |
| Li Ning Co. Ltd. | 2,480,000 | 7,951,764 | |
| Regina Miracle International Holdings Ltd. (a) | 227,000 | 146,439 | |
| Samsonite International SA | 252,055 | 560,251 | |
| Shenzhou International Group Holdings Ltd. | 250,100 | 3,297,095 | |
| Stella International Holdings Ltd. | 81,500 | 134,303 | |
| 24,836,133 | |||
| TOTAL CONSUMER DISCRETIONARY | 180,259,100 | ||
| CONSUMER STAPLES - 3.5% | |||
| Beverages - 1.2% | |||
| China Resources Beer Holdings Co. Ltd. | 1,564,000 | 8,191,411 | |
| Compania Cervecerias Unidas SA | 27,634 | 252,218 | |
| Distell Group Holdings Ltd. | 223,000 | 1,994,907 | |
| Fomento Economico Mexicano S.A.B. de CV unit | 160,700 | 1,460,402 | |
| Kweichow Moutai Co. Ltd. (A Shares) | 89,362 | 14,346,309 | |
| Shanghai Bairun Investment Holding Group Co. Ltd. (A Shares) | 584,000 | 2,201,486 | |
| Thai Beverage PCL | 6,476,500 | 4,214,745 | |
| 32,661,478 | |||
| Food & Staples Retailing - 0.4% | |||
| C.P. ALL PCL (For. Reg.) | 1,843,000 | 4,634,944 | |
| Dairy Farm International Holdings Ltd. | 299,000 | 1,749,150 | |
| President Chain Store Corp. | 30,000 | 300,226 | |
| Sun Art Retail Group Ltd. | 400,000 | 452,722 | |
| Wal-Mart de Mexico SA de CV Series V | 725,500 | 1,996,446 | |
| X5 Retail Group NV GDR (Reg. S) | 62,989 | 2,091,235 | |
| 11,224,723 | |||
| Food Products - 1.3% | |||
| Angel Yeast Co. Ltd. (A Shares) | 45,700 | 196,708 | |
| China Mengniu Dairy Co. Ltd. | 3,046,000 | 11,653,726 | |
| Delfi Ltd. | 2,503,000 | 1,866,818 | |
| Gruma S.A.B. de CV Series B | 187,225 | 1,887,603 | |
| Inner Mongoli Yili Industries Co. Ltd. (A Shares) | 1,578,567 | 6,529,803 | |
| Tata Global Beverages Ltd. | 734,100 | 3,306,310 | |
| Unified-President Enterprises Corp. | 2,018,036 | 4,792,728 | |
| Vietnam Dairy Products Corp. | 493,400 | 2,586,199 | |
| 32,819,895 | |||
| Household Products - 0.3% | |||
| C&S Paper Co. Ltd. (A Shares) | 2,398,900 | 4,400,431 | |
| Vinda International Holdings Ltd. | 1,520,000 | 2,656,243 | |
| 7,056,674 | |||
| Personal Products - 0.3% | |||
| AMOREPACIFIC Group, Inc. | 61,630 | 4,236,313 | |
| AMOREPACIFIC Group, Inc. rights 12/6/19 (b)(d) | 4,231 | 10,432 | |
| Godrej Consumer Products Ltd. | 142,559 | 1,440,512 | |
| Natura Cosmeticos SA | 315,100 | 2,459,800 | |
| 8,147,057 | |||
| TOTAL CONSUMER STAPLES | 91,909,827 | ||
| ENERGY - 2.9% | |||
| Energy Equipment & Services - 0.2% | |||
| China Oilfield Services Ltd. (H Shares) | 1,166,000 | 1,569,919 | |
| SPT Energy Group, Inc. (b) | 166,000 | 12,511 | |
| Yantai Jereh Oilfield Services (A Shares) | 624,600 | 2,816,382 | |
| 4,398,812 | |||
| Oil, Gas & Consumable Fuels - 2.7% | |||
| China Petroleum & Chemical Corp. (H Shares) | 9,588,000 | 5,376,994 | |
| China Shenhua Energy Co. Ltd. (H Shares) | 300,500 | 581,945 | |
| CNOOC Ltd. | 4,183,000 | 6,072,170 | |
| CNOOC Ltd. sponsored ADR | 26,882 | 3,903,804 | |
| Gazprom OAO | 334,979 | 1,339,014 | |
| Gazprom OAO sponsored ADR (Reg. S) | 155,447 | 1,234,871 | |
| Lukoil PJSC | 84,795 | 8,092,825 | |
| Lukoil PJSC | 8,730 | 833,190 | |
| Lukoil PJSC sponsored ADR | 96,213 | 9,174,872 | |
| NOVATEK OAO GDR (Reg. S) | 34,020 | 6,735,960 | |
| Oil Search Ltd. ADR | 755,179 | 3,800,375 | |
| PetroChina Co. Ltd. (H Shares) | 1,252,000 | 575,161 | |
| Petroleo Brasileiro SA - Petrobras (ON) | 501,400 | 3,699,775 | |
| Pilipinas Shell Petroleum Corp. | 3,506,100 | 2,282,240 | |
| Reliance Industries Ltd. | 502,749 | 10,868,989 | |
| S-Oil Corp. | 26,796 | 2,023,367 | |
| Ultrapar Participacoes SA | 656,300 | 3,322,037 | |
| 69,917,589 | |||
| TOTAL ENERGY | 74,316,401 | ||
| FINANCIALS - 11.0% | |||
| Banks - 7.1% | |||
| Absa Group Ltd. | 203,852 | 2,049,025 | |
| Axis Bank Ltd. | 300,105 | 3,091,229 | |
| Banco de Chile | 24,077,767 | 2,447,170 | |
| Banco de Chile sponsored ADR | 12,629 | 258,137 | |
| Banco del Bajio SA (a) | 569,609 | 898,977 | |
| Banco Santander Chile | 4,891,400 | 261,686 | |
| Banco Santander Chile sponsored ADR | 12,262 | 264,859 | |
| Bancolombia SA sponsored ADR | 30,990 | 1,495,887 | |
| Bank of China Ltd. (H Shares) | 4,780,000 | 1,917,325 | |
| Bank Polska Kasa Opieki SA | 117,338 | 3,140,761 | |
| Capitec Bank Holdings Ltd. | 52,458 | 5,074,718 | |
| China Construction Bank Corp. (H Shares) | 9,887,000 | 7,865,226 | |
| China Merchants Bank Co. Ltd. (H Shares) | 2,167,500 | 10,244,692 | |
| Credicorp Ltd. | 9,700 | 2,039,910 | |
| Credicorp Ltd. (United States) | 10,670 | 2,253,397 | |
| E.SUN Financial Holdings Co. Ltd. | 3,719,778 | 3,296,098 | |
| Emirates NBD Bank PJSC (b) | 364,148 | 1,159,912 | |
| Grupo Financiero Banorte S.A.B. de CV Series O | 1,806,245 | 9,549,635 | |
| Guaranty Trust Bank PLC | 36,435,900 | 3,058,928 | |
| Guaranty Trust Bank PLC GDR (Reg. S) | 133,877 | 572,994 | |
| HDFC Bank Ltd. | 201,400 | 3,569,437 | |
| HDFC Bank Ltd. sponsored ADR | 375,492 | 23,186,631 | |
| ICICI Bank Ltd. | 567,642 | 4,046,276 | |
| Industrial & Commercial Bank of China Ltd. (H Shares) | 27,119,000 | 19,330,628 | |
| Kasikornbank PCL (For. Reg.) | 1,052,100 | 5,396,277 | |
| KB Financial Group, Inc. | 191,440 | 7,478,863 | |
| King's Town Bank | 716,000 | 766,967 | |
| Mega Financial Holding Co. Ltd. | 659,000 | 654,100 | |
| National Bank of Abu Dhabi PJSC | 659,323 | 2,728,369 | |
| OTP Bank PLC | 109,604 | 5,159,075 | |
| PT Bank Central Asia Tbk | 5,159,900 | 11,486,768 | |
| PT Bank Mandiri (Persero) Tbk | 5,844,500 | 2,890,137 | |
| Qatar National Bank SAQ | 282,430 | 1,493,313 | |
| Regional S.A.B. de CV | 83,700 | 450,733 | |
| Sberbank of Russia | 4,383,073 | 15,928,640 | |
| Sberbank of Russia sponsored ADR | 402,149 | 5,883,440 | |
| Shinhan Financial Group Co. Ltd. | 259,738 | 9,593,103 | |
| State Bank of India (b) | 367,640 | 1,751,630 | |
| TCS Group Holding PLC GDR unit | 63,602 | 1,170,277 | |
| 183,905,230 | |||
| Capital Markets - 0.6% | |||
| BM&F BOVESPA SA | 883,300 | 9,931,048 | |
| CITIC Securities Co. Ltd. (H Shares) | 184,000 | 341,759 | |
| Hong Kong Exchanges and Clearing Ltd. | 6,100 | 192,627 | |
| Huatai Securities Co. Ltd. (H Shares) (a) | 236,400 | 354,531 | |
| Indian Energy Exchange Ltd. (a)(b) | 1,666,800 | 3,248,853 | |
| Noah Holdings Ltd. sponsored ADR (b)(c) | 26,327 | 767,169 | |
| 14,835,987 | |||
| Consumer Finance - 0.2% | |||
| Cholamandalam Investment and Finance Co. Ltd. | 750,800 | 3,266,418 | |
| Shriram Transport Finance Co. Ltd. | 199,418 | 3,132,921 | |
| 6,399,339 | |||
| Diversified Financial Services - 0.3% | |||
| Chailease Holding Co. Ltd. | 1,398,910 | 6,255,158 | |
| Far East Horizon Ltd. | 3,123,000 | 2,836,480 | |
| 9,091,638 | |||
| Insurance - 2.4% | |||
| AIA Group Ltd. | 1,950,400 | 19,518,056 | |
| China Life Insurance Co. Ltd. (H Shares) | 3,308,000 | 8,346,759 | |
| China Pacific Insurance (Group) Co. Ltd. (H Shares) | 550,000 | 1,946,169 | |
| Fubon Financial Holding Co. Ltd. | 246,000 | 361,018 | |
| HDFC Standard Life Insurance Co. Ltd. (a) | 173,821 | 1,384,531 | |
| Hyundai Fire & Marine Insurance Co. Ltd. | 197,151 | 4,673,011 | |
| ICICI Lombard General Insurance Co. Ltd. (a) | 131,187 | 2,491,948 | |
| IRB Brasil Resseguros SA | 1,483,600 | 13,039,364 | |
| Ping An Insurance Group Co. of China Ltd. (H Shares) | 843,000 | 9,572,524 | |
| Qualitas Controladora S.A.B. de CV | 451,500 | 1,925,031 | |
| 63,258,411 | |||
| Thrifts & Mortgage Finance - 0.4% | |||
| Housing Development Finance Corp. Ltd. | 308,500 | 9,877,512 | |
| TOTAL FINANCIALS | 287,368,117 | ||
| HEALTH CARE - 0.8% | |||
| Biotechnology - 0.1% | |||
| CStone Pharmaceuticals Co. Ltd. (a)(b) | 709,000 | 1,018,007 | |
| Health Care Providers & Services - 0.0% | |||
| Aier Eye Hospital Group Co. Ltd. (A Shares) | 49,830 | 282,862 | |
| Aster DM Healthcare Ltd. (a)(b) | 231,927 | 518,489 | |
| 801,351 | |||
| Life Sciences Tools & Services - 0.1% | |||
| Hangzhou Tigermed Consulting Co. Ltd. (A Shares) | 284,785 | 2,543,139 | |
| Pharmaron Beijing Co. Ltd. (H Shares) (a)(b) | 31,500 | 168,803 | |
| WuXi AppTec Co. Ltd. (H Shares) (a) | 27,200 | 315,669 | |
| Wuxi Biologics (Cayman), Inc. (a)(b) | 38,500 | 435,007 | |
| 3,462,618 | |||
| Pharmaceuticals - 0.6% | |||
| China Resources Pharmaceutical Group Ltd. (a) | 3,213,000 | 2,807,404 | |
| China Resources Sanjiu Medical & Pharmaceutical Co. Ltd. (A Shares) | 311,854 | 1,303,300 | |
| CSPC Pharmaceutical Group Ltd. | 2,894,000 | 6,587,859 | |
| Hansoh Pharmaceutical Group Co. Ltd. (a) | 700,000 | 2,065,609 | |
| Jiangsu Hengrui Medicine Co. Ltd. (A Shares) | 29,280 | 357,649 | |
| Lijun International Pharmaceutical Holding Ltd. | 304,000 | 239,217 | |
| Sino Biopharmaceutical Ltd. | 232,000 | 299,328 | |
| Yunnan Baiyao Group Co. Ltd. (A Shares) | 166,200 | 2,077,367 | |
| 15,737,733 | |||
| TOTAL HEALTH CARE | 21,019,709 | ||
| INDUSTRIALS - 3.1% | |||
| Aerospace & Defense - 0.3% | |||
| Elbit Systems Ltd. (Israel) | 42,065 | 6,971,283 | |
| Airlines - 0.3% | |||
| Azul SA sponsored ADR (b) | 47,667 | 1,775,119 | |
| Copa Holdings SA Class A | 65,583 | 6,837,684 | |
| 8,612,803 | |||
| Commercial Services & Supplies - 0.0% | |||
| Prosegur Cash SA (a) | 628,200 | 1,007,772 | |
| Construction & Engineering - 0.2% | |||
| Larsen & Toubro Ltd. | 323,106 | 5,991,842 | |
| Sinopec Engineering Group Co. Ltd. (H Shares) | 301,000 | 176,489 | |
| 6,168,331 | |||
| Electrical Equipment - 0.2% | |||
| BizLink Holding, Inc. | 311,000 | 2,317,702 | |
| Voltronic Power Technology Corp. | 158,550 | 3,646,022 | |
| Zhuzhou CRRC Times Electric Co. Ltd. (H Shares) | 119,900 | 409,714 | |
| 6,373,438 | |||
| Industrial Conglomerates - 0.1% | |||
| Ayala Corp. | 158,600 | 2,513,896 | |
| CK Hutchison Holdings Ltd. | 53,500 | 485,916 | |
| Quinenco SA | 216,400 | 406,549 | |
| 3,406,361 | |||
| Machinery - 0.9% | |||
| Airtac International Group | 458,000 | 6,616,372 | |
| Estun Automation Co. Ltd.: | |||
| (A Shares) | 14,000 | 18,713 | |
| (A Shares) (Hong Kong) | 166,846 | 223,017 | |
| HIWIN Technologies Corp. | 349,180 | 2,979,703 | |
| Shenzhen Inovance Technology Co. Ltd. (A Shares) | 2,076,800 | 7,757,970 | |
| Techtronic Industries Co. Ltd. | 392,000 | 2,946,935 | |
| TK Group Holdings Ltd. | 3,456,000 | 1,589,331 | |
| Weichai Power Co. Ltd. (H Shares) | 123,000 | 210,232 | |
| Zoomlion Heavy Industry Science and Technology Co. Ltd. (H Shares) | 249,000 | 176,217 | |
| 22,518,490 | |||
| Marine - 0.2% | |||
| Evergreen Marine Corp. (Taiwan) (b) | 301,000 | 122,266 | |
| SITC International Holdings Co. Ltd. | 3,870,000 | 4,320,763 | |
| 4,443,029 | |||
| Professional Services - 0.4% | |||
| 51job, Inc. sponsored ADR (b) | 5,700 | 448,134 | |
| Centre Testing International Group Co. Ltd. (A Shares) | 2,853,600 | 5,510,439 | |
| Sporton International, Inc. | 499,000 | 3,375,487 | |
| 9,334,060 | |||
| Road & Rail - 0.4% | |||
| Localiza Rent A Car SA | 371,100 | 3,884,818 | |
| Rumo SA (b) | 976,100 | 5,593,260 | |
| 9,478,078 | |||
| Transportation Infrastructure - 0.1% | |||
| Cosco Shipping International Hk Co. Ltd. | 116,000 | 30,081 | |
| Grupo Aeroportuario Norte S.A.B. de CV | 488,000 | 3,263,473 | |
| 3,293,554 | |||
| TOTAL INDUSTRIALS | 81,607,199 | ||
| INFORMATION TECHNOLOGY - 8.2% | |||
| Communications Equipment - 0.0% | |||
| Hytera Communications Corp. Ltd. (A Shares) | 81,200 | 102,533 | |
| Electronic Equipment & Components - 0.9% | |||
| AVIC Jonhon OptronicTechnology Co. Ltd. | 569,150 | 3,117,499 | |
| Chaozhou Three-Circle Group Co.: | |||
| (A Shares) | 11,900 | 31,677 | |
| (A Shares) (Hong Kong) | 42,800 | 113,931 | |
| China Railway Signal & Communications Corp. (H Shares) (a) | 175,000 | 93,891 | |
| Hangzhou Hikvision Digital Technology Co. Ltd. (A Shares) | 76,900 | 343,469 | |
| Hollysys Automation Technologies Ltd. | 5,656 | 83,200 | |
| Hon Hai Precision Industry Co. Ltd. (Foxconn) | 1,304,000 | 3,780,391 | |
| Largan Precision Co. Ltd. | 30,000 | 4,358,437 | |
| Samsung SDI Co. Ltd. | 12,180 | 2,381,766 | |
| Sunny Optical Technology Group Co. Ltd. | 166,500 | 2,728,846 | |
| Unimicron Technology Corp. | 1,429,000 | 2,160,329 | |
| Yageo Corp. | 407,000 | 4,399,712 | |
| Zhejiang Dahua Technology Co. Ltd. Class A | 65,000 | 156,574 | |
| 23,749,722 | |||
| IT Services - 0.7% | |||
| Cognizant Technology Solutions Corp. Class A | 39,661 | 2,542,667 | |
| Infosys Ltd. | 204,500 | 2,003,167 | |
| Infosys Ltd. sponsored ADR | 524,805 | 5,158,833 | |
| Network International Holdings PLC (a) | 407,000 | 3,047,700 | |
| PagSeguro Digital Ltd. (b) | 60,400 | 2,049,976 | |
| Tata Consultancy Services Ltd. | 93,531 | 2,676,588 | |
| 17,478,931 | |||
| Semiconductors & Semiconductor Equipment - 4.1% | |||
| ASM Pacific Technology Ltd. | 133,700 | 1,745,502 | |
| MediaTek, Inc. | 211,000 | 2,913,372 | |
| Realtek Semiconductor Corp. | 931,000 | 7,029,695 | |
| Semiconductor Manufacturing International Corp. (b)(c) | 169,500 | 216,092 | |
| SK Hynix, Inc. | 238,451 | 16,330,048 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 4,941,000 | 49,673,002 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 555,045 | 29,467,339 | |
| 107,375,050 | |||
| Software - 0.1% | |||
| Cyient Ltd. | 37,508 | 211,250 | |
| Kingsoft Corp. Ltd. (b) | 113,000 | 250,014 | |
| Zensar Technologies Ltd. | 337,177 | 876,907 | |
| 1,338,171 | |||
| Technology Hardware, Storage & Peripherals - 2.4% | |||
| Lenovo Group Ltd. | 610,000 | 402,864 | |
| Samsung Electronics Co. Ltd. | 1,239,061 | 52,759,475 | |
| Samsung Electronics Co. Ltd. GDR | 9,101 | 9,719,868 | |
| Xiaomi Corp. Class B (a)(b) | 144,600 | 165,322 | |
| 63,047,529 | |||
| TOTAL INFORMATION TECHNOLOGY | 213,091,936 | ||
| MATERIALS - 2.7% | |||
| Chemicals - 0.4% | |||
| Aarti Industries Ltd. | 195,200 | 2,295,230 | |
| LG Chemical Ltd. | 11,155 | 2,894,275 | |
| PhosAgro OJSC GDR (Reg. S) | 77,402 | 953,593 | |
| Scientex Bhd | 681,200 | 1,518,490 | |
| Sinofert Holdings Ltd. | 1,322,000 | 133,413 | |
| Solar Industries India Ltd. (b) | 204,100 | 3,009,486 | |
| 10,804,487 | |||
| Construction Materials - 0.5% | |||
| Anhui Conch Cement Co. Ltd.: | |||
| (A Shares) | 55,000 | 358,197 | |
| (H Shares) | 24,000 | 153,445 | |
| CEMEX S.A.B. de CV sponsored ADR | 674,300 | 2,515,139 | |
| JK Cement Ltd. | 357,100 | 5,758,971 | |
| Shree Cement Ltd. | 8,892 | 2,602,145 | |
| Siam Cement PCL (For. Reg.) | 218,400 | 2,753,488 | |
| 14,141,385 | |||
| Containers & Packaging - 0.0% | |||
| Greatview Aseptic Pack Co. Ltd. | 2,724,000 | 1,245,742 | |
| Metals & Mining - 1.4% | |||
| Alrosa Co. Ltd. | 1,075,850 | 1,303,249 | |
| Aluminum Corp. of China Ltd. (H Shares) (b) | 384,000 | 117,728 | |
| AngloGold Ashanti Ltd. | 176,332 | 3,329,980 | |
| China Molybdenum Co. Ltd. (H Shares) | 579,000 | 198,222 | |
| Compania de Minas Buenaventura SA sponsored ADR | 392,520 | 6,033,032 | |
| Grupo Mexico SA de CV Series B | 2,306,791 | 6,044,977 | |
| Impala Platinum Holdings Ltd. (b) | 677,157 | 5,204,456 | |
| MMC Norilsk Nickel PJSC sponsored ADR | 214,400 | 5,628,000 | |
| Novolipetsk Steel OJSC GDR (Reg. S) | 30,825 | 620,816 | |
| POSCO | 23,117 | 4,499,648 | |
| Vale SA (b) | 162,600 | 1,915,697 | |
| Vale SA sponsored ADR (b) | 74,600 | 877,296 | |
| Zijin Mining Group Co. Ltd. (H Shares) | 656,000 | 245,533 | |
| 36,018,634 | |||
| Paper & Forest Products - 0.4% | |||
| Suzano Papel e Celulose SA | 1,050,500 | 9,456,162 | |
| TOTAL MATERIALS | 71,666,410 | ||
| REAL ESTATE - 0.9% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
| Link (REIT) | 70,000 | 715,362 | |
| Real Estate Management & Development - 0.9% | |||
| Ayala Land, Inc. | 10,089,000 | 9,027,522 | |
| CapitaLand Ltd. | 1,585,300 | 4,265,797 | |
| Cheung Kong Property Holdings Ltd. | 81,500 | 541,897 | |
| China Overseas Land and Investment Ltd. | 810,000 | 2,716,142 | |
| China Resources Land Ltd. | 132,000 | 570,783 | |
| China Vanke Co. Ltd. (H Shares) | 87,700 | 328,250 | |
| Hemisphere Properties India Ltd. (b)(d) | 372,400 | 839,793 | |
| Longfor Properties Co. Ltd. (a) | 943,000 | 3,860,805 | |
| Sun Hung Kai Properties Ltd. | 3,500 | 50,990 | |
| 22,201,979 | |||
| TOTAL REAL ESTATE | 22,917,341 | ||
| UTILITIES - 0.6% | |||
| Electric Utilities - 0.2% | |||
| Cheung Kong Infrastructure Holdings Ltd. | 70,000 | 473,928 | |
| Equatorial Energia SA | 618,500 | 3,026,979 | |
| Korea Electric Power Corp. (b) | 93,889 | 2,217,233 | |
| 5,718,140 | |||
| Gas Utilities - 0.3% | |||
| China Gas Holdings Ltd. | 905,600 | 3,366,414 | |
| China Resource Gas Group Ltd. | 98,000 | 545,822 | |
| Hong Kong & China Gas Co. Ltd. | 106,000 | 201,908 | |
| Indraprastha Gas Ltd. | 754,200 | 4,346,040 | |
| Kunlun Energy Co. Ltd. | 154,000 | 130,428 | |
| 8,590,612 | |||
| Independent Power and Renewable Electricity Producers - 0.1% | |||
| Huaneng Renewables Corp. Ltd. (H Shares) | 666,000 | 254,380 | |
| NTPC Ltd. | 895,603 | 1,452,333 | |
| 1,706,713 | |||
| Water Utilities - 0.0% | |||
| SIIC Environment Holdings Ltd. | 520,000 | 100,968 | |
| TOTAL UTILITIES | 16,116,433 | ||
| TOTAL COMMON STOCKS | |||
| (Cost $1,051,463,527) | 1,155,640,604 | ||
| Nonconvertible Preferred Stocks - 1.1% | |||
| COMMUNICATION SERVICES - 0.1% | |||
| Diversified Telecommunication Services - 0.1% | |||
| Telefonica Brasil SA | 78,800 | 1,042,862 | |
| ENERGY - 0.3% | |||
| Oil, Gas & Consumable Fuels - 0.3% | |||
| Petroleo Brasileiro SA - Petrobras sponsored ADR | 535,066 | 7,881,522 | |
| Surgutneftegas OJSC | 598,099 | 335,651 | |
| 8,217,173 | |||
| FINANCIALS - 0.7% | |||
| Banks - 0.7% | |||
| Banco Bradesco SA (PN) | 543,320 | 4,287,579 | |
| Itau Unibanco Holding SA | 678,609 | 5,552,357 | |
| Sberbank of Russia | 2,259,214 | 7,465,427 | |
| 17,305,363 | |||
| INDUSTRIALS - 0.0% | |||
| Airlines - 0.0% | |||
| Azul SA (b) | 82,100 | 1,020,020 | |
| TOTAL NONCONVERTIBLE PREFERRED STOCKS | |||
| (Cost $27,079,361) | 27,585,418 | ||
| Equity Funds - 39.4% | |||
| Diversified Emerging Markets Funds - 39.4% | |||
| Fidelity Emerging Markets Fund (e) | 9,369,686 | 311,260,976 | |
| Fidelity SAI Emerging Markets Index Fund (e) | 43,046,388 | 590,596,433 | |
| Fidelity SAI Emerging Markets Low Volatility Index Fund (e) | 12,505,023 | 124,174,878 | |
| TOTAL EQUITY FUNDS | |||
| (Cost $954,576,576) | 1,026,032,287 | ||
| Investment Companies - 4.6% | |||
| Investment Companies - 4.6% | |||
| Invesco FTSE RAFI Emerging Markets ETF (c) | 1,892,919 | 39,448,432 | |
| Schwab Fundamental Emerging Markets Large Co. Index ETF (c) | 2,846,302 | 81,660,404 | |
| TOTAL INVESTMENT COMPANIES | |||
| (Cost $118,861,050) | 121,108,836 | ||
| Principal Amount | Value | ||
| U.S. Treasury Obligations - 0.5% | |||
| U.S. Treasury Bills, yield at date of purchase 1.51% to 1.91% 12/12/19 to 2/20/20 (f) | |||
| (Cost $12,508,194) | $12,540,000 | 12,508,603 | |
| Shares | Value | ||
| Money Market Funds - 10.4% | |||
| Fidelity Cash Central Fund 1.61% (g) | 17,744,930 | 17,748,479 | |
| Fidelity Securities Lending Cash Central Fund 1.61% (g)(h) | 2,938,478 | 2,938,771 | |
| Invesco Government & Agency Portfolio Institutional Class 1.53% (i) | 250,848,371 | 250,848,371 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $271,515,478) | 271,535,621 | ||
| TOTAL INVESTMENT IN SECURITIES - 100.3% | |||
| (Cost $2,436,004,186) | 2,614,411,369 | ||
| NET OTHER ASSETS (LIABILITIES) - (0.3)% | (7,002,732) | ||
| NET ASSETS - 100% | $2,607,408,637 |
| 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) | 4,641 | Dec. 2019 | $240,867,900 | $1,224,785 | $1,224,785 |
The notional amount of futures purchased as a percentage of Net Assets is 9.2%
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 $27,298,188 or 1.0% 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 $12,209,813.
(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 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 | $265,387 |
| Fidelity Securities Lending Cash Central Fund | 36,511 |
| Total | $301,898 |
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 | $-- | $-- | $-- | $-- | $28,952,331 | $311,260,976 |
| Fidelity SAI Emerging Markets Index Fund | 539,214,411 | 125,920,411 | 109,249,998 | -- | 1,370,077 | 33,341,532 | 590,596,433 |
| Fidelity SAI Emerging Markets Low Volatility Index Fund | 84,223,808 | 39,000,000 | -- | -- | -- | 951,070 | 124,174,878 |
| Total | $905,746,864 | $164,920,411 | $109,249,998 | $-- | $1,370,077 | $63,244,933 | $1,026,032,287 |
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 November 30, 2019, 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 | $96,410,993 | $35,078,100 | $61,332,893 | $-- |
| Consumer Discretionary | 180,259,100 | 159,311,642 | 20,947,458 | -- |
| Consumer Staples | 91,909,827 | 91,899,395 | -- | 10,432 |
| Energy | 82,533,574 | 68,834,584 | 13,698,990 | -- |
| Financials | 304,673,480 | 218,754,596 | 85,918,884 | -- |
| Health Care | 21,019,709 | 21,019,709 | -- | -- |
| Industrials | 82,627,219 | 82,627,219 | -- | -- |
| Information Technology | 213,091,936 | 161,415,767 | 51,676,169 | -- |
| Materials | 71,666,410 | 63,836,782 | 7,829,628 | -- |
| Real Estate | 22,917,341 | 22,026,558 | 50,990 | 839,793 |
| Utilities | 16,116,433 | 13,697,292 | 2,419,141 | -- |
| Equity Funds | 1,026,032,287 | 1,026,032,287 | -- | -- |
| Investment Companies | 121,108,836 | 121,108,836 | -- | -- |
| Other Short-Term Investments | 12,508,603 | -- | 12,508,603 | -- |
| Money Market Funds | 271,535,621 | 271,535,621 | -- | -- |
| Total Investments in Securities: | $2,614,411,369 | $2,357,178,388 | $256,382,756 | $850,225 |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $1,224,785 | $1,224,785 | $-- | $-- |
| Total Assets | $1,224,785 | $1,224,785 | $-- | $-- |
| Total Derivative Instruments: | $1,224,785 | $1,224,785 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of November 30, 2019. 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) | $1,224,785 | $0 |
| Total Equity Risk | 1,224,785 | 0 |
| Total Value of Derivatives | $1,224,785 | $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
| November 30, 2019 (Unaudited) | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $2,779,632) — See accompanying schedule: Unaffiliated issuers (cost $1,460,760,502) | $1,567,691,832 | |
| Fidelity Central Funds (cost $20,667,108) | 20,687,250 | |
| Other affiliated issuers (cost $954,576,576) | 1,026,032,287 | |
| Total Investment in Securities (cost $2,436,004,186) | $2,614,411,369 | |
| Cash | 45,369 | |
| Foreign currency held at value (cost $3,372,768) | 3,367,733 | |
| Receivable for investments sold | 5,171,140 | |
| Receivable for fund shares sold | 4,719,507 | |
| Dividends receivable | 554,144 | |
| Interest receivable | 310,139 | |
| Distributions receivable from Fidelity Central Funds | 34,476 | |
| Prepaid expenses | 2,098 | |
| Other receivables | 23,741 | |
| Total assets | 2,628,639,716 | |
| Liabilities | ||
| Payable for investments purchased | $11,386,013 | |
| Payable for fund shares redeemed | 724,137 | |
| Accrued management fee | 470,809 | |
| Payable for daily variation margin on futures contracts | 4,014,465 | |
| Other payables and accrued expenses | 1,697,120 | |
| Collateral on securities loaned | 2,938,535 | |
| Total liabilities | 21,231,079 | |
| Net Assets | $2,607,408,637 | |
| Net Assets consist of: | ||
| Paid in capital | $2,437,047,306 | |
| Total accumulated earnings (loss) | 170,361,331 | |
| Net Assets | $2,607,408,637 | |
| Net Asset Value, offering price and redemption price per share ($2,607,408,637 ÷ 227,938,501 shares) | $11.44 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Six months ended November 30, 2019 (Unaudited) | ||
| Investment Income | ||
| Dividends: | ||
| Unaffiliated issuers | $15,955,367 | |
| Non-Cash dividends | 13,895,957 | |
| Interest | 1,817,451 | |
| Income from Fidelity Central Funds (including $36,511 from security lending) | 301,898 | |
| Income before foreign taxes withheld | 31,970,673 | |
| Less foreign taxes withheld | (1,802,441) | |
| Total income | 30,168,232 | |
| Expenses | ||
| Management fee | $5,455,519 | |
| Accounting fees | 74,802 | |
| Custodian fees and expenses | 146,615 | |
| Independent trustees' fees and expenses | 12,391 | |
| Registration fees | 178,954 | |
| Audit | 20,458 | |
| Legal | 3,290 | |
| Miscellaneous | 7,292 | |
| Total expenses before reductions | 5,899,321 | |
| Expense reductions | (3,051,908) | |
| Total expenses after reductions | 2,847,413 | |
| Net investment income (loss) | 27,320,819 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers (net of foreign taxes of $20,432) | (20,958,804) | |
| Fidelity Central Funds | 532 | |
| Other affiliated issuers | 1,370,077 | |
| Foreign currency transactions | (1,358,364) | |
| Futures contracts | 3,094,450 | |
| Total net realized gain (loss) | (17,852,109) | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers (net of increase in deferred foreign taxes of $1,516,921) | 76,681,465 | |
| Fidelity Central Funds | 94 | |
| Other affiliated issuers | 63,244,933 | |
| Assets and liabilities in foreign currencies | 14,560 | |
| Futures contracts | 5,962,452 | |
| Total change in net unrealized appreciation (depreciation) | 145,903,504 | |
| Net gain (loss) | 128,051,395 | |
| Net increase (decrease) in net assets resulting from operations | $155,372,214 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Six months ended November 30, 2019 (Unaudited) | For the period October 30, 2018 (commencement of operations) to May 31, 2019 |
|
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $27,320,819 | $25,053,053 |
| Net realized gain (loss) | (17,852,109) | (17,638,458) |
| Change in net unrealized appreciation (depreciation) | 145,903,504 | 32,205,353 |
| Net increase (decrease) in net assets resulting from operations | 155,372,214 | 39,619,948 |
| Distributions to shareholders | (2,862,747) | (21,398,596) |
| Share transactions | ||
| Proceeds from sales of shares | 700,981,078 | 2,070,722,339 |
| Reinvestment of distributions | 2,346,015 | 21,366,662 |
| Cost of shares redeemed | (192,280,451) | (166,457,825) |
| Net increase (decrease) in net assets resulting from share transactions | 511,046,642 | 1,925,631,176 |
| Total increase (decrease) in net assets | 663,556,109 | 1,943,852,528 |
| Net Assets | ||
| Beginning of period | 1,943,852,528 | – |
| End of period | $2,607,408,637 | $1,943,852,528 |
| Other Information | ||
| Shares | ||
| Sold | 63,486,533 | 194,955,636 |
| Issued in reinvestment of distributions | 205,610 | 2,130,275 |
| Redeemed | (17,231,554) | (15,607,999) |
| Net increase (decrease) | 46,460,589 | 181,477,912 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Strategic Advisers Fidelity Emerging Markets Fund
| Six months ended (Unaudited) November 30, | Year endedMay 31, | |
| 2019 | 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 | .13C | .18 |
| Net realized and unrealized gain (loss) | .62 | .67 |
| Total from investment operations | .75 | .85 |
| Distributions from net investment income | (.02) | (.14) |
| Total distributions | (.02) | (.14) |
| Net asset value, end of period | $11.44 | $10.71 |
| Total ReturnD,E | 6.96% | 8.63% |
| Ratios to Average Net AssetsF,G,H | ||
| Expenses before reductions | .51%I | .57%I |
| Expenses net of fee waivers, if any | .26%I | .32%I |
| Expenses net of all reductions | .25%I | .31%I |
| Net investment income (loss) | 2.35%C,I | 2.82%I |
| Supplemental Data | ||
| Net assets, end of period (000 omitted) | $2,607,409 | $1,943,853 |
| Portfolio turnover rateH | 60%I | 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. This dividend is not annualized in the ratio of net investment income (loss) to average net assets. Excluding this non-recurring dividend the ratio of net investment income (loss) to average net assets would have been 1.23%.
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 (Unaudited)
For the period ended November 30, 2019
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 (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 November 30, 2019 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. 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 $9 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. 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.
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, 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 | $214,920,609 |
| Gross unrealized depreciation | (43,532,978) |
| Net unrealized appreciation (depreciation) | $171,387,631 |
| Tax cost | $2,444,248,523 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
| No expiration | |
| Short-term | $(17,498,944) |
Restricted Securities. 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 and is representative of volume 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, aggregated $1,050,535,183 and $630,118,170, respectively.
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 annualized management fee rate was .47% 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 an annualized rate of .01%.
Interfund Trades. The Fund 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 $1,831.
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 Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. 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 are available on the SEC website or upon request.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $2,593 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow 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 $2,901,813.
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 $62,371 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 $87,724.
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 | 15% |
| Fidelity SAI Emerging Markets Low Volatility Index Fund | 19% |
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 (June 1, 2019 to November 30, 2019).
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. 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, 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 June 1, 2019 | Ending Account Value November 30, 2019 | Expenses Paid During Period-B June 1, 2019 to November 30, 2019 |
|
| Actual | .26% | $1,000.00 | $1,069.60 | $1.35 |
| Hypothetical-C | $1,000.00 | $1,023.70 | $1.32 |
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
Board Approval of Investment Advisory Contract
Strategic Advisers Fidelity Emerging Markets Fund
On June 5, 2019, the Board of Trustees, including the Independent Trustees (together, the Board), voted at an in-person meeting to approve an amendment to the fee schedule in each of the existing sub-advisory agreements with FIAM LLC (FIAM) and FIL Investment Advisors (FIA) (the Amended Sub-Advisory Agreements) for the fund, which has the potential to lower the amount of fees paid by Strategic Advisers LLC (Strategic Advisers) to each of FIAM and FIA, on behalf of the fund. The Board noted that the terms of each Amended Sub-Advisory Agreement are not materially different from those of the current sub-advisory agreement with the applicable sub-adviser.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 each Amended Sub-Advisory Agreement.In considering whether to approve each Amended 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 Amended 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 each Amended 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 each Amended 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 that it reviewed information regarding FIAM and FIA, including the backgrounds of their investment personnel, and also took into consideration the fund's investment objective, strategies and related investment philosophy, in connection with the initial approval of the sub-advisory agreement with FIA, and the annual renewal of the fund's current sub-advisory agreement with FIAM at its September 2018 Board meeting. The Board also considered the information provided by FIAM and FIA in June 2019 in connection with the anticipated annual renewal of each sub-advisory agreement in September 2019.The Board considered that each Amended Sub-Advisory Agreement will not result in any changes to the nature, extent and quality of the services provided to the fund. The Board also considered each sub-adviser's representation that the Amended Sub-Advisory Agreement would not result in any changes to (i) the investment process or strategies employed in the management of the fund's assets or (ii) the day-to-day management of the fund or the persons primarily responsible for such management. Investment Performance. The Board considered that it received information regarding each sub-adviser's historical investment performance in managing fund assets at its June 2019 Board meeting. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the Amended Sub-Advisory Agreement would not result in any changes to the fund's investment processes or strategies or in the persons primarily responsible for the day-to-day management of the fund.Based on its review, the Board concluded that the nature, extent, and quality of services that will be provided to the fund under each Amended Sub-Advisory Agreement will continue to benefit the fund's shareholders. Competitiveness of Management Fee and Total Fund Expenses. The Board considered that each new fee schedule is expected to lower the amount of fees paid by Strategic Advisers to FIAM and FIA under each respective Amended Sub-Advisory Agreement, on behalf of the fund. The Board also considered that each Amended Sub-Advisory Agreement would not result in any changes to the fund's maximum aggregate annual management fee rate, Strategic Advisers' portion of the fund's management fee or Strategic Advisers' contractual management fee waiver for the fund. The Board also considered that if the applicable investment mandates are funded, each Amended Sub-Advisory Agreement has the potential to reduce total net fund expenses by the same amount as any resulting decrease in the fund's management fee. Based on its review, the Board concluded that the fund's management fee structure and total expenses continue to bear a reasonable relationship to the services that the fund and its shareholders will receive under each Amended Sub-Advisory Agreement and the other factors considered.Because each Amended Sub-Advisory Agreement was negotiated at arm's length and will have no impact on the maximum management fees payable by the fund, the Board did not consider the costs of services and profitability of the relationship with the fund to Strategic Advisers to be significant factors in its decision to approve each Amended 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 each sub-adviser, if any, as a result of its relationship with the fund, during its annual renewal of the fund's advisory agreements at its September Board meeting. Possible Economies of Scale. The Board considered that the Amended Sub-Advisory Agreement with FIA, like the current sub-advisory agreement with FIA, provides for breakpoints that, if the applicable investment mandate is funded, have the potential to reduce sub-advisory fees paid to FIA as assets allocated to FIA grow. The Board considered that it reviewed 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 at its September 2018 Board meeting and that it will consider the potential for such benefits at its September 2019 meeting. 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 each Amended Sub-Advisory Agreement's fee structure continues to bear a reasonable relationship to the services rendered to the fund and that each Amended Sub-Advisory Agreement should be approved because the Amended 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 each Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Board Approval of Investment Advisory Contracts and Management Fees Strategic Advisers Fidelity Emerging Markets 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 (FIAM), FIL Investment Advisors (FIL), and Geode Capital Management, LLC (Geode) (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, and FIL Investment Advisors (UK) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, 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 addition, the Board approved amendments to the fund's sub-advisory agreements with FIL and Geode to add certain exceptions to the most favored nation provision in each such sub-advisory agreement and, where applicable, to make other non-material amendments to the agreements. The Board noted that the other terms of each amended sub-advisory agreement are not materially different from those of the applicable existing sub-advisory agreement and that FIL and Geode each will continue to provide the same services to the fund.In reaching its determination to renew the fund's Advisory Contracts and approve the amendments to the sub-advisory agreements described above (Amendments), 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 and approve the Amendments, 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 and the approval of the Amendments 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 and the approval of the Amendments do 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 and approve the Amendments 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 itsaffiliates 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. As the fund recently commenced operations, the Board did not believe that it was appropriate to assign significant weight to its limited investment performance. 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 1.20%. 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 % 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.Strategic Advisers Fidelity Emerging Markets Fund
STE-SANN-0120
1.9890708.101
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
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 Fidelity Rutland Square Trust II’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Rutland Square Trust II’s (the “Trust”) 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) | Not applicable. |
(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: | January 24, 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: | January 24, 2020 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | January 24, 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:
January 24, 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:
January 24, 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: January 24, 2020
/s/Stacie M. Smith |
Stacie M. Smith |
President and Treasurer |
Dated: January 24, 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.
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