UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21991
Fidelity Rutland Square Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Christina H. Lee, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | May 31 |
Date of reporting period: | May 31, 2023 |
Item 1.
Reports to Stockholders
Strategic Advisers® Tax-Sensitive Short Duration Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Annual Report
May 31, 2023
Contents
To view a fund's proxy voting guidelines and 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. © 2023 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.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns | |||
Periods ended May 31, 2023 | Past 1 year | Past 5 years | Life of Fund A |
| Strategic Advisers® Tax-Sensitive Short Duration Fund | 1.94% | 1.16% | 1.14% |
A From December 28, 2017
| $10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Tax-Sensitive Short Duration Fund, on December 28, 2017, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Municipal Bond 1 Year (1-2 Y) Index performed over the same period. |
 |
Market Recap:
Tax-exempt municipal bonds returned 0.49% for the 12 months ending May 31, 2023, according to the Bloomberg Municipal Bond index. In the first five months of the period, yields on municipal bonds climbed steeply and their prices, which move inversely to yields, declined sharply, as the U.S. Federal Reserve aggressively raised interest rates to combat persistent inflation. From December through April, however, munis charted a choppy course through a rally that was ignited by comments from Fed Chair Powell last November that pointed to a slowdown in the size of future rate hikes, which was followed by growing optimism that the central bank would stop raising rates in the first half of 2023. To date, the central bank has raised its benchmark rate ten times, by a total of 5.0 percentage points, bringing its target range to a level not seen since mid-2007. In the first five months of 2023, bond issuance dropped significantly from previous-year levels, as higher rates suppressed issuers' appetite for new debt, especially given that many states and municipalities still retain unspent COVID-related federal stimulus cash. The reduced supply helped bolster municipal bond gains in January and March. But in April (-0.23%) and May (-0.89%), the index lost ground following turmoil in the U.S. banking sector, and as the continued strength of the labor market surprised analysts and suggested the Fed may need to keep rates higher for longer than the market expected. For the full 12 months, muni tax-backed credit fundamentals remained solid and, for the most part, the risk of credit-rating downgrades of these issuers appeared low. Mid-quality (rated A and AA) and intermediate-duration securities (seven to 15 years) led the way for the year.
Comments from Lead Portfolio Manager Chris Heavey:
For the fiscal year ending May 31, 2023, the Fund gained 1.94%, performing in line with the 1.93% advance of the benchmark Strategic Advisers ® Tax-Sensitive Short-Duration Composite Index. Among the Fund's underlying managers, the Limited Term Municipal Income strategy from FIAM ® (+0.7%) was the primary relative detractor. This mandate's greater interest rate sensitivity compared with the broader Fund's benchmark proved detrimental, as did outsized exposure to bonds rated BBB. In contrast, the Conservative Income Municipal Bond strategy from sub-adviser FIAM ® and U.S. Municipal Enhanced Cash strategy from T. Rowe Price (+2% each), bolstered the Fund's relative result most. Both managers benefited from reducing their interest rate sensitivity during the first half of the period and also from allocations to higher-rated bonds. The Fund's cash allocation also was a plus, providing a valuable cushion amid periods of market volatility the past 12 months. As of May 31, about 79% of the Fund's net assets were allocated across four sub-advised mandates. Later in the period, we shifted a significant portion of the Fund's cash allocation from a municipal money market fund into a taxable money fund. This change provides the Fund with greater liquidity and an overall yield boost.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) | ||
| (excluding cash equivalents) | ||
| Vanguard Short-Term Tax-Exempt Fund Admiral Shares | 5.9 | |
| JPMorgan Ultra-Short Municipal Income ETF | 5.0 | |
| Illinois General Obligation | 2.3 | |
| Main Street Natural Gas, Inc. | 1.9 | |
| Black Belt Energy Gas District | 1.7 | |
| Federated Hermes Municipal Ultrashort Fund Institutional Shares | 1.5 | |
| New York City Gen. Oblig. | 1.5 | |
| Chandler Indl. Dev. Auth. Indl. Dev. Rev. | 1.2 | |
| Port Arthur Navigation Dist. Environmental Facilities Rev. | 1.1 | |
| Pennsylvania Econ Dev Financing Authority Solid Waste Disposal Rev. | 1.0 | |
| Revenue Sources (% of Fund's net assets) | ||
| General Obligations | 13.7 | |
| Transportation | 10.5 | |
| Health Care | 8.6 | |
| Other | 6.5 | |
| Synthetics | 6.1 | |
| Electric Utilities | 5.1 | |
| Others (Individually Less Than 5%) | 28.4 | |
Quality Diversification (% of Fund's net assets) |
 |
| 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) |
 |
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Showing Percentage of Net Assets
| Municipal Bonds - 58.3% | |||
Principal Amount (a) | Value ($) | ||
| Alabama - 2.0% | |||
| Alabama State Corrections Institution Fin. Auth. Series 2022 A, 5% 7/1/23 | 7,750,000 | 7,757,826 | |
| Birmingham Arpt. Auth. Series 2020: | |||
| 5% 7/1/24 (Build America Mutual Assurance Insured) | 325,000 | 330,026 | |
| 5% 7/1/25 (Build America Mutual Assurance Insured) | 325,000 | 335,744 | |
| Black Belt Energy Gas District: | |||
| (Proj. No. 4) Series 2019 A, 4% 6/1/23 | 1,750,000 | 1,750,000 | |
| (Proj. No. 6) Series 2021 B: | |||
4% 12/1/23 | 1,250,000 | 1,248,050 | |
4% 12/1/24 | 1,250,000 | 1,245,134 | |
| (Proj. No.7) Series 2021 C1: | |||
4% 12/1/24 | 3,000,000 | 2,991,330 | |
4% 12/1/25 | 4,000,000 | 3,977,668 | |
| Bonds: | |||
(Proj. No.7): | |||
Series 2021 C1, 4%, tender 12/1/26 (b) | 11,350,000 | 11,223,829 | |
Series 2021 C2, SIFMA Municipal Swap Index + 0.350% 3.76%, tender 12/1/26 (b)(c) | 2,350,000 | 2,283,310 | |
Series 2018 A, 4%, tender 12/1/23 (b) | 1,800,000 | 1,799,375 | |
Series 2019 A, 4%, tender 12/1/25 (b) | 3,050,000 | 3,032,847 | |
Series 2022 D2, U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.400% 4.79%, tender 6/1/27 (b)(c) | 5,000,000 | 4,935,696 | |
| Series 2021 A: | |||
4% 6/1/23 | 400,000 | 400,000 | |
4% 12/1/23 | 435,000 | 434,491 | |
| Series 2021 C1, 4% 12/1/23 | 790,000 | 789,229 | |
| Series 2022 C: | |||
5.25% 12/1/23 | 525,000 | 527,735 | |
5.25% 6/1/24 | 735,000 | 742,467 | |
| Series 2022 C1: | |||
5.25% 12/1/24 | 2,025,000 | 2,056,098 | |
5.25% 6/1/25 | 695,000 | 709,866 | |
5.25% 12/1/25 | 1,125,000 | 1,155,468 | |
5.25% 6/1/26 | 575,000 | 593,918 | |
| Series 2022 E: | |||
5% 6/1/23 | 530,000 | 530,000 | |
5% 6/1/24 | 1,790,000 | 1,808,218 | |
5% 6/1/25 | 825,000 | 840,793 | |
5% 6/1/26 | 1,140,000 | 1,173,758 | |
| Series 2023 A: | |||
5% 10/1/24 | 2,075,000 | 2,099,980 | |
5% 10/1/25 | 2,125,000 | 2,166,836 | |
| Chatom Indl. Dev. Board Gulf Opportunity Zone Series 2020, 5% 8/1/23 (Assured Guaranty Muni. Corp. Insured) | 1,350,000 | 1,352,580 | |
| Health Care Auth. for Baptist Health Series 2023 A: | |||
| 5% 11/15/24 | 1,385,000 | 1,408,100 | |
| 5% 11/15/25 | 1,290,000 | 1,328,215 | |
| Mobile County Board of School Commissioners: | |||
| Series 2016 A: | |||
5% 3/1/24 | 25,000 | 25,270 | |
5% 3/1/25 | 100,000 | 102,803 | |
| Series 2016 B, 5% 3/1/24 | 45,000 | 45,486 | |
| Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds Series 2009 E, 1%, tender 6/26/25 (b) | 600,000 | 566,196 | |
| Southeast Alabama Gas Supply District Bonds: | |||
| (Proj. No. 2) Series 2018 A, 4%, tender 6/1/24 (b) | 6,450,000 | 6,441,280 | |
| Series 2018 A, 4%, tender 4/1/24 (b) | 4,000,000 | 3,994,331 | |
| Southeast Energy Auth. Rev. Bonds: | |||
| (Proj. No. 1) Series 2021 A, 4% 10/1/23 | 425,000 | 424,747 | |
| (Proj. No. 2) Series 2021 B1: | |||
4% 6/1/23 | 1,500,000 | 1,500,000 | |
4% 6/1/24 | 1,090,000 | 1,088,323 | |
4% 6/1/25 | 300,000 | 299,298 | |
| (Proj. NO. 5) Series 2023 A: | |||
5% 7/1/24 | 350,000 | 353,262 | |
5% 7/1/25 | 650,000 | 661,523 | |
5% 7/1/27 | 1,185,000 | 1,220,444 | |
5.25% 7/1/28 | 1,945,000 | 2,032,383 | |
| Univ. of South Alabama Univ. Rev. Series 2021, 4% 4/1/26 | 500,000 | 506,357 | |
TOTAL ALABAMA | 82,290,290 | ||
| Alaska - 0.3% | |||
| Alaska Hsg. Fin. Corp. Series 2021 A: | |||
| 3% 12/1/23 | 450,000 | 448,271 | |
| 3% 6/1/24 | 400,000 | 397,384 | |
| Alaska Hsg. Fin. Corp. Mtg. Rev. Series 2022 A, 3% 6/1/51 | 520,000 | 495,632 | |
| Alaska Int'l. Arpts. Revs.: | |||
| Series 2016 C, 5% 10/1/23 (d) | 425,000 | 426,277 | |
| Series 2021 C: | |||
5% 10/1/23 (d) | 2,675,000 | 2,683,038 | |
5% 10/1/25 (d) | 1,980,000 | 2,028,278 | |
| Alaska Muni. Bond Bank Series 2023 TWO: | |||
| 5% 12/1/24 (d) | 460,000 | 467,483 | |
| 5% 12/1/25 (d) | 485,000 | 499,115 | |
| 5% 12/1/26 (d) | 510,000 | 530,926 | |
| Northern Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 A: | |||
| 4% 6/1/23 | 1,000,000 | 1,000,000 | |
| 5% 6/1/24 | 1,600,000 | 1,621,864 | |
| 5% 6/1/25 | 715,000 | 733,963 | |
| 5% 6/1/26 | 1,000,000 | 1,042,350 | |
TOTAL ALASKA | 12,374,581 | ||
| Arizona - 2.1% | |||
| Arizona Ctfs. of Prtn. Series 2019 A, 5% 10/1/24 (Escrowed to Maturity) | 195,000 | 199,331 | |
| Arizona Health Facilities Auth. Rev. (Scottsdale Lincoln Hospitals Proj.) Series 2014 A: | |||
| 5% 12/1/23 | 20,000 | 20,135 | |
| 5% 12/1/24 | 45,000 | 45,949 | |
| 5% 12/1/26 | 110,000 | 112,407 | |
| Arizona Indl. Dev. Auth. Hosp. Rev. Series 2020 A, 5% 2/1/26 | 750,000 | 780,810 | |
| Bullhead City Excise Taxes Series 2021 2, 0.75% 7/1/25 | 325,000 | 300,669 | |
| Chandler Indl. Dev. Auth. Indl. Dev. Rev.: | |||
| (Intel Corp. Proj.) Series 2022 2, 5%, tender 9/1/27 (b)(d) | 1,200,000 | 1,230,112 | |
| Bonds (Intel Corp. Proj.): | |||
Series 2005, 2.4%, tender 8/14/23 (b) | 5,225,000 | 5,205,229 | |
Series 2007, 2.7%, tender 8/14/23 (b)(d) | 8,820,000 | 8,785,658 | |
Series 2019, 5%, tender 6/3/24 (b)(d) | 33,280,000 | 33,497,225 | |
| Coconino County Poll. Cont. Corp. Rev. Bonds (Navada Pwr. Co. Projs.) Series 2017 A, 4.125%, tender 3/31/26 (b)(d) | 395,000 | 395,600 | |
| Glendale Union School District 205 Series A: | |||
| 5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) | 225,000 | 228,743 | |
| 5% 7/1/25 (Assured Guaranty Muni. Corp. Insured) | 225,000 | 232,255 | |
| Maricopa County Indl. Dev. Auth. Series 2019 A, 5% 9/1/23 | 365,000 | 366,166 | |
| Maricopa County Rev.: | |||
| Bonds: | |||
Series 2019 D, 5%, tender 5/15/26 (b) | 725,000 | 756,297 | |
Series C, 5%, tender 10/18/24 (b) | 1,140,000 | 1,162,306 | |
| Series 2016 A: | |||
4% 1/1/24 | 115,000 | 115,324 | |
5% 1/1/25 | 105,000 | 107,548 | |
| Maricopa County Spl. Health Care District Gen. Oblig. Series 2021 D, 5% 7/1/25 | 1,100,000 | 1,137,708 | |
| Maricopa County Unified School District #41 Gilbert Series 2022 B, 5% 7/1/25 | 3,740,000 | 3,872,022 | |
| Phoenix Civic Impt. Board Arpt. Rev.: | |||
| Series 2017 A, 5% 7/1/24 (d) | 1,020,000 | 1,033,931 | |
| Series 2017 D: | |||
5% 7/1/24 | 490,000 | 498,308 | |
5% 7/1/25 | 50,000 | 51,765 | |
| Series 2018, 5% 7/1/23 (d) | 1,100,000 | 1,100,957 | |
| Series 2019 B, 5% 7/1/23 (d) | 1,000,000 | 1,000,755 | |
| Series 2023, 5% 7/1/25 (d)(e) | 1,100,000 | 1,130,145 | |
| Phoenix Civic Impt. Corp. Wtr. Sys. Rev. Series 2014 B, 5% 7/1/27 | 400,000 | 406,996 | |
| Phoenix Indl. Solid Waste Disp. Rev. Bonds (Republic Svc., Inc. Proj.) Series 2013, 3.875%, tender 12/1/35 (b)(d) | 20,175,000 | 20,167,406 | |
| Tucson Ctfs. of Prtn. Series 2015, 5% 7/1/23 (Assured Guaranty Muni. Corp. Insured) | 200,000 | 200,225 | |
| Yavapai County Indl. Dev. Auth.: | |||
| Series 2016, 5% 8/1/23 | 275,000 | 275,480 | |
| Series 2019, 5% 8/1/23 | 355,000 | 355,619 | |
| Yuma Pledged Rev. Series 2021: | |||
| 4% 7/1/24 | 300,000 | 301,773 | |
| 4% 7/1/25 | 505,000 | 511,955 | |
TOTAL ARIZONA | 85,586,809 | ||
| Arkansas - 0.2% | |||
| Arkansas Dev. Fin. Auth. Multi-family Hsg. Rev. Bonds Series 2021, 1.25%, tender 12/1/23 (b) | 5,000,000 | 4,933,685 | |
| Arkansas Dev. Fin. Auth. Pub. Safety Charges (Arkansas Division of Emergency Mgmt. Proj.) Series 2020, 5% 6/1/24 | 565,000 | 573,573 | |
| Batesville Pub. Facilities Board Series 2020, 5% 6/1/23 | 790,000 | 790,000 | |
TOTAL ARKANSAS | 6,297,258 | ||
| California - 3.1% | |||
| Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds: | |||
| Series 2017 G, 2%, tender 4/1/24 (b) | 1,120,000 | 1,100,768 | |
| Series 2021 B, 0.280% x SIFMA Municipal Swap Index 3.69%, tender 6/1/23 (b)(c) | 2,500,000 | 2,494,985 | |
| Series A, 2.95%, tender 4/1/26 (b) | 110,000 | 107,430 | |
| Series B, 2.85%, tender 4/1/25 (b) | 95,000 | 93,533 | |
| Burbank Glendale Pasadena Arpt. Auth. Rev. Series B, 5% 7/1/23 (d) | 1,290,000 | 1,290,922 | |
| California Cmnty. Choice Fing. Auth. Clean Energy Proj. Rev. Series 2023 C, 5% 10/1/26 | 625,000 | 633,642 | |
| California Gen. Oblig.: | |||
| Series 2021, 5% 12/1/23 | 2,000,000 | 2,018,901 | |
| Series 2023, 5% 10/1/28 | 1,000,000 | 1,112,437 | |
| California Health Facilities Fing. Auth. Rev.: | |||
| Bonds: | |||
Series 2016 B2, 4%, tender 10/1/24 (b) | 2,300,000 | 2,301,463 | |
Series 2021 A, 3%, tender 8/15/25 (b) | 2,665,000 | 2,665,705 | |
| Series 2015, 5% 11/15/23 | 200,000 | 201,476 | |
| California Infrastructure and Econ. Dev. Bank Rev. Bonds: | |||
| Series 2020 A, 3.65%, tender 1/31/24 (b)(d)(f) | 30,500,000 | 30,392,454 | |
| Series 2021 B1, 0.39%, tender 1/1/24 (b) | 1,000,000 | 982,491 | |
| California Muni. Fin. Auth. Solid Waste Disp. Rev. Bonds: | |||
| (Republic Svcs., Inc. Proj.): | |||
Series 2021 A, 4.1%, tender 10/2/23 (b)(d) | 2,300,000 | 2,299,834 | |
Series 2021 B, 3.6%, tender 7/17/23 (b)(d) | 3,500,000 | 3,497,687 | |
| (Waste Mgmt., Inc. Proj.): | |||
Series 2017 A, 0.7%, tender 12/1/23 (b)(d) | 1,600,000 | 1,575,026 | |
Series 2020, 3.95%, tender 6/1/23 (b)(d) | 9,400,000 | 9,400,000 | |
| California Muni. Fin. Auth. Student Hsg. (CHF Davis II, L.L.C. Orchard Park Student Hsg. Proj.) Series 2021, 5% 5/15/24 (Build America Mutual Assurance Insured) | 500,000 | 505,301 | |
| California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev.: | |||
| (Republic Svcs., Inc. Proj.) Series 2010 A, 3.875% 8/1/23 (b)(d)(f) | 13,305,000 | 13,299,050 | |
| Bonds (Republic Svcs., Inc. Proj.): | |||
Series 2017 A1, 3.7%, tender 7/17/23 (b)(d)(f) | 2,700,000 | 2,698,678 | |
Series 2017 A2, 3.7%, tender 7/17/23 (b)(d)(f) | 4,350,000 | 4,347,869 | |
| California Pub. Fin. Auth. Rev. Series 2021 A: | |||
| 4% 10/15/23 | 285,000 | 285,031 | |
| 4% 10/15/24 | 380,000 | 379,380 | |
| California Pub. Works Board Lease Rev.: | |||
| (Various Cap. Projs.): | |||
Series 2021 B, 5% 5/1/24 | 1,095,000 | 1,113,989 | |
Series 2022 C, 5% 8/1/23 | 670,000 | 671,948 | |
| Series 2014 B, 5% 10/1/25 | 350,000 | 358,325 | |
| California Statewide Cmntys. Dev. Auth. Rev. Series 2007: | |||
| 4%, tender 7/1/40 (Assured Guaranty Muni. Corp. Insured) (b) | 9,275,000 | 9,275,000 | |
| 4%, tender 7/1/41 (Assured Guaranty Muni. Corp. Insured) (b) | 5,525,000 | 5,525,000 | |
| 4.05%, tender 7/1/40 (Assured Guaranty Muni. Corp. Insured) (b) | 175,000 | 175,000 | |
| Cathedral City Redev. Agcy. (Merged Redev. Proj.) Series 2021 C, 4% 8/1/23 | 225,000 | 225,031 | |
| Fresno Arpt. Rev. Series 2023 A: | |||
| 5% 7/1/24 (Build America Mutual Assurance Insured) (d) | 250,000 | 252,726 | |
| 5% 7/1/25 (Build America Mutual Assurance Insured) (d) | 500,000 | 510,666 | |
| Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.: | |||
| Series 2015 A, 5% 6/1/40 (Pre-Refunded to 6/1/25 @ 100) | 2,000,000 | 2,081,989 | |
| Series A, 0% 6/1/24 (Escrowed to Maturity) | 75,000 | 72,592 | |
| Long Beach Hbr. Rev. Series 2020 B, 5% 5/15/24 (d) | 1,475,000 | 1,492,018 | |
| Los Angeles Dept. Arpt. Rev.: | |||
| Series 2015 D, 5% 5/15/25 (d) | 1,705,000 | 1,748,300 | |
| Series 2016 B, 5% 5/15/26 (d) | 135,000 | 140,366 | |
| Series 2017 A, 5% 5/15/24 (d) | 430,000 | 435,203 | |
| Series 2018 D, 5% 5/15/24 (d) | 1,000,000 | 1,012,100 | |
| Series 2019 A, 5% 5/15/24 (d) | 375,000 | 379,537 | |
| Series 2019 D, 5% 5/15/24 (d) | 415,000 | 420,021 | |
| Series 2019 E, 4% 5/15/24 | 200,000 | 201,574 | |
| Series 2020 C, 5% 5/15/24 (d) | 250,000 | 253,025 | |
| Series 2021 A, 5% 5/15/27 (d) | 1,230,000 | 1,293,500 | |
| Series 2022 C: | |||
5% 5/15/24 (d) | 965,000 | 976,676 | |
5% 5/15/25 (d) | 455,000 | 466,555 | |
5% 5/15/26 (d) | 1,205,000 | 1,252,893 | |
| Series 2022 G, 5% 5/15/25 (d) | 550,000 | 563,968 | |
| Series 2023 A: | |||
5% 5/15/24 (d) | 385,000 | 389,658 | |
5% 5/15/25 (d) | 255,000 | 261,476 | |
5% 5/15/26 (d) | 440,000 | 457,488 | |
| Metropolitan Wtr. District of Southern California Wtr. Rev. Bonds Series 2017 C, SIFMA Municipal Swap Index + 0.140% 3.55%, tender 6/1/23 (b)(c) | 1,000,000 | 996,838 | |
| Oakland Unified School District Alameda County Series 2013, 5.5% 8/1/23 | 10,000 | 10,033 | |
| Port of Oakland Rev.: | |||
| Series 2017 D, 5% 11/1/24 (d) | 100,000 | 101,683 | |
| Series 2017: | |||
5% 11/1/23 (d) | 395,000 | 396,719 | |
5% 11/1/23 (Escrowed to Maturity) (d) | 105,000 | 105,651 | |
| Series 2021 H: | |||
5% 5/1/24 (d) | 865,000 | 873,911 | |
5% 5/1/24 (Escrowed to Maturity) (d) | 65,000 | 65,992 | |
| San Diego County Reg'l. Arpt. Auth. Arpt. Rev.: | |||
| Series 2019 B, 5% 7/1/25 (d) | 1,000,000 | 1,019,127 | |
| Series 2020 C, 5% 7/1/23 (d) | 545,000 | 545,345 | |
| San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.: | |||
| Series 2019 A, 5% 1/1/24 (d) | 655,000 | 658,468 | |
| Series 2019 H, 5% 5/1/25 (d) | 680,000 | 695,205 | |
| Series 2022 A, 5% 5/1/26 (d) | 2,000,000 | 2,075,887 | |
| Series 2023 A, 5% 5/1/25 (d) | 400,000 | 408,424 | |
| San Jose Int. Arpt. Rev.: | |||
| Series 2021 A, 5% 3/1/24 (d) | 1,000,000 | 1,006,975 | |
| Series 2021 B, 5% 3/1/24 | 500,000 | 506,033 | |
| San Pablo Redev. Agcy. Series 2014 A, 5% 6/15/24 (Assured Guaranty Muni. Corp. Insured) | 30,000 | 30,410 | |
| Southern California Pub. Pwr. Auth. Rev. Bonds Series 2020 C, 0.65%, tender 7/1/25 (b) | 250,000 | 234,957 | |
| Vernon Elec. Sys. Rev. Series 2022 A, 5% 8/1/23 | 575,000 | 575,727 | |
| Washington Township Health Care District Rev. Series A, 5% 7/1/23 | 200,000 | 200,167 | |
| West Contra Costa Unified School District Series 2004 C, 0% 8/1/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 260,000 | 240,478 | |
| Western Placer Unified School District Spl. Tax Series 2020, 2% 6/1/25 | 1,400,000 | 1,339,948 | |
TOTAL CALIFORNIA | 127,778,665 | ||
| Colorado - 1.1% | |||
| Colorado Bridge Enterprise Rev. Series 2017, 4% 6/30/24 (d) | 1,330,000 | 1,330,855 | |
| Colorado Health Facilities Auth. Rev. Bonds: | |||
| Bonds: | |||
Series 2016 C: | |||
5%, tender 11/15/23 (b) | 7,145,000 | 7,181,366 | |
5%, tender 11/15/23 (b) | 2,570,000 | 2,588,076 | |
Series 2018 B, 5%, tender 11/20/25 (b) | 660,000 | 682,844 | |
Series 2019 B: | |||
5%, tender 8/1/25 (b) | 300,000 | 305,711 | |
5%, tender 8/1/26 (b) | 340,000 | 349,855 | |
| Series 2019 A, 5% 1/1/25 | 1,205,000 | 1,233,492 | |
| Series 2022 A, 5% 11/1/26 | 400,000 | 415,133 | |
| Colorado Hsg. & Fin. Auth.: | |||
| Series 2019 F, 4.25% 11/1/49 | 120,000 | 119,367 | |
| Series 2019 H, 4.25% 11/1/49 | 55,000 | 54,726 | |
| Colorado Reg'l. Trans. District (Denver Transit Partners Eagle P3 Proj.) Series 2020: | |||
| 5% 1/15/24 | 750,000 | 752,431 | |
| 5% 1/15/25 | 650,000 | 656,995 | |
| Colorado Univ. Co. Hosp. Auth. Rev. Bonds Series 2019 C, 5%, tender 11/15/24 (b) | 300,000 | 303,293 | |
| Denver City & County Arpt. Rev.: | |||
| Series 2012 A, 5% 11/15/23 (d) | 250,000 | 250,209 | |
| Series 2013 B, 5% 11/15/24 | 250,000 | 251,822 | |
| Series 2016 A, 5% 11/15/23 | 300,000 | 301,891 | |
| Series 2017 A, 5% 11/15/23 (d) | 3,300,000 | 3,316,352 | |
| Series 2018 A: | |||
5% 12/1/23 (d) | 250,000 | 251,378 | |
5% 12/1/29 (d) | 185,000 | 197,315 | |
| Series 2020 B1: | |||
5% 11/15/23 (d) | 935,000 | 939,633 | |
5% 11/15/24 (d) | 6,775,000 | 6,890,878 | |
| Series 2022 A: | |||
5% 11/15/24 (d) | 1,000,000 | 1,017,104 | |
5% 11/15/25 (d) | 1,485,000 | 1,523,731 | |
| Series 2022 C, 5% 11/15/26 | 800,000 | 850,959 | |
| Series 2022 D: | |||
5% 11/15/24 (d) | 4,000,000 | 4,068,415 | |
5.25% 11/15/26 (d) | 775,000 | 812,509 | |
| Denver Convention Ctr. Hotel Auth. Series 2016, 5% 12/1/23 | 750,000 | 751,639 | |
| E-470 Pub. Hwy. Auth. Rev.: | |||
| Bonds Series 2021 B, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.350% 3.74%, tender 9/1/24 (b)(c) | 3,250,000 | 3,230,550 | |
| Series 2020 A: | |||
5% 9/1/23 | 275,000 | 275,981 | |
5% 9/1/24 | 450,000 | 458,917 | |
5% 9/1/25 | 300,000 | 311,568 | |
| Univ. of Colorado Enterprise Sys. Rev. Bonds: | |||
| Series 2019 C, 2%, tender 10/15/24 (b) | 2,500,000 | 2,428,436 | |
| Series 2021 C3A, 2%, tender 10/15/25 (b) | 645,000 | 617,550 | |
| Vauxmont Metropolitan District Series 2019, 5% 12/15/23 (Assured Guaranty Muni. Corp. Insured) | 120,000 | 120,788 | |
TOTAL COLORADO | 44,841,769 | ||
| Connecticut - 1.6% | |||
| Connecticut Gen. Oblig.: | |||
| Series 2013 A, 4.4% 3/1/25 (b) | 510,000 | 506,787 | |
| Series 2014 D, 5% 6/15/23 | 1,590,000 | 1,590,857 | |
| Series 2016 A, 5% 3/15/26 | 150,000 | 157,445 | |
| Series 2016 B, 5% 5/15/24 | 575,000 | 583,685 | |
| Series 2022 G: | |||
5% 11/15/25 | 1,625,000 | 1,696,019 | |
5% 11/15/26 | 1,000,000 | 1,063,699 | |
| Series A, 4% 1/15/25 | 3,500,000 | 3,539,779 | |
| Series C, 4% 6/1/24 | 525,000 | 528,222 | |
| Connecticut Health & Edl. Facilities Auth. Rev.: | |||
| Bonds: | |||
Series 2010 A4, 1.1%, tender 2/11/25 (b) | 5,440,000 | 5,195,463 | |
Series 2014 B, 1.8%, tender 7/1/24 (b) | 545,000 | 531,058 | |
Series 2015 A, 0.375%, tender 7/12/24 (b) | 1,525,000 | 1,466,279 | |
Series 2017 B, 0.55%, tender 7/3/23 (b) | 6,050,000 | 6,031,601 | |
Series 2017 C2, 2.8%, tender 2/3/26 (b) | 4,175,000 | 4,083,163 | |
Series X2, 0.25%, tender 2/9/24 (b) | 11,565,000 | 11,261,883 | |
| Series 2013 N, 5% 7/1/24 | 100,000 | 100,154 | |
| Series 2014 A, 5% 7/1/27 | 390,000 | 394,963 | |
| Series 2019 A, 5% 7/1/26 | 260,000 | 265,690 | |
| Series 2020 K, 5% 7/1/23 | 250,000 | 250,244 | |
| Series 2022 M, 5% 7/1/26 | 200,000 | 206,242 | |
| Series L1: | |||
4% 7/1/23 | 225,000 | 224,905 | |
4% 7/1/25 | 600,000 | 595,323 | |
| Series N: | |||
5% 7/1/23 | 830,000 | 829,845 | |
5% 7/1/24 | 375,000 | 374,844 | |
| Connecticut Higher Ed. Supplemental Ln. Auth. Rev.: | |||
| (Chesla Ln. Prog.) Series B, 5% 11/15/23 (d) | 425,000 | 427,297 | |
| Series 2017 B, 5% 11/15/23 (d) | 125,000 | 125,795 | |
| Connecticut Hsg. Fin. Auth.: | |||
| Series 2016 E2, 2.1% 11/15/23 (d) | 1,000,000 | 991,192 | |
| Series 2021, 0.45% 11/15/25 | 700,000 | 645,971 | |
| Series A2, 0.4% 11/15/23 (d) | 300,000 | 295,765 | |
| Series C, 5% 11/15/23 (d) | 710,000 | 713,518 | |
| Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.: | |||
| Series 2015 A, 5% 8/1/23 | 1,370,000 | 1,373,300 | |
| Series 2021 C, 5% 1/1/25 | 190,000 | 195,053 | |
| Series 2022 B: | |||
5% 1/1/24 | 10,000,000 | 10,090,235 | |
5% 7/1/24 | 5,835,000 | 5,937,049 | |
| Hartford Gen. Oblig. Series 2015 C, 5% 7/15/25 (Assured Guaranty Muni. Corp. Insured) | 920,000 | 954,128 | |
| New Haven Gen. Oblig. Series 2016 A, 5% 8/15/25 (Assured Guaranty Muni. Corp. Insured) | 20,000 | 20,625 | |
| Univ. of Connecticut Gen. Oblig. Series 2019 A, 5% 11/1/25 | 225,000 | 234,647 | |
| West Haven Gen. Oblig. Series 2021: | |||
| 4% 9/15/23 | 290,000 | 290,281 | |
| 4% 9/15/24 | 260,000 | 261,514 | |
| 4% 9/15/25 | 255,000 | 257,767 | |
| 4% 9/15/26 | 255,000 | 259,494 | |
TOTAL CONNECTICUT | 64,551,781 | ||
| Delaware - 0.0% | |||
| Delaware Econ. Dev. Auth. Rev. Bonds (Delmarva Pwr. & Lt. Co. Proj.) Series A, 1.05%, tender 7/1/25 (b) | 565,000 | 533,755 | |
| Delaware Trans. Auth. Grant Series 2020, 5% 9/1/23 | 1,400,000 | 1,404,822 | |
TOTAL DELAWARE | 1,938,577 | ||
| Delaware, New Jersey - 0.0% | |||
| Delaware River & Bay Auth. Rev. Series 2022, 5% 1/1/25 | 1,000,000 | 1,025,042 | |
| District Of Columbia - 1.1% | |||
| District of Columbia Hsg. Fin. Agcy. Multi-family Hsg. Rev. Bonds: | |||
| (218 Vine St. Apts. Proj.) Series 2020, 0.3%, tender 7/1/23 (b) | 5,000,000 | 4,980,817 | |
| (Park Southern Apts. Proj.) Series 2020, 0.7%, tender 6/1/23 (b) | 9,000,000 | 9,000,000 | |
| (The Strand Residences Proj.) Series 2019, 2.5%, tender 8/1/23 (b) | 1,000,000 | 997,071 | |
| District of Columbia Income Tax Rev. Series 2022 C, 5% 12/1/27 | 1,000,000 | 1,091,375 | |
| Metropolitan Washington DC Arpts. Auth. Sys. Rev.: | |||
| Series 2014 A, 5% 10/1/26 (d) | 160,000 | 161,618 | |
| Series 2017 A: | |||
5% 10/1/24 (d) | 115,000 | 116,698 | |
5% 10/1/26 (d) | 145,000 | 150,914 | |
| Series 2018 A, 5% 10/1/26 (d) | 325,000 | 338,255 | |
| Series 2019 A: | |||
5% 10/1/23 (d) | 50,000 | 50,198 | |
5% 10/1/25 (d) | 155,000 | 159,337 | |
| Series 2020 A: | |||
5% 10/1/23 (d) | 640,000 | 642,536 | |
5% 10/1/24 (d) | 6,355,000 | 6,448,818 | |
5% 10/1/25 (d) | 530,000 | 544,829 | |
| Series 2021 A: | |||
5% 10/1/23 (d) | 9,750,000 | 9,788,633 | |
5% 10/1/24 (d) | 8,000,000 | 8,118,102 | |
5% 10/1/26 (d) | 920,000 | 957,521 | |
| Washington Metropolitan Area Transit Auth. Series 2023 A, 5% 7/15/24 | 400,000 | 407,179 | |
TOTAL DISTRICT OF COLUMBIA | 43,953,901 | ||
| Florida - 2.1% | |||
| Brevard County Health Facilities Auth. Rev. Series 2023 A: | |||
| 5% 4/1/26 | 290,000 | 297,925 | |
| 5% 4/1/28 | 325,000 | 342,797 | |
| Brevard County School Board Ctfs. of Prtn. Series 2014, 5% 7/1/27 | 115,000 | 116,681 | |
| Broward County Arpt. Sys. Rev.: | |||
| Series 2012 P-1, 5% 10/1/25 (d) | 1,000,000 | 1,000,577 | |
| Series 2012 P1, 5% 10/1/23 (d) | 235,000 | 235,184 | |
| Series 2013 A: | |||
5% 10/1/23 (d) | 600,000 | 602,001 | |
5.25% 10/1/25 (d) | 1,500,000 | 1,505,730 | |
| Series 2013 C, 5.25% 10/1/25 | 575,000 | 577,862 | |
| Series 2015 C, 5% 10/1/24 (d) | 245,000 | 248,617 | |
| Series 2017, 5% 10/1/25 (d) | 1,000,000 | 1,024,383 | |
| Series 2019 B, 5% 10/1/23 (d) | 700,000 | 702,334 | |
| Broward County School Board Ctfs. of Prtn. Series 2015 B, 5% 7/1/24 | 25,000 | 25,397 | |
| Central Florida Expressway Auth. Sr. Lien Rev. Series 2021, 5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) | 885,000 | 900,100 | |
| Citizens Property Ins. Corp. Series 2015 A1, 5% 6/1/25 | 2,550,000 | 2,597,359 | |
| Duval County School Board Ctfs. of Prtn. Series 2022 A: | |||
| 5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) | 3,500,000 | 3,559,345 | |
| 5% 7/1/25 (Assured Guaranty Muni. Corp. Insured) | 5,335,000 | 5,507,016 | |
| Escambia County Poll. Cont. Rev. (Gulf Pwr. Co. Proj.) Series 2003, 2.6% 6/1/23 | 2,500,000 | 2,500,000 | |
| Florida Board of Ed. Lottery Rev. Series 2014 A, 5% 7/1/24 | 200,000 | 200,266 | |
| Florida Dev. Fin. Corp. Edl. Facilities (Nova Southeastern Univ. Proj.) Series 2020 A: | |||
| 5% 4/1/24 | 360,000 | 364,479 | |
| 5% 4/1/25 | 200,000 | 203,949 | |
| Florida Keys Aqueduct Auth. Wtr. Rev. Series 2021 B, 5% 9/1/25 | 350,000 | 364,191 | |
| Florida Mid-Bay Bridge Auth. Rev. Series 2015 A: | |||
| 5% 10/1/23 | 55,000 | 55,174 | |
| 5% 10/1/24 | 45,000 | 45,507 | |
| 5% 10/1/25 | 40,000 | 40,468 | |
| 5% 10/1/26 | 45,000 | 45,633 | |
| Florida Muni. Pwr. Agcy. Rev.: | |||
| Series 2016 A, 5% 10/1/24 | 475,000 | 485,113 | |
| Series 2021 A: | |||
5% 10/1/23 | 400,000 | 401,929 | |
5% 10/1/24 | 450,000 | 459,581 | |
5% 10/1/25 | 500,000 | 519,202 | |
5% 10/1/26 | 300,000 | 317,543 | |
| Greater Orlando Aviation Auth. Arpt. Facilities Rev.: | |||
| Series 2015 A: | |||
4% 10/1/24 (d) | 1,040,000 | 1,043,609 | |
5% 10/1/23 (d) | 570,000 | 572,014 | |
5% 10/1/23 (Escrowed to Maturity) (d) | 40,000 | 40,143 | |
5% 10/1/30 (Pre-Refunded to 10/1/25 @ 100) (d) | 1,165,000 | 1,204,441 | |
| Series 2016 A, 5% 10/1/25 (Escrowed to Maturity) (d) | 275,000 | 282,756 | |
| Series 2016: | |||
5% 10/1/23 (d) | 2,400,000 | 2,408,479 | |
5% 10/1/24 (d) | 285,000 | 288,468 | |
| Series 2017 A: | |||
5% 10/1/25 (d) | 30,000 | 30,664 | |
5% 10/1/25 (Escrowed to Maturity) (d) | 600,000 | 616,922 | |
5% 10/1/26 (d) | 10,000 | 10,354 | |
5% 10/1/26 (Escrowed to Maturity) (d) | 35,000 | 36,595 | |
| Series 2019 A, 5% 10/1/23 (d) | 7,700,000 | 7,727,203 | |
| Halifax Hosp. Med. Ctr. Rev. Series 2015, 5% 6/1/23 | 30,000 | 30,000 | |
| Hillsborough County Aviation Auth. Rev.: | |||
| Series 2013 A, 5.5% 10/1/24 (Pre-Refunded to 10/1/23 @ 100) (d) | 685,000 | 688,780 | |
| Series 2015 A, 5% 10/1/44 (Pre-Refunded to 10/1/24 @ 100) (d) | 4,000,000 | 4,060,092 | |
| Series 2022 A: | |||
5% 10/1/23 (d) | 110,000 | 110,374 | |
5% 10/1/25 (d) | 1,245,000 | 1,275,357 | |
| Series A: | |||
5% 10/1/25 (Pre-Refunded to 10/1/23 @ 100) (d) | 1,600,000 | 1,606,234 | |
5% 10/1/26 (Pre-Refunded to 10/1/23 @ 100) (d) | 580,000 | 582,260 | |
| Hillsborough County School Board Ctfs. of Prtn. Series 2015 A, 5% 7/1/26 | 230,000 | 236,809 | |
| Jacksonville Spl. Rev. Series 2022 A: | |||
| 5% 10/1/23 | 160,000 | 160,761 | |
| 5% 10/1/24 | 355,000 | 362,465 | |
| 5% 10/1/25 | 275,000 | 285,624 | |
| 5% 10/1/26 | 65,000 | 68,780 | |
| 5% 10/1/27 | 55,000 | 59,344 | |
| Lakeland Hosp. Sys. Rev. Series 2016, 5% 11/15/26 | 1,500,000 | 1,562,533 | |
| Lee County Arpt. Rev.: | |||
| Series 2021 A: | |||
5% 10/1/23 (d) | 2,820,000 | 2,827,078 | |
5% 10/1/24 (d) | 745,000 | 754,065 | |
5% 10/1/25 (d) | 1,375,000 | 1,408,526 | |
| Series 2021 B: | |||
5% 10/1/23 (d) | 800,000 | 802,008 | |
5% 10/1/24 (d) | 1,250,000 | 1,265,210 | |
5% 10/1/25 (d) | 925,000 | 947,554 | |
| Manatee County School District Series 2017, 5% 10/1/24 (Assured Guaranty Muni. Corp. Insured) | 30,000 | 30,631 | |
| Miami Dade County Hsg. Multifamily Hsg. Rev. Bonds Series 2023: | |||
| 5%, tender 9/1/25 (b) | 1,445,000 | 1,472,385 | |
| 5%, tender 10/1/25 (b) | 2,445,000 | 2,496,798 | |
| Miami-Dade County Aviation Rev.: | |||
| Series 2012 A: | |||
5% 10/1/23 (d) | 5,375,000 | 5,381,360 | |
5% 10/1/24 (d) | 200,000 | 200,264 | |
| Series 2020 A: | |||
5% 10/1/23 | 2,250,000 | 2,258,544 | |
5% 10/1/25 | 1,255,000 | 1,299,768 | |
| Miami-Dade County Expressway Auth.: | |||
| (Waste Mgmt., Inc. of Florida Proj.) Series 2013 A, 5% 7/1/23 | 45,000 | 45,065 | |
| Series 2014 B, 5% 7/1/23 | 70,000 | 70,077 | |
| Miami-Dade County Health Facilities Auth. Hosp. Rev. (Nicklaus Children's Hosp. Proj.) Series 2021 A: | |||
| 5% 8/1/23 | 325,000 | 325,567 | |
| 5% 8/1/24 | 600,000 | 607,797 | |
| 5% 8/1/25 | 700,000 | 719,191 | |
| Miami-Dade County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. of Florida Proj.) Series 2018, 0.4%, tender 8/1/23 (b)(d) | 1,250,000 | 1,240,309 | |
| Miami-Dade County School Board Ctfs. of Prtn. Series 2015 A, 5% 5/1/27 (Assured Guaranty Muni. Corp. Insured) | 265,000 | 273,251 | |
| North Sumter County Util. Dependent District Series 2021, 4% 10/1/24 (Assured Guaranty Muni. Corp. Insured) | 795,000 | 800,261 | |
| Okaloosa County School Board Series 2022 A, 5% 10/1/23 | 810,000 | 813,745 | |
| Okeechobee County Solid Waste Rev. Bonds (Waste Mgmt., Inc.-Okeechobee Landfill Proj.) Series 2004 A, 0.55%, tender 7/1/24 (b) | 750,000 | 722,516 | |
| Orange County Hsg. Fin. Auth. Multi-family Rev. Bonds Series 2021 B, 0.55%, tender 7/1/24 (b) | 1,450,000 | 1,384,594 | |
| Orlando Utils. Commission Util. Sys. Rev. Series 2013 A, 5% 10/1/24 | 250,000 | 256,078 | |
| Palm Beach County Edl. Facilities Auth. Series 2021, 4% 10/1/23 | 440,000 | 439,392 | |
| Palm Beach County Health Facilities Auth. Hosp. Rev. Series 2014: | |||
| 5% 12/1/23 (Escrowed to Maturity) | 5,000 | 5,039 | |
| 5% 12/1/24 (Escrowed to Maturity) | 10,000 | 10,239 | |
| Palm Beach County School Board Ctfs. of Prtn. Series 2018 A, 5% 8/1/23 | 100,000 | 100,246 | |
| Pasco County Tax Alloc Series 2023 A, 5.25% 9/1/26 (Assured Guaranty Muni. Corp. Insured) | 275,000 | 290,891 | |
| Pinellas County Hsg. Fin. Auth. Bonds Series 2021 B, 0.65%, tender 7/1/24 (b) | 325,000 | 310,678 | |
| Seminole County School Board Ctfs. of Prtn.: | |||
| Series 2012 A, 5% 7/1/23 | 120,000 | 120,140 | |
| Series 2016 C: | |||
5% 7/1/25 | 20,000 | 20,726 | |
5% 7/1/26 | 25,000 | 26,397 | |
| Tampa Health Sys. Rev. Series 2012 B, SIFMA Municipal Swap Index + 0.300% 3.71%, tender 12/27/23 (b)(c) | 2,000,000 | 2,000,000 | |
| Tampa Hosp. Rev. (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 B: | |||
| 5% 7/1/23 | 90,000 | 90,075 | |
| 5% 7/1/24 | 75,000 | 75,897 | |
| 5% 7/1/25 | 100,000 | 102,616 | |
| 5% 7/1/26 | 175,000 | 181,905 | |
| 5% 7/1/27 | 150,000 | 157,760 | |
| Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.) Series 2020 A: | |||
| 5% 10/15/23 | 590,000 | 592,875 | |
| 5% 10/15/24 | 1,000,000 | 1,015,276 | |
| 5% 10/15/25 | 1,000,000 | 1,029,488 | |
| 5% 10/15/26 | 750,000 | 782,972 | |
| 5% 10/15/27 | 165,000 | 174,976 | |
TOTAL FLORIDA | 86,527,634 | ||
| Georgia - 2.7% | |||
| Atlanta Arpt. Rev.: | |||
| Series 2014 C, 5% 1/1/24 (d) | 1,295,000 | 1,302,968 | |
| Series 2020 B: | |||
5% 7/1/24 (d) | 1,400,000 | 1,417,044 | |
5% 7/1/25 (d) | 610,000 | 622,890 | |
| Series 2022 B, 5% 7/1/23 (d) | 1,000,000 | 1,000,755 | |
| Bartow County Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Bowen Proj.) Series 2013, 2.875%, tender 8/19/25 (b) | 1,865,000 | 1,804,010 | |
| Brookhaven Dev. Auth. Rev. Series 2019 A, 5% 7/1/25 | 100,000 | 103,530 | |
| Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds: | |||
| (Georgia Pwr. Co. Plant Vogtle Proj.): | |||
Series 1994 4, 3.8%, tender 5/21/26 (b) | 3,135,000 | 3,123,063 | |
Series 1995 4, 3.8%, tender 5/21/26 (b) | 2,500,000 | 2,488,404 | |
Series 2008, 2.925%, tender 3/12/24 (b) | 250,000 | 246,435 | |
Series 2012, 2.875%, tender 8/19/25 (b) | 2,000,000 | 1,934,595 | |
Series 2013 1st, 2.925%, tender 3/12/24 (b) | 990,000 | 975,881 | |
| (Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2017 E, 3.25%, tender 2/3/25 (b) | 100,000 | 98,221 | |
| Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (b) | 1,075,000 | 1,081,737 | |
| Gainesville & Hall County Hosp. Auth. Rev. Series 2021 A, 5% 2/15/25 | 675,000 | 684,984 | |
| Georgia Muni. Elec. Auth. Pwr. Rev.: | |||
| Series 2020 A: | |||
4% 11/1/23 | 2,780,000 | 2,780,588 | |
4% 11/1/24 | 200,000 | 200,584 | |
4% 11/1/25 | 800,000 | 807,676 | |
5% 1/1/24 | 2,105,000 | 2,117,951 | |
5% 1/1/24 | 1,250,000 | 1,257,691 | |
5% 11/1/26 | 870,000 | 911,719 | |
| Series 2021 A: | |||
5% 1/1/24 | 170,000 | 171,046 | |
5% 1/1/24 | 190,000 | 191,169 | |
| Series 2023 A: | |||
5% 7/1/25 (Assured Guaranty Muni. Corp. Insured) | 275,000 | 283,923 | |
5% 7/1/25 (Assured Guaranty Muni. Corp. Insured) | 270,000 | 278,980 | |
5% 7/1/26 (Assured Guaranty Muni. Corp. Insured) | 300,000 | 314,603 | |
5% 7/1/26 (Assured Guaranty Muni. Corp. Insured) | 310,000 | 325,461 | |
| Main Street Natural Gas, Inc.: | |||
| Bonds: | |||
Series 2018 A, 4%, tender 9/1/23 (b) | 14,750,000 | 14,756,904 | |
Series 2018 B, 1 month U.S. LIBOR + 0.750% 4.123%, tender 6/1/23 (b)(c) | 22,200,000 | 22,202,979 | |
Series 2018 C, 4%, tender 12/1/23 (b) | 3,155,000 | 3,158,061 | |
Series 2018 E, SIFMA Municipal Swap Index + 0.570% 3.98%, tender 6/1/23 (b)(c) | 12,500,000 | 12,482,755 | |
Series 2019 B, 4%, tender 12/2/24 (b) | 1,210,000 | 1,212,970 | |
Series 2019 C, 4%, tender 9/1/26 (b) | 3,125,000 | 3,112,965 | |
Series 2022 C, 4%, tender 11/1/27 (b)(f) | 2,500,000 | 2,409,072 | |
| Series 2021 A: | |||
4% 9/1/24 | 500,000 | 500,156 | |
4% 3/1/25 | 430,000 | 430,035 | |
4% 9/1/25 | 400,000 | 400,103 | |
| Series 2021 C, 4% 12/1/23 | 1,470,000 | 1,469,352 | |
| Series 2022 A: | |||
4% 12/1/23 | 735,000 | 734,461 | |
4% 12/1/25 | 1,500,000 | 1,491,977 | |
4% 12/1/26 | 245,000 | 243,835 | |
| Series 2022 B: | |||
5% 6/1/24 | 600,000 | 604,004 | |
5% 6/1/25 | 700,000 | 710,042 | |
5% 6/1/26 | 800,000 | 817,108 | |
| Series 2023 A: | |||
5% 6/1/24 | 550,000 | 552,764 | |
5% 6/1/25 | 1,525,000 | 1,542,508 | |
5% 6/1/26 | 2,100,000 | 2,138,989 | |
| Series 2023 B: | |||
5% 3/1/24 | 250,000 | 251,542 | |
5% 9/1/24 | 550,000 | 555,791 | |
5% 3/1/25 | 765,000 | 776,549 | |
5% 9/1/25 | 700,000 | 713,568 | |
5% 3/1/26 | 930,000 | 952,932 | |
| Monroe County Dev. Auth. Poll. Cont. Rev.: | |||
| (Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25 | 435,000 | 412,200 | |
| Bonds: | |||
(Georgia Pwr. Co. Plant Scherer Proj.): | |||
Series 2009, 3.875%, tender 3/6/26 (b) | 3,425,000 | 3,416,599 | |
Series 2012, 3.875%, tender 3/6/26 (b) | 1,250,000 | 1,246,934 | |
Series 2023, 3.875%, tender 3/6/26 (b) | 3,500,000 | 3,491,415 | |
(Oglethorpe Pwr. Corp. Scherer Proj.) Series 2013 A, 1.5%, tender 2/3/25 (b) | 1,500,000 | 1,416,102 | |
| Paulding County Hosp. Auth. Rev. Series 2022 A, 5% 4/1/24 | 365,000 | 368,315 | |
| Private Colleges & Univs. Auth. Rev. (The Savannah College of Art & Design Projs.) Series 2021, 5% 4/1/25 | 600,000 | 613,983 | |
TOTAL GEORGIA | 111,712,878 | ||
| Guam - 0.1% | |||
| Guam Pwr. Auth. Rev. Series 2022 A: | |||
| 5% 10/1/23 | 2,370,000 | 2,374,075 | |
| 5% 10/1/24 | 2,595,000 | 2,618,528 | |
| 5% 10/1/25 | 870,000 | 886,353 | |
TOTAL GUAM | 5,878,956 | ||
| Hawaii - 0.5% | |||
| Hawaii Arpts. Sys. Rev. Series 2022 B: | |||
| 5% 7/1/23 (d) | 5,000,000 | 5,002,547 | |
| 5% 7/1/24 (d) | 6,500,000 | 6,570,193 | |
| Hawaii Dept. of Budget & Fin. Spl. Purp. Rev.: | |||
| (Queens Health Sys. Proj.) Series 2015 B, SIFMA Municipal Swap Index + 0.140% 3.86%, tender 7/1/39 (b)(c) | 485,000 | 485,000 | |
| Series 2017 A, 3.1% 5/1/26 (d) | 2,175,000 | 2,094,655 | |
| Hawaii Gen. Oblig. Series 2020 A: | |||
| 5% 7/1/24 (d) | 655,000 | 665,060 | |
| 5% 7/1/25 (d) | 350,000 | 358,099 | |
| Honolulu City & County Gen. Oblig. Series 2022 A, 5% 11/1/26 | 815,000 | 867,588 | |
| Honolulu City & County Multi-family housing Rev. Bonds Series 2023, 5%, tender 6/1/26 (b) | 2,080,000 | 2,154,689 | |
| State of Hawaii Dept. of Trans. Series 2013: | |||
| 5% 8/1/23 (d) | 30,000 | 30,027 | |
| 5.25% 8/1/24 (d) | 2,885,000 | 2,889,472 | |
TOTAL HAWAII | 21,117,330 | ||
| Idaho - 0.1% | |||
| Idaho Health Facilities Auth. Rev. Series 2016, 5% 9/1/23 | 1,795,000 | 1,796,456 | |
| Idaho Hsg. & Fin. Assn Sales Tax Series 2023 A, 5% 8/15/25 | 1,465,000 | 1,523,378 | |
| Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series 2019 A, 4% 1/1/50 | 35,000 | 34,616 | |
TOTAL IDAHO | 3,354,450 | ||
| Illinois - 5.6% | |||
| Champaign County Cmnty. Unit Series 2020 A, 0% 1/1/26 | 800,000 | 724,742 | |
| Chicago Board of Ed.: | |||
| Series 2017 F, 5% 12/1/24 | 5,500,000 | 5,561,945 | |
| Series 2019 A, 5% 12/1/23 | 1,000,000 | 1,004,459 | |
| Chicago Gen. Oblig.: | |||
| Series 2002 B, 5% 1/1/25 | 1,650,000 | 1,681,569 | |
| Series 2015 C: | |||
5% 1/1/25 | 2,565,000 | 2,614,076 | |
5% 1/1/28 | 1,065,000 | 1,088,561 | |
| Series 2020 A, 5% 1/1/25 | 1,500,000 | 1,528,700 | |
| Chicago Heights Multifamily Hsg. Rev. Bonds (Olympic Village Apts. Proj.) Series 2022, 2.875%, tender 8/1/25 (b) | 3,000,000 | 2,896,563 | |
| Chicago Ill St Univ. Rev. Series 1998, 5.5% 12/1/23 | 670,000 | 673,486 | |
| Chicago Metropolitan Wtr. Reclamation District of Greater Chicago Series 2021 C, 5% 12/1/23 | 990,000 | 996,671 | |
| Chicago Midway Arpt. Rev.: | |||
| Series 2013 B: | |||
5% 1/1/25 | 150,000 | 150,183 | |
5% 1/1/26 | 275,000 | 275,257 | |
| Series 2014 A: | |||
5% 1/1/24 (d) | 1,000,000 | 1,005,580 | |
5% 1/1/26 (d) | 595,000 | 596,815 | |
5% 1/1/27 (d) | 615,000 | 617,321 | |
5% 1/1/28 (d) | 100,000 | 100,437 | |
5% 1/1/29 (d) | 675,000 | 678,266 | |
| Series 2014 B, 5% 1/1/26 | 140,000 | 140,987 | |
| Series 2016 A: | |||
5% 1/1/24 (d) | 1,000,000 | 1,005,580 | |
5% 1/1/25 (d) | 7,255,000 | 7,380,620 | |
| Chicago Multi-Family Hsg. Rev. Bonds Series 2022, 4%, tender 9/1/24 (b) | 1,751,000 | 1,749,857 | |
| Chicago O'Hare Int'l. Arpt. Rev.: | |||
| Series 2015 A, 5% 1/1/27 (d) | 2,000,000 | 2,024,817 | |
| Series 2015 C: | |||
5% 1/1/24 (d) | 1,865,000 | 1,875,407 | |
5% 1/1/26 (d) | 680,000 | 687,637 | |
| Series 2016 A, 5% 1/1/24 (d) | 305,000 | 306,702 | |
| Series 2017 D: | |||
5% 1/1/24 (d) | 1,000,000 | 1,005,580 | |
5% 1/1/25 (d) | 965,000 | 981,709 | |
5% 1/1/27 (d) | 85,000 | 88,070 | |
| Series 2022 A, 5% 1/1/25 (d) | 2,340,000 | 2,380,517 | |
| Series 2022 C: | |||
5% 1/1/24 (d) | 2,000,000 | 2,011,161 | |
5% 1/1/25 (d) | 2,000,000 | 2,034,630 | |
| Chicago Transit Auth. Cap. Grant Receipts Rev.: | |||
| Series 2015, 5% 6/1/24 | 4,000,000 | 4,043,054 | |
| Series 2017: | |||
5% 6/1/24 | 445,000 | 449,790 | |
5% 6/1/25 | 25,000 | 25,604 | |
5% 6/1/25 | 4,000,000 | 4,096,651 | |
| Series 2021, 5% 6/1/23 | 1,075,000 | 1,075,000 | |
| Cook County Gen. Oblig.: | |||
| Series 2021 A: | |||
5% 11/15/23 | 4,550,000 | 4,571,731 | |
5% 11/15/24 | 50,000 | 50,862 | |
5% 11/15/25 | 50,000 | 51,742 | |
| Series 2021 B: | |||
4% 11/15/23 | 865,000 | 865,290 | |
4% 11/15/24 | 625,000 | 627,025 | |
4% 11/15/25 | 465,000 | 470,401 | |
4% 11/15/26 | 235,000 | 239,764 | |
| Series 2022 A: | |||
5% 11/15/24 | 6,040,000 | 6,144,163 | |
5% 11/15/25 | 2,290,000 | 2,369,798 | |
| Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev.: | |||
| Series 1991 A, 0% 7/15/23 (Escrowed to Maturity) | 300,000 | 298,674 | |
| Series 1991 B, 0% 7/15/25 (Escrowed to Maturity) | 2,350,000 | 2,180,628 | |
| Illinois Fin. Auth.: | |||
| Bonds: | |||
Series 2020 B, 5%, tender 11/15/24 (b) | 1,450,000 | 1,462,125 | |
Series 2022 B1, 5%, tender 8/15/25 (b) | 1,060,000 | 1,088,331 | |
| Series 2013 A, 5% 6/1/23 (Escrowed to Maturity) | 55,000 | 55,000 | |
| Series 2021 A, 5% 10/1/25 | 2,000,000 | 2,080,462 | |
| Series 2022 A, 5% 10/1/25 | 260,000 | 260,929 | |
| Illinois Fin. Auth. Rev.: | |||
| (Bradley Univ. Proj.) Series 2017 C, 5% 8/1/26 | 35,000 | 35,597 | |
| (Edward-Elmhurst Healthcare) Series 2017 A, 5% 1/1/25 (Escrowed to Maturity) | 100,000 | 102,535 | |
| Bonds Series 2019, U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.200% 4.742%, tender 9/1/25 (b)(c) | 1,970,000 | 1,960,012 | |
| Series 2014 A, 5% 10/1/26 | 500,000 | 510,514 | |
| Series 2015 A: | |||
5% 11/15/24 | 150,000 | 152,566 | |
5% 11/15/25 | 170,000 | 175,520 | |
5% 11/15/26 | 95,000 | 98,270 | |
| Series 2015 B, 5% 11/15/24 | 45,000 | 45,770 | |
| Series 2016 A: | |||
5% 8/15/24 (Escrowed to Maturity) | 50,000 | 50,871 | |
5% 7/1/25 (Escrowed to Maturity) | 250,000 | 258,927 | |
5% 8/15/35 (Pre-Refunded to 8/15/26 @ 100) | 195,000 | 205,569 | |
| Series 2016 B, 5% 8/15/24 | 775,000 | 787,924 | |
| Series 2016: | |||
5% 11/15/23 | 235,000 | 236,217 | |
5% 11/15/24 | 245,000 | 249,608 | |
5% 5/15/25 | 10,000 | 10,246 | |
5% 12/1/25 | 430,000 | 443,239 | |
5% 5/15/26 | 20,000 | 20,789 | |
5% 5/15/27 | 25,000 | 25,995 | |
| Series 2017, 5% 1/1/25 | 50,000 | 51,361 | |
| Series 2018 A, 5% 5/15/24 | 250,000 | 253,119 | |
| Illinois Gen. Oblig.: | |||
| Series 2012: | |||
5% 8/1/23 | 2,400,000 | 2,404,070 | |
5% 8/1/23 (Assured Guaranty Muni. Corp. Insured) | 8,000,000 | 8,018,214 | |
| Series 2013 A, 5% 4/1/24 | 795,000 | 797,102 | |
| Series 2013: | |||
5% 7/1/23 | 1,700,000 | 1,701,372 | |
5.5% 7/1/24 | 835,000 | 836,684 | |
5.5% 7/1/25 | 1,000,000 | 1,002,017 | |
5.5% 7/1/26 | 2,500,000 | 2,505,043 | |
5.5% 7/1/33 | 3,000,000 | 3,006,051 | |
5.5% 7/1/38 | 5,000,000 | 5,010,086 | |
| Series 2014: | |||
5% 2/1/25 | 50,000 | 50,368 | |
5% 5/1/27 | 500,000 | 504,907 | |
| Series 2016: | |||
5% 2/1/24 | 450,000 | 453,504 | |
5% 11/1/24 | 400,000 | 406,940 | |
5% 2/1/25 | 4,775,000 | 4,874,155 | |
5% 1/1/26 | 300,000 | 310,511 | |
5% 2/1/26 | 1,235,000 | 1,280,016 | |
| Series 2017 A, 5% 12/1/23 | 750,000 | 754,341 | |
| Series 2017 D: | |||
5% 11/1/23 | 8,135,000 | 8,172,790 | |
5% 11/1/24 | 6,895,000 | 7,014,632 | |
5% 11/1/25 | 920,000 | 949,649 | |
5% 11/1/26 | 1,755,000 | 1,841,860 | |
| Series 2018 A: | |||
5% 10/1/23 | 1,300,000 | 1,304,727 | |
5% 10/1/26 | 1,340,000 | 1,404,358 | |
6% 5/1/26 | 880,000 | 940,137 | |
| Series 2019 B: | |||
5% 9/1/23 | 2,890,000 | 2,897,628 | |
5% 9/1/25 | 3,000,000 | 3,088,402 | |
| Series 2020 B, 5% 10/1/28 | 1,030,000 | 1,113,439 | |
| Series 2020, 5.5% 5/1/24 | 225,000 | 228,450 | |
| Series 2021 A: | |||
5% 3/1/24 | 2,000,000 | 2,017,647 | |
5% 3/1/25 | 1,700,000 | 1,737,275 | |
| Series 2021 C, 4% 3/1/24 | 625,000 | 625,960 | |
| Series 2022 A, 5% 3/1/24 | 2,165,000 | 2,184,103 | |
| Series 2022 B: | |||
5% 3/1/24 | 1,480,000 | 1,493,059 | |
5% 3/1/25 | 4,325,000 | 4,419,832 | |
5% 3/1/26 | 3,185,000 | 3,305,694 | |
| Series 2023 C: | |||
5% 5/1/25 | 1,810,000 | 1,855,824 | |
5% 5/1/26 | 1,500,000 | 1,562,394 | |
5% 5/1/29 | 1,005,000 | 1,095,519 | |
| Series 2023 D: | |||
5% 7/1/25 | 3,885,000 | 3,993,477 | |
5% 7/1/26 | 5,000,000 | 5,222,384 | |
| Illinois Hsg. Dev. Auth. Bonds Series 2022 H, 3.47%, tender 12/1/23 (b) | 12,000,000 | 11,961,394 | |
| Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Bonds Series 2015, 4.41%, tender 5/15/25, LOC Fed. Home Ln. Bank, San Francisco (b) | 2,425,000 | 2,428,970 | |
| Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A, 5% 2/1/24 | 420,000 | 423,945 | |
| Illinois Reg'l. Trans. Auth. Series 2017 A, 5% 7/1/24 | 285,000 | 289,589 | |
| Illinois Sales Tax Rev.: | |||
| Series 2013, 5% 6/15/24 | 400,000 | 400,334 | |
| Series 2016 D, 5% 6/15/23 | 1,500,000 | 1,499,982 | |
| Series 2021 A: | |||
4% 6/15/23 | 3,175,000 | 3,175,766 | |
4% 6/15/24 | 1,670,000 | 1,676,915 | |
| Series 2021 C: | |||
5% 6/15/23 | 75,000 | 74,999 | |
5% 6/15/24 | 85,000 | 85,909 | |
5% 6/15/25 | 50,000 | 51,358 | |
| Joliet Wtrwks. & Swr. Rev. Series 2022, 5% 1/1/24 | 2,175,000 | 2,183,783 | |
| Kane County School District No. 131 Series 2020 A, 5% 12/1/23 (Assured Guaranty Muni. Corp. Insured) | 290,000 | 291,669 | |
| Kane, Cook, DuPage, McHenry & DeKalb Counties Cmnty. College District #509 Elgin Series 2021 B: | |||
| 4% 12/15/23 | 155,000 | 155,532 | |
| 4% 12/15/24 | 450,000 | 454,240 | |
| Kane, McHenry, Cook & DeKalb Counties Unit School District #300 Series 2015 5% 1/1/27 | 395,000 | 401,718 | |
| Matteson Gen. Oblig.: | |||
| Series 2021 A, 4% 12/1/23 | 705,000 | 706,204 | |
| Series 2021 B, 4% 12/1/23 | 525,000 | 525,896 | |
| McHenry County Cmnty. School District #200 Series 2006 B: | |||
| 0% 1/15/24 | 60,000 | 58,501 | |
| 0% 1/15/24 (Escrowed to Maturity) | 45,000 | 44,027 | |
| 0% 1/15/25 | 110,000 | 103,081 | |
| 0% 1/15/26 | 80,000 | 72,303 | |
| Metropolitan Pier & Exposition: | |||
| (McCormick Place Expansion Proj.) Series 1996 A, 0% 6/15/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 150,000 | 149,771 | |
| Series 2022 A, 3% 6/15/24 | 630,000 | 622,598 | |
| Metropolitan Pier & Exposition Auth. Hosp. Facilities Rev. Series 1996, 7% 7/1/26 (Escrowed to Maturity) | 2,085,000 | 2,192,165 | |
| Northern Illinois Univ. Revs. Series 2020 B, 5% 4/1/26 (Build America Mutual Assurance Insured) | 650,000 | 670,929 | |
| Peoria County Gen. Oblig. Series 2021 A, 4% 1/1/24 | 1,000,000 | 1,002,014 | |
| Railsplitter Tobacco Settlement Auth. Rev. Series 2017: | |||
| 5% 6/1/23 | 8,095,000 | 8,095,000 | |
| 5% 6/1/24 | 8,920,000 | 9,037,834 | |
| Sales Tax Securitization Corp.: | |||
| Series 2023 C, 5% 1/1/24 (e) | 2,525,000 | 2,532,868 | |
| Series 2023 D: | |||
5% 1/1/24 (e) | 1,260,000 | 1,263,926 | |
5% 1/1/25 (e) | 1,000,000 | 1,018,041 | |
| Upper Illinois River Valley Dev. Auth. Rev. Series 2018, 5% 12/1/24 | 300,000 | 303,356 | |
TOTAL ILLINOIS | 230,388,816 | ||
| Indiana - 2.0% | |||
| Ctr. Grove Cmnty. School Corp. Series 2021 B, 4% 1/1/24 | 2,065,000 | 2,062,625 | |
| Fort Wayne Redev. Auth. (Grand Wayne Ctr. Proj.) Series 2022: | |||
| 4% 2/1/24 | 770,000 | 772,031 | |
| 4% 8/1/26 | 895,000 | 916,441 | |
| Hammond Multi-School Bldg. Corp. Series 2018, 5% 1/15/24 | 640,000 | 645,393 | |
| Indiana Dev. Fin. Auth. Envir. Rev. Bonds (Fulcrum Centerpoint, LLC Proj.) Series 2022, 4.5%, tender 11/15/23 (d) | 13,000,000 | 12,956,971 | |
| Indiana Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 4%, tender 10/2/23 (b)(d) | 5,050,000 | 5,046,483 | |
| Indiana Fin. Auth. Econ. Dev. Rev. Bonds (Republic Svcs., Inc. Proj.) Series A, 4%, tender 6/1/23 (b)(d) | 4,000,000 | 4,000,000 | |
| Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (b) | 1,310,000 | 1,270,013 | |
| Indiana Fin. Auth. Hosp. Rev.: | |||
| Bonds Series 2011 M, 0.7%, tender 1/1/26 (b) | 3,680,000 | 3,336,542 | |
| Series 2013, 5% 8/15/23 | 20,000 | 20,055 | |
| Indiana Fin. Auth. Rev.: | |||
| (Butler Univ. Proj.) Series 2019: | |||
4% 2/1/24 | 200,000 | 200,514 | |
4% 2/1/25 | 275,000 | 275,713 | |
| (Ohio River Bridges East End Crossing Proj.) Series 2013 A: | |||
5% 7/1/44 (Pre-Refunded to 7/1/23 @ 100) (d) | 10,000,000 | 10,010,590 | |
5% 7/1/48 (Pre-Refunded to 7/1/23 @ 100) (d) | 4,000,000 | 4,004,236 | |
5.25% 1/1/51 (Pre-Refunded to 7/1/23 @ 100) (d) | 4,500,000 | 4,505,656 | |
| Series 2016, 5% 9/1/26 | 205,000 | 215,993 | |
| Indiana Fin. Auth. Wastewtr. Util. Rev. (CWA Auth. Proj.) Series 2015 A: | |||
| 5% 10/1/24 | 35,000 | 35,750 | |
| 5% 10/1/25 | 35,000 | 35,745 | |
| Indiana Hsg. & Cmnty. Dev. Auth.: | |||
| Bonds Series 2022 A, 4.5%, tender 4/1/24 (b) | 8,864,000 | 8,881,321 | |
| Series 2021 C1, 3% 1/1/52 | 980,000 | 933,046 | |
| Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 2017 A, 5% 1/1/25 | 705,000 | 722,764 | |
| Indianapolis Local Pub. Impt.: | |||
| (Indianapolis Arpt. Auth. Proj.): | |||
Series 2015 I, 4% 1/1/24 (d) | 4,000,000 | 3,990,925 | |
Series 2016 A1: | |||
5% 1/1/24 (d) | 60,000 | 60,266 | |
5% 1/1/25 (d) | 65,000 | 65,926 | |
Series 2019 D: | |||
5% 1/1/24 (d) | 270,000 | 271,198 | |
5% 1/1/25 (d) | 3,185,000 | 3,231,349 | |
| Indianapolis Arpt. Auth. Proj. Series 2019 D, 5% 1/1/26 (d) | 1,000,000 | 1,027,829 | |
| Series 2021 A, 5% 6/1/23 | 255,000 | 255,000 | |
| Marion High School Bldg. Corp. Series 2021 A: | |||
| 4% 1/15/24 | 240,000 | 240,567 | |
| 4% 1/15/25 | 250,000 | 251,740 | |
| 4% 7/15/25 | 255,000 | 258,124 | |
| Upland Econ. Dev. Rfdg. Rev. (Taylor Univ. Proj.) Series 2021, 4% 9/1/23 | 275,000 | 275,109 | |
| Vinton Tecumseh School Bldg. Corp. Series 2021: | |||
| 3% 1/15/24 | 490,000 | 487,397 | |
| 3% 7/15/25 | 515,000 | 507,999 | |
| Warrick County Envir. Impt. Rev. Bonds (Southern Indiana Gas and Elec. Co.) Series 2015, 0.875%, tender 9/1/23 (b)(d) | 2,800,000 | 2,778,384 | |
| Whiting Envir. Facilities Rev. Bonds (BP Products North America, Inc. Proj.) Series 2019 A, 5%, tender 6/5/26 (b)(d) | 8,550,000 | 8,790,052 | |
TOTAL INDIANA | 83,339,747 | ||
| Iowa - 0.1% | |||
| Iowa Fin. Auth. Rev. Series 2018 B, 5% 2/15/24 | 200,000 | 201,511 | |
| Iowa Fin. Auth. Solid Waste Facilities Bonds (Gevo NW Iowa RNG, LLC Renewable Natural Gas Proj.) Series 2021, 1.5%, tender 4/1/24, LOC Citibank NA (b)(d) | 1,500,000 | 1,456,223 | |
| Iowa Higher Ed. Ln. Auth. Rev. (Grinnell College Proj.) Series 2017, 4% 12/1/24 | 250,000 | 252,787 | |
| Iowa Student Ln. Liquidity Corp. Student Ln. Rev. Series 2019 B, 5% 12/1/23 (d) | 600,000 | 603,159 | |
TOTAL IOWA | 2,513,680 | ||
| Kansas - 0.1% | |||
| Reno County Unified Scd # 308 Hu Series 2013, 3% 9/1/24 | 2,000,000 | 1,959,746 | |
| Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A: | |||
| 5% 9/1/23 | 15,000 | 15,044 | |
| 5% 9/1/25 | 15,000 | 15,535 | |
TOTAL KANSAS | 1,990,325 | ||
| Kentucky - 0.9% | |||
| Ashland Med. Ctr. Rev. (Ashland Hosp. Corp. D/B/A King's Daughters Med. Ctr. Proj.) Series 2016 A: | |||
| 5% 2/1/24 | 30,000 | 30,197 | |
| 5% 2/1/25 | 20,000 | 20,290 | |
| Carroll County Poll. Ctlr Rev. Bonds (Kentucky Utils. Co. Proj.) Series 2016 A, 1.55%, tender 9/1/26 (b) | 500,000 | 451,369 | |
| Hazard Healthcare Rev. Series 2021: | |||
| 5% 7/1/23 | 350,000 | 350,293 | |
| 5% 7/1/24 | 230,000 | 232,800 | |
| Intloc Sct Cfts Prtn. Series 2023, 4% 3/1/26 | 1,160,000 | 1,160,374 | |
| Kenton County Arpt. Board Arpt. Rev. Series 2016, 5% 1/1/24 | 200,000 | 201,759 | |
| Kentucky Asset/Liability Commission Gen. Fund Rev. Series 2021 A, 5% 11/1/24 | 435,000 | 444,612 | |
| Kentucky Bond Dev. Corp. Edl. Facilities (Transylvania Univ. Proj.) Series 2021 A, 4% 3/1/25 | 340,000 | 341,282 | |
| Kentucky Econ. Dev. Fin. Auth. Solid Waste Disp. Rev. Bonds (Republic Svcs., Inc. Proj.) Series A, 4%, tender 6/1/23 (b)(d) | 2,500,000 | 2,500,000 | |
| Kentucky Higher Ed. Student Ln. Corp. Rev. Series 2019 A1 5% 6/1/23 (d) | 250,000 | 250,000 | |
| Kentucky Hsg. Corp. Multi-family Rev. Bonds (Cambridge Square Proj.) Series 2021, 0.3%, tender 2/1/24 (b) | 3,500,000 | 3,398,304 | |
| Kentucky State Property & Buildings Commission Rev.: | |||
| Series 2013 A, 5% 10/1/23 | 365,000 | 366,869 | |
| Series 2015, 4% 8/1/25 | 200,000 | 202,156 | |
| Series 2016 B: | |||
5% 11/1/23 | 2,730,000 | 2,747,726 | |
5% 11/1/24 | 285,000 | 291,853 | |
| Series 2016: | |||
3% 2/1/24 | 350,000 | 348,688 | |
5% 11/1/23 | 1,435,000 | 1,444,199 | |
5% 2/1/24 | 275,000 | 277,927 | |
5% 10/1/24 | 425,000 | 434,550 | |
| Series A, 5% 11/1/25 | 350,000 | 363,518 | |
| Series B: | |||
5% 8/1/23 | 1,820,000 | 1,824,505 | |
5% 8/1/25 | 300,000 | 310,311 | |
| Kentucky State Univ. Ctfs. of Prtn. (Kentucky State Univ. Proj.) Series 2021, 5% 11/1/25 | 280,000 | 290,353 | |
| Kentucky, Inc. Pub. Energy Bonds: | |||
| Series 2018 A, 4%, tender 4/1/24 (b) | 2,045,000 | 2,042,249 | |
| Series 2018 B, 4%, tender 1/1/25 (b) | 225,000 | 224,790 | |
| Series 2019 A1, 4%, tender 6/1/25 (b) | 1,000,000 | 997,158 | |
| Series A, 4%, tender 6/1/26 (b) | 245,000 | 244,136 | |
| Series C1, 4%, tender 6/1/25 (b) | 6,520,000 | 6,501,473 | |
| Louisville & Jefferson County Bonds: | |||
| Series 2020 B, 5%, tender 10/1/23 (b) | 3,040,000 | 3,049,134 | |
| Series 2020 C, 5%, tender 10/1/26 (b) | 2,015,000 | 2,082,484 | |
| Louisville Reg'l. Arpt. Auth. Sys. Rev. Series 2014 A: | |||
| 5% 7/1/23 (d) | 1,750,000 | 1,751,322 | |
| 5% 7/1/24 (d) | 155,000 | 156,723 | |
| Rural Wtr. Fing. Agcy. Pub. Proj. Series 2023 A, 3.9% 11/1/25 | 2,500,000 | 2,490,156 | |
TOTAL KENTUCKY | 37,823,560 | ||
| Louisiana - 0.8% | |||
| Lake Charles Hbr. & Term. Rev. Bonds (Big Lake Fuels LLC Proj.) Series 2021, 1%, tender 12/1/24 (b)(d) | 1,300,000 | 1,223,899 | |
| Louisiana Gas & Fuel Tax Rev. Bonds Series 2022 A, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 4.042%, tender 5/1/26 (b)(c) | 3,940,000 | 3,845,387 | |
| Louisiana Gen. Oblig.: | |||
| Series 2015 A, 5% 5/1/24 | 350,000 | 355,435 | |
| Series 2016 D, 5% 9/1/24 | 155,000 | 158,358 | |
| Louisiana Local Govt. Envir. Facilities and Cmnty. Dev. Auth. Bonds (East Baton Rouge Sewerage Commission Proj.) Series 2020 B, 0.875%, tender 2/1/25 (b) | 4,000,000 | 3,784,972 | |
| Louisiana Pub. Facilities Auth. Hosp. Rev. Bonds (Louisiana Children's Med. Ctr. Proj.) Series 2015 A3, 5%, tender 6/1/23 (b) | 3,600,000 | 3,600,000 | |
| Louisiana Stadium and Exposition District Series 2021, 4% 7/3/23 | 7,510,000 | 7,510,363 | |
| New Orleans Aviation Board Rev.: | |||
| (North Term. Proj.): | |||
Series 2015 B: | |||
5% 1/1/24 (d) | 1,600,000 | 1,609,478 | |
5% 1/1/25 (d) | 1,750,000 | 1,781,917 | |
Series 2017 B: | |||
5% 1/1/24 (d) | 20,000 | 20,118 | |
5% 1/1/25 (d) | 5,000 | 5,091 | |
5% 1/1/26 (d) | 215,000 | 220,770 | |
| Series 2017 D2: | |||
5% 1/1/24 (d) | 15,000 | 15,089 | |
5% 1/1/25 (d) | 115,000 | 117,097 | |
| St. John Baptist Parish Rev. Bonds (Marathon Oil Corp.) Series 2017: | |||
| 2.1%, tender 7/1/24 (b) | 4,735,000 | 4,630,950 | |
| 4.05%, tender 7/1/26 (b) | 3,045,000 | 3,023,165 | |
| State of Louisiana Grant Anticipation Rev. Series 2021: | |||
| 5% 9/1/23 | 865,000 | 868,410 | |
| 5% 9/1/24 | 785,000 | 802,006 | |
TOTAL LOUISIANA | 33,572,505 | ||
| Maine - 0.2% | |||
| Maine Fin. Auth. Student Ln. Rev. Series 2019 A, 5% 12/1/23 (Assured Guaranty Muni. Corp. Insured) (d) | 500,000 | 502,510 | |
| Maine Health & Higher Edl. Facilities Auth. Rev. Series 2021 A: | |||
| 5% 7/1/24 | 500,000 | 506,617 | |
| 5% 7/1/25 | 500,000 | 513,587 | |
| 5% 7/1/26 | 975,000 | 1,014,914 | |
| Maine Hsg. Auth. Mtg. Bonds Series 2023 B, 3.125%, tender 5/1/24 (b) | 4,180,000 | 4,152,644 | |
| Maine Tpk. Auth. Tpk. Rev. Series 2015, 5% 7/1/26 | 250,000 | 259,336 | |
TOTAL MAINE | 6,949,608 | ||
| Maryland - 1.5% | |||
| Baltimore Proj. Rev. Series 2017 D: | |||
| 5% 7/1/24 | 70,000 | 71,299 | |
| 5% 7/1/25 | 75,000 | 77,648 | |
| Hsg. Opportunities Commission of Montgomery County Series 2021 C, 0.8% 7/1/25 | 105,000 | 98,294 | |
| Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.: | |||
| Series 2019 B, 4% 9/1/49 | 135,000 | 133,527 | |
| Series 2021 A, 4.5% 11/1/23 (f) | 4,000,000 | 3,953,409 | |
| Series 2021 C: | |||
0.375% 7/1/23 | 260,000 | 259,278 | |
0.6% 7/1/24 | 560,000 | 540,708 | |
| Series 2022 D, 3.15% 7/1/24 | 4,000,000 | 3,903,015 | |
| Series 2022 I, 4.375% 1/1/25 (f) | 12,000,000 | 11,885,478 | |
| Series 2022, 1.33% 1/1/24 (f) | 5,000,000 | 4,880,250 | |
| Series 2023 B: | |||
2.75% 6/1/25 | 3,055,000 | 3,002,891 | |
2.75% 8/1/25 | 1,160,000 | 1,138,006 | |
| Series A, 0.25% 9/1/23 | 775,000 | 768,257 | |
| Maryland Dept. of Trans.: | |||
| Series 2022 A, 5% 12/1/23 | 95,000 | 95,785 | |
| Series 2022 B, 5% 12/1/24 | 220,000 | 225,190 | |
| Maryland Dept. of Trans. County Trans. Rev. Series 2018, 5% 12/1/23 | 130,000 | 131,036 | |
| Maryland Econ. Dev. Corp. Student Hsg. Rev. (Univ. of Maryland, College Park Projs.) Series 2016, 4% 6/1/24 (Assured Guaranty Muni. Corp. Insured) | 1,330,000 | 1,333,495 | |
| Maryland Health & Higher Edl. Bonds Series 2020, 5%, tender 7/1/25 (b) | 2,505,000 | 2,554,160 | |
| Maryland Health & Higher Edl. Facilities Auth. Rev.: | |||
| Series 2014, 5% 7/1/39 (Pre-Refunded to 7/1/24 @ 100) | 8,225,000 | 8,361,831 | |
| Series 2015: | |||
5% 7/1/23 | 20,000 | 20,011 | |
5% 7/1/24 | 45,000 | 45,405 | |
5% 7/1/25 | 40,000 | 40,741 | |
5% 7/1/25 (Pre-Refunded to 7/1/24 @ 100) | 1,145,000 | 1,162,829 | |
| Maryland Stadium Auth. Built to Learn Rev.: | |||
| Series 2021, 5% 6/1/23 | 1,250,000 | 1,250,000 | |
| Series 2022 A: | |||
5% 6/1/23 | 600,000 | 600,000 | |
5% 6/1/26 | 850,000 | 893,577 | |
| Maryland Trans. Auth. Passenger Facility Charge Rev. Series 2012 B: | |||
| 2.5% 6/1/26 (d) | 670,000 | 630,277 | |
| 2.625% 6/1/27 (d) | 550,000 | 512,975 | |
| Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2021 A, 5% 7/1/24 | 1,250,000 | 1,272,128 | |
| Montgomery County Gen. Oblig.: | |||
| Bonds Series 2013 MD, 3.28%, tender 6/1/23 (b) | 5,000,000 | 5,000,000 | |
| Series 2022 A: | |||
5% 8/1/24 | 1,000,000 | 1,020,096 | |
5% 8/1/25 | 530,000 | 551,257 | |
5% 8/1/26 | 1,000,000 | 1,061,630 | |
| Prince Georges County Gen. Oblig. Series 2020 A, 5% 7/15/23 | 2,450,000 | 2,454,475 | |
TOTAL MARYLAND | 59,928,958 | ||
| Massachusetts - 1.1% | |||
| Boston Hsg. Auth. Cap. Prog. Series 2020 B, 5% 4/1/24 | 475,000 | 481,261 | |
| Massachusetts Bay Trans. Auth. Sales Tax Rev. Series 2016 A, 0% 7/1/23 | 355,000 | 353,867 | |
| Massachusetts Dev. Fin. Agcy. Multi-family Hsg. Rev. Bonds Series 2021, 0.25%, tender 7/1/23 (b) | 1,750,000 | 1,741,441 | |
| Massachusetts Dev. Fin. Agcy. Rev.: | |||
| Bonds: | |||
(Partners Healthcare Sys., Inc. Proj.) Series 2017 S-4, 5%, tender 1/25/24 (b) | 5,700,000 | 5,747,017 | |
Series 2011 N, 0.45%, tender 7/1/25 (b) | 3,505,000 | 3,236,477 | |
| Series 2016 I: | |||
5% 7/1/23 | 15,000 | 15,010 | |
5% 7/1/24 | 25,000 | 25,207 | |
5% 7/1/25 | 20,000 | 20,343 | |
5% 7/1/26 | 20,000 | 20,665 | |
| Series 2019 A, 5% 7/1/24 | 155,000 | 156,887 | |
| Series 2019 O: | |||
5% 12/1/23 | 130,000 | 130,876 | |
5% 12/1/24 | 100,000 | 102,183 | |
| Series 2021 A, 5% 6/1/23 | 360,000 | 360,000 | |
| Series C: | |||
5% 10/1/23 (Assured Guaranty Muni. Corp. Insured) | 350,000 | 351,283 | |
5% 10/1/24 (Assured Guaranty Muni. Corp. Insured) | 325,000 | 330,052 | |
| Massachusetts Edl. Fing. Auth. Rev.: | |||
| Series 2014 I, 5% 1/1/25 (d) | 2,000,000 | 2,027,879 | |
| Series 2014, 5% 1/1/24 (d) | 5,000,000 | 5,030,191 | |
| Series 2015 A, 5% 1/1/24 (d) | 8,250,000 | 8,299,815 | |
| Series 2016 J, 5% 7/1/23 (d) | 725,000 | 725,494 | |
| Series 2016, 5% 7/1/24 (d) | 535,000 | 539,818 | |
| Series 2017 A, 5% 7/1/25 (d) | 690,000 | 703,612 | |
| Series 2020 C, 5% 7/1/23 (d) | 375,000 | 375,280 | |
| Series 2021 B: | |||
5% 7/1/24 (d) | 750,000 | 757,149 | |
5% 7/1/25 (d) | 1,575,000 | 1,606,071 | |
| Series 2022 B: | |||
5% 7/1/24 (d) | 270,000 | 272,716 | |
5% 7/1/25 (d) | 585,000 | 596,541 | |
5% 7/1/26 (d) | 365,000 | 376,499 | |
| Massachusetts Health & Edl. Facilities Auth. Rev.: | |||
| (Partners Healthcare Sys., Inc. Proj.) Series 2007 G2, 3.99%, tender 6/7/23 (Assured Guaranty Muni. Corp. Insured) (b) | 8,815,000 | 8,815,000 | |
| Bonds Series I, 0.7%, tender 7/1/25 (b) | 395,000 | 367,277 | |
| Massachusetts Port Auth. Rev.: | |||
| Series 2017 A: | |||
5% 7/1/24 (d) | 900,000 | 911,147 | |
5% 7/1/25 (d) | 25,000 | 25,589 | |
| Series 2019 C, 5% 7/1/24 (d) | 345,000 | 349,273 | |
| Series 2021 E, 5% 7/1/23 (d) | 500,000 | 500,386 | |
TOTAL MASSACHUSETTS | 45,352,306 | ||
| Michigan - 0.5% | |||
| Carman-Ainsworth Cmnty. School District Series 2021, 4% 5/1/24 | 1,335,000 | 1,339,864 | |
| Chippewa Valley Schools Series 2016 B, 5% 5/1/24 | 200,000 | 202,925 | |
| Detroit Downtown Dev. Auth. Tax Series A, 5% 7/1/25 (Assured Guaranty Muni. Corp. Insured) | 550,000 | 558,564 | |
| Grand Traverse County Hosp. Fin. Auth.: | |||
| Series 2019 B, 5% 7/1/23 | 255,000 | 255,255 | |
| Series 2021: | |||
5% 7/1/24 | 650,000 | 659,430 | |
5% 7/1/25 | 480,000 | 495,574 | |
| Great Lakes Wtr. Auth. Wtr. Supply Sys. Rev. Series 2018 A, 5% 7/1/25 | 2,500,000 | 2,578,066 | |
| Grosse Ile Township School District Unltd. Tax Gen. Oblig. Series 2016, 2% 5/1/24 | 125,000 | 122,430 | |
| Huron School District Series 2019, 5% 5/1/24 | 205,000 | 207,943 | |
| Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016: | |||
| 5% 5/15/24 | 10,000 | 10,115 | |
| 5% 5/15/25 | 15,000 | 15,341 | |
| 5% 5/15/26 | 15,000 | 15,592 | |
| Kent Hosp. Fin. Auth. Hosp. Facilities Rev. (Spectrum Health Sys. Proj.) Series 2015 A, SIFMA Municipal Swap Index + 0.250% 3.66%, tender 12/27/23 (b)(c) | 1,000,000 | 1,000,000 | |
| Ludington Area School District (Michigan School Bond Qualification and Ln. Prog.) Series 2022 II, 5% 11/1/25 | 1,230,000 | 1,286,534 | |
| Michigan Fin. Auth. Rev.: | |||
| Bonds: | |||
Series 2013 M1, 3.28%, tender 6/1/23 (b) | 5,000,000 | 5,000,000 | |
Series 2016 E1, 4%, tender 8/15/24 (b) | 3,405,000 | 3,411,715 | |
| Series 2015 A, 5% 8/1/23 (Escrowed to Maturity) | 300,000 | 300,733 | |
| Series 2015 D1: | |||
0.4% 10/15/23 | 650,000 | 636,530 | |
0.55% 10/15/24 | 300,000 | 287,065 | |
0.75% 10/15/25 | 250,000 | 234,025 | |
| Series 2015 MI, 5% 12/1/24 | 100,000 | 102,418 | |
| Series 2016, 5% 11/15/23 | 225,000 | 226,145 | |
| Michigan Hosp. Fin. Auth. Rev. Bonds Series 2010 F1, 4%, tender 6/1/23 (b) | 200,000 | 200,000 | |
| Michigan Hsg. Dev. Auth. Single Family Mtg. Rev. Series 2022 A, 2.5% 6/1/25 | 630,000 | 614,470 | |
| Michigan Strategic Fund Exempt Facilities Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 0.58%, tender 8/1/24 (b)(d) | 150,000 | 144,139 | |
| Portage Pub. Schools Series 2016: | |||
| 5% 5/1/24 | 40,000 | 40,574 | |
| 5% 11/1/24 | 45,000 | 46,038 | |
| 5% 5/1/25 | 25,000 | 25,788 | |
| 5% 11/1/25 | 25,000 | 26,078 | |
| 5% 11/1/28 | 20,000 | 21,002 | |
| Royal Oak Hosp. Fin. Auth. Hosp. Rev. Series 2014 D, 5% 9/1/23 (Escrowed to Maturity) | 345,000 | 346,291 | |
| Saginaw Hosp. Fin. Auth. Hosp. Rev. Series 2020 J, 5% 7/1/23 | 250,000 | 250,230 | |
| Wayne State Univ. Revs. Series 2013 A, 4% 11/15/23 | 350,000 | 350,664 | |
| Wayne-Westland Cmnty. Schools Series 2019, 5% 11/1/24 | 335,000 | 342,170 | |
TOTAL MICHIGAN | 21,353,708 | ||
| Minnesota - 0.7% | |||
| Central Muni. Pwr. Agcy. Rev. Series 2021, 5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) | 265,000 | 271,801 | |
| Maple Grove Health Care Sys. Rev. Series 2017, 5% 5/1/25 | 800,000 | 813,742 | |
| Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2017 A, 5% 11/15/23 | 355,000 | 357,157 | |
| Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev.: | |||
| Series 2014 A, 5% 1/1/28 | 215,000 | 216,616 | |
| Series 2016, 5% 1/1/25 | 620,000 | 636,490 | |
| Series 2019 C, 5% 1/1/26 | 380,000 | 396,176 | |
| Series 2022 B: | |||
5% 1/1/24 (d) | 1,860,000 | 1,872,510 | |
5% 1/1/25 (d) | 195,000 | 198,677 | |
5% 1/1/26 (d) | 470,000 | 481,918 | |
5% 1/1/27 (d) | 1,580,000 | 1,637,066 | |
| Minneapolis Health Care Sys. Rev. Bonds Series 2023 A, 5%, tender 11/15/28 (b) | 6,000,000 | 6,443,016 | |
| Minnesota Gen. Oblig. Series 2021 B, 5% 9/1/25 | 3,425,000 | 3,566,901 | |
| Minnesota Hsg. Fin. Agcy.: | |||
| Bonds Series 2018 D, SIFMA Municipal Swap Index + 0.430% 3.84%, tender 6/1/23 (b)(c) | 1,775,000 | 1,774,739 | |
| Series 2021 A: | |||
0.5% 7/1/23 (d) | 185,000 | 184,460 | |
0.625% 1/1/24 (d) | 380,000 | 372,367 | |
| Series 2022 A: | |||
5% 8/1/25 | 1,155,000 | 1,196,412 | |
5% 8/1/26 | 1,300,000 | 1,371,255 | |
| Series 2022 B: | |||
5% 8/1/23 | 570,000 | 571,383 | |
5% 8/1/26 | 100,000 | 105,481 | |
| Series H, 0.65% 1/1/24 (d) | 180,000 | 176,510 | |
| Minnesota Muni. Gas Agcy. Rev.: | |||
| Bonds Series 2022 A, 4%, tender 12/1/27 (b) | 1,725,000 | 1,737,290 | |
| Series 2022 A, 4% 12/1/24 | 2,700,000 | 2,702,288 | |
| Moorhead Edl. Facilities Rev. (The Concordia College Corp. Proj.) Series 2016, 5% 12/1/25 | 50,000 | 50,578 | |
| Northern Muni. Pwr. Agcy. Elec. Sys. Rev. Series 2017, 5% 1/1/24 | 35,000 | 35,292 | |
| Saint Paul Hsg. & Redev. Auth. Hosp. Rev. (HealthEast Care Sys. Proj.) Series 2015 A, 5% 11/15/27 (Pre-Refunded to 11/15/25 @ 100) | 400,000 | 416,748 | |
| Southern Minnesota Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 1994 A, 0% 1/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 290,000 | 283,631 | |
| Western Minnesota Muni. Pwr. Agcy. Pwr. Supply Rev. Series 2014 A, 5% 1/1/24 | 20,000 | 20,174 | |
TOTAL MINNESOTA | 27,890,678 | ||
| Mississippi - 0.3% | |||
| Jackson Gen. Oblig. Series 2021, 5% 3/1/24 | 500,000 | 502,204 | |
| Mississippi Dev. Bank Spl. Oblig. (Jackson Mississippi Sales Tax Rev. Infrastructure Proj.) Series 2020, 5% 9/1/24 | 740,000 | 746,803 | |
| Mississippi Hosp. Equip. & Facilities Auth. Bonds Series 2020 A2, 3.15%, tender 8/30/23 (b) | 11,000,000 | 10,971,415 | |
TOTAL MISSISSIPPI | 12,220,422 | ||
| Missouri - 0.4% | |||
| Barry County Ctfs. Prtn. Law Enforcement Ctr. Proj. Series 2023: | |||
| 5% 10/1/25 | 215,000 | 220,242 | |
| 5% 10/1/26 | 550,000 | 569,115 | |
| Cape Girardeau County Indl. Dev. Auth. (Southeast Hosp. Proj.) Series 2017 A: | |||
| 5% 3/1/24 | 15,000 | 15,061 | |
| 5% 3/1/25 | 15,000 | 15,153 | |
| 5% 3/1/26 | 20,000 | 20,265 | |
| Jackson County Spl. Oblig. Series 2023 A, 5% 12/1/28 | 1,000,000 | 1,084,959 | |
| Missouri Health & Edl. Facilities Rev.: | |||
| Bonds Series 2021 B, 4%, tender 5/1/26 (b) | 1,500,000 | 1,521,602 | |
| Series 2014 A, 5% 6/1/24 | 1,000,000 | 1,013,112 | |
| Series 2020, 5% 11/15/23 | 815,000 | 819,770 | |
| Missouri Hsg. Dev. Commission Single Family Mtg. Rev. Series 2019, 4% 5/1/50 | 65,000 | 64,248 | |
| Missouri State Pub. Util. Commn Rev. Series 2022, 0.75% 8/1/23 | 10,000,000 | 9,930,674 | |
| Ozarks Technical Cmnty. College Series 2021, 5% 3/1/25 | 225,000 | 231,075 | |
| Saint Louis Arpt. Rev.: | |||
| Series 2017 B, 5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) (d) | 250,000 | 252,911 | |
| Series 2019 B: | |||
5% 7/1/23 (d) | 385,000 | 385,275 | |
5% 7/1/24 (d) | 400,000 | 404,446 | |
5% 7/1/25 (d) | 420,000 | 428,875 | |
| Series 2022 A, 5% 7/1/24 (d) | 565,000 | 571,281 | |
TOTAL MISSOURI | 17,548,064 | ||
| Montana - 0.0% | |||
| Montana Board Hsg. Single Family: | |||
| Series 2019 B, 4% 6/1/50 | 30,000 | 29,652 | |
| Series 2022 A, 3% 6/1/52 | 265,000 | 252,743 | |
| Series A1, 3.5% 6/1/50 | 355,000 | 346,443 | |
TOTAL MONTANA | 628,838 | ||
| Nebraska - 0.6% | |||
| Central Plains Energy Proj. Gas Supply: | |||
| Bonds Series 2019: | |||
2.5%, tender 8/1/25 (b) | 1,000,000 | 963,761 | |
4%, tender 8/1/25 (b) | 4,050,000 | 4,054,847 | |
| Series 2019, 4% 8/1/23 | 580,000 | 580,118 | |
| Gretna Ctfs. of Prtn.: | |||
| Series 2021, 4% 12/15/25 | 2,620,000 | 2,635,644 | |
| Series 2022, 5% 12/15/25 | 4,000,000 | 4,096,043 | |
| Lincoln Arpt. Auth. Series 2021, 5% 7/1/23 (d) | 725,000 | 725,667 | |
| Muni. Energy Agcy. of Nebraska Pwr. Swr. Rev. Series 2022 A: | |||
| 5% 4/1/24 | 1,690,000 | 1,712,555 | |
| 5% 4/1/25 | 2,835,000 | 2,916,791 | |
| Nebraska Invt. Fin. Auth. Single Family Hsg. Rev.: | |||
| Series 2019 B, 4% 9/1/49 (d) | 90,000 | 88,412 | |
| Series 2022 B: | |||
5% 3/1/24 (d) | 1,050,000 | 1,057,709 | |
5% 9/1/24 (d) | 1,065,000 | 1,078,933 | |
| Nebraska Pub. Pwr. District Rev.: | |||
| Bonds Series 2020 A, 0.6%, tender 6/22/23 (b) | 5,800,000 | 5,790,430 | |
| Series 2016 C, 5% 1/1/25 | 200,000 | 205,350 | |
| Omaha Pub. Pwr. District Elec. Rev. Series A, 5% 2/1/25 | 200,000 | 205,861 | |
TOTAL NEBRASKA | 26,112,121 | ||
| Nevada - 0.8% | |||
| Clark County Arpt. Rev. Series 2021 B: | |||
| 5% 7/1/23 (d) | 2,500,000 | 2,501,478 | |
| 5% 7/1/24 (d) | 2,145,000 | 2,166,578 | |
| 5% 7/1/25 (d) | 795,000 | 811,799 | |
| Clark County McCarran Int'l. Arpt. Passenger Facility Charge Rev.: | |||
| Series 2017 B, 5% 7/1/25 (d) | 665,000 | 679,052 | |
| Series 2019 E: | |||
5% 7/1/25 | 100,000 | 103,530 | |
5% 7/1/27 | 275,000 | 295,052 | |
| Clark County Poll. Cont. Rev. Bonds (Nevada Pwr. Co. Proj.) Series 2017, 3.75%, tender 3/31/26 (b) | 2,065,000 | 2,067,126 | |
| Clark County School District: | |||
| Series 2016 A, 5% 6/15/23 | 225,000 | 225,101 | |
| Series 2017 C, 5% 6/15/24 | 200,000 | 202,937 | |
| Series 2017 D: | |||
5% 6/15/24 | 400,000 | 400,444 | |
5% 6/15/25 | 350,000 | 350,465 | |
| Series 2018 A: | |||
5% 6/15/23 | 435,000 | 435,194 | |
5% 6/15/24 | 685,000 | 695,060 | |
5% 6/15/25 | 315,000 | 324,912 | |
| Series 2020 A, 3% 6/15/23 | 950,000 | 949,646 | |
| Series 2021 C, 5% 6/15/25 | 2,655,000 | 2,738,543 | |
| Las Vegas Convention & Visitors Auth. Series 2021: | |||
| 5% 7/1/23 | 1,000,000 | 1,000,920 | |
| 5% 7/1/24 | 1,000,000 | 1,014,295 | |
| Nevada Dept. of Bus. & Industry Bonds: | |||
| (Republic Svcs., Inc. Proj.) Series 2001, 3.75%, tender 6/1/23 (b)(d)(f) | 6,600,000 | 6,600,000 | |
| Series 2023 A, 3.7%, tender 1/31/24 (b)(d)(f) | 10,000,000 | 9,970,556 | |
| Nevada Gen. Oblig. Series 2013 F1, 5% 3/1/25 | 250,000 | 250,317 | |
| Nevada Hsg. Division Bonds Series 2022, 5%, tender 12/14/24 (b) | 875,000 | 885,294 | |
TOTAL NEVADA | 34,668,299 | ||
| New Hampshire - 0.2% | |||
| Nat'l. Fin. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2021 B, 5% 8/15/25 | 1,140,000 | 1,164,901 | |
| Nat'l. Fin. Auth. Solid Bonds (Waste Mgmt., Inc. Proj.): | |||
| Series 2018 A, 3.785%, tender 6/1/23 (b)(d) | 5,000,000 | 4,891,736 | |
| Series 2019 A2, 2.15%, tender 7/1/24 (b)(d) | 555,000 | 543,952 | |
| New Hampshire Bus. Fin. Auth. Wtr. Facility (Pennichuck Wtr. Works, Inc. Proj.) Series 2014 A, 5% 1/1/24 (Escrowed to Maturity) (d) | 260,000 | 261,555 | |
| New Hampshire Health & Ed. Facilities Auth. Rev. Series 2012, 5% 7/1/27 | 120,000 | 120,104 | |
TOTAL NEW HAMPSHIRE | 6,982,248 | ||
| New Jersey - 3.2% | |||
| Burlington County Bridge Commission Lease Rev. (Governmental Leasing Prog.) Series 2021, 4% 4/1/24 | 425,000 | 427,362 | |
| Gloucester County Impt. Auth. Rev. Series 2021, 0.6% 3/1/24 | 2,400,000 | 2,319,490 | |
| New Brunswick Parking Auth. Rev. Series 2020 B: | |||
| 5% 9/1/23 | 675,000 | 677,325 | |
| 5% 9/1/25 | 850,000 | 880,344 | |
| New Jersey Econ. Dev. Auth.: | |||
| Series 2022 A: | |||
5% 11/1/25 | 1,000,000 | 1,035,565 | |
5% 11/1/26 | 1,100,000 | 1,156,004 | |
| Series 2023 RRR: | |||
5% 3/1/24 | 5,000,000 | 5,040,390 | |
5% 3/1/25 | 2,680,000 | 2,736,806 | |
5% 3/1/26 | 5,065,000 | 5,263,397 | |
| Series 2024 SSS: | |||
5% 6/15/26 (e) | 1,970,000 | 2,005,527 | |
5% 6/15/27 (e) | 155,000 | 159,301 | |
| Series QQQ: | |||
5% 6/15/23 | 420,000 | 420,164 | |
5% 6/15/24 | 300,000 | 303,490 | |
5% 6/15/25 | 385,000 | 396,196 | |
5% 6/15/26 | 555,000 | 579,619 | |
| New Jersey Econ. Dev. Auth. Rev.: | |||
| (New Jersey Gen. Oblig. Proj.) Series 2017 B, 5% 11/1/24 | 515,000 | 523,526 | |
| (Provident Montclair Proj.) Series 2017: | |||
5% 6/1/23 (Assured Guaranty Muni. Corp. Insured) | 25,000 | 25,000 | |
5% 6/1/24 (Assured Guaranty Muni. Corp. Insured) | 20,000 | 20,292 | |
| (The Goethals Bridge Replacement Proj.) Series 2013, 5% 1/1/24 (d) | 350,000 | 351,749 | |
| Series 2005 N1, 5.5% 9/1/23 | 350,000 | 351,369 | |
| Series 2014 UU, 5% 6/15/24 | 400,000 | 404,653 | |
| Series 2015 B, 5.25% 7/1/25 | 1,285,000 | 1,332,308 | |
| Series 2015 XX: | |||
4% 6/15/24 | 545,000 | 545,857 | |
5% 6/15/23 | 75,000 | 75,029 | |
| Series 2019: | |||
5.25% 9/1/23 (f) | 5,000,000 | 5,016,520 | |
5.25% 9/1/24 (f) | 4,785,000 | 4,867,859 | |
5.25% 9/1/26 (f) | 1,510,000 | 1,593,922 | |
| Series UU, 3.1% 6/15/23 | 575,000 | 574,838 | |
| New Jersey Econ. Dev. Auth. Wtr. Facilities Rev.: | |||
| (New Jersey-American Wtr. Co., Inc. Proj.): | |||
Series 2020 C, 1.15% 6/1/23 (d) | 2,500,000 | 2,500,000 | |
Series 2020 E, 0.85% 12/1/25 (d) | 1,600,000 | 1,434,349 | |
| Bonds (New Jersey-American Wtr. Co., Inc.) Series 2020, 1.2%, tender 6/1/23 (b)(d) | 2,000,000 | 2,000,000 | |
| New Jersey Edl. Facility: | |||
| Series 2016 A: | |||
5% 7/1/23 | 75,000 | 75,069 | |
5% 7/1/24 | 175,000 | 177,372 | |
| Series 2016 D, 5% 7/1/25 | 1,860,000 | 1,924,519 | |
| New Jersey Gen. Oblig.: | |||
| Series 2013: | |||
4% 6/1/30 (Pre-Refunded to 6/1/23 @ 100) | 5,505,000 | 5,505,000 | |
5% 6/1/23 | 580,000 | 580,000 | |
| Series 2014, 5% 6/1/24 | 385,000 | 390,728 | |
| Series 2020 A: | |||
4% 6/1/23 | 22,985,000 | 22,985,000 | |
5% 6/1/24 | 1,530,000 | 1,552,765 | |
5% 6/1/25 | 2,330,000 | 2,405,350 | |
| Series 2021, 2% 6/1/25 | 840,000 | 805,641 | |
| New Jersey Health Care Facilities Fing. Auth. Rev.: | |||
| Bonds Series 2019 B2, 5%, tender 7/1/25 (b) | 150,000 | 154,319 | |
| Series 2016 A: | |||
5% 7/1/24 | 25,000 | 25,400 | |
5% 7/1/24 (Escrowed to Maturity) | 20,000 | 20,333 | |
5% 7/1/24 (Escrowed to Maturity) | 10,000 | 10,161 | |
5% 7/1/25 (Escrowed to Maturity) | 10,000 | 10,337 | |
5% 7/1/26 (Escrowed to Maturity) | 5,000 | 5,267 | |
5% 7/1/27 (Pre-Refunded to 7/1/26 @ 100) | 5,000 | 5,267 | |
| New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.: | |||
| Series 2015 1A, 5% 12/1/24 (d) | 55,000 | 55,735 | |
| Series 2016 1A: | |||
5% 12/1/23 (d) | 1,400,000 | 1,407,028 | |
5% 12/1/24 (d) | 1,430,000 | 1,449,104 | |
| Series 2017 1A: | |||
5% 12/1/23 (d) | 4,195,000 | 4,216,470 | |
5% 12/1/25 (d) | 420,000 | 429,908 | |
| Series 2018 B, 5% 12/1/24 (d) | 4,000,000 | 4,050,537 | |
| Series 2019 A: | |||
5% 12/1/23 | 4,260,000 | 4,290,801 | |
5% 12/1/24 | 270,000 | 275,576 | |
| Series 2020 A, 5% 12/1/23 (d) | 1,500,000 | 1,507,898 | |
| Series 2020: | |||
5% 12/1/23 (d) | 945,000 | 949,744 | |
5% 12/1/24 (d) | 675,000 | 684,018 | |
| Series 2021 A: | |||
5% 12/1/23 (d) | 200,000 | 201,053 | |
5% 12/1/24 (d) | 330,000 | 334,409 | |
5% 12/1/25 (d) | 700,000 | 716,514 | |
| Series 2021 B, 5% 12/1/24 (d) | 570,000 | 577,202 | |
| Series 2023 B: | |||
5% 12/1/25 (d) | 1,800,000 | 1,842,464 | |
5% 12/1/28 (d) | 1,000,000 | 1,054,081 | |
| New Jersey Hsg. & Mtg. Fin. Agcy. Multi-family Rev. Series 2021 B, 0.5% 11/1/23 | 670,000 | 661,028 | |
| New Jersey Hsg. & Mtg. Fin. Agcy. Rev.: | |||
| Series 2019 D, 4% 4/1/25 (d) | 150,000 | 149,116 | |
| Series 2021 H, 0.35% 4/1/24 | 775,000 | 752,594 | |
| New Jersey Tobacco Settlement Fing. Corp. Series 2018 A: | |||
| 5% 6/1/23 | 4,455,000 | 4,455,000 | |
| 5% 6/1/24 | 4,500,000 | 4,554,552 | |
| 5% 6/1/25 | 825,000 | 848,029 | |
| New Jersey Trans. Trust Fund Auth.: | |||
| Series 2005 B, 5.25% 12/15/23 | 470,000 | 473,535 | |
| Series 2006 A, 5.25% 12/15/23 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 504,238 | |
| Series 2008 A, 0% 12/15/25 | 1,000,000 | 911,171 | |
| Series 2010 A, 0% 12/15/25 | 510,000 | 464,697 | |
| Series 2010 D, 5.25% 12/15/23 | 555,000 | 559,174 | |
| Series 2013 AA, 5% 6/15/23 | 785,000 | 785,307 | |
| Series 2016 A, 5% 6/15/27 | 90,000 | 93,966 | |
| Series 2016 A1, 5% 6/15/24 | 800,000 | 812,156 | |
| Series 2016 A2, 5% 6/15/23 | 1,205,000 | 1,205,592 | |
| Series 2018 A: | |||
5% 6/15/23 | 445,000 | 445,219 | |
5% 6/15/24 | 755,000 | 766,473 | |
| Series 2022 AA: | |||
5% 6/15/23 | 150,000 | 150,059 | |
5% 6/15/24 | 330,000 | 333,839 | |
5% 6/15/25 | 2,220,000 | 2,284,559 | |
| Series 2023 AA: | |||
5% 6/15/25 | 2,250,000 | 2,315,431 | |
5% 6/15/26 | 425,000 | 444,102 | |
| Series A: | |||
5% 12/15/23 | 365,000 | 367,266 | |
5% 12/15/24 | 210,000 | 213,833 | |
5% 12/15/25 | 200,000 | 207,553 | |
| Series D, 5% 12/15/23 | 480,000 | 482,980 | |
| The Board of Ed. of Newark Series 2021: | |||
| 5% 7/15/25 (Build America Mutual Assurance Insured) | 250,000 | 258,235 | |
| 5% 7/15/26 (Build America Mutual Assurance Insured) | 300,000 | 314,725 | |
TOTAL NEW JERSEY | 131,507,750 | ||
| New Mexico - 0.2% | |||
| Farmington Poll. Cont. Rev. Bonds (Pub. Svc. Co. of New Mexico San Juan Proj.) Series 2010 D, 3.9%, tender 6/1/28 (b)(e) | 3,000,000 | 2,995,642 | |
| New Mexico Edl. Assistance Foundation Series 2021 1A: | |||
| 5% 9/1/23 (d) | 750,000 | 751,613 | |
| 5% 9/1/24 (d) | 1,000,000 | 1,012,474 | |
| New Mexico Mtg. Fin. Auth. Series 2019 C, 4% 1/1/50 | 335,000 | 331,148 | |
| New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev.: | |||
| Bonds Series 2019 A, 5%, tender 5/1/25 (b) | 1,070,000 | 1,092,537 | |
| Series 2019 A: | |||
4% 11/1/23 | 645,000 | 645,638 | |
4% 11/1/24 | 250,000 | 250,730 | |
4% 5/1/25 | 960,000 | 963,554 | |
| Santa Fe Pub. School District Gen. Oblig. Series 2021, 4% 8/1/23 | 450,000 | 450,322 | |
TOTAL NEW MEXICO | 8,493,658 | ||
| New York - 3.6% | |||
| Dorm. Auth. New York Univ. Rev. Series 2016 A, 5% 7/1/24 | 40,000 | 40,466 | |
| Hempstead Local Dev. Corp. Rev. (Adelphi Univ. Proj.) Series 2021: | |||
| 5% 6/1/23 | 400,000 | 400,000 | |
| 5% 6/1/24 | 940,000 | 953,248 | |
| Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A, 5% 2/15/25 | 805,000 | 830,844 | |
| Long Island Pwr. Auth. Elec. Sys. Rev. Bonds: | |||
| Series 2019 B, 1.65%, tender 9/1/24 (b) | 1,055,000 | 1,023,238 | |
| Series 2020 B, 0.85%, tender 9/1/25 (b) | 7,060,000 | 6,581,361 | |
| Series 2021 B, 1.5%, tender 9/1/26 (b) | 470,000 | 432,986 | |
| Monroe County Indl. Dev. Corp.: | |||
| (The Rochester Gen. Hosp. Proj.) Series 2017, 5% 12/1/26 | 350,000 | 363,779 | |
| Series 2020 A, 5% 7/1/23 | 300,000 | 300,347 | |
| Nassau County Local Econ. Assistance Corp. Multifamily Hsg. Rev. Bonds (Park Lake Hempstead, L.P. Proj.) Series 2021, 0.3%, tender 11/1/23 (b) | 5,190,000 | 5,115,033 | |
| New York City Gen. Oblig.: | |||
| Bonds Series D, 5%, tender 2/1/24 (b) | 900,000 | 901,183 | |
| Series 1, 5% 8/1/23 | 150,000 | 150,376 | |
| Series 2006, 4.14%, tender 6/1/36 (Assured Guaranty Muni. Corp. Insured) (b) | 1,000,000 | 1,000,000 | |
| Series 2007 A, 4.14%, tender 8/1/26 (Assured Guaranty Muni. Corp. Insured) (b) | 2,875,000 | 2,875,000 | |
| Series 2007 C-4, 4.14%, tender 1/1/32 (Assured Guaranty Muni. Corp. Insured) (b) | 225,000 | 225,000 | |
| Series 2007, 3.76%, tender 6/6/23 (Assured Guaranty Muni. Corp. Insured) (b) | 2,725,000 | 2,725,000 | |
| Series 2008 A-3, 4.17%, tender 8/1/26 (Assured Guaranty Muni. Corp. Insured) (b) | 2,425,000 | 2,425,000 | |
| Series 2008 C-4, 4.28%, tender 10/1/27 (b) | 8,675,000 | 8,675,000 | |
| Series 2014 J, 5% 8/1/25 | 410,000 | 417,062 | |
| Series 2015 A, 5% 8/1/23 | 570,000 | 571,430 | |
| Series 2018 A: | |||
5% 8/1/23 | 200,000 | 200,502 | |
5% 8/1/24 | 150,000 | 153,014 | |
5% 8/1/26 | 565,000 | 597,541 | |
| Series 2020 A1, 5% 8/1/27 | 1,700,000 | 1,831,014 | |
| Series 2023 C, 5% 8/1/25 | 2,500,000 | 2,591,228 | |
| Series 2023 D, 5% 8/1/25 | 2,000,000 | 2,072,983 | |
| Series A: | |||
4% 8/1/23 | 400,000 | 400,359 | |
5% 8/1/25 | 670,000 | 681,540 | |
| Series C: | |||
5% 8/1/23 | 200,000 | 200,502 | |
5% 8/1/26 | 220,000 | 232,671 | |
| Series H3, 5% 8/1/23 | 250,000 | 250,627 | |
| Series I1, 5% 3/1/27 | 200,000 | 202,191 | |
| New York City Health & Hosp. Corp. Rev. Series A, 4% 2/15/25 | 1,440,000 | 1,458,455 | |
| New York City Hsg. Dev. Corp. Series G1, 2.35% 11/1/23 | 450,000 | 447,355 | |
| New York City Hsg. Dev. Corp. Multifamily Hsg. Bonds: | |||
| Series 2021 C2, 0.7%, tender 7/1/25 (b) | 2,710,000 | 2,516,228 | |
| Series 2021 K2, 0.9%, tender 1/1/26 (b) | 1,820,000 | 1,657,658 | |
| Series 2021, 0.6%, tender 7/1/25 (b) | 430,000 | 395,354 | |
| Series A3, 1.125%, tender 11/1/24 (b) | 2,000,000 | 1,912,874 | |
| New York City Indl. Dev. Agcy. Rev. Series 2021 A: | |||
| 5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) | 1,000,000 | 1,021,942 | |
| 5% 1/1/26 (Assured Guaranty Muni. Corp. Insured) | 1,365,000 | 1,414,197 | |
| New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2022 DD, 3.61% 6/15/33 (b) | 2,000,000 | 2,000,000 | |
| New York City Transitional Fin. Auth. Bldg. Aid Rev.: | |||
| Series 2016 S 1: | |||
5% 7/15/24 | 70,000 | 71,349 | |
5% 7/15/24 (Escrowed to Maturity) | 305,000 | 310,419 | |
| Series 2018 S1, 5% 7/15/25 (Escrowed to Maturity) | 370,000 | 384,064 | |
| New York City Transitional Fin. Auth. Rev.: | |||
| Series 2007 A3: | |||
5% 8/1/23 | 170,000 | 170,438 | |
5% 8/1/23 (Escrowed to Maturity) | 165,000 | 165,362 | |
| Series 2014 D1, 5% 2/1/27 | 350,000 | 353,058 | |
| Series 2021 F1, 5% 11/1/27 | 775,000 | 840,264 | |
| Series 2022 B1, 5% 11/1/25 | 2,000,000 | 2,086,702 | |
| Series 2023 E, 5% 11/1/25 | 1,175,000 | 1,225,937 | |
| Series A1, 5% 8/1/24 | 250,000 | 255,024 | |
| New York Dorm. Auth. Personal Income Tax Rev.: | |||
| Series 2014 E, 5% 2/15/26 (Pre-Refunded to 2/15/25 @ 100) | 300,000 | 309,495 | |
| Series 2016 D, 5% 2/15/25 (Escrowed to Maturity) | 455,000 | 469,401 | |
| New York Dorm. Auth. Rev.: | |||
| Series 2015 A, 5% 7/1/24 | 275,000 | 280,133 | |
| Series 2021 A, 5% 7/1/24 | 1,410,000 | 1,430,905 | |
| Series 2022 A: | |||
5% 7/1/26 | 200,000 | 208,662 | |
5% 7/1/27 | 500,000 | 530,152 | |
| New York Dorm. Auth. Sales Tax Rev. Series 2015 A, 5% 3/15/24 (Escrowed to Maturity) | 250,000 | 253,348 | |
| New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev.: | |||
| Series 2013 B1, 5% 11/15/23 | 585,000 | 589,394 | |
| Series 2016 A: | |||
4% 11/15/25 | 350,000 | 357,951 | |
5% 11/15/26 | 1,055,000 | 1,126,522 | |
| Series 2016 B1, 5% 11/15/25 | 255,000 | 266,776 | |
| Series 2017 B2, 5% 11/15/24 | 420,000 | 430,792 | |
| New York Metropolitan Trans. Auth. Rev.: | |||
| Bonds: | |||
Series 2005 D1, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 3.72%, tender 6/1/23 (b)(c) | 5,390,000 | 5,342,839 | |
Series 2019 D1, 5%, tender 11/15/24 (b) | 4,000,000 | 4,054,218 | |
Series 2020 A2, 5%, tender 5/15/24 (b) | 800,000 | 807,177 | |
| Series 2015 A1, 5% 11/15/27 | 1,000,000 | 1,021,150 | |
| Series 2016 B, 5% 11/15/23 | 2,035,000 | 2,044,540 | |
| Series 2016 D, 5% 11/15/27 | 1,070,000 | 1,110,293 | |
| Series 2017 A2, 5% 11/15/25 | 1,880,000 | 1,932,310 | |
| Series 2017 B, 5% 11/15/23 | 780,000 | 783,646 | |
| Series 2017 C1, 5% 11/15/28 | 660,000 | 701,325 | |
| Series 2017 D: | |||
5% 11/15/23 | 420,000 | 421,969 | |
5% 11/15/25 | 2,140,000 | 2,199,544 | |
| New York St Mtg. Agcy. Homeowner Series 2015 194, 3.35% 4/1/25 (d) | 2,490,000 | 2,461,647 | |
| New York State Dorm. Auth.: | |||
| Series 2017 A: | |||
5% 2/15/25 (Escrowed to Maturity) | 440,000 | 453,926 | |
5% 2/15/25 (Escrowed to Maturity) | 250,000 | 257,492 | |
| Series 2018 A, 5% 3/15/25 (Escrowed to Maturity) | 200,000 | 206,678 | |
| New York State Energy Research & Dev. Auth. Poll. Cont. Rev. Series 1999, 5%, tender 6/2/23 (AMBAC Insured) (b) | 300,000 | 300,000 | |
| New York State Hsg. Fin. Agcy. Rev.: | |||
| Bonds: | |||
Series 2021 D2, 0.65%, tender 11/1/25 (b) | 405,000 | 370,310 | |
Series 2021 J2, 1.1%, tender 5/1/27 (b) | 980,000 | 863,853 | |
Series 2021 K2, 1%, tender 11/1/26 (b) | 265,000 | 239,494 | |
| Series J, 0.75% 5/1/25 | 360,000 | 333,723 | |
| New York State Mtg. Agcy. Homeowner Mtg.: | |||
| Series 2021 232, 5% 4/1/24 (d) | 1,110,000 | 1,117,367 | |
| Series 2023 251: | |||
3.65% 10/1/25 (d) | 535,000 | 523,973 | |
3.7% 4/1/26 (d) | 955,000 | 930,724 | |
| Series 221, 3.5% 10/1/32 (d) | 45,000 | 43,647 | |
| New York Trans. Dev. Corp.: | |||
| (Term. 4 JFK Int'l. Arpt. Proj.): | |||
Series 2020 A: | |||
5% 12/1/23 (d) | 675,000 | 677,233 | |
5% 12/1/25 (d) | 3,050,000 | 3,109,598 | |
Series 2020 C, 5% 12/1/23 | 1,000,000 | 1,005,020 | |
| (Term. 4 John F. Kennedy Int'l. Arpt. Proj.) Series 2022: | |||
5% 12/1/26 (d) | 3,190,000 | 3,289,212 | |
5% 12/1/27 (d) | 1,585,000 | 1,654,141 | |
| New York Urban Dev. Corp. Rev.: | |||
| Series 2014 A, 5% 3/15/26 (Pre-Refunded to 3/15/24 @ 100) | 340,000 | 344,606 | |
| Series 2016 A, 5% 3/15/29 | 420,000 | 441,191 | |
| Series 2017 C, 5% 3/15/26 | 1,060,000 | 1,113,481 | |
| Niagara Frontier Trans. Auth. Arpt. Rev. Series 2019 A, 5% 4/1/24 (d) | 2,885,000 | 2,908,850 | |
| Suffolk County Gen. Oblig.: | |||
| Series 2022 A: | |||
5% 6/15/24 | 280,000 | 284,655 | |
5% 6/15/25 | 295,000 | 305,519 | |
| Series 2022 B: | |||
5% 10/1/25 | 340,000 | 354,145 | |
5% 10/1/26 | 175,000 | 186,146 | |
| Syracuse Reg'l. Arpt. Auth. Series 2021, 5% 7/1/23 (d) | 750,000 | 750,382 | |
| Triborough Bridge & Tunnel Auth.: | |||
| Bonds: | |||
Series 2021 A2: | |||
2%, tender 5/15/24 (b) | 1,000,000 | 979,618 | |
2%, tender 5/15/26 (b) | 1,285,000 | 1,166,462 | |
2%, tender 5/15/28 (b) | 450,000 | 408,280 | |
Series 2021 B, 5%, tender 5/15/26 (b) | 5,000,000 | 5,205,849 | |
Series 2021 C, 5%, tender 5/15/26 (b) | 4,200,000 | 4,371,716 | |
| Series 2022 A, 5% 8/15/24 | 10,000,000 | 10,163,209 | |
| Series 2023 A: | |||
5% 5/15/25 | 555,000 | 573,758 | |
5% 11/15/25 | 1,200,000 | 1,252,734 | |
| Triborough Bridge & Tunnel Auth. Revs.: | |||
| Bonds Series 2005 B 4A, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 3.77%, tender 6/1/23 (b)(c) | 1,960,000 | 1,945,388 | |
| Series 2023 A, 5% 11/15/24 | 5,370,000 | 5,498,556 | |
| Yonkers Gen. Oblig.: | |||
| Series 2021 A: | |||
4% 2/15/24 | 250,000 | 250,882 | |
5% 2/15/26 (Assured Guaranty Muni. Corp. Insured) | 400,000 | 418,840 | |
| Series 2021 B: | |||
4% 2/15/24 | 290,000 | 291,024 | |
5% 2/15/26 | 320,000 | 335,072 | |
TOTAL NEW YORK | 148,168,148 | ||
| New York And New Jersey - 0.3% | |||
| Port Auth. of New York & New Jersey: | |||
| Series 186, 5% 10/15/23 (d) | 500,000 | 501,884 | |
| Series 193, 5% 10/15/25 (d) | 1,000,000 | 1,026,972 | |
| Series 2013 178, 5% 12/1/25 (d) | 975,000 | 980,612 | |
| Series 2013, 5% 12/1/24 (d) | 250,000 | 251,499 | |
| Series 2014 185, 5% 9/1/25 (d) | 415,000 | 421,645 | |
| Series 2016 195, 5% 10/1/25 (d) | 1,065,000 | 1,093,120 | |
| Series 2018, 5% 9/15/25 (d) | 390,000 | 400,053 | |
| Series 2020 221, 5% 7/15/24 (d) | 605,000 | 612,660 | |
| Series 207: | |||
5% 9/15/23 (d) | 2,095,000 | 2,100,990 | |
5% 9/15/24 (d) | 430,000 | 436,374 | |
| Series 223: | |||
5% 7/15/23 (d) | 3,675,000 | 3,679,170 | |
5% 7/15/24 (d) | 1,250,000 | 1,265,827 | |
5% 7/15/25 (d) | 885,000 | 905,766 | |
TOTAL NEW YORK AND NEW JERSEY | 13,676,572 | ||
| North Carolina - 1.3% | |||
| Charlotte Int'l. Arpt. Rev.: | |||
| Series 2017 B, 5% 7/1/25 (d) | 100,000 | 102,113 | |
| Series 2021 B, 5% 7/1/24 (d) | 2,000,000 | 2,024,348 | |
| Charlotte-Mecklenburg Hosp. Auth. Health Care Sys. Rev. Bonds: | |||
| Series 2018 B, 1.95%, tender 11/1/29 (b) | 3,000,000 | 2,657,546 | |
| Series 2018 C, 3.45%, tender 10/31/25 (b) | 2,805,000 | 2,788,856 | |
| Series 2018 E, 0.8%, tender 10/31/25 (b) | 1,500,000 | 1,395,147 | |
| Series 2021 B, 5%, tender 12/2/24 (b) | 1,360,000 | 1,389,954 | |
| Columbus County Indl. Facilities And Poll. Cont. Fing. Auth. Rev. Bonds Series 2019 C, 2.1%, tender 10/1/24 (b)(d) | 2,000,000 | 1,950,935 | |
| New Hanover County Hosp. Rev. Series 2017, 5% 10/1/26 (Escrowed to Maturity) | 290,000 | 308,375 | |
| North Carolina Cap. Facilities Fin. Agcy. Rev.: | |||
| (Duke Univ. Proj.) Series 2015 B, 5% 10/1/55 (Pre-Refunded to 10/1/25 @ 100) | 9,750,000 | 10,157,868 | |
| Bonds (Republic Svcs., Inc. Proj.) Series 2013, 3.8%, tender 6/15/23 (b)(d) | 5,000,000 | 4,999,472 | |
| North Carolina Grant Anticipation Rev.: | |||
| Series 2019, 5% 3/1/25 | 335,000 | 345,024 | |
| Series 2021, 5% 3/1/25 | 1,250,000 | 1,287,401 | |
| North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev. Series 2015 A, 5% 1/1/25 | 200,000 | 205,071 | |
| North Carolina State Ed. Assistance Auth. Student Ln. Rev. Series 2020 A, 5% 6/1/26 (d) | 1,000,000 | 1,036,195 | |
| North Carolina Tpk. Auth. Triangle Expressway Sys. Series 2020 C, 5% 2/1/24 (Escrowed to Maturity) | 22,600,000 | 22,837,564 | |
| Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2020 A, 5% 5/1/27 (d) | 130,000 | 135,950 | |
TOTAL NORTH CAROLINA | 53,621,819 | ||
| North Dakota - 0.1% | |||
| Cass County Joint Wtr. Resource District Series 2021 A, 0.48% 5/1/24 | 3,000,000 | 2,868,022 | |
| Ohio - 0.8% | |||
| Akron Bath Copley Hosp. District Rev. Series 2016, 5% 11/15/24 | 45,000 | 45,642 | |
| Allen County Hosp. Facilities Rev.: | |||
| Bonds Series 2022 B1, 5%, tender 8/3/27 (b) | 5,000,000 | 5,274,541 | |
| Series 2017 A, 5% 8/1/23 | 2,675,000 | 2,679,934 | |
| Series 2020 A, 5% 12/1/23 | 1,000,000 | 1,006,050 | |
| American Muni. Pwr., Inc. Rev.: | |||
| Bonds Series 2021 A2, 1%, tender 8/15/24 (b) | 565,000 | 544,022 | |
| Series 2021 A, 5% 2/15/24 | 555,000 | 560,580 | |
| Cleveland Arpt. Sys. Rev.: | |||
| Series 2016 A: | |||
5% 1/1/24 (Assured Guaranty Muni. Corp. Insured) | 25,000 | 25,197 | |
5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) | 395,000 | 404,279 | |
5% 1/1/26 (Assured Guaranty Muni. Corp. Insured) | 10,000 | 10,259 | |
| Series 2018 A: | |||
5% 1/1/25 (d) | 1,425,000 | 1,446,829 | |
5% 1/1/26 (d) | 290,000 | 297,783 | |
| Series 2019 B, 5% 1/1/27 (d) | 350,000 | 364,184 | |
| Dayton City School District Ctfs. Prtn. Series 2021, 3% 12/1/24 | 165,000 | 163,202 | |
| Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013, 5% 6/15/23 | 40,000 | 39,999 | |
| Franklin County Rev. Bonds Series 2013 OH, 3.25%, tender 8/1/23 (b) | 7,000,000 | 6,996,100 | |
| Gahanna-Jefferson City School District (School Facilities Proj.) Series 2021, 2% 12/1/23 | 355,000 | 351,257 | |
| Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019: | |||
| 5% 8/1/24 | 770,000 | 780,620 | |
| 5% 8/1/25 | 310,000 | 319,542 | |
| 5% 8/1/26 | 535,000 | 560,213 | |
| Miami Univ. Series 2022 A, 5% 9/1/24 | 550,000 | 561,034 | |
| Montgomery County Hosp. Rev. (Kettering Health Network Obligated Group Proj.) Series 2021, 5% 8/1/23 | 485,000 | 485,846 | |
| Ohio Higher Edl. Facility Commission Rev.: | |||
| (Xavier Univ. 2020 Proj.) Series 2020, 5% 5/1/24 | 490,000 | 495,400 | |
| Bonds (Case Western Reserve Univ. Proj.) Series 2019 C, 1.625%, tender 12/1/26 (b) | 605,000 | 558,398 | |
| Ohio Hosp. Facilities Rev. Series 2017 A: | |||
| 5% 1/1/25 | 60,000 | 61,503 | |
| 5% 1/1/26 | 500,000 | 521,159 | |
| Ohio Hsg. Fin. Agcy. Residential Mtg. Rev. (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 | 30,000 | 30,015 | |
| Ohio Solid Waste Rev. Bonds (Republic Svcs., Inc. Proj.) Series 2010, 3.65%, tender 6/1/23 (b) | 2,500,000 | 2,500,000 | |
| Ohio Tpk. Commission Tpk. Rev. (Infrastructure Projs.) Series 2022 A, 5% 2/15/25 | 1,055,000 | 1,086,210 | |
| Scioto County Hosp. Facilities Rev.: | |||
| Series 2016: | |||
5% 2/15/24 | 35,000 | 35,252 | |
5% 2/15/25 | 35,000 | 35,691 | |
5% 2/15/26 | 405,000 | 416,970 | |
| Series 2019, 5% 2/15/29 | 700,000 | 728,060 | |
| Toledo Gen. Oblig. Series 2020: | |||
| 3% 12/1/24 | 510,000 | 504,333 | |
| 3% 12/1/24 | 425,000 | 420,825 | |
| Univ. of Akron Gen. Receipts Series 2019 A: | |||
| 5% 1/1/24 | 300,000 | 302,517 | |
| 5% 1/1/25 | 400,000 | 409,955 | |
| Wooster Ohio Series 2023, 4.5% 6/7/24 (e) | 2,000,000 | 2,015,526 | |
TOTAL OHIO | 33,038,927 | ||
| Oklahoma - 0.6% | |||
| Canadian Cny Edl. Facilities Auth. Series 2021, 3% 9/1/23 | 2,000,000 | 1,996,459 | |
| Cleveland County Edl. Facilities Auth. (Moore Pub. Schools Proj.) Series 2021: | |||
| 4% 6/1/24 | 1,050,000 | 1,056,341 | |
| 4% 6/1/25 | 295,000 | 298,344 | |
| Jackson County Facilities Auth. Rev. (Jackson County Courthouse Proj.) Series 2022: | |||
| 3% 10/1/24 | 400,000 | 393,633 | |
| 3% 10/1/25 | 730,000 | 713,057 | |
| Mcintosh County Edl. Facilities Auth. (Checotah Pub. School Proj.) Series 2022, 2% 9/1/25 | 650,000 | 618,079 | |
| Oklahoma City Arpt. Trust Series 2018, 5% 7/1/24 (d) | 1,665,000 | 1,681,749 | |
| Oklahoma County Independent School District #89 Oklahoma City Series 2023 A, 3% 7/1/26 | 5,990,000 | 5,950,503 | |
| Oklahoma Dev. Fin. Auth. Health Sys. Rev. Series 2020 C, 3.71% 8/15/31 (b) | 2,680,000 | 2,680,000 | |
| Oklahoma Dev. Fin. Auth. Rev. (Oklahoma City Univ. Proj.) Series 2019, 5% 8/1/23 | 560,000 | 559,957 | |
| Oklahoma Tpk. Auth. Tpk. Rev. Series 2017 D, 5% 1/1/25 | 315,000 | 323,525 | |
| Osage County Indl. Auth. Series 2022, 2% 9/1/23 | 3,500,000 | 3,474,258 | |
| Tulsa County Independent School District #1 Series 2021 B, 0.25% 9/1/24 | 4,000,000 | 3,772,692 | |
| Tulsa County Indl. Auth. Edl. Facilities Lease Rev. (Berryhill Pub. School Proj.) Series 2020: | |||
| 4% 9/1/24 | 445,000 | 447,051 | |
| 4% 9/1/25 | 690,000 | 697,183 | |
| Univ. of Oklahoma Gen. Rev.: | |||
| Series 2020 B, 4% 7/1/24 | 490,000 | 491,861 | |
| Series 2021 A, 5% 7/1/23 (Assured Guaranty Muni. Corp. Insured) | 1,125,000 | 1,126,164 | |
TOTAL OKLAHOMA | 26,280,856 | ||
| Oregon - 0.4% | |||
| Oregon Bus. Dev. Commission Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23 (b) | 6,000,000 | 5,977,297 | |
| Oregon Gen. Oblig. Series 2021 A, 5% 5/1/24 | 1,500,000 | 1,523,294 | |
| Port of Morrow Full Faith and Cr. Obligations Series 2021 D: | |||
| 4% 12/1/23 | 110,000 | 110,150 | |
| 4% 12/1/24 | 150,000 | 150,841 | |
| 4% 12/1/25 | 150,000 | 151,818 | |
| Port of Portland Arpt. Rev.: | |||
| Series 2014 22, 5% 7/1/25 (d) | 1,255,000 | 1,265,050 | |
| Series 2015 23, 5% 7/1/23 | 275,000 | 275,321 | |
| Series 2022, 5% 7/1/25 (d) | 1,315,000 | 1,340,152 | |
| Series 26 C: | |||
5% 7/1/23 (d) | 2,000,000 | 2,001,494 | |
5% 7/1/24 (d) | 1,000,000 | 1,011,328 | |
5% 7/1/26 (d) | 1,150,000 | 1,186,905 | |
| Salem Hosp. Facility Auth. Rev. (Cap. Manor Proj.) Series 2022, 5% 5/15/26 | 135,000 | 135,621 | |
TOTAL OREGON | 15,129,271 | ||
| Pennsylvania - 3.2% | |||
| Allegheny County Hosp. Dev. Auth. Rev.: | |||
| Bonds Series 2017 E, 0.000% x SIFMA Municipal Swap Index 4.11%, tender 5/15/27 (b)(c) | 4,000,000 | 3,904,134 | |
| Series 2019 A, 5% 7/15/24 | 1,745,000 | 1,771,505 | |
| Series 2021 B: | |||
5% 10/15/23 | 950,000 | 954,383 | |
5% 10/15/24 | 705,000 | 718,415 | |
5% 10/15/25 | 740,000 | 761,991 | |
| Allegheny County Sanitation Auth. Swr. Rev. Series 2020 A, 4% 6/1/24 | 300,000 | 301,929 | |
| Chester County Health & Ed. Facilities Auth. Health Sys. Rev. Series C, 3% 9/1/23 | 245,000 | 244,511 | |
| Coatesville Area School District Series 2017, 5% 8/1/23 (Assured Guaranty Muni. Corp. Insured) | 710,000 | 711,628 | |
| Commonwealth Fing. Auth. Rev.: | |||
| Series 2019 B, 5% 6/1/24 | 275,000 | 278,930 | |
| Series 2020 A, 5% 6/1/23 | 350,000 | 350,000 | |
| Delaware County Auth. Univ. Rev. Series 2020, 5% 10/1/23 | 240,000 | 240,089 | |
| Delaware River Port Auth. Pennsylvania & New Jersey Rev. Series 2022: | |||
| 5% 1/1/24 | 1,700,000 | 1,715,829 | |
| 5% 1/1/25 | 1,805,000 | 1,854,131 | |
| Laurel Highlands School District Series 2021: | |||
| 4% 2/1/24 | 635,000 | 636,136 | |
| 4% 2/1/25 | 345,000 | 346,692 | |
| Lycoming County Auth. Rev. Bonds Series 2013 S2, 4.5%, tender 10/31/24 (b) | 1,400,000 | 1,386,516 | |
| Monroeville Fin. Auth. UPMC Rev. Series 2023 C, 5% 5/15/24 | 260,000 | 263,317 | |
| Montgomery County Higher Ed. & Health Auth. Rev.: | |||
| Series 2014 A, 5% 10/1/23 | 5,000 | 4,998 | |
| Series 2019: | |||
5% 9/1/23 | 500,000 | 501,349 | |
5% 9/1/26 | 1,250,000 | 1,300,577 | |
| Neshannock Township School District Gen. Oblig. Series 2021 B, 2% 9/1/23 | 325,000 | 323,120 | |
| Northampton County Gen. Purp. College Rev. Series 2017, 5% 11/1/23 | 365,000 | 367,310 | |
| Parkland School District Series 2021 A, 3% 2/1/24 | 225,000 | 224,001 | |
| Pennsylvania Econ. Dev. Fing. Auth.: | |||
| Series 2017 A, 5% 11/15/23 | 225,000 | 226,297 | |
| Series 2021 A, 4% 10/15/23 | 425,000 | 425,420 | |
| Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds: | |||
| (Republic Svcs., Inc. Proj.): | |||
Series 2019 A, 3.7%, tender 7/17/23 (b)(d) | 3,400,000 | 3,398,335 | |
Series 2019 B1, 3.7%, tender 7/17/23 (b)(d) | 3,400,000 | 3,398,335 | |
| (Republic Svcs., Inc. Proj.): | |||
Series 2014, 4.05%, tender 7/3/23 (b)(d) | 4,300,000 | 4,299,810 | |
Series 2019 B2, 3.6%, tender 7/17/23 (b)(d) | 10,400,000 | 10,393,127 | |
| (Waste Mgmt., Inc. Proj.) Series 2013, 3.875%, tender 8/1/23 (b)(d) | 18,400,000 | 18,390,384 | |
| (Waste Mgmt., Inc. Proj.): | |||
Series 2017 A, 0.58%, tender 8/1/24 (b)(d) | 1,200,000 | 1,153,114 | |
Series 2021 A, SIFMA Municipal Swap Index + 0.400% 3.81%, tender 6/1/23 (b)(c)(d) | 1,365,000 | 1,338,296 | |
| Series 2011, 2.15%, tender 7/1/24 (b)(d) | 775,000 | 759,573 | |
| Pennsylvania Gen. Oblig.: | |||
| Series 2015 1, 5% 8/15/23 | 780,000 | 782,471 | |
| Series 2019, 5% 7/15/25 | 1,000,000 | 1,036,263 | |
| Pennsylvania Hsg. Fin. Agcy.: | |||
| Bonds Series 2018 127C, 4.167%, tender 6/1/23 (b)(c) | 4,000,000 | 3,999,258 | |
| Series 2021 134 B, 5% 10/1/23 (d) | 1,000,000 | 1,002,345 | |
| Series 2021 134B, 5% 10/1/24 (d) | 1,000,000 | 1,011,521 | |
| Series 2021 135 B: | |||
5% 10/1/23 (d) | 1,025,000 | 1,027,404 | |
5% 4/1/24 (d) | 600,000 | 603,982 | |
5% 10/1/24 (d) | 805,000 | 814,274 | |
5% 4/1/25 (d) | 180,000 | 183,076 | |
| Series 2021 137: | |||
0.45% 10/1/23 | 325,000 | 321,448 | |
5% 4/1/24 | 200,000 | 202,226 | |
5% 4/1/25 | 200,000 | 205,197 | |
5% 10/1/26 | 280,000 | 293,479 | |
| Series 2022 138, 5% 4/1/25 | 2,415,000 | 2,477,749 | |
| Pennsylvania Hsg. Fin. Agcy. Multifamily Hsg. Dev. Rev. Bonds Series 2022: | |||
| 1.25%, tender 2/1/24 (b) | 6,000,000 | 5,875,725 | |
| 1.5%, tender 7/1/23 (b) | 9,000,000 | 8,980,475 | |
| Pennsylvania Tpk. Commission Tpk. Rev.: | |||
| Series 2021 B, 5% 12/1/23 | 1,410,000 | 1,420,195 | |
| Series 2022 B: | |||
5% 12/1/23 | 435,000 | 438,145 | |
5% 12/1/24 | 695,000 | 711,394 | |
5% 12/1/25 | 425,000 | 444,074 | |
| Philadelphia Arpt. Rev.: | |||
| Series 2015 A: | |||
5% 6/15/24 (d) | 1,315,000 | 1,327,630 | |
5% 6/15/26 (d) | 1,000,000 | 1,015,671 | |
| Series 2017 A, 5% 7/1/24 | 40,000 | 40,614 | |
| Series 2017 B: | |||
5% 7/1/23 (d) | 3,280,000 | 3,281,939 | |
5% 7/1/24 (d) | 1,160,000 | 1,171,669 | |
5% 7/1/25 (d) | 440,000 | 449,298 | |
5% 7/1/26 (d) | 3,360,000 | 3,473,746 | |
| Series 2020 C: | |||
5% 7/1/23 (d) | 8,930,000 | 8,935,280 | |
5% 7/1/25 (d) | 2,450,000 | 2,501,771 | |
| Series 2021: | |||
5% 7/1/24 (d) | 1,970,000 | 1,989,817 | |
5% 7/1/25 (d) | 4,245,000 | 4,334,701 | |
5% 7/1/28 (d) | 95,000 | 100,550 | |
| Philadelphia Auth. for Indl. Dev. Series 2020 C, 4% 11/1/24 | 535,000 | 536,196 | |
| Philadelphia Gas Works Rev. Series 2015 13, 5% 8/1/25 | 420,000 | 432,928 | |
| Philadelphia School District: | |||
| Series 2019 A, 5% 9/1/23 | 185,000 | 185,517 | |
| Series 2021 B, 5% 9/1/23 | 660,000 | 661,846 | |
| Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev.: | |||
| Bonds Series 2017 C, SIFMA Municipal Swap Index + 0.650% 4.06%, tender 6/1/23 (Assured Guaranty Muni. Corp. Insured) (b)(c) | 4,000,000 | 4,000,312 | |
| Series 2019 A, 5% 9/1/23 | 270,000 | 270,708 | |
| Reading School District Series 2017: | |||
| 5% 3/1/25 (Assured Guaranty Muni. Corp. Insured) | 5,000 | 5,123 | |
| 5% 3/1/26 (Assured Guaranty Muni. Corp. Insured) | 5,000 | 5,233 | |
| 5% 3/1/27 (Assured Guaranty Muni. Corp. Insured) | 5,000 | 5,333 | |
| 5% 3/1/28 (Assured Guaranty Muni. Corp. Insured) | 5,000 | 5,347 | |
| Southcentral Pennsylvania Gen. Auth. Rev. Series 2021 TT2: | |||
| 5% 5/1/24 | 210,000 | 212,314 | |
| 5% 5/1/25 | 340,000 | 347,476 | |
| 5% 5/1/26 | 320,000 | 331,425 | |
| Southeastern Pennsylvania Trans. Auth. Rev. Series 2020, 5% 6/1/23 | 750,000 | 750,000 | |
| Township of East Vincent Gen. Oblig. Series 2021: | |||
| 3% 12/1/23 | 200,000 | 199,305 | |
| 3% 12/1/24 | 250,000 | 248,114 | |
| Westmoreland County Indl. Dev. Auth. (Excela Health Proj.) Series 2020 A: | |||
| 4% 7/1/23 | 350,000 | 349,786 | |
| 4% 7/1/24 | 450,000 | 447,635 | |
TOTAL PENNSYLVANIA | 132,392,167 | ||
| Rhode Island - 0.1% | |||
| Rhode Island Commerce Corp. Series 2016 A, 5% 6/15/24 | 1,010,000 | 1,025,554 | |
| Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev. Series 2016: | |||
| 5% 5/15/24 | 160,000 | 161,174 | |
| 5% 5/15/25 | 120,000 | 120,750 | |
| Rhode Island Health & Edl. Bldg. Corp. Pub. Schools Rev. Series 2015, 5% 5/15/25 (Assured Guaranty Muni. Corp. Insured) | 130,000 | 134,269 | |
| Rhode Island Hsg. & Mtg. Fin. Corp.: | |||
| Series 2019 70, 4% 10/1/49 | 65,000 | 64,291 | |
| Series 2022 76 A: | |||
5% 4/1/27 | 35,000 | 37,187 | |
5% 4/1/28 | 250,000 | 269,879 | |
5% 4/1/29 | 300,000 | 327,263 | |
| Rhode Island Student Ln. Auth. Student Ln. Rev.: | |||
| Series 2018 A, 5% 12/1/25 (d) | 855,000 | 876,806 | |
| Series 2019 A: | |||
5% 12/1/26 (d) | 570,000 | 592,440 | |
5% 12/1/28 (d) | 490,000 | 521,486 | |
| Series A, 4% 12/1/26 (d) | 145,000 | 144,871 | |
| Tobacco Settlement Fing. Corp. Series 2015 A: | |||
| 5% 6/1/26 | 75,000 | 76,506 | |
| 5% 6/1/27 | 20,000 | 20,418 | |
TOTAL RHODE ISLAND | 4,372,894 | ||
| South Carolina - 0.5% | |||
| Charleston County Arpt. District Series 2013 A, 5.5% 7/1/27 (Pre-Refunded to 7/1/23 @ 100) (d) | 850,000 | 851,027 | |
| Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (b) | 10,175,000 | 10,187,743 | |
| Piedmont Muni. Pwr. Agcy. Elec. Rev. Series 2021 A, 4% 1/1/24 | 1,000,000 | 1,001,614 | |
| Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015, 5% 12/1/26 | 25,000 | 25,723 | |
| South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev. Series 2019 A, 4% 1/1/50 | 85,000 | 84,022 | |
| South Carolina Ports Auth. Ports Rev.: | |||
| Series 2015 (AMT), 5% 7/1/45 (Pre-Refunded to 7/1/25 @ 100) (d) | 1,260,000 | 1,292,202 | |
| Series 2015: | |||
5.25% 7/1/50 (Pre-Refunded to 7/1/25 @ 100) (d) | 955,000 | 984,144 | |
5.25% 7/1/55 (Pre-Refunded to 7/1/25 @ 100) (d) | 445,000 | 458,580 | |
5.25% 7/1/55 (Pre-Refunded to 7/1/25 @ 100) (d) | 1,075,000 | 1,107,806 | |
| Series 2019 B, 5% 7/1/26 (d) | 185,000 | 191,480 | |
| South Carolina Pub. Svc. Auth. Rev.: | |||
| Series 2014 C, 5% 12/1/25 | 190,000 | 193,933 | |
| Series 2015 A, 5% 12/1/25 | 115,000 | 118,148 | |
| Series 2020 A: | |||
5% 12/1/23 | 70,000 | 70,403 | |
5% 12/1/23 (Escrowed to Maturity) | 395,000 | 397,992 | |
5% 12/1/23 (Escrowed to Maturity) | 155,000 | 156,174 | |
5% 12/1/24 | 40,000 | 40,768 | |
5% 12/1/24 (Escrowed to Maturity) | 230,000 | 235,662 | |
5% 12/1/24 (Escrowed to Maturity) | 95,000 | 97,339 | |
| Series 2021 A: | |||
5% 12/1/24 | 375,000 | 382,195 | |
5% 12/1/25 | 850,000 | 878,837 | |
| Series 2022 C: | |||
5% 12/1/23 | 270,000 | 271,554 | |
5% 12/1/25 | 360,000 | 372,213 | |
| Series 2022 E: | |||
5% 12/1/23 | 500,000 | 502,878 | |
5% 12/1/25 | 150,000 | 155,089 | |
5% 12/1/26 | 170,000 | 178,111 | |
TOTAL SOUTH CAROLINA | 20,235,637 | ||
| South Dakota - 0.1% | |||
| South Dakota Board of Regents Hsg. and Auxiliary Facilities Series 2021: | |||
| 3% 4/1/24 | 425,000 | 422,329 | |
| 3% 4/1/25 | 500,000 | 489,547 | |
| South Dakota Health & Edl. Facilities Auth. Rev.: | |||
| Bonds Series 2019 A, 5%, tender 7/1/24 (b) | 1,940,000 | 1,954,456 | |
| Series 2020 A, 5% 9/1/23 | 335,000 | 335,904 | |
| South Dakota Hsg. Dev. Auth. Series 2017 D, 4% 11/1/47 | 515,000 | 509,955 | |
TOTAL SOUTH DAKOTA | 3,712,191 | ||
| Tennessee - 0.9% | |||
| Johnson City Health & Edl. Hosp. Rev. Series 2023 A: | |||
| 5% 7/1/25 | 1,250,000 | 1,281,947 | |
| 5% 7/1/26 | 400,000 | 415,073 | |
| Memphis-Shelby County Arpt. Auth. Arpt. Rev.: | |||
| Series 2020 B: | |||
5% 7/1/23 (d) | 1,405,000 | 1,405,773 | |
5% 7/1/24 (d) | 3,750,000 | 3,784,558 | |
| Series 2021 A, 5% 7/1/25 (d) | 2,750,000 | 2,808,110 | |
| Series 2021 C: | |||
1.875% 7/1/25 (d) | 675,000 | 631,731 | |
5% 7/1/23 (d) | 1,750,000 | 1,750,963 | |
5% 7/1/24 (d) | 1,850,000 | 1,867,049 | |
| Metropolitan Gov Nashvle&David Ind. Bonds (Waste Mgmt., Inc. Proj.) Series 2001, 0.58%, tender 8/1/24 (b)(d) | 400,000 | 384,371 | |
| Metropolitan Govt. Nashville & Davidson County Health & Edl. Facilities Board Bonds (Richland Hills Apts. Proj.) Series 2021, 1.25%, tender 12/1/23 (b) | 4,000,000 | 3,946,948 | |
| Metropolitan Nashville Arpt. Auth. Rev. Series 2019 B, 5% 7/1/25 (d) | 1,910,000 | 1,950,360 | |
| Nashville and Davidson County Metropolitan Govt. Gen. Oblig. Series 2022 B, 4% 1/1/26 | 1,425,000 | 1,456,352 | |
| Tennergy Corp. Gas Rev.: | |||
| Bonds Series 2019 A, 5%, tender 10/1/24 (b) | 10,650,000 | 10,799,036 | |
| Series 2021 A: | |||
4% 9/1/23 | 275,000 | 274,851 | |
4% 3/1/24 | 300,000 | 299,953 | |
| Tennessee Energy Acquisition Corp.: | |||
| Bonds Series 2023 A1, 5%, tender 5/1/28 (b) | 3,000,000 | 3,104,264 | |
| Series 2021 A, 5% 11/1/23 | 250,000 | 250,739 | |
| Tennessee Gen. Oblig. Series 2015 A, 5% 8/1/30 (Pre-Refunded to 8/1/25 @ 100) | 1,510,000 | 1,569,597 | |
| Tennessee Hsg. Dev. Agcy. Residential Series 2021 3A, 3% 1/1/52 | 230,000 | 219,359 | |
TOTAL TENNESSEE | 38,201,034 | ||
| Texas - 6.0% | |||
| Aledo Independent School District Series 2015, 0% 2/15/24 | 25,000 | 24,308 | |
| Andrews County Hosp. District Series 2021, 5% 3/15/26 | 1,430,000 | 1,483,538 | |
| Atascosa County Indl. Dev. Corp. Poll. Cont. Rev. Series 2020: | |||
| 5% 12/15/23 | 450,000 | 451,843 | |
| 5% 12/15/24 | 550,000 | 557,576 | |
| Austin Arpt. Sys. Rev.: | |||
| Series 2014, 5% 11/15/26 (d) | 715,000 | 723,044 | |
| Series 2019: | |||
5% 11/15/23 (d) | 845,000 | 847,864 | |
5% 11/15/24 (d) | 3,360,000 | 3,403,219 | |
| Austin Independent School District Series 2015 A, 4% 8/1/34 (Pre-Refunded to 8/1/25 @ 100) | 1,585,000 | 1,608,326 | |
| Austin Wtr. & Wastewtr. Sys. Rev. Series 2022, 5% 11/15/25 | 1,000,000 | 1,044,667 | |
| Bexar County Gen. Oblig. Series 2014, 5% 6/15/25 | 960,000 | 975,525 | |
| Boerne Independent School District Bonds Series 2023, 3.125%, tender 2/1/27 (b) | 660,000 | 650,667 | |
| Cameron County Tex Hsg. Fin. Corpm Bonds Series 2022, 3.5%, tender 12/1/23 (b) | 3,000,000 | 2,986,567 | |
| Central Reg'l. Mobility Auth.: | |||
| Series 2016: | |||
5% 1/1/24 | 75,000 | 75,569 | |
5% 1/1/26 | 75,000 | 77,553 | |
| Series 2020 B: | |||
5% 1/1/25 | 125,000 | 127,839 | |
5% 1/1/26 | 125,000 | 129,255 | |
| Series 2020 F, 5% 1/1/25 | 6,000,000 | 6,070,370 | |
| Clear Creek Independent School District Bonds Series 2021 B, 0.28%, tender 8/15/24 (b) | 630,000 | 598,104 | |
| Clifton Higher Ed. Fin. Corp. Ed. Rev. Series 2022 A, 5% 8/15/26 | 475,000 | 489,553 | |
| Coastal Bend Health Facilities Dev. Corp. Series 2005 B2, 4.24%, tender 7/1/31 (Assured Guaranty Muni. Corp. Insured) (b) | 5,425,000 | 5,425,000 | |
| Corpus Christi Util. Sys. Rev. Series 2012, 5% 7/15/23 | 200,000 | 200,226 | |
| Cypress-Fairbanks Independent School District: | |||
| Bonds Series 2015 B1, 0.28%, tender 8/15/24 (b) | 4,285,000 | 4,094,935 | |
| Series 2020 A, 5% 2/15/25 | 210,000 | 216,318 | |
| Dallas Fort Worth Int'l. Arpt. Rev.: | |||
| Series 2013 E, 5% 11/1/23 (d) | 2,700,000 | 2,707,101 | |
| Series 2014 A: | |||
4% 11/1/23 (d) | 200,000 | 199,572 | |
5.25% 11/1/26 (d) | 900,000 | 903,603 | |
5.25% 11/1/30 (d) | 1,000,000 | 1,003,743 | |
| Series 2014 D, 5% 11/1/23 (d) | 3,580,000 | 3,589,415 | |
| Series 2020 A: | |||
5% 11/1/23 | 2,250,000 | 2,262,384 | |
5% 11/1/24 | 225,000 | 229,972 | |
| Series 2021 B, 5% 11/1/24 | 3,500,000 | 3,577,341 | |
| Dallas Gen. Oblig. Series 2023 A: | |||
| 5% 2/15/24 (e) | 3,880,000 | 3,923,457 | |
| 5% 2/15/25 (e) | 1,170,000 | 1,204,588 | |
| 5% 2/15/26 (e) | 3,250,000 | 3,401,622 | |
| Denton Independent School District: | |||
| Bonds Series 2014 B: | |||
2%, tender 8/1/24 (b) | 500,000 | 488,987 | |
2%, tender 8/1/24 (b) | 100,000 | 98,343 | |
| Series 2016, 0% 8/15/25 | 35,000 | 32,550 | |
| East Downtown Redev. Auth. Series 2021: | |||
| 5% 9/1/24 | 405,000 | 409,855 | |
| 5% 9/1/26 | 300,000 | 307,974 | |
| Forney Independent School District Series 2021 B, 5% 8/15/25 | 1,010,000 | 1,048,498 | |
| Fort Bend County Muni. Util. District Series 2021, 2% 4/1/24 | 750,000 | 733,921 | |
| Fort Bend Independent School District Bonds: | |||
| Series 2020 B, 0.875%, tender 8/1/25 (b) | 3,190,000 | 2,992,957 | |
| Series 2021 B, 0.72%, tender 8/1/26 (b) | 2,170,000 | 1,964,376 | |
| Fort Worth Gen. Oblig. Series 2016, 5% 3/1/25 | 120,000 | 123,570 | |
| Galveston Pub. Facility Corp. Multifamily Hsg. Rev. Bonds Series 2021, 0.47%, tender 8/1/24 (b) | 3,000,000 | 2,863,947 | |
| Georgetown Independent School District Bonds Series 2019 B: | |||
| 2.5%, tender 8/1/23 (b) | 2,285,000 | 2,279,880 | |
| 2.5%, tender 8/1/23 (b) | 1,660,000 | 1,657,260 | |
| Goose Creek Consolidated Independent School District Bonds Series 2021 B, 0.6%, tender 8/17/26 (b) | 500,000 | 458,079 | |
| Grand Parkway Trans. Corp. Bonds Series 2018 B, 5%, tender 10/1/23 (b) | 1,865,000 | 1,872,020 | |
| Hale Ctr. Ed. Facilities Corp. (Wayland Baptist Univ. Proj.) Series 2022, 5% 3/1/25 | 475,000 | 480,411 | |
| Harris County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
| Bonds: | |||
Series 2019 B, 5%, tender 12/1/24 (b) | 3,345,000 | 3,403,807 | |
Series 2020 A, 0.9%, tender 5/15/25 (b) | 3,180,000 | 2,974,452 | |
Series 2020 C2, 5%, tender 12/1/24 (b) | 200,000 | 203,516 | |
| Series 2014 A, 5% 12/1/26 | 120,000 | 122,978 | |
| Series 2020 A, 4% 7/1/25 | 250,000 | 252,328 | |
| Harris County Health Facilities Dev. Corp. Rev.: | |||
| Series 2005 A4, 4.14%, tender 7/1/31 (Assured Guaranty Muni. Corp. Insured) (b) | 5,400,000 | 5,400,000 | |
| Series A3, 3.88%, tender 7/1/31 (Assured Guaranty Muni. Corp. Insured) (b) | 3,525,000 | 3,525,000 | |
| Houston Arpt. Sys. Rev.: | |||
| Series 2018 C, 5% 7/1/25 (d) | 1,900,000 | 1,940,149 | |
| Series 2020 A, 5% 7/1/23 (d) | 1,000,000 | 1,000,509 | |
| Series 2021 A: | |||
5% 7/1/24 (d) | 500,000 | 504,502 | |
5% 7/1/26 (d) | 1,250,000 | 1,293,787 | |
| Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev. Series 2021: | |||
| 4% 9/1/24 | 250,000 | 250,864 | |
| 4% 9/1/25 | 215,000 | 216,914 | |
| 4% 9/1/26 | 275,000 | 280,270 | |
| Houston Independent School District Bonds Series 2023 C, 4%, tender 6/1/25 (b) | 5,665,000 | 5,722,100 | |
| Houston Util. Sys. Rev. Series 2016 B, 5% 11/15/25 | 1,750,000 | 1,824,378 | |
| Hsg. Synergy PFC Multifamily Hsg. Bonds (Villages of Westlake Apts.) Series 2022, 3.5%, tender 8/1/24 (b) | 4,000,000 | 3,967,326 | |
| Katy Independent School District Bonds Series 2021 C, 1.5%, tender 8/15/24 (b) | 2,500,000 | 2,435,356 | |
| Kilgore Independent School District Bonds Series 2022, 2%, tender 8/15/25 (b) | 4,000,000 | 3,854,700 | |
| Klein Independent School District Series 2015 A, 5% 8/1/24 | 225,000 | 229,522 | |
| Leander Independent School District Series 2013 A, 0% 8/15/23 (Escrowed to Maturity) | 1,000,000 | 992,366 | |
| Love Field Arpt. Modernization Rev.: | |||
| Series 2017: | |||
5% 11/1/23 (d) | 1,150,000 | 1,153,495 | |
5% 11/1/24 (d) | 750,000 | 759,318 | |
5% 11/1/25 (d) | 730,000 | 748,635 | |
| Series 2021: | |||
5% 11/1/23 (d) | 3,860,000 | 3,871,732 | |
5% 11/1/24 (d) | 3,560,000 | 3,604,231 | |
5% 11/1/25 (d) | 4,005,000 | 4,097,958 | |
5% 11/1/26 (d) | 405,000 | 419,797 | |
5% 11/1/27 (d) | 415,000 | 434,352 | |
| Lower Colorado River Auth. Rev.: | |||
| (LCRA Transmission Servces Corp. Proj.) Series 2022, 5% 5/15/26 | 700,000 | 736,248 | |
| (LCRA Transmission Svcs. Corp. Proj.): | |||
Series 2019, 5% 5/15/24 | 930,000 | 944,222 | |
Series 2020, 5% 5/15/24 | 550,000 | 558,411 | |
Series 2021, 5% 5/15/26 | 3,160,000 | 3,323,634 | |
| Series 2015 B, 5% 5/15/24 | 325,000 | 329,970 | |
| Series 2022: | |||
5% 5/15/24 (Assured Guaranty Muni. Corp. Insured) | 3,365,000 | 3,416,461 | |
5% 5/15/25 (Assured Guaranty Muni. Corp. Insured) | 2,445,000 | 2,525,291 | |
| Lubbock Elec. Lt. & Pwr. Sys. Rev. Series 2021, 5% 4/15/25 | 725,000 | 746,306 | |
| Magnolia Independent School District Series 2023: | |||
| 5% 8/15/23 | 1,900,000 | 1,906,486 | |
| 5% 8/15/24 | 2,100,000 | 2,141,739 | |
| Midland County Pub. Facilities Corp. Bonds Series 2020, 0.35%, tender 6/1/23 (b) | 2,000,000 | 2,000,000 | |
| Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds: | |||
| (Republic Svcs., Inc. Proj.): | |||
Series 2008 A, 3.875%, tender 8/1/23 (b)(d) | 8,025,000 | 8,021,979 | |
Series 2020 A, 3.875%, tender 8/1/23 (b)(d) | 11,675,000 | 11,670,606 | |
| (Waste Mgmt., Inc. Proj.): | |||
Series 2018, 3.785%, tender 6/1/23 (b)(d) | 3,425,000 | 3,350,857 | |
Series 2020 A, 3.95%, tender 6/1/23 (b)(d) | 2,200,000 | 2,200,000 | |
Series 2020 B, 3.95%, tender 6/1/23 (b)(d) | 2,200,000 | 2,200,000 | |
| (Waste Mgmt., INC. Proj.) Series 2023 A, 4.25%, tender 6/3/24 (b) | 3,000,000 | 3,002,849 | |
| New Caney Independent School District Bonds Series 2018, 1.25%, tender 8/15/24 (b) | 1,900,000 | 1,838,844 | |
| Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/26 | 55,000 | 56,965 | |
| North Texas Tollway Auth. Rev.: | |||
| Series 2017 A: | |||
5% 1/1/24 | 70,000 | 70,081 | |
5% 1/1/26 | 65,000 | 65,056 | |
| Series 2019 B, 5% 1/1/25 | 325,000 | 332,232 | |
| Series 2020 A, 5% 1/1/25 | 265,000 | 271,760 | |
| Series 2021 B, 5% 1/1/26 | 695,000 | 724,236 | |
| Northside Independent School District Bonds: | |||
| Series 2018, 2.75%, tender 8/1/23 (b) | 3,000,000 | 2,991,680 | |
| Series 2020, 0.7%, tender 6/1/25 (b) | 820,000 | 770,451 | |
| Series 2023 B, 3%, tender 8/1/29 (b) | 5,250,000 | 5,152,697 | |
| Pasadena Independent School District Series 2022, 5% 2/15/25 | 2,595,000 | 2,673,946 | |
| Plano Independent School District Series 2023, 5% 2/15/25 | 2,315,000 | 2,379,992 | |
| Port Arthur Series 2021: | |||
| 5% 2/15/24 | 240,000 | 242,380 | |
| 5% 2/15/24 | 195,000 | 196,934 | |
| Port of Houston Auth. Series 2021, 5% 10/1/23 | 805,000 | 809,096 | |
| Prosper Independent School District Series 2015, 5% 2/15/24 | 250,000 | 252,757 | |
| San Antonio Arpt. Sys. Rev. Series 2019 A: | |||
| 5% 7/1/23 (d) | 195,000 | 195,083 | |
| 5% 7/1/25 (d) | 400,000 | 408,452 | |
| 5% 7/1/26 (d) | 500,000 | 517,515 | |
| San Antonio Elec. & Gas Sys. Rev.: | |||
| Bonds: | |||
Series 2018, SIFMA Municipal Swap Index + 0.870% 4.28%, tender 12/1/25 (b)(c) | 4,065,000 | 4,065,175 | |
Series 2022, 2%, tender 12/1/27 (b) | 1,480,000 | 1,366,635 | |
Series 2023, 3.65%, tender 12/1/26 (b)(e) | 4,000,000 | 4,010,758 | |
| Series 2016, 5% 2/1/25 (Escrowed to Maturity) | 330,000 | 339,455 | |
| Series 2022, 5% 2/1/26 | 545,000 | 570,507 | |
| San Antonio Independent School District Series 2015, 5% 2/15/24 | 315,000 | 318,650 | |
| San Antonio Wtr. Sys. Rev. Bonds Series 2013 F, 1%, tender 11/1/26 (b) | 3,000,000 | 2,673,154 | |
| Splendora Independent School District Series 2016 A, 5% 2/15/25 | 200,000 | 205,448 | |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev.: | |||
| (Scott & White Healthcare Proj.) Series 2013 A: | |||
5% 8/15/23 (Escrowed to Maturity) | 20,000 | 20,061 | |
5% 8/15/28 (Pre-Refunded to 8/15/23 @ 100) | 50,000 | 50,153 | |
| Bonds (Baylor Scott & White Health Proj.) Series 2022 E, 5%, tender 5/15/26 (b) | 2,030,000 | 2,106,640 | |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Series 2016 A: | |||
| 5% 2/15/25 | 1,240,000 | 1,272,738 | |
| 5% 2/15/26 | 35,000 | 36,510 | |
| Texas A&M Univ. Rev. Series 2021 A: | |||
| 5% 5/15/24 | 1,350,000 | 1,371,917 | |
| 5% 5/15/26 | 725,000 | 765,899 | |
| Texas Gen. Oblig.: | |||
| Series 2013 B, 5.5% 8/1/23 (d) | 5,500,000 | 5,514,384 | |
| Series 2019: | |||
4% 8/1/25 (d) | 3,005,000 | 3,023,579 | |
5% 8/1/25 (d) | 2,805,000 | 2,890,158 | |
| Texas Muni. Gas Acquisition And Supply Corp. Series 2021, 5% 12/15/23 | 3,450,000 | 3,461,221 | |
| Texas Muni. Pwr. Agcy. Rev. Series 2021: | |||
| 3% 9/1/23 (Assured Guaranty Muni. Corp. Insured) | 900,000 | 897,898 | |
| 3% 9/1/24 (Assured Guaranty Muni. Corp. Insured) | 850,000 | 841,791 | |
| Texas Trans. Commission Central Texas Tpk. Sys. Rev. Series 2015 C: | |||
| 5% 8/15/24 | 205,000 | 207,669 | |
| 5% 8/15/25 | 1,245,000 | 1,256,748 | |
| Texas Trans. Commission Hwy. Impt. Gen. Oblig. Bonds Series 2014 B, 0.65%, tender 4/1/26 (b) | 3,750,000 | 3,378,809 | |
| Texas Trans. Commission State Hwy. Fund Rev. Series 2016 A, 5% 10/1/25 | 3,210,000 | 3,344,283 | |
| Univ. of Houston Univ. Revs. Series 2022 A, 5% 2/15/25 | 1,620,000 | 1,667,653 | |
| Waco Edl. Fin. Corp. Rev. Series 2021, 4% 3/1/25 | 400,000 | 403,354 | |
| Waco Gen. Oblig. Series 2022, 5% 2/1/26 | 2,065,000 | 2,162,722 | |
TOTAL TEXAS | 245,810,819 | ||
| Utah - 0.2% | |||
| Salt Lake City Arpt. Rev.: | |||
| Series 2017 A, 5% 7/1/24 (d) | 150,000 | 151,667 | |
| Series 2018 A, 5% 7/1/23 (d) | 250,000 | 250,168 | |
| Series 2021 A: | |||
5% 7/1/23 (d) | 550,000 | 550,370 | |
5% 7/1/24 (d) | 1,000,000 | 1,011,116 | |
| Utah County Hosp. Rev. Bonds: | |||
| Series 2018 B2, 5%, tender 8/1/24 (b) | 4,760,000 | 4,803,149 | |
| Series 2020 B1, 5%, tender 8/1/24 (b) | 1,515,000 | 1,538,146 | |
| Utah Infrastructure Agcy. Series 2021, 3% 10/15/24 | 500,000 | 487,027 | |
| Vineyard Redev. Agcy. Series 2021, 5% 5/1/24 (Assured Guaranty Muni. Corp. Insured) | 675,000 | 684,323 | |
TOTAL UTAH | 9,475,966 | ||
| Vermont - 0.1% | |||
| Vermont Student Assistant Corp. Ed. Ln. Rev.: | |||
| Series 2017 A, 5% 6/15/23 (d) | 700,000 | 700,235 | |
| Series 2019 A, 5% 6/15/25 (d) | 1,300,000 | 1,325,491 | |
| Series 2020 A, 5% 6/15/27 (d) | 665,000 | 695,399 | |
TOTAL VERMONT | 2,721,125 | ||
| Virginia - 1.5% | |||
| Arlington County IDA Hosp. Facilities Series 2020: | |||
| 5% 7/1/23 | 340,000 | 340,285 | |
| 5% 7/1/24 | 425,000 | 430,624 | |
| Arlington County Indl. Dev. Auth. Multi-family Hsg. Rev. Series 2023 A, 5% 1/1/26 | 3,975,000 | 4,094,493 | |
| Charles City County Econ. Dev. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2003 A, 3.95%, tender 5/1/24 (b)(d) | 2,250,000 | 2,246,772 | |
| Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Series 2019, 5% 11/1/23 | 7,400,000 | 7,431,904 | |
| Chesapeake Econ. Dev. Auth. Poll. Cont. Rev. (Virginia Elec. and Pwr. Compnay Proj.) Series 2008 A, 0%, tender 10/1/27 (b)(e) | 4,040,000 | 4,009,663 | |
| Chesterfield County Series 2015 B, 3% 1/1/26 | 5,000,000 | 4,947,041 | |
| Fredericksburg Econ. Dev. Auth. Rev. Series 2014, 5% 6/15/24 | 50,000 | 50,607 | |
| Gloucester County Indl. Dev. Auth. Bonds Series 2003 A, 3.95%, tender 5/1/24 (b)(d) | 250,000 | 249,771 | |
| Halifax County Indl. Dev. Auth. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 1.65%, tender 5/31/24 (b) | 3,000,000 | 2,908,494 | |
| King George County Indl. Dev. Auth. Solid Waste Disp. Fac. Rev. (King George Landfill, Inc. Proj.) Series 2003 A, 2.5% 6/1/23 (b)(d) | 2,735,000 | 2,735,000 | |
| Loudoun County Gen. Oblig. Series 2020 B, 5% 12/1/25 | 305,000 | 319,062 | |
| Louisa Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.): | |||
| Series 2008 A, 1.9%, tender 6/1/23 (b) | 2,500,000 | 2,500,000 | |
| Series 2008 B, 0.75%, tender 9/2/25 (b) | 4,000,000 | 3,658,737 | |
| Norfolk Arpt. Auth.: | |||
| Series 2021 A: | |||
4% 7/1/24 | 1,170,000 | 1,175,185 | |
4% 7/1/25 | 1,000,000 | 1,011,316 | |
| Series 2021 B: | |||
4% 7/1/23 (d) | 500,000 | 499,913 | |
5% 7/1/24 (d) | 400,000 | 404,235 | |
| Stafford County Econ. Dev. Auth. Hosp. Facilities Rev. Series 2016: | |||
| 5% 6/15/24 | 25,000 | 25,304 | |
| 5% 6/15/25 | 20,000 | 20,530 | |
| 5% 6/15/26 | 35,000 | 36,429 | |
| Sussex County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds Series 2003 A, 3.95%, tender 5/1/24 (b)(d) | 4,000,000 | 3,994,262 | |
| Virginia Pub. Bldg. Auth. Pub. Facilities Rev. Series 2019 B: | |||
| 5% 8/1/23 (d) | 410,000 | 410,851 | |
| 5% 8/1/25 (d) | 1,200,000 | 1,237,949 | |
| Virginia Small Bus. Fing. Auth. Bonds (Pure Salmon Virgina LLC Proj.) Series 2022, 3.5%, tender 8/1/23 (b)(d) | 15,000,000 | 14,948,307 | |
| Wise County Indl. Dev. Auth. Waste & Sewage Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 1.2%, tender 5/31/24 (b) | 2,075,000 | 2,005,448 | |
| York County Econ. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2009 A, 1.9%, tender 6/1/23 (b) | 1,100,000 | 1,100,000 | |
TOTAL VIRGINIA | 62,792,182 | ||
| Washington - 1.1% | |||
| King County Hsg. Auth. Rev.: | |||
| Series 2019: | |||
3% 11/1/23 | 1,175,000 | 1,171,675 | |
4% 11/1/24 | 135,000 | 135,857 | |
| Series 2020: | |||
3% 6/1/23 | 400,000 | 400,000 | |
3% 6/1/25 | 275,000 | 270,583 | |
| Series 2021: | |||
2% 6/1/23 | 780,000 | 780,000 | |
3% 12/1/25 | 825,000 | 813,900 | |
| King County Hsg. Auth. Workforce Hsg. Preservation Series 2021, 2% 10/1/23 | 100,000 | 99,345 | |
| King County Pub. Hosp. District #2 Series 2015 B, 5% 12/1/34 (Pre-Refunded to 12/1/24 @ 100) | 1,000,000 | 1,024,619 | |
| King County Swr. Rev. Bonds Series 2020 B, 0.875%, tender 1/1/26 (b) | 3,295,000 | 3,055,946 | |
| Port of Seattle Rev.: | |||
| Series 2015 C: | |||
5% 4/1/24 (d) | 600,000 | 605,597 | |
5% 4/1/25 (d) | 2,000,000 | 2,032,854 | |
| Series 2016 B, 5% 10/1/23 (d) | 2,000,000 | 2,006,339 | |
| Series 2016, 5% 2/1/25 | 290,000 | 297,218 | |
| Series 2019: | |||
5% 4/1/24 (d) | 400,000 | 403,731 | |
5% 4/1/25 (d) | 280,000 | 286,425 | |
| Series 2021 C: | |||
5% 8/1/23 (d) | 3,665,000 | 3,671,578 | |
5% 8/1/24 (d) | 2,260,000 | 2,290,656 | |
5% 8/1/25 (d) | 390,000 | 400,119 | |
| Series 2021: | |||
5% 9/1/23 (d) | 2,100,000 | 2,104,882 | |
5% 9/1/24 (d) | 1,080,000 | 1,094,788 | |
| Series 2022 B: | |||
5% 8/1/24 (d) | 1,420,000 | 1,439,262 | |
5% 8/1/25 (d) | 1,335,000 | 1,369,640 | |
5% 8/1/26 (d) | 835,000 | 865,969 | |
| Seattle Hsg. Auth. Rev. (Northgate Plaza Proj.) Series 2021, 1% 6/1/26 | 1,740,000 | 1,582,756 | |
| Skagit County Wash Pub. Hosp. District Series 2016, 4% 12/1/26 | 1,300,000 | 1,288,384 | |
| Tacoma Elec. Sys. Rev. Series 2017: | |||
| 5% 1/1/25 | 25,000 | 25,665 | |
| 5% 1/1/26 | 35,000 | 36,587 | |
| Univ. of Washington Univ. Revs. Series 2020 C, 5% 4/1/26 | 1,000,000 | 1,050,299 | |
| Washington Gen. Oblig.: | |||
| Series 2015 E, 5% 7/1/25 | 2,230,000 | 2,286,883 | |
| Series 2016 B, 5% 7/1/25 | 1,075,000 | 1,115,145 | |
| Series 2018 C, 5% 8/1/25 | 1,000,000 | 1,039,042 | |
| Series R 2020 A, 5% 1/1/25 | 250,000 | 257,039 | |
| Washington Health Care Facilities Auth. Rev.: | |||
| (Virginia Mason Med. Ctr. Proj.) Series 2017: | |||
5% 8/15/25 | 205,000 | 208,438 | |
5% 8/15/26 | 115,000 | 118,244 | |
5% 8/15/27 | 50,000 | 52,029 | |
| Bonds Series 2019 B, 5%, tender 8/1/24 (b) | 1,095,000 | 1,101,984 | |
| Series 2015 B, 5% 8/15/23 | 600,000 | 601,704 | |
| Series 2015: | |||
5% 7/1/24 | 1,250,000 | 1,264,292 | |
5% 7/1/27 | 1,250,000 | 1,278,341 | |
| Washington Hsg. Fin. Commission Series 2021 2N, 5% 6/1/25 | 945,000 | 972,239 | |
| Washington State Econ. Dev. Fin. Auth. Bonds Series 2022, 3.9%, tender 12/8/23 (b)(d)(f) | 5,000,000 | 4,981,341 | |
TOTAL WASHINGTON | 45,881,395 | ||
| West Virginia - 0.1% | |||
| Hsg. Auth. of Everett Bonds Series 2021, 0.3%, tender 9/1/23 (b) | 1,500,000 | 1,482,771 | |
| West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. Bonds (Appalachian Pwr. Co. Amos Proj.): | |||
| Series 2010 A, 0.625%, tender 12/15/25 (b) | 2,000,000 | 1,808,968 | |
| Series 2015 A, 2.55%, tender 4/1/24 (b) | 225,000 | 221,041 | |
| West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2016 A, 5% 6/1/24 | 1,490,000 | 1,508,223 | |
TOTAL WEST VIRGINIA | 5,021,003 | ||
| Wisconsin - 1.1% | |||
| Blue Ridge Healthcare Pub. Fin. Auth. Series 2020 A, 5% 1/1/25 | 300,000 | 305,194 | |
| Clayton Town Series 2021 B, 2% 6/1/26 | 2,000,000 | 1,864,742 | |
| Dunn County Gen. Oblig. Series 2021 A, 0.25% 10/1/24 | 1,155,000 | 1,084,682 | |
| Milwaukee County Arpt. Rev. Series 2013 A, 5.25% 12/1/23 (d) | 35,000 | 35,210 | |
| Milwaukee Gen. Oblig.: | |||
| Series 2015 N2, 4% 3/15/24 | 2,545,000 | 2,548,628 | |
| Series 2018 N4, 5% 4/1/25 | 1,130,000 | 1,156,737 | |
| Pub. Fin. Auth. Health Care Sys. Rev. Series 2023 A, 5% 10/1/24 | 2,375,000 | 2,424,630 | |
| Pub. Fin. Auth. Hosp. Rev.: | |||
| (Renown Reg'l. Med. Ctr. Proj.) Series 2015 A, 5% 6/1/24 | 2,000,000 | 2,018,380 | |
| Series 2020 A: | |||
5% 6/1/23 | 345,000 | 345,000 | |
5% 6/1/24 | 675,000 | 681,212 | |
5% 6/1/25 | 375,000 | 382,901 | |
5% 6/1/26 | 515,000 | 533,197 | |
| Pub. Fin. Auth. Solid Waste Bonds (Waste Mgmt., Inc. Proj.): | |||
| Series 2017 A, 3.875%, tender 8/1/23 (b)(d) | 3,400,000 | 3,398,223 | |
| Series 2017 A2, 3.875%, tender 8/1/23 (b)(d) | 12,500,000 | 12,493,468 | |
| Pub. Fin. Auth. Wis Pollutionc Bonds (Duke Energy Progress Proj.) Series 2022 A, 3.3%, tender 10/1/26 (b) | 2,000,000 | 1,981,515 | |
| Racine Unified School District Series 2021: | |||
| 2% 4/1/24 | 475,000 | 467,563 | |
| 2% 4/1/25 | 600,000 | 575,447 | |
| Wisconsin Gen. Oblig. Series 2014 4, 5% 5/1/25 | 90,000 | 92,275 | |
| Wisconsin Health & Edl. Facilities: | |||
| Bonds Series 2018 B, 5%, tender 1/29/25 (b) | 355,000 | 362,880 | |
| Series 2014, 5% 5/1/26 | 800,000 | 808,408 | |
| Series 2018, 5% 4/1/26 | 195,000 | 203,731 | |
| Series 2019 A: | |||
5% 12/1/23 | 35,000 | 35,236 | |
5% 12/1/24 | 100,000 | 102,139 | |
5% 12/1/25 | 125,000 | 129,090 | |
5% 12/1/26 | 200,000 | 209,208 | |
| Wisconsin Health & Edl. Facilities Auth. Series 2014 A, 5% 12/1/24 | 775,000 | 787,969 | |
| Wisconsin Health & Edl. Facilities Auth. Rev.: | |||
| Bonds Series 2018 C3, 5%, tender 6/24/26 (b) | 3,825,000 | 4,004,210 | |
| Series 2021 B: | |||
4% 9/15/24 | 200,000 | 198,138 | |
4% 9/15/26 | 220,000 | 214,369 | |
| Series 2022, 5% 10/1/25 | 3,635,000 | 3,767,148 | |
| Wisconsin Hsg. & Econ. Dev. Auth. Series 2021 C, 3% 9/1/52 | 320,000 | 305,140 | |
| Wisconsin Hsg. & Econ. Dev. Auth. Hsg. Rev. Bonds Series 2021 C: | |||
| 0.61%, tender 5/1/24 (b) | 170,000 | 163,342 | |
| 0.81%, tender 5/1/25 (b) | 200,000 | 188,650 | |
TOTAL WISCONSIN | 43,868,662 | ||
| Wyoming - 0.1% | |||
| Laramie County Hosp. Rev. (Cheyenne Reg'l. Med. Ctr. Proj.) Series 2021, 4% 5/1/25 | 260,000 | 262,591 | |
| Wyoming Cmnty. Dev. Auth. Hsg. Rev.: | |||
| Series 2020 3, 5% 6/1/23 (d) | 955,000 | 955,000 | |
| Series 2021 4, 0.3% 6/1/23 (d) | 1,170,000 | 1,170,000 | |
TOTAL WYOMING | 2,387,591 | ||
| TOTAL MUNICIPAL BONDS (Cost $2,436,416,720) | 2,398,151,493 | ||
| Municipal Notes - 20.0% | |||
Principal Amount (a) | Value ($) | ||
| Alabama - 0.8% | |||
| Black Belt Energy Gas District Participating VRDN: | |||
| Series XF 30 73, 3.76% 6/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(g)(h) | 7,500,000 | 7,500,000 | |
| Series ZL 03 96, 3.71% 6/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(g)(h) | 2,395,000 | 2,395,000 | |
| Series ZL 03 97, 3.71% 6/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(g)(h) | 2,400,000 | 2,400,000 | |
| Health Care Auth. for Baptist Health Series 2013 B, 4.76% 6/7/23, VRDN (b) | 9,145,000 | 9,145,000 | |
| Southeast Energy Auth. Rev. Bonds Participating VRDN Series XG 04 10, 3.71% 6/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(g)(h) | 12,500,000 | 12,500,000 | |
TOTAL ALABAMA | 33,940,000 | ||
| Arizona - 0.4% | |||
| Arizona Health Facilities Auth. Rev. Series 2015 B, 3.66% 6/1/23, LOC MUFG Bank Ltd., VRDN (b) | 2,500,000 | 2,449,060 | |
| Mizuho Cap. Markets LLC Participating VRDN: | |||
| Series XF 30 93, 3.81% 6/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | 3,200,000 | 3,200,000 | |
| Series XF 30 94, 3.81% 6/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | 1,500,000 | 1,500,000 | |
| Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2023 C, 3.17% 6/6/23, CP | 10,000,000 | 9,998,871 | |
TOTAL ARIZONA | 17,147,931 | ||
| California - 2.6% | |||
| California Cmnty. Choice Fing. Auth. Clean Energy Proj. Rev. Participating VRDN Series XF 30 07, 3.76% 6/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(g)(h) | 12,980,000 | 12,980,000 | |
| California Hsg. Fin. Auth. Multi-family Participating VRDN Series Floaters BAML 60 02, 3.76% 7/5/23 (Liquidity Facility Bank of America NA) (b)(g)(h) | 5,300,000 | 5,300,000 | |
| California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN Series Floater MIZ 91 13, 3.81% 7/5/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | 1,600,000 | 1,600,000 | |
| California Statewide Cmntys. Dev. Auth. Rev. Series 2023 E, 3.2% tender 6/8/23, CP mode | 2,500,000 | 2,499,958 | |
| Los Angeles Cmnty. Redev. Agcy. Multi-family Hsg. Rev. Participating VRDN: | |||
| Series 2022 MIZ 90 89, 4.65% 6/1/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(d)(g)(h) | 14,725,000 | 14,725,000 | |
| Series 2022 MIZ 90 90, 4.65% 6/1/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(d)(g)(h) | 4,450,000 | 4,450,000 | |
| Los Angeles County Gen. Oblig. TRAN Series 2022, 4% 6/30/23 | 5,000,000 | 5,003,759 | |
| Los Angeles Dept. Arpt. Rev. Series 2023 B2, 3.85% 8/7/23, LOC Barclays Bank PLC, CP (d) | 9,000,000 | 8,996,515 | |
| Los Angeles Gen. Oblig. TRAN Series 2022, 4% 6/29/23 | 11,725,000 | 11,733,046 | |
| Mizuho Floater / Residual Trust V Participating VRDN Series Floater MIZ 90 97, 3.81% 6/7/23, LOC Mizuho Cap. Markets LLC (b)(g)(h) | 1,500,000 | 1,500,000 | |
| Riverside County Gen. Oblig. TRAN Series 2022, 5% 6/30/23 | 1,250,000 | 1,251,613 | |
| San Francisco City & County Arpts. Commission Int'l. Arpt. Rev. Participating VRDN Series 2022 XF 30 51, 3.71% 6/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(h) | 5,200,000 | 5,200,000 | |
| San Francisco City & County Multi-family Hsg. Rev. Participating VRDN: | |||
| Series MIZ 90 63, 3.81% 7/5/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i) | 16,325,000 | 16,325,000 | |
| Series MIZ 91 15, 3.81% 7/5/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i) | 12,800,000 | 12,800,000 | |
| Univ. of California Revs. Series 2023, 3.4% 7/5/23, CP | 4,500,000 | 4,500,566 | |
TOTAL CALIFORNIA | 108,865,457 | ||
| Colorado - 0.5% | |||
| Colorado Ed. Ln. Prog. TRAN Series 2022 A, 5% 6/29/23 | 6,960,000 | 6,968,947 | |
| Colorado Edl. & Cultural Facilities Auth. Rev. (Mesivta of Greater Los Angeles Proj.) Series 2005, 3.76% 6/7/23, LOC Deutsche Bank AG, VRDN (b) | 580,000 | 580,000 | |
| Colorado Health Facilities Auth. Rev. Participating VRDN Series 33 64, 3.55% 6/7/23 (b)(g)(h) | 9,000,000 | 9,000,000 | |
| Colorado Health Facilities Auth. Rev. Bonds Participating VRDN Series XM 10 61, 3.71% 6/1/23 (Liquidity Facility JPMorgan Chase Bank) (b)(g)(h) | 1,400,000 | 1,400,000 | |
| Denver City & County Arpt. Rev. Participating VRDN Series XM 10 20, 3.71% 6/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(h) | 2,200,000 | 2,200,000 | |
TOTAL COLORADO | 20,148,947 | ||
| Connecticut - 0.2% | |||
| Connecticut Hsg. Fin. Auth. Series 2022 A4, 3.71% 6/7/23, VRDN (b) | 10,000,000 | 9,927,434 | |
| Florida - 1.4% | |||
| Bay County Indl. Rev. Dev. (Gulf Pwr. Co. Proj.) Series 2020, 4.05% 6/1/23, VRDN (b)(d) | 6,000,000 | 6,000,000 | |
| Broward County School District TAN Series 2022, 4% 6/30/23 | 2,000,000 | 2,000,621 | |
| Cap. Trust Agcy. Edl. Facilities Rev. Participating VRDN Series XF 30 98, 3.81% 6/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | 1,400,000 | 1,400,000 | |
| Florida Local Govt. Fin. Cmnty. Series 2023 A1, 3.45% 7/6/23, LOC JPMorgan Chase Bank, CP | 8,500,000 | 8,499,502 | |
| Highlands County Health Facilities Auth. Rev. Series 2007 A2, 3.41% 6/7/23, VRDN (b) | 2,635,000 | 2,635,000 | |
| Hillsborough County Aviation Auth. Rev. Participating VRDN Series XL 02 90, 3.71% 6/7/23 (Liquidity Facility Deutsche Bank AG New York Branch) (b)(d)(g)(h) | 4,300,000 | 4,300,000 | |
| Jacksonville Health Care Series 2023, 3.35% 6/8/23, CP | 1,000,000 | 999,902 | |
| Lee Memorial Health Sys. Hosp. Rev. Series 2019 B, 3.93% 6/7/23, VRDN (b) | 19,300,000 | 19,300,000 | |
| Miami Dade County Hsg. Multifamily Hsg. Rev. Participating VRDN Series Floater MIZ 90 87, 3.81% 7/5/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i) | 1,035,000 | 1,035,000 | |
| Miami-Dade County Aviation Rev. Series 2023, 3.3% 7/3/23, LOC Bank of America NA, CP (d) | 2,000,000 | 1,999,896 | |
| Miami-Dade County Indl. Dev. Auth. Rev. (Florida Pwr. & Lt. Co. Proj.) Series 2021, 4% 6/1/23, VRDN (b)(d) | 5,000,000 | 5,000,000 | |
| Mizuho Cap. Markets LLC Participating VRDN Series XF 30 96, 3.81% 6/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | 3,855,000 | 3,855,000 | |
TOTAL FLORIDA | 57,024,921 | ||
| Georgia - 0.7% | |||
| Bartow County Dev. Auth. (Georgia Pwr. Co. Plant Bowen Proj.) Series 2022: | |||
| 4.2% 6/1/23, VRDN (b)(d) | 17,350,000 | 17,350,000 | |
| 4.35% 6/1/23, VRDN (b)(d) | 5,500,000 | 5,500,000 | |
| Buford Hsg. Auth. Multifamily Participating VRDN Series XF 31 18, 3.81% 6/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | 1,600,000 | 1,600,000 | |
| Private Colleges & Univs. Auth. Rev. Participating VRDN Series Floaters XM 04 35, 3.44% 6/7/23 (Liquidity Facility Barclays Bank PLC) (b)(g)(h) | 3,000,000 | 3,000,000 | |
TOTAL GEORGIA | 27,450,000 | ||
| Hawaii - 0.1% | |||
| Hawaii Arpts. Sys. Rev. Participating VRDN: | |||
| Series XG 03 86, 3.71% 6/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(h) | 2,200,000 | 2,200,000 | |
| Series XM 10 55, 3.71% 6/7/23 (Liquidity Facility Morgan Stanley Bank, West Valley City Utah) (b)(d)(g)(h) | 1,800,000 | 1,800,000 | |
TOTAL HAWAII | 4,000,000 | ||
| Idaho - 0.0% | |||
| Idaho Hsg. & Fin. Assoc. Single Family Mtg. Series A, 3.11% 6/7/23 (Liquidity Facility Fannie Mae) (Liquidity Facility Freddie Mac), VRDN (b) | 500,000 | 500,000 | |
| Illinois - 1.1% | |||
| Chicago O'Hare Int'l. Arpt. Rev. Participating VRDN: | |||
| Series 2022 XL 03 14, 3.71% 6/7/23 (Liquidity Facility JPMorgan Chase Bank) (b)(d)(g)(h) | 10,700,000 | 10,700,000 | |
| Series XF 14 24, 3.73% 6/7/23 (Liquidity Facility JPMorgan Chase Bank) (b)(d)(g)(h) | 5,000,000 | 5,000,000 | |
| Series XM 10 41, 3.73% 6/7/23 (Liquidity Facility JPMorgan Chase Bank) (b)(d)(g)(h) | 13,200,000 | 13,200,000 | |
| Illinois Edl. Facilities Auth. Rev.: | |||
| Series 1995, 3.2% 6/2/23, CP | 5,000,000 | 4,999,924 | |
| Series 2023, 3.45% 7/6/23, CP | 4,500,000 | 4,499,919 | |
| Illinois Fin. Auth. Edl. Facilities Rev. Participating VRDN Series XF 30 97, 3.81% 6/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | 4,095,000 | 4,095,000 | |
| Reg'l. Transn Auth. Extend Series 2005 B, 4.35% 6/7/23, VRDN (b) | 1,005,000 | 1,005,000 | |
TOTAL ILLINOIS | 43,499,843 | ||
| Indiana - 0.2% | |||
| Indiana Fin. Auth. Rev. Series 2023 D2, 3.33% tender 6/6/23, CP mode | 2,375,000 | 2,374,824 | |
| Indiana Univ. Student Fee Revs. Series 2023, 2.85% 6/9/23, CP | 4,783,000 | 4,781,894 | |
TOTAL INDIANA | 7,156,718 | ||
| Kansas - 0.2% | |||
| Burlington Envir. Impt. Rev. (Kansas City Pwr. and Lt. Co. Proj.) Series 2007 A, 3.48% 6/7/23, VRDN (b) | 5,000,000 | 5,000,000 | |
| Wichita Gen. Oblig. BAN Series 310, 5% 10/13/23 | 5,000,000 | 5,028,383 | |
TOTAL KANSAS | 10,028,383 | ||
| Kentucky - 0.4% | |||
| Meade County Indl. Bldg. Rev. (Nucor Steel Brandenburg Proj.): | |||
| Series 2020 A1, 4.95% 6/1/23, VRDN (b)(d) | 13,820,000 | 13,820,000 | |
| Series 2020 B1, 4.95% 6/1/23, VRDN (b)(d) | 800,000 | 800,000 | |
TOTAL KENTUCKY | 14,620,000 | ||
| Louisiana - 0.6% | |||
| Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.) Series 2010 A1, 3.94% 6/7/23, VRDN (b) | 24,220,000 | 24,220,000 | |
| Maryland - 0.2% | |||
| Baltimore County Gen. Oblig. Participating VRDN Series 2022 032, 3.71% 7/12/23 (Liquidity Facility Barclays Bank PLC) (b)(g)(h) | 1,600,000 | 1,600,000 | |
| Baltimore Proj. Rev. Bonds Series Floaters G 42, 3.61%, tender 1/2/24 (Liquidity Facility Royal Bank of Canada) (b)(g)(h)(i) | 2,300,000 | 2,300,000 | |
| Integrace Obligated Group Participating VRDN Series 2022 024, 3.71% 7/12/23 (Liquidity Facility Barclays Bank PLC) (b)(g)(h) | 3,700,000 | 3,700,000 | |
TOTAL MARYLAND | 7,600,000 | ||
| Massachusetts - 0.1% | |||
| Massachusetts Bay Trans. Auth.: | |||
| Series 2023 B, 3.72% 6/22/23, CP | 3,500,000 | 3,500,373 | |
| Series 2023, 3.3% 8/1/23, CP | 1,400,000 | 1,399,903 | |
TOTAL MASSACHUSETTS | 4,900,276 | ||
| Michigan - 0.3% | |||
| Michigan Fin. Auth. Rev. RAN Series 2022 A: | |||
| 5% 7/20/23 | 400,000 | 400,793 | |
| 5% 8/21/23, LOC JPMorgan Chase Bank | 3,790,000 | 3,801,512 | |
| St Joseph Hosp. Fa Hsp Rev. Series 2002, 3.42% 6/7/23 (Assured Guaranty Muni. Corp. Insured), VRDN (b) | 7,020,000 | 7,020,000 | |
| Univ. of Michigan Rev. Series 2023 L1, 3.25% 9/7/23, CP | 390,000 | 389,940 | |
TOTAL MICHIGAN | 11,612,245 | ||
| Minnesota - 0.1% | |||
| Minneapolis Health Care Sys. Rev. (Fairview Health Svcs.) Series 2018 C, 3.85% 6/1/23, LOC Wells Fargo Bank NA, VRDN (b) | 2,670,000 | 2,670,000 | |
| Roseville Multi-family Hsg. Participating VRDN Series XF 30 34, 3.81% 6/1/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | 1,800,000 | 1,800,000 | |
TOTAL MINNESOTA | 4,470,000 | ||
| Mississippi - 0.3% | |||
| Mississippi Bus. Fin. Corp. Rev. (Mississippi Pwr. Co. Proj.) Series 1999, 4.25% 6/1/23, VRDN (b)(d) | 8,900,000 | 8,900,000 | |
| Mississippi Bus. Fin. Corp. Solid Waste Disp. Rev.: | |||
| (Gulf Pwr. Co. Proj.) Series 2012, 4.05% 6/1/23, VRDN (b)(d) | 3,000,000 | 3,000,000 | |
| (Mississippi Pwr. Co. Proj.) Series 1995, 4.35% 6/1/23, VRDN (b)(d) | 100,000 | 100,000 | |
TOTAL MISSISSIPPI | 12,000,000 | ||
| Missouri - 0.1% | |||
| Kansas City Indl. Dev. Auth. Participating VRDN Series XL 03 3, 3.73% 6/7/23 (Liquidity Facility JPMorgan Chase Bank) (b)(d)(g)(h) | 4,900,000 | 4,900,000 | |
| Montana - 0.0% | |||
| Montana Board of Hsg. Participating VRDN Series Floater MIZ 90 61, 3.81% 7/5/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i) | 290,821 | 290,821 | |
| New Jersey - 0.3% | |||
| Hudson County Impt. Auth. Rev. BAN Series 2022 B1, 3% 8/4/23 | 6,276,000 | 6,271,101 | |
| Newark Gen. Oblig. BAN Series 2022 D, 4% 9/29/23 | 3,000,000 | 2,997,978 | |
| Trenton Gen. Oblig. BAN Series 2023, 6% 5/31/24 (e) | 5,000,000 | 5,102,511 | |
TOTAL NEW JERSEY | 14,371,590 | ||
| New Mexico - 0.1% | |||
| New Mexico St Hosp. Equip. Ln. Co. Participating VRDN Series 2022 034, 3.71% 7/12/23 (Liquidity Facility Barclays Bank PLC) (b)(g)(h) | 2,100,000 | 2,100,000 | |
| New York - 2.4% | |||
| New York City Gen. Oblig.: | |||
| Series 2006, 4.25% 6/2/23 (Assured Guaranty Muni. Corp. Insured), VRDN (b) | 5,100,000 | 5,100,000 | |
| Series 2012 2, 3.61% 6/8/23, VRDN (b) | 22,800,000 | 22,800,000 | |
| New York Pwr. Auth.: | |||
| Series 2022 2, 3.25% 6/7/23, CP | 8,573,000 | 8,572,173 | |
| Series 2023, 3.15% 8/2/23, CP | 4,000,000 | 3,996,950 | |
| New York Trans. Dev. Corp. Participating VRDN Series 2022 E 154, 3.51% 6/7/23 (Liquidity Facility Royal Bank of Canada) (b)(d)(g)(h) | 10,000,000 | 10,000,000 | |
| RIB Floater Trust Various States Participating VRDN Series Floater 2022 007, 3.81% 7/12/23 (Liquidity Facility Barclays Bank PLC) (b)(d)(g)(h) | 23,500,000 | 23,500,000 | |
| Rochester Gen. Oblig. BAN Series 2022 III, 4% 8/2/23 | 15,000,000 | 15,005,864 | |
| South Huntington Union Free School District TAN Series 2022, 4% 6/28/23 | 5,000,000 | 5,000,606 | |
| South Jefferson Central School District BAN Series 2023, 4% 2/9/24 | 1,970,000 | 1,968,054 | |
| Westhill Cent School District Gedd BAN Series 2022, 4% 6/28/23 | 2,500,000 | 2,500,608 | |
TOTAL NEW YORK | 98,444,255 | ||
| North Carolina - 0.2% | |||
| Hertford County Indl. Facilities Poll. Cont. Fing. Auth. Series 2000 B, 4% 6/7/23, VRDN (b)(d) | 8,300,000 | 8,300,000 | |
| North Dakota - 0.0% | |||
| Basin Elec. Pwr. Coop. Series 2023 1, 3.8% 6/6/23 (Liquidity Facility Nat'l. Rural Utils. Coop. Fin. Corp.), CP | 2,000,000 | 1,999,980 | |
| Ohio - 0.6% | |||
| Allen County Hosp. Facilities Rev. Series 2012 B, 3.8% 6/7/23 (Liquidity Facility Ohio Gen. Oblig.), VRDN (b) | 3,100,000 | 3,100,000 | |
| American Muni. Pwr. BAN (City of Wapakoneta Proj.) Series 2022, 3.5% 6/22/23 | 1,000,000 | 999,677 | |
| Hamilton Gen. Oblig. BAN Series 2022, 4% 12/28/23 | 2,145,000 | 2,149,429 | |
| Lake County Gen. Oblig. BAN Series 2023, 4% 12/28/23 | 1,850,000 | 1,847,873 | |
| Lorain County Gen. Oblig. BAN Series 2022 B, 4.5% 12/14/23 | 1,595,000 | 1,592,971 | |
| Newark Gen. Oblig. BAN Series 2022, 4% 9/26/23 | 2,890,000 | 2,889,651 | |
| Ohio Hosp. Rev.: | |||
| Series 2013 B, 3.87% 6/7/23, VRDN (b) | 4,995,000 | 4,995,000 | |
| Series 2021 B, 3.61% 6/1/23, VRDN (b) | 3,000,000 | 3,000,000 | |
| Sandusky Gen. Oblig. BAN Series 2022, 5% 9/7/23 | 2,400,000 | 2,402,080 | |
TOTAL OHIO | 22,976,681 | ||
| Oklahoma - 0.5% | |||
| Oklahoma Dev. Fin. Auth. Health Sys. Rev. Series 2020 B, 3.95% 6/8/26, VRDN (b) | 17,855,000 | 17,855,000 | |
| Steele Duncan Plaza, LLC Participating VRDN Series MIZ 91 03, 3.81% 7/5/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i) | 1,300,000 | 1,300,000 | |
TOTAL OKLAHOMA | 19,155,000 | ||
| Pennsylvania - 0.7% | |||
| Central Bradford Progress Auth. Rev. Series 2021 D, 3.97% 6/7/23, VRDN (b) | 6,455,000 | 6,455,000 | |
| Montgomery County Higher Ed. & Health Auth. Rev. Series 2018 D, 3.91% 6/8/26, VRDN (b) | 10,000,000 | 10,000,000 | |
| Pennsylvania Econ. Dev. Fing. Auth. Exempt Facilities Rev. Series 2009 B, 4.95% 6/7/23, LOC MUFG Bank Ltd., VRDN (b) | 5,000,000 | 5,000,000 | |
| Philadelphia Auth. for Indl. Dev. Series 2017 B, 3.91% 6/8/26, VRDN (b) | 7,465,000 | 7,465,000 | |
TOTAL PENNSYLVANIA | 28,920,000 | ||
| South Carolina - 0.2% | |||
| County Square Redev. Corp. BAN Series 2023, 5% 2/9/24 | 6,000,000 | 6,048,180 | |
| South Carolina Jobs-Econ. Dev. Auth. Series 2018 C, 3.94% 6/8/26, VRDN (b) | 2,000,000 | 2,000,000 | |
| South Carolina Pub. Svc. Auth. Rev. Series 2023, 3.05% 6/6/23, LOC Barclays Bank PLC, CP | 2,013,000 | 2,012,876 | |
TOTAL SOUTH CAROLINA | 10,061,056 | ||
| Tennessee - 0.7% | |||
| Chattanooga Health Ed. & Hsg. Facility Board Rev. (Catholic Health Initiatives Proj.) Series C, 3.7% 6/7/23, VRDN (b) | 14,475,000 | 14,475,000 | |
| Greeneville Health & Edl. Facilities Board Series 2018 B, 3.35% 6/7/23, LOC U.S. Bank NA, Cincinnati, VRDN (b) | 800,000 | 800,000 | |
| Tennessee Gen. Oblig.: | |||
| Series 2023 A, 3.65% 8/9/23 (Liquidity Facility Tennessee Consldatd Retire Sys.), CP | 12,500,000 | 12,500,290 | |
| Series 2023, 3.45% 8/1/23 (Liquidity Facility Tennessee Consldatd Retire Sys.), CP | 1,125,000 | 1,123,972 | |
TOTAL TENNESSEE | 28,899,262 | ||
| Texas - 2.9% | |||
| Ep Machuca Lp Participating VRDN Series MIZ 91 04, 3.81% 7/5/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h)(i) | 1,900,000 | 1,900,000 | |
| Grand Parkway Trans. Corp. Participating VRDN Series XF 02 28, 3.56% 6/7/23 (b)(g)(h) | 5,000,000 | 5,000,000 | |
| Harris County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
| Series 2023 B1, 3.23% tender 6/1/23, CP mode | 6,000,000 | 5,999,979 | |
| Series 2023 B2, 3.45% tender 8/1/23, CP mode | 3,400,000 | 3,399,658 | |
| Series 2023 B3, 3.45% tender 7/6/23, CP mode | 3,500,000 | 3,499,938 | |
| Harris County Gen. Oblig. Series 2023 D2, 3.6% 6/5/23 (Liquidity Facility State Street Bank & Trust Co., Boston), CP | 8,570,000 | 8,570,153 | |
| Houston Arpt. Sys. Rev. 3.5% 6/22/23, CP | 3,500,000 | 3,499,979 | |
| Houston Higher Ed. Fin. Corp. Higher Ed. Rev. Series 2023 A, 3.3% 8/1/23, CP | 1,505,000 | 1,504,851 | |
| Houston Higher Ed. Fing. Corp. Series 2023: | |||
| 3.1% 6/1/23, CP | 1,240,000 | 1,239,968 | |
| 3.1% 7/6/23, CP | 1,125,000 | 1,123,961 | |
| Love Field Arpt. Modernization Rev. Series 2023, 3.5% 8/1/23, LOC JPMorgan Chase Bank, CP (d) | 500,000 | 499,905 | |
| Lower Colorado River Auth. Rev. Series 2023 B, 3.45% 8/30/23, LOC State Street Bank & Trust Co., Boston, CP | 1,257,000 | 1,257,000 | |
| Mizuho Floater / Residual Trust V Participating VRDN Series MIZ 91 24, 3.81% 7/5/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | 11,100,000 | 11,100,000 | |
| Port Arthur Navigation District Envir. Facilities Rev. (Motiva Enterprises LLC Proj.): | |||
| Series 2001 A, 4.25% 6/1/23, VRDN (b) | 7,600,000 | 7,600,000 | |
| Series 2004, 3.58% 6/7/23, VRDN (b)(d) | 25,215,000 | 25,215,000 | |
| Series 2010 C, 4.25% 6/1/23, VRDN (b) | 2,900,000 | 2,900,000 | |
| Series 2010 D: | |||
3.6% 6/7/23, VRDN (b) | 6,400,000 | 6,400,000 | |
3.63% 6/7/23, VRDN (b) | 1,200,000 | 1,200,000 | |
| San Antonio Elec. & Gas Sys. Rev.: | |||
| Series 2022, 3.25% 7/13/23 (Liquidity Facility Bank of America NA), CP | 9,000,000 | 8,993,498 | |
| Series 2023 A2, 3.2% 8/10/23 (Liquidity Facility Bank of America NA), CP | 5,000,000 | 4,994,737 | |
| San Antonio Wtr. Sys. Rev. Participating VRDN Series XF 14 47, 3.44% 6/7/23 (Liquidity Facility Bank of America NA) (b)(g)(h) | 2,000,000 | 2,000,000 | |
| Univ. of Texas Board of Regents Sys. Rev. Series 2023, 3.2% 8/1/23 (Liquidity Facility Univ. of Texas Invt. Mgmt. Co.), CP | 9,000,000 | 8,987,220 | |
TOTAL TEXAS | 116,885,847 | ||
| Utah - 0.1% | |||
| Murray City Hosp. Rev. Series 2003 B, 3.25% 6/7/23, VRDN (b) | 3,500,000 | 3,500,000 | |
| Washington - 0.1% | |||
| Washington Econ. Dev. Fin. Auth. Rev. Participating VRDN Series Floaters 005, 3.71% 7/12/23 (Liquidity Facility Barclays Bank PLC) (b)(d)(g)(h) | 4,900,000 | 4,900,000 | |
| West Virginia - 0.1% | |||
| West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 E, 3.92% 6/8/26, VRDN (b) | 3,455,000 | 3,455,000 | |
| Wisconsin - 0.8% | |||
| Kestrel Heights Facilities, Ll Participating VRDN Series XF 30 95, 3.81% 6/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | 2,800,000 | 2,800,000 | |
| PMA Levy & Aid Anticipation Nts Prog. TRAN: | |||
| Series 2022 A: | |||
4% 6/23/23 | 1,500,000 | 1,500,128 | |
4% 9/27/23 | 3,000,000 | 2,999,638 | |
| Series 2022 B, 4% 9/27/23 | 3,500,000 | 3,499,578 | |
| Pub. Fin. Auth. Ed. Rev. Mountain Island Charter School Participating VRDN Series XF 30 99, 3.81% 6/7/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(g)(h) | 2,900,000 | 2,900,000 | |
| Waushara County Wis BAN Series 2023 A, 4.75% 12/1/23 | 6,100,000 | 6,110,610 | |
| Wisconsin Health & Edl. Facilities Series 2020 C, 4.76% 6/8/26, VRDN (b) | 9,750,000 | 9,750,000 | |
| Wisconsin Health & Edl. Facilities Auth. Rev. Series 2022 A, 4.76% 6/7/23, VRDN (b) | 2,000,000 | 2,000,000 | |
TOTAL WISCONSIN | 31,559,954 | ||
| TOTAL MUNICIPAL NOTES (Cost $820,219,007) | 819,831,601 | ||
| Municipal Bond Funds - 5.2% | |||
| Shares | Value ($) | ||
| JPMorgan Ultra-Short Municipal Income ETF | 4,116,671 | 208,303,553 | |
| Nuveen NY AMT-Free Quality Municipal Income Fund Preferred Shares 3.86% (b)(f)(j) | 6,800,000 | 6,800,000 | |
| TOTAL MUNICIPAL BOND FUNDS (Cost $215,301,783) | 215,103,553 | ||
| Short-Term Funds - 7.4% | |||
| Shares | Value ($) | ||
| Federated Hermes Municipal Ultrashort Fund Institutional Shares | 6,124,042 | 60,628,012 | |
| Vanguard Short-Term Tax-Exempt Fund Admiral Shares | 15,747,851 | 245,351,509 | |
| TOTAL SHORT-TERM FUNDS (Cost $312,438,863) | 305,979,521 | ||
| Money Market Funds - 9.5% | |||
Principal Amount (a) | Value ($) | ||
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.02% (k)(l) | 190,771,386 | 190,771,386 | |
| Fidelity Municipal Cash Central Fund 3.74% (m)(n) | 29,061,188 | 29,067,000 | |
| Fidelity SAI Municipal Money Market Fund 3.40% (k)(l) | 156,839,787 | 156,886,839 | |
| State Street Institutional U.S. Government Money Market Fund Premier Class 5.02% (k) | 14,311,150 | 14,311,150 | |
| TOTAL MONEY MARKET FUNDS (Cost $390,981,668) | 391,036,375 | ||
| TOTAL INVESTMENT IN SECURITIES - 100.4% (Cost $4,175,358,041) | 4,130,102,543 |
NET OTHER ASSETS (LIABILITIES) - (0.4)% | (18,400,055) |
| NET ASSETS - 100.0% | 4,111,702,488 |
Security Type Abbreviations
| BAN | - | BOND ANTICIPATION NOTE |
| CP | - | COMMERCIAL PAPER |
| ETF | - | EXCHANGE-TRADED FUND |
| RAN | - | REVENUE ANTICIPATION NOTE |
| TAN | - | TAX ANTICIPATION NOTE |
| TRAN | - | TAX AND REVENUE ANTICIPATION NOTE |
| VRDN | - | VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly) |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (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) | Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals. |
| (e) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (f) | 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 $113,696,458 or 2.8% of net assets. |
| (g) | Provides evidence of ownership in one or more underlying municipal bonds. |
| (h) | Coupon rates are determined by re-marketing agents based on current market conditions. |
| (i) | Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $35,950,821 or 0.9% of net assets. |
| (j) | Non-income producing |
| (k) | The rate quoted is the annualized seven-day yield of the fund at period end. |
| (l) | Affiliated Fund |
| (m) | Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Municipal Cash Central Fund. |
| (n) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| Additional information on each restricted holding is as follows: | ||
| Security | Acquisition Date | Acquisition Cost ($) |
| Baltimore Proj. Rev. Bonds Series Floaters G 42, 3.61%, tender 1/2/24 (Liquidity Facility Royal Bank of Canada) | 1/03/23 | 2,300,000 |
| Ep Machuca Lp Participating VRDN Series MIZ 91 04, 3.81% 7/5/23 (Liquidity Facility Mizuho Cap. Markets LLC) | 8/05/22 | 1,900,000 |
| Miami Dade County Hsg. Multifamily Hsg. Rev. Participating VRDN Series Floater MIZ 90 87, 3.81% 7/5/23 (Liquidity Facility Mizuho Cap. Markets LLC) | 1/27/22 | 1,035,000 |
| Montana Board of Hsg. Participating VRDN Series Floater MIZ 90 61, 3.81% 7/5/23 (Liquidity Facility Mizuho Cap. Markets LLC) | 8/17/22 | 290,821 |
| San Francisco City & County Multi-family Hsg. Rev. Participating VRDN Series MIZ 90 63, 3.81% 7/5/23 (Liquidity Facility Mizuho Cap. Markets LLC) | 2/18/21 | 16,325,000 |
| San Francisco City & County Multi-family Hsg. Rev. Participating VRDN Series MIZ 91 15, 3.81% 7/5/23 (Liquidity Facility Mizuho Cap. Markets LLC) | 12/19/22 - 1/30/23 | 12,800,000 |
| Steele Duncan Plaza, LLC Participating VRDN Series MIZ 91 03, 3.81% 7/5/23 (Liquidity Facility Mizuho Cap. Markets LLC) | 8/11/22 | 1,300,000 |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Municipal Cash Central Fund 3.74% | 92,097,000 | 291,862,001 | 354,892,000 | 533,527 | 218 | (219) | 29,067,000 | 1.5% |
| Total | 92,097,000 | 291,862,001 | 354,892,000 | 533,527 | 218 | (219) | 29,067,000 | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | 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 5.02% | 167,772,403 | 757,658,320 | 734,659,299 | 7,106,229 | (38) | - | 190,771,386 |
| Fidelity SAI Municipal Money Market Fund 3.40% | 461,165,608 | 61,910,076 | 366,249,403 | 5,783,637 | (11,414) | 71,972 | 156,886,839 |
| 628,938,011 | 819,568,396 | 1,100,908,702 | 12,889,866 | (11,452) | 71,972 | 347,658,225 |
Amounts in the dividend 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.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2023, 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 | 3,217,983,094 | - | 3,217,983,094 | - |
| Municipal Bond Funds | 215,103,553 | 208,303,553 | 6,800,000 | - |
| Short-Term Funds | 305,979,521 | 305,979,521 | - | - |
| Money Market Funds | 391,036,375 | 391,036,375 | - | - |
| Total Investments in Securities: | 4,130,102,543 | 905,319,449 | 3,224,783,094 | - |
| Statement of Assets and Liabilities | ||||
| May 31, 2023 | ||||
| Assets | ||||
| Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $3,798,687,523) | $ | 3,753,377,318 | ||
Fidelity Central Funds (cost $29,066,873) | 29,067,000 | |||
Other affiliated issuers (cost $347,603,645) | 347,658,225 | |||
| Total Investment in Securities (cost $4,175,358,041) | $ | 4,130,102,543 | ||
| Cash | 13,421,557 | |||
| Receivable for investments sold | 10,208,111 | |||
| Receivable for fund shares sold | 5,017,103 | |||
| Dividends receivable | 480,111 | |||
| Interest receivable | 33,326,432 | |||
| Distributions receivable from Fidelity Central Funds | 47,993 | |||
| Prepaid expenses | 10,754 | |||
| Other receivables | 4,916 | |||
Total assets | 4,192,619,520 | |||
| Liabilities | ||||
| Payable for investments purchased | ||||
Regular delivery | $ | 31,178,878 | ||
Delayed delivery | 34,875,015 | |||
| Payable for fund shares redeemed | 5,748,955 | |||
| Distributions payable | 8,866,080 | |||
| Accrued management fee | 186,433 | |||
| Other payables and accrued expenses | 61,671 | |||
| Total Liabilities | 80,917,032 | |||
| Net Assets | $ | 4,111,702,488 | ||
| Net Assets consist of: | ||||
| Paid in capital | $ | 4,170,739,441 | ||
| Total accumulated earnings (loss) | (59,036,953) | |||
| Net Assets | $ | 4,111,702,488 | ||
Net Asset Value , offering price and redemption price per share ($4,111,702,488 ÷ 414,687,619 shares) | $ | 9.92 | ||
| Statement of Operations | ||||
Year ended May 31, 2023 | ||||
| Investment Income | ||||
| Dividends: | ||||
| Unaffiliated issuers | $ | 8,457,066 | ||
| Affiliated issuers | 12,886,886 | |||
| Interest | 62,161,596 | |||
| Income from Fidelity Central Funds | 533,112 | |||
| Total Income | 84,038,660 | |||
| Expenses | ||||
| Management fee | $ | 13,368,651 | ||
| Custodian fees and expenses | 35,726 | |||
| Independent trustees' fees and expenses | 28,387 | |||
| Registration fees | 41,869 | |||
| Audit | 69,317 | |||
| Legal | 6,176 | |||
| Miscellaneous | 31,632 | |||
| Total expenses before reductions | 13,581,758 | |||
| Expense reductions | (10,545,066) | |||
| Total expenses after reductions | 3,036,692 | |||
| Net Investment income (loss) | 81,001,968 | |||
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers | (4,665,174) | |||
| Fidelity Central Funds | 218 | |||
| Other affiliated issuers | (11,452) | |||
| Capital gain distributions from underlying funds: | ||||
| Affiliated issuers | 3,395 | |||
| Total net realized gain (loss) | (4,673,013) | |||
| Change in net unrealized appreciation (depreciation) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers | 1,218,945 | |||
| Fidelity Central Funds | (219) | |||
| Other affiliated issuers | 71,972 | |||
| Total change in net unrealized appreciation (depreciation) | 1,290,698 | |||
| Net gain (loss) | (3,382,315) | |||
| Net increase (decrease) in net assets resulting from operations | $ | 77,619,653 | ||
| Statement of Changes in Net Assets | ||||
Year ended May 31, 2023 | Year ended May 31, 2022 | |||
| Increase (Decrease) in Net Assets | ||||
| Operations | ||||
| Net investment income (loss) | $ | 81,001,968 | $ | 23,958,203 |
| Net realized gain (loss) | (4,673,013) | (8,614,984) | ||
| Change in net unrealized appreciation (depreciation) | 1,290,698 | (64,441,194) | ||
| Net increase (decrease) in net assets resulting from operations | 77,619,653 | (49,097,975) | ||
| Distributions to shareholders | (80,814,554) | (23,902,105) | ||
| Share transactions | ||||
| Proceeds from sales of shares | 1,807,729,207 | 1,479,201,995 | ||
| Reinvestment of distributions | 16,099 | 5,311 | ||
| Cost of shares redeemed | (2,252,260,067) | (2,236,352,971) | ||
Net increase (decrease) in net assets resulting from share transactions | (444,514,761) | (757,145,665) | ||
| Total increase (decrease) in net assets | (447,709,662) | (830,145,745) | ||
| Net Assets | ||||
| Beginning of period | 4,559,412,150 | 5,389,557,895 | ||
| End of period | $ | 4,111,702,488 | $ | 4,559,412,150 |
| Other Information | ||||
| Shares | ||||
| Sold | 182,390,011 | 147,957,299 | ||
| Issued in reinvestment of distributions | 1,624 | 532 | ||
| Redeemed | (227,349,965) | (224,667,170) | ||
| Net increase (decrease) | (44,958,330) | (76,709,339) | ||
Financial Highlights
| Strategic Advisers® Tax-Sensitive Short Duration Fund |
| Years ended May 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
| Net asset value, beginning of period | $ | 9.92 | $ | 10.05 | $ | 10.02 | $ | 10.03 | $ | 9.99 |
| Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .190 | .044 | .067 | .159 | .174 | |||||
| Net realized and unrealized gain (loss) | .001 C | (.130) | .034 | (.006) | .042 | |||||
| Total from investment operations | .191 | (.086) | .101 | .153 | .216 | |||||
| Distributions from net investment income | (.191) | (.044) | (.070) | (.159) | (.173) | |||||
| Distributions from net realized gain | - | - | (.001) | (.004) | (.003) | |||||
| Total distributions | (.191) | (.044) | (.071) | (.163) | (.176) | |||||
| Net asset value, end of period | $ | 9.92 | $ | 9.92 | $ | 10.05 | $ | 10.02 | $ | 10.03 |
Total Return D,E | 1.94% | (.85)% | 1.01% | 1.53% | 2.19% | |||||
Ratios to Average Net Assets B,F,G | ||||||||||
| Expenses before reductions | .32% | .32% | .33% | .34% | .37% | |||||
| Expenses net of fee waivers, if any | .07% | .07% | .08% | .09% | .12% | |||||
| Expenses net of all reductions | .07% | .07% | .08% | .09% | .12% | |||||
| Net investment income (loss) | 1.92% | .44% | .66% | 1.59% | 1.74% | |||||
| Supplemental Data | ||||||||||
| Net assets, end of period (000 omitted) | $ | 4,111,702 | $ | 4,559,412 | $ | 5,389,558 | $ | 3,368,491 | $ | 3,415,877 |
Portfolio turnover rate H | 80% | 53% | 86% | 81% | 57% |
A Calculated based on average shares outstanding during the period.
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
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 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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended May 31, 2023
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 managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 services or from brokers who make markets in such securities. Municipal securities are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
ETFs are valued at their last sale price or official closing price as reported by a third party pricing service 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.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2023 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 any underlying mutual funds or exchange-traded funds (ETFs) 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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
| Strategic Advisers Tax-Sensitive Short Duration Fund | $4,916 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), market discount, 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 | $909,441 |
| Gross unrealized depreciation | (46,119,806) |
| Net unrealized appreciation (depreciation) | $(45,210,365) |
| Tax Cost | $4,175,312,908 |
The tax-based components of distributable earnings as of period end were as follows:
| Capital loss carryforward | $(13,616,284) |
| Net unrealized appreciation (depreciation) on securities and other investments | $(45,210,365) |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
| Short-term | $(4,037,086) |
| Long-term | (9,579,198) |
| Total capital loss carryforward | $(13,616,284) |
The tax character of distributions paid was as follows:
| May 31, 2023 | May 31, 2022 | |
| Tax-exempt Income | $77,084,191 | $23,844,568 |
| Ordinary Income | 3,730,363 | 57,537 |
| Total | $80,814,554 | $23,902,105 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds 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. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). Funds 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 held at period end is included at the end of the Schedule of Investments, if applicable.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Strategic Advisers Tax-Sensitive Short Duration Fund | 2,565,871,942 | 2,714,968,309 |
4. Fees and Other Transactions with Affiliates.
Management Fee . Strategic Advisers (the investment adviser) provides the Fund with investment management related services. For these services, the Fund pays a monthly management fee to the investment adviser. The management fee is calculated by adding the annual management fee rate of .25% of the Fund's average net assets throughout the month to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .32% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser), T. Rowe Price Associates, Inc. and Allspring Global Investments, LLC each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
| Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
| Strategic Advisers Tax-Sensitive Short Duration Fund | 1,370,000 | 28,255,316 | (491) |
5. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing 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 the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| Amount | |
| Strategic Advisers Tax-Sensitive Short Duration Fund | $8,147 |
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, 2025. During the period, this waiver reduced the Fund's management fee by $10,539,419.
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 $5,647.
8. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
Fund | Strategic Advisers Tax-Sensitive Short Duration Fund |
Fidelity SAI Municipal Money Market Fund | 100% |
9. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Tax-Sensitive Short Duration Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Tax-Sensitive Short Duration Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of May 31, 2023, the related statement of operations for the year ended May 31, 2023, the statement of changes in net assets for each of the two years in the period ended May 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2023 and the financial highlights for each of the five years in the period ended May 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2023 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 13, 2023
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
TRUSTEES AND OFFICERS
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity ® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's alternative investment, investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity®; funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives' Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women's Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), Secretary of the Ad Council, Inc. (2022-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women's accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women's Forum (2008-2010), Treasurer of the Massachusetts Women's Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President - Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity ® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption University (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and Chair of the Board of Directors and Chair of the Compensation Committee of Live Current Media, Inc. (2022-present). Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum's Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity ® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Assistant Secretary
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity ® funds (2016-2020) and Assistant Treasurer of certain Fidelity ® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity ® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity ® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2022 to May 31, 2023). |
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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio- A | Beginning Account Value December 1, 2022 | Ending Account Value May 31, 2023 | Expenses Paid During Period- C December 1, 2022 to May 31, 2023 | |||||||
| Strategic Advisers® Tax-Sensitive Short Duration Fund | .07% | |||||||||
| Actual | $ 1,000 | $ 1,013.30 | $ .35 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.58 | $ .35 | |||||||
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com .
A total of 24.50% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
During fiscal year ended 2023, 90.78% of the fund's income dividends was free from federal income tax, and 29.96% of the fund's income dividends was subject to the federal alternative minimum tax.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.
In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period December 1, 2021 through November 30, 2022. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.
 |
1.9885904.105
TSS-ANN-0723
Strategic Advisers® Short Duration Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Annual Report
May 31, 2023
Contents
To view a fund's proxy voting guidelines and 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. © 2023 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.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns | |||
Periods ended May 31, 2023 | Past 1 year | Past 5 years | Past 10 years |
| Strategic Advisers® Short Duration Fund | 2.52% | 1.61% | 1.34% |
| $10,000 Over 10 Years |
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Short Duration Fund on May 31, 2013. The chart shows how the value of your investment would have changed, and also shows how the Citigroup® 6-Month U.S. Treasury Bill Index performed over the same period. |
 |
Market Recap:
U.S. taxable investment-grade bonds returned -2.14% for the 12 months ending May 31, 2023, according to the Bloomberg U.S. Aggregate Bond Index. The first five months of the period saw a continuation of the notable bond market downturn that began in early 2022, when the U.S. Federal Reserve, faced with persistent inflationary pressure, began an aggressive series of interest rate hikes to combat it. The actions helped push nominal and real (inflation-adjusted) U.S. bond yields to their highest level in more than a decade. Bond prices, which move inversely to yields, fell sharply through October, and credit spreads widened, as investors demanded more yield for buying corporate debt and other credit-sensitive assets. In November, the bond market staged a broad rally (+3.68%) when comments by Fed Chair Powell pointed to a slowdown in the size of future rate hikes, and in December the Fed began raising rates in smaller increments. To date, the central bank has raised its benchmark rate ten times, by a total of 5.0 percentage points. With the market anticipating the end of the Fed's cycle later this year, the Aggregate index advanced 3.59% in the first four months of 2023 but returned -1.09% in May, when the continued strength of the labor market surprised analysts and suggested the Fed may need to keep rates higher for longer. For the full 12 months, short-term bonds outperformed longer-term issues, while higher-risk assets like corporate bonds and asset-backed securities outpaced U.S. Treasuries.
Comments from Lead Portfolio Manager Jonathan Duggan:
For the fiscal year ending May 31, 2023, the Fund gained 2.52%, trailing the 3.31% increase in the benchmark FTSE ® 6-Month U.S. Treasury Bill Index. We organize the Fund's investments into three categories: money market/low volatility; low duration (averaging less than one year); and short-term (an average duration of one to two years). During the 12-month reporting period, the fund's primary relative detractors were sub-adviser T. Rowe Price (+1%), along with Metropolitan West Low Duration Bond Fund (+0.2%) and Fidelity ® SAI Short-Term Bond Fund (+1%). All three managers are in the short-term group. Both the sharp rise in short-duration U.S. Treasury yields and widening credit spreads among short-maturity corporate bonds worked against their performance. On the plus side, sub-adviser FIAM ® (+4%) aided performance the most compared with the benchmark. FIAM runs a high-quality, investment-grade strategy that benefited from exposure to floating-rate corporate bonds and asset-backed securities. Having very limited interest rate sensitivity in its portfolio also bolstered this manager's performance. During the period, we added liquidity to the broader Fund by increasing certain low-duration holdings, such as Baird Ultra Short Bond Fund and the JPMorgan Ultra-Short Income exchange-traded fund. We also initiated a stake in Morgan Stanley Ultra-Short Income Portfolio, which has exposure to corporate credit and commercial paper, but seeks to maintain a stable net asset value. As of May 31, short-term yields were considerably higher than they were a year ago, providing more income potential for the Fund.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) | ||
| (excluding cash equivalents) | ||
| PIMCO Short-Term Fund Institutional Class | 10.4 | |
| JPMorgan Ultra-Short Income ETF | 8.5 | |
| Baird Ultra Short Bond Fund Institutional Class | 7.9 | |
| T. Rowe Price Ultra Short-Term Bond Fund | 5.4 | |
| iShares Ultra Short-Term Bond ETF | 4.7 | |
| iShares Lehman 1-3 Year Treasury Bond ETF | 4.3 | |
| Fidelity SAI Short-Term Bond Fund | 3.4 | |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.02% | 3.3 | |
| Baird Short-Term Bond Fund - Institutional Class | 3.0 | |
| iShares Short Maturity Bond ETF | 2.8 | |
Asset Allocation (% of Fund's net assets) |
 |
Futures - 2.2% |
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Showing Percentage of Net Assets
| Nonconvertible Bonds - 20.3% | |||
Principal Amount (a) | Value ($) | ||
| COMMUNICATION SERVICES - 0.8% | |||
| Diversified Telecommunication Services - 0.3% | |||
| KT Corp. 4% 8/8/25 (b) | 1,525,000 | 1,487,017 | |
| NBN Co. Ltd. 1.45% 5/5/26 (b) | 1,765,000 | 1,595,462 | |
| NTT Finance Corp.: | |||
| 0.583% 3/1/24 (b) | 2,184,000 | 2,106,413 | |
| 4.239% 7/25/25 (b) | 235,000 | 230,529 | |
| SBA Tower Trust 3.869% 10/8/49 (b) | 790,000 | 766,794 | |
| Verizon Communications, Inc.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.500% 5.4157% 3/22/24 (c)(d) | 2,563,000 | 2,560,940 | |
| 1.45% 3/20/26 | 1,155,000 | 1,056,730 | |
| 2.625% 8/15/26 | 1,615,000 | 1,516,318 | |
| 11,320,203 | |||
| Entertainment - 0.0% | |||
| Take-Two Interactive Software, Inc.: | |||
| 3.3% 3/28/24 | 955,000 | 935,601 | |
| 3.55% 4/14/25 | 340,000 | 329,113 | |
| 5% 3/28/26 | 950,000 | 946,047 | |
| 2,210,761 | |||
| Interactive Media & Services - 0.0% | |||
| Meta Platforms, Inc. 4.6% 5/15/28 | 645,000 | 644,602 | |
| Media - 0.4% | |||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.908% 7/23/25 | 4,035,000 | 3,967,865 | |
| Comcast Corp.: | |||
| 3.375% 8/15/25 | 655,000 | 636,166 | |
| 5.25% 11/7/25 | 380,000 | 384,767 | |
| COX Communications, Inc.: | |||
| 2.95% 6/30/23 (b) | 1,950,000 | 1,941,039 | |
| 3.15% 8/15/24 (b) | 2,021,000 | 1,979,888 | |
| 3.5% 8/15/27 (b) | 350,000 | 329,113 | |
| Magallanes, Inc.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.780% 6.668% 3/15/24 (c)(d) | 3,122,000 | 3,133,431 | |
| 3.755% 3/15/27 | 3,060,000 | 2,867,622 | |
| 6.412% 3/15/26 | 450,000 | 451,004 | |
| 15,690,895 | |||
| Wireless Telecommunication Services - 0.1% | |||
| Rogers Communications, Inc.: | |||
| 2.95% 3/15/25 (b) | 1,305,000 | 1,243,854 | |
| 3.2% 3/15/27 (b) | 1,365,000 | 1,270,729 | |
| T-Mobile U.S.A., Inc.: | |||
| 2.625% 4/15/26 | 255,000 | 237,572 | |
| 3.5% 4/15/25 | 1,150,000 | 1,115,108 | |
| 3,867,263 | |||
TOTAL COMMUNICATION SERVICES | 33,733,724 | ||
| CONSUMER DISCRETIONARY - 1.6% | |||
| Automobile Components - 0.0% | |||
| Aptiv PLC / Aptiv Corp. 2.396% 2/18/25 | 815,000 | 774,649 | |
| Automobiles - 1.2% | |||
| BMW U.S. Capital LLC: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.530% 5.4683% 4/1/24 (b)(c)(d) | 5,925,000 | 5,935,692 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.840% 5.7783% 4/1/25 (b)(c)(d) | 7,500,000 | 7,531,534 | |
| Daimler Finance North America LLC: | |||
| 0.75% 3/1/24 (b) | 2,000,000 | 1,930,067 | |
| 4.8% 3/30/26 (b) | 670,000 | 669,084 | |
| 4.95% 3/30/25 (b) | 5,525,000 | 5,510,988 | |
| General Motors Financial Co., Inc.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.000% 5.5807% 10/15/24 (c)(d) | 4,200,000 | 4,167,697 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 5.6246% 3/8/24 (c)(d) | 4,061,000 | 4,043,533 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.200% 6.2593% 11/17/23 (c)(d) | 5,000,000 | 5,005,911 | |
| 2.9% 2/26/25 | 2,035,000 | 1,938,996 | |
| 5.4% 4/6/26 | 495,000 | 492,805 | |
| Hyundai Capital Services, Inc. 2.125% 4/24/25 (b) | 380,000 | 356,211 | |
| Nissan Motor Acceptance Corp. 3.875% 9/21/23 (b) | 225,000 | 223,183 | |
| Nissan Motor Co. Ltd. 3.043% 9/15/23 (b) | 2,360,000 | 2,336,323 | |
| Stellantis Finance U.S., Inc. 1.711% 1/29/27 (b) | 675,000 | 596,687 | |
| Volkswagen Group of America Finance LLC: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.950% 5.7994% 6/7/24 (b)(c)(d) | 8,000,000 | 8,019,724 | |
| 0.875% 11/22/23 (b) | 590,000 | 576,749 | |
| 3.95% 6/6/25 (b) | 760,000 | 739,437 | |
| 50,074,621 | |||
| Broadline Retail - 0.0% | |||
| Nordstrom, Inc. 2.3% 4/8/24 | 150,000 | 143,277 | |
| Distributors - 0.0% | |||
| Genuine Parts Co. 1.75% 2/1/25 | 410,000 | 384,805 | |
| Diversified Consumer Services - 0.0% | |||
| ERAC U.S.A. Finance LLC 4.6% 5/1/28 (b) | 1,205,000 | 1,181,364 | |
| Hotels, Restaurants & Leisure - 0.2% | |||
| Hyatt Hotels Corp. 1.3% 10/1/23 | 565,000 | 556,396 | |
| Marriott International, Inc.: | |||
| 3.6% 4/15/24 | 1,750,000 | 1,726,286 | |
| 3.75% 3/15/25 | 180,000 | 174,928 | |
| 4.9% 4/15/29 | 200,000 | 196,182 | |
| 5.75% 5/1/25 | 190,000 | 192,088 | |
| Starbucks Corp.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.420% 5.4798% 2/14/24 (c)(d) | 4,193,000 | 4,193,084 | |
| 4.75% 2/15/26 | 765,000 | 764,134 | |
| 7,803,098 | |||
| Leisure Products - 0.1% | |||
| Brunswick Corp. 0.85% 8/18/24 | 1,190,000 | 1,117,396 | |
| Hasbro, Inc. 3% 11/19/24 | 1,915,000 | 1,841,613 | |
| 2,959,009 | |||
| Specialty Retail - 0.1% | |||
| Advance Auto Parts, Inc. 5.9% 3/9/26 | 210,000 | 212,805 | |
| AutoZone, Inc. 3.625% 4/15/25 | 485,000 | 470,915 | |
| Lowe's Companies, Inc.: | |||
| 3.35% 4/1/27 | 345,000 | 328,785 | |
| 4.4% 9/8/25 | 1,200,000 | 1,187,437 | |
| 4.8% 4/1/26 | 635,000 | 633,476 | |
| QVC, Inc. 4.85% 4/1/24 | 1,380,000 | 1,316,520 | |
| Ross Stores, Inc. 0.875% 4/15/26 | 690,000 | 613,378 | |
| Triton Container International Ltd. 0.8% 8/1/23 (b) | 1,350,000 | 1,335,656 | |
| 6,098,972 | |||
TOTAL CONSUMER DISCRETIONARY | 69,419,795 | ||
| CONSUMER STAPLES - 0.8% | |||
| Beverages - 0.1% | |||
| Coca-Cola European Partners PLC 0.8% 5/3/24 (b) | 2,010,000 | 1,924,204 | |
| Diageo Capital PLC 5.2% 10/24/25 | 605,000 | 610,617 | |
| 2,534,821 | |||
| Consumer Staples Distribution & Retail - 0.1% | |||
| 7-Eleven, Inc. 0.8% 2/10/24 (b) | 1,448,000 | 1,396,397 | |
| Dollar General Corp. 4.25% 9/20/24 | 2,665,000 | 2,628,727 | |
| Mars, Inc. 4.55% 4/20/28 (b) | 1,260,000 | 1,257,794 | |
| Mondelez International Holdings Netherlands BV 4.25% 9/15/25 (b) | 745,000 | 730,223 | |
| 6,013,141 | |||
| Food Products - 0.1% | |||
| JDE Peet's BV 0.8% 9/24/24 (b) | 515,000 | 480,192 | |
| Mondelez International, Inc. 2.625% 3/17/27 | 815,000 | 759,210 | |
| Viterra Finance BV 4.9% 4/21/27 (b) | 980,000 | 938,709 | |
| 2,178,111 | |||
| Personal Care Products - 0.0% | |||
| Kenvue, Inc.: | |||
| 5.35% 3/22/26 (b) | 410,000 | 416,729 | |
| 5.5% 3/22/25 (b) | 780,000 | 787,417 | |
| 1,204,146 | |||
| Tobacco - 0.5% | |||
| BAT Capital Corp. 3.222% 8/15/24 | 5,000,000 | 4,853,061 | |
| BAT International Finance PLC: | |||
| 1.668% 3/25/26 | 885,000 | 797,568 | |
| 4.448% 3/16/28 | 1,985,000 | 1,883,607 | |
| Imperial Tobacco Finance PLC: | |||
| 3.125% 7/26/24 (b) | 2,265,000 | 2,186,330 | |
| 4.25% 7/21/25 (b) | 505,000 | 486,533 | |
| Philip Morris International, Inc.: | |||
| 2.875% 5/1/24 | 5,000,000 | 4,880,503 | |
| 4.875% 2/13/26 | 800,000 | 798,403 | |
| 5% 11/17/25 | 500,000 | 500,786 | |
| 5.125% 11/15/24 | 5,000,000 | 5,002,723 | |
| 21,389,514 | |||
TOTAL CONSUMER STAPLES | 33,319,733 | ||
| ENERGY - 0.7% | |||
| Energy Equipment & Services - 0.0% | |||
| Baker Hughes Co. 1.231% 12/15/23 | 830,000 | 812,135 | |
| Schlumberger Finance Canada Ltd. 1.4% 9/17/25 | 290,000 | 268,802 | |
| 1,080,937 | |||
| Oil, Gas & Consumable Fuels - 0.7% | |||
| Aker BP ASA: | |||
| 2% 7/15/26 (b) | 500,000 | 450,836 | |
| 3% 1/15/25 (b) | 1,185,000 | 1,133,247 | |
| Canadian Natural Resources Ltd.: | |||
| 2.05% 7/15/25 | 1,430,000 | 1,342,785 | |
| 3.8% 4/15/24 | 735,000 | 721,996 | |
| Cheniere Corpus Christi Holdings LLC 5.875% 3/31/25 | 1,470,000 | 1,471,462 | |
| DCP Midstream Operating LP 5.375% 7/15/25 | 1,705,000 | 1,686,196 | |
| Devon Energy Corp. 8.25% 8/1/23 | 525,000 | 525,441 | |
| Enbridge, Inc.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.630% 5.6896% 2/16/24 (c)(d) | 4,149,000 | 4,142,287 | |
| 0.55% 10/4/23 | 5,000,000 | 4,914,460 | |
| 2.5% 1/15/25 | 1,115,000 | 1,064,829 | |
| 2.5% 2/14/25 | 615,000 | 585,887 | |
| Energy Transfer LP: | |||
| 2.9% 5/15/25 | 255,000 | 242,272 | |
| 4.2% 9/15/23 | 280,000 | 278,552 | |
| 4.25% 4/1/24 | 70,000 | 68,982 | |
| 4.9% 2/1/24 | 620,000 | 614,130 | |
| 5.875% 1/15/24 | 2,375,000 | 2,375,532 | |
| Eni SpA 4% 9/12/23 (b) | 1,610,000 | 1,599,873 | |
| Gray Oak Pipeline LLC: | |||
| 2% 9/15/23 (b) | 605,000 | 597,847 | |
| 2.6% 10/15/25 (b) | 385,000 | 354,955 | |
| Ovintiv, Inc. 5.65% 5/15/25 | 760,000 | 758,849 | |
| Pioneer Natural Resources Co. 5.1% 3/29/26 | 585,000 | 585,043 | |
| Sabine Pass Liquefaction LLC: | |||
| 5.625% 3/1/25 | 1,150,000 | 1,149,548 | |
| 5.75% 5/15/24 | 1,450,000 | 1,447,106 | |
| The Williams Companies, Inc.: | |||
| 4.3% 3/4/24 | 305,000 | 301,704 | |
| 5.4% 3/2/26 | 575,000 | 579,687 | |
| TransCanada PipeLines Ltd. 6.203% 3/9/26 | 1,495,000 | 1,497,213 | |
| 30,490,719 | |||
TOTAL ENERGY | 31,571,656 | ||
| FINANCIALS - 11.9% | |||
| Banks - 6.7% | |||
| Banco Bilbao Vizcaya Argentaria SA 0.875% 9/18/23 | 2,000,000 | 1,968,059 | |
| Banco del Estado de Chile 2.704% 1/9/25 (b) | 665,000 | 636,654 | |
| Banco Santander Mexico SA 5.375% 4/17/25 (Reg. S) | 1,300,000 | 1,291,128 | |
| Banco Santander SA: | |||
| 0.701% 6/30/24 (c) | 200,000 | 199,021 | |
| 3.496% 3/24/25 | 1,400,000 | 1,350,575 | |
| Bank of America Corp.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.660% 5.7251% 2/4/25 (c)(d) | 10,000,000 | 9,971,487 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 5.6946% 4/22/25 (c)(d) | 10,000,000 | 9,937,542 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.100% 6.0816% 4/25/25 (c)(d) | 10,000,000 | 10,030,442 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 5.08% 1/20/27 (c)(d) | 645,000 | 640,150 | |
| 0.523% 6/14/24 (c) | 1,210,000 | 1,207,474 | |
| 0.81% 10/24/24 (c) | 755,000 | 739,991 | |
| 0.976% 4/22/25 (c) | 1,050,000 | 1,005,997 | |
| 1.734% 7/22/27 (c) | 765,000 | 682,229 | |
| 1.843% 2/4/25 (c) | 850,000 | 826,469 | |
| 3.384% 4/2/26 (c) | 1,145,000 | 1,101,679 | |
| 3.841% 4/25/25 (c) | 815,000 | 801,081 | |
| Bank of Ireland Group PLC 4.5% 11/25/23 (b) | 3,145,000 | 3,108,395 | |
| Bank of Montreal: | |||
| 3.7% 6/7/25 | 1,490,000 | 1,444,173 | |
| 5.3% 6/5/26 | 745,000 | 745,875 | |
| Bank of Nova Scotia: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.440% 5.4057% 4/15/24 (c)(d) | 10,000,000 | 9,982,600 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.260% 5.1481% 9/15/23 (c)(d) | 5,000,000 | 4,996,712 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 5.3903% 7/31/24 (c)(d) | 5,000,000 | 4,984,537 | |
| 1.45% 1/10/25 | 1,720,000 | 1,613,962 | |
| Banque Federative du Credit Mutuel SA: | |||
| 0.65% 2/27/24 (b) | 860,000 | 827,348 | |
| 0.998% 2/4/25 (b) | 1,145,000 | 1,059,031 | |
| 4.935% 1/26/26 (b) | 650,000 | 645,106 | |
| Barclays PLC: | |||
| 1.007% 12/10/24 (c) | 1,100,000 | 1,065,835 | |
| 7.325% 11/2/26 (c) | 645,000 | 668,743 | |
| BPCE SA: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 5.528% 1/14/25 (b)(c)(d) | 3,533,000 | 3,509,513 | |
| 5.7% 10/22/23 (b) | 3,145,000 | 3,124,526 | |
| CaixaBank SA 6.208% 1/18/29 (b)(c) | 970,000 | 969,796 | |
| Canadian Imperial Bank of Commerce: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.340% 5.2556% 6/22/23 (c)(d) | 5,885,000 | 5,885,647 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.940% 5.8854% 4/7/25 (c)(d) | 5,000,000 | 5,007,296 | |
| 3.945% 8/4/25 | 1,935,000 | 1,874,906 | |
| Citigroup, Inc.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 5.6811% 1/25/26 (c)(d) | 10,000,000 | 9,901,919 | |
| 0.981% 5/1/25 (c) | 6,880,000 | 6,563,000 | |
| 4.14% 5/24/25 (c) | 1,070,000 | 1,052,829 | |
| Danske Bank A/S: | |||
| 1.226% 6/22/24 (b)(c) | 1,610,000 | 1,605,842 | |
| 3.773% 3/28/25 (b)(c) | 2,540,000 | 2,480,338 | |
| 5.375% 1/12/24 (b) | 775,000 | 769,190 | |
| 6.466% 1/9/26 (b)(c) | 3,260,000 | 3,264,047 | |
| Discover Bank 4.2% 8/8/23 | 1,075,000 | 1,070,829 | |
| DNB Bank ASA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.830% 5.761% 3/28/25 (b)(c)(d) | 10,000,000 | 9,953,127 | |
| Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.430% 5.4895% 5/21/24 (b)(c)(d) | 5,316,000 | 5,297,663 | |
| Fifth Third Bank, Cincinnati 5.852% 10/27/25 (c) | 1,480,000 | 1,444,635 | |
| HDFC Bank Ltd. 5.686% 3/2/26 (Reg. S) | 1,600,000 | 1,609,600 | |
| HSBC Holdings PLC: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.580% 5.6376% 11/22/24 (c)(d) | 10,000,000 | 9,894,140 | |
| 1.162% 11/22/24 (c) | 750,000 | 731,587 | |
| 1.645% 4/18/26 (c) | 850,000 | 784,491 | |
| 3.803% 3/11/25 (c) | 425,000 | 417,061 | |
| Huntington Bancshares, Inc. 2.625% 8/6/24 | 590,000 | 558,223 | |
| Huntington National Bank U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.190% 6.2496% 5/16/25 (c)(d) | 8,000,000 | 7,630,497 | |
| JPMorgan Chase & Co.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.530% 5.3644% 6/1/25 (c)(d) | 10,000,000 | 9,937,200 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.880% 5.8681% 4/22/27 (c)(d) | 747,000 | 742,992 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 6.3202% 4/26/26 (c)(d) | 5,000,000 | 5,042,800 | |
| 0.824% 6/1/25 (c) | 965,000 | 916,787 | |
| 2.083% 4/22/26 (c) | 1,870,000 | 1,758,230 | |
| 4.08% 4/26/26 (c) | 1,710,000 | 1,673,618 | |
| KeyBank NA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.320% 5.1975% 6/14/24 (c)(d) | 10,000,000 | 9,658,884 | |
| Lloyds Banking Group PLC 4.5% 11/4/24 | 480,000 | 467,357 | |
| Mitsubishi UFJ Financial Group, Inc.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.380% 6.2308% 9/12/25 (c)(d) | 5,000,000 | 5,020,719 | |
| 0.953% 7/19/25 (c) | 1,660,000 | 1,566,753 | |
| 4.788% 7/18/25 (c) | 10,000,000 | 9,893,579 | |
| 5.063% 9/12/25 (c) | 755,000 | 748,352 | |
| Mizuho Financial Group, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.960% 6.014% 5/22/26 (c)(d) | 5,000,000 | 4,962,100 | |
| Morgan Stanley Bank, West Valley City Utah 4.754% 4/21/26 | 775,000 | 771,984 | |
| NatWest Markets PLC: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.530% 5.5905% 8/12/24 (b)(c)(d) | 5,905,000 | 5,869,529 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.450% 6.3657% 3/22/25 (b)(c)(d) | 4,248,000 | 4,253,103 | |
| 0.8% 8/12/24 (b) | 370,000 | 349,507 | |
| 3.479% 3/22/25 (b) | 355,000 | 341,232 | |
| PNC Financial Services Group, Inc.: | |||
| 4.758% 1/26/27 (c) | 920,000 | 908,217 | |
| 5.671% 10/28/25 (c) | 1,265,000 | 1,263,180 | |
| QNB Finance Ltd.: | |||
| 2.625% 5/12/25 (Reg. S) | 500,000 | 475,875 | |
| 3.5% 3/28/24 (Reg. S) | 1,000,000 | 982,688 | |
| Rabobank Nederland New York Branch 3.875% 8/22/24 | 5,000,000 | 4,911,007 | |
| Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (c) | 760,000 | 664,146 | |
| Societe Generale: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 6.0294% 1/21/26 (b)(c)(d) | 10,000,000 | 9,914,700 | |
| 2.625% 10/16/24 (b) | 365,000 | 346,735 | |
| Standard Chartered PLC: | |||
| 0.991% 1/12/25 (b)(c) | 375,000 | 362,497 | |
| 1.214% 3/23/25 (b)(c) | 200,000 | 191,759 | |
| 1.822% 11/23/25 (b)(c) | 475,000 | 443,746 | |
| Svenska Handelsbanken AB 0.55% 6/11/24 (b) | 720,000 | 684,046 | |
| Swedbank AB 1.3% 6/2/23 (b) | 1,150,000 | 1,150,000 | |
| The Toronto-Dominion Bank U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 5.7746% 3/8/24 (c)(d) | 5,948,000 | 5,959,721 | |
| Truist Bank U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.200% 5.1607% 1/17/24 (c)(d) | 10,000,000 | 9,879,777 | |
| Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 5.2677% 6/9/25 (c)(d) | 10,710,000 | 10,325,864 | |
| U.S. Bancorp: | |||
| 4.548% 7/22/28 (c) | 1,770,000 | 1,701,046 | |
| 5.727% 10/21/26 (c) | 415,000 | 412,496 | |
| Wells Fargo & Co.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 6.3071% 4/25/26 (c)(d) | 6,000,000 | 6,044,197 | |
| 1.654% 6/2/24 (c) | 5,935,000 | 5,935,000 | |
| 2.188% 4/30/26 (c) | 840,000 | 790,203 | |
| 3.526% 3/24/28 (c) | 735,000 | 688,893 | |
| 3.908% 4/25/26 (c) | 1,210,000 | 1,177,471 | |
| 4.54% 8/15/26 (c) | 1,055,000 | 1,037,001 | |
| 289,157,988 | |||
| Capital Markets - 2.0% | |||
| Bank of New York Mellon Corp. 4.947% 4/26/27 (c) | 920,000 | 916,972 | |
| Bank of New York, New York 5.148% 5/22/26 (c) | 660,000 | 658,937 | |
| Charles Schwab Corp.: | |||
| 2.45% 3/3/27 | 2,155,000 | 1,928,450 | |
| 3.2% 3/2/27 | 375,000 | 344,178 | |
| Credit Suisse AG: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.260% 6.3184% 2/21/25 (c)(d) | 5,000,000 | 4,843,735 | |
| 0.495% 2/2/24 | 810,000 | 773,696 | |
| Deutsche Bank AG New York Branch: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 5.564% 11/8/23 (c)(d) | 10,000,000 | 9,965,800 | |
| 2.222% 9/18/24 (c) | 10,000,000 | 9,807,339 | |
| Goldman Sachs Group, Inc.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 5.6832% 1/24/25 (c)(d) | 10,000,000 | 9,966,006 | |
| 0.657% 9/10/24 (c) | 725,000 | 713,924 | |
| 0.925% 10/21/24 (c) | 555,000 | 543,748 | |
| 1.757% 1/24/25 (c) | 1,115,000 | 1,083,474 | |
| 3.5% 4/1/25 | 1,005,000 | 970,483 | |
| 4.482% 8/23/28 (c) | 840,000 | 816,085 | |
| Morgan Stanley: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.5201% 1/25/24 (c)(d) | 3,994,000 | 3,990,286 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 5.5567% 11/10/23 (c)(d) | 6,170,000 | 6,168,334 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.6296% 1/24/25 (c)(d) | 8,000,000 | 7,962,737 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.160% 6.1198% 4/17/25 (c)(d) | 5,000,000 | 5,013,280 | |
| 1.164% 10/21/25 (c) | 1,035,000 | 966,584 | |
| 2.63% 2/18/26 (c) | 1,070,000 | 1,017,003 | |
| 3.62% 4/17/25 (c) | 1,280,000 | 1,254,081 | |
| 5.05% 1/28/27 (c) | 365,000 | 363,786 | |
| Northern Trust Corp. 3.95% 10/30/25 | 545,000 | 526,910 | |
| S&P Global, Inc. 2.45% 3/1/27 | 2,215,000 | 2,055,877 | |
| State Street Corp.: | |||
| 4.857% 1/26/26 (c) | 405,000 | 402,405 | |
| 5.104% 5/18/26 (c) | 635,000 | 633,254 | |
| UBS AG London Branch U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.470% 5.4255% 1/13/25 (b)(c)(d) | 5,000,000 | 4,961,113 | |
| UBS Group AG: | |||
| 1.008% 7/30/24 (b)(c) | 7,118,000 | 7,049,276 | |
| 1.494% 8/10/27 (b)(c) | 375,000 | 323,295 | |
| 4.488% 5/12/26 (b)(c) | 370,000 | 357,558 | |
| 86,378,606 | |||
| Consumer Finance - 1.4% | |||
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.680% 5.6151% 9/29/23 (c)(d) | 9,823,000 | 9,795,105 | |
| 1.65% 10/29/24 | 2,105,000 | 1,976,242 | |
| 3.15% 2/15/24 | 155,000 | 151,959 | |
| 4.5% 9/15/23 | 1,450,000 | 1,443,544 | |
| 4.875% 1/16/24 | 850,000 | 842,627 | |
| American Express Co.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.720% 5.7605% 5/3/24 (c)(d) | 5,517,000 | 5,507,269 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.930% 5.783% 3/4/25 (c)(d) | 8,000,000 | 8,021,432 | |
| Capital One Financial Corp.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.350% 6.4124% 5/9/25 (c)(d) | 8,000,000 | 7,873,520 | |
| 1.343% 12/6/24 (c) | 5,000,000 | 4,847,845 | |
| 2.636% 3/3/26 (c) | 1,150,000 | 1,077,035 | |
| 3.9% 1/29/24 | 505,000 | 498,805 | |
| 4.25% 4/30/25 | 200,000 | 193,682 | |
| 4.985% 7/24/26 (c) | 885,000 | 865,804 | |
| Hyundai Capital America: | |||
| 0.8% 1/8/24 (b) | 910,000 | 882,604 | |
| 0.875% 6/14/24 (b) | 1,035,000 | 984,592 | |
| 1% 9/17/24 (b) | 445,000 | 419,000 | |
| 5.5% 3/30/26 (b) | 435,000 | 435,051 | |
| 5.6% 3/30/28 (b) | 580,000 | 582,005 | |
| LeasePlan Corp. NV 2.875% 10/24/24 (b) | 1,000,000 | 954,277 | |
| Synchrony Financial 4.25% 8/15/24 | 1,960,000 | 1,860,502 | |
| Toyota Motor Credit Corp.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.585% 12/29/23 (c)(d) | 6,000,000 | 6,006,600 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.5357% 3/22/24 (c)(d) | 5,000,000 | 5,003,747 | |
| 3.05% 3/22/27 | 640,000 | 604,605 | |
| 60,827,852 | |||
| Financial Services - 0.8% | |||
| Athene Global Funding: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.700% 5.759% 5/24/24 (b)(c)(d) | 8,000,000 | 7,907,745 | |
| 0.95% 1/8/24 (b) | 3,469,000 | 3,345,431 | |
| 1.716% 1/7/25 (b) | 1,905,000 | 1,767,222 | |
| 2.514% 3/8/24 (b) | 2,290,000 | 2,209,149 | |
| Brixmor Operating Partnership LP 3.65% 6/15/24 | 965,000 | 932,285 | |
| Corebridge Financial, Inc. 3.5% 4/4/25 | 900,000 | 859,144 | |
| Fidelity National Information Services, Inc.: | |||
| 0.6% 3/1/24 | 555,000 | 533,976 | |
| 4.5% 7/15/25 | 600,000 | 589,799 | |
| Fiserv, Inc. 2.75% 7/1/24 | 395,000 | 383,470 | |
| GA Global Funding Trust 1.25% 12/8/23 (b) | 5,000,000 | 4,866,068 | |
| Jackson Financial, Inc. 1.125% 11/22/23 | 5,631,000 | 5,515,754 | |
| Korea Housing Finance Corp. 4.625% 2/24/28 (b) | 1,600,000 | 1,598,577 | |
| LSEGA Financing PLC 0.65% 4/6/24 (b) | 1,810,000 | 1,727,888 | |
| Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 470,000 | 464,909 | |
| PayPal Holdings, Inc. 2.65% 10/1/26 | 1,295,000 | 1,216,055 | |
| Penske Truck Leasing Co. LP: | |||
| 3.45% 7/1/24 (b) | 390,000 | 379,432 | |
| 5.75% 5/24/26 (b) | 810,000 | 808,219 | |
| The Western Union Co. 2.85% 1/10/25 | 1,905,000 | 1,821,325 | |
| 36,926,448 | |||
| Insurance - 1.0% | |||
| American International Group, Inc. 2.5% 6/30/25 | 667,000 | 632,195 | |
| Brighthouse Financial Global Funding: | |||
| 0.6% 6/28/23 (b) | 845,000 | 839,873 | |
| 1% 4/12/24 (b) | 1,105,000 | 1,058,089 | |
| CNO Global Funding: | |||
| 1.65% 1/6/25 (b) | 1,300,000 | 1,205,723 | |
| 1.75% 10/7/26 (b) | 1,360,000 | 1,213,146 | |
| Equitable Financial Life Global Funding: | |||
| 0.5% 11/17/23 (b) | 5,000,000 | 4,881,790 | |
| 1.1% 11/12/24 (b) | 1,378,000 | 1,296,422 | |
| 1.4% 7/7/25 (b) | 116,000 | 106,116 | |
| First American Financial Corp. 4.6% 11/15/24 | 355,000 | 346,852 | |
| Health Care Service Corp. 1.5% 6/1/25 (b) | 1,800,000 | 1,661,957 | |
| Jackson National Life Global Funding 1.75% 1/12/25 (b) | 1,145,000 | 1,067,789 | |
| Marsh & McLennan Companies, Inc. 3.75% 3/14/26 | 170,000 | 165,667 | |
| Northwestern Mutual Global Funding: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 5.2571% 3/25/24 (b)(c)(d) | 4,063,000 | 4,048,681 | |
| 4.35% 9/15/27 (b) | 845,000 | 836,191 | |
| Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 5.3382% 4/12/24 (b)(c)(d) | 10,000,000 | 9,942,138 | |
| Principal Life Global Funding II: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.4033% 4/12/24 (b)(c)(d) | 1,763,000 | 1,763,761 | |
| 0.75% 4/12/24 (b) | 930,000 | 890,614 | |
| Protective Life Global Funding: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.980% 5.911% 3/28/25 (b)(c)(d) | 7,500,000 | 7,476,525 | |
| 3.218% 3/28/25 (b) | 715,000 | 685,205 | |
| Trinity Acquisition PLC 4.625% 8/15/23 | 1,054,000 | 1,050,141 | |
| 41,168,875 | |||
TOTAL FINANCIALS | 514,459,769 | ||
| HEALTH CARE - 1.6% | |||
| Biotechnology - 0.3% | |||
| AbbVie, Inc.: | |||
| 2.6% 11/21/24 | 3,500,000 | 3,370,021 | |
| 2.95% 11/21/26 | 2,215,000 | 2,089,545 | |
| 3.2% 5/14/26 | 175,000 | 167,985 | |
| Amgen, Inc.: | |||
| 3.625% 5/22/24 | 3,000,000 | 2,943,753 | |
| 5.15% 3/2/28 | 510,000 | 514,218 | |
| 5.25% 3/2/25 | 3,350,000 | 3,359,320 | |
| Csl Uk Holdings Ltd. 3.85% 4/27/27 (b) | 395,000 | 380,848 | |
| 12,825,690 | |||
| Health Care Equipment & Supplies - 0.0% | |||
| Becton, Dickinson & Co.: | |||
| 3.734% 12/15/24 | 1,055,000 | 1,030,012 | |
| 4.693% 2/13/28 | 1,325,000 | 1,322,345 | |
| 2,352,357 | |||
| Health Care Providers & Services - 0.5% | |||
| Cardinal Health, Inc.: | |||
| 3.079% 6/15/24 | 695,000 | 677,604 | |
| 3.5% 11/15/24 | 1,180,000 | 1,145,321 | |
| Cigna Group 0.613% 3/15/24 | 5,967,000 | 5,746,063 | |
| CVS Health Corp.: | |||
| 2.875% 6/1/26 | 475,000 | 449,287 | |
| 3% 8/15/26 | 415,000 | 391,179 | |
| 5% 2/20/26 | 920,000 | 921,085 | |
| Elevance Health, Inc.: | |||
| 2.375% 1/15/25 | 410,000 | 391,723 | |
| 5.35% 10/15/25 | 305,000 | 307,116 | |
| HCA Holdings, Inc.: | |||
| 3.125% 3/15/27 (b) | 1,140,000 | 1,054,919 | |
| 5.375% 2/1/25 | 575,000 | 571,069 | |
| Humana, Inc.: | |||
| 0.65% 8/3/23 | 4,151,000 | 4,121,907 | |
| 1.35% 2/3/27 | 120,000 | 105,319 | |
| 4.5% 4/1/25 | 1,205,000 | 1,191,790 | |
| 5.75% 3/1/28 | 300,000 | 310,697 | |
| PeaceHealth Obligated Group 1.375% 11/15/25 | 190,000 | 172,430 | |
| UnitedHealth Group, Inc.: | |||
| 4.25% 1/15/29 | 2,235,000 | 2,201,652 | |
| 5.15% 10/15/25 | 880,000 | 891,485 | |
| 5.25% 2/15/28 | 640,000 | 658,718 | |
| 21,309,364 | |||
| Life Sciences Tools & Services - 0.3% | |||
| Revvity, Inc. 0.55% 9/15/23 | 10,675,000 | 10,510,158 | |
| Thermo Fisher Scientific, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.530% 5.4934% 10/18/24 (c)(d) | 2,411,000 | 2,413,461 | |
| 12,923,619 | |||
| Pharmaceuticals - 0.5% | |||
| Bayer U.S. Finance II LLC 3.875% 12/15/23 (b) | 750,000 | 742,085 | |
| Perrigo Finance PLC 3.9% 12/15/24 | 2,790,000 | 2,699,967 | |
| Pfizer Investment Enterprises: | |||
| 4.45% 5/19/26 | 1,605,000 | 1,596,736 | |
| 4.45% 5/19/28 | 965,000 | 961,428 | |
| Roche Holdings, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 5.2012% 9/11/23 (b)(c)(d) | 10,000,000 | 10,003,675 | |
| Royalty Pharma PLC 0.75% 9/2/23 | 870,000 | 858,644 | |
| Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 1,205,000 | 1,145,646 | |
| Viatris, Inc. 1.65% 6/22/25 | 1,010,000 | 929,717 | |
| Zoetis, Inc. 5.4% 11/14/25 | 920,000 | 932,070 | |
| 19,869,968 | |||
TOTAL HEALTH CARE | 69,280,998 | ||
| INDUSTRIALS - 0.7% | |||
| Aerospace & Defense - 0.0% | |||
| DAE Funding LLC 1.55% 8/1/24 (b) | 465,000 | 439,803 | |
| Building Products - 0.0% | |||
| Carrier Global Corp. 2.242% 2/15/25 | 259,000 | 245,393 | |
| Commercial Services & Supplies - 0.1% | |||
| HPHT Finance (21) (II) Ltd. 1.5% 9/17/26 (Reg. S) | 650,000 | 575,722 | |
| HPHT Finance 19 Ltd. 2.875% 11/5/24 (Reg. S) | 1,625,000 | 1,567,414 | |
| Republic Services, Inc. 4.875% 4/1/29 | 280,000 | 280,642 | |
| 2,423,778 | |||
| Electrical Equipment - 0.0% | |||
| Regal Rexnord Corp. 6.05% 2/15/26 (b) | 605,000 | 606,314 | |
| Ground Transportation - 0.2% | |||
| Canadian Pacific Railway Co.: | |||
| 1.35% 12/2/24 | 7,739,000 | 7,286,576 | |
| 1.75% 12/2/26 | 580,000 | 526,206 | |
| 7,812,782 | |||
| Machinery - 0.3% | |||
| Daimler Trucks Finance North America LLC: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 5.3489% 6/14/23 (b)(c)(d) | 8,000,000 | 8,000,133 | |
| 1.625% 12/13/24 (b) | 1,065,000 | 1,006,802 | |
| 5.15% 1/16/26 (b) | 275,000 | 275,101 | |
| 5.2% 1/17/25 (b) | 355,000 | 353,808 | |
| Otis Worldwide Corp. 2.056% 4/5/25 | 1,000,000 | 944,483 | |
| Parker Hannifin Corp. 3.65% 6/15/24 | 1,690,000 | 1,657,300 | |
| 12,237,627 | |||
| Passenger Airlines - 0.0% | |||
| American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27 | 385,686 | 359,328 | |
| SMBC Aviation Capital Finance: | |||
| 3.55% 4/15/24 (b) | 815,000 | 797,592 | |
| 4.125% 7/15/23 (b) | 900,000 | 897,293 | |
| United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 268,544 | 242,359 | |
| 2,296,572 | |||
| Trading Companies & Distributors - 0.0% | |||
| GATX Corp.: | |||
| 3.25% 3/30/25 | 870,000 | 832,260 | |
| 4.35% 2/15/24 | 965,000 | 952,761 | |
| 1,785,021 | |||
| Transportation Infrastructure - 0.1% | |||
| Avolon Holdings Funding Ltd.: | |||
| 2.125% 2/21/26 (b) | 1,035,000 | 910,443 | |
| 2.875% 2/15/25 (b) | 980,000 | 914,108 | |
| 3.95% 7/1/24 (b) | 265,000 | 256,320 | |
| 6.375% 5/4/28 (b) | 300,000 | 293,027 | |
| 2,373,898 | |||
TOTAL INDUSTRIALS | 30,221,188 | ||
| INFORMATION TECHNOLOGY - 0.4% | |||
| Electronic Equipment, Instruments & Components - 0.0% | |||
| Amphenol Corp.: | |||
| 2.05% 3/1/25 | 910,000 | 861,311 | |
| 4.75% 3/30/26 | 340,000 | 338,493 | |
| 1,199,804 | |||
| IT Services - 0.0% | |||
| CDW LLC/CDW Finance Corp. 5.5% 12/1/24 | 320,000 | 316,477 | |
| Semiconductors & Semiconductor Equipment - 0.2% | |||
| Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.250% 5.1883% 10/1/24 (c)(d) | 2,353,000 | 2,334,787 | |
| Intel Corp. 4.875% 2/10/26 | 630,000 | 633,513 | |
| Microchip Technology, Inc.: | |||
| 0.972% 2/15/24 | 1,165,000 | 1,124,958 | |
| 0.983% 9/1/24 | 1,220,000 | 1,149,206 | |
| 2.67% 9/1/23 | 1,110,000 | 1,100,477 | |
| Micron Technology, Inc. 5.375% 4/15/28 | 935,000 | 922,467 | |
| NXP BV/NXP Funding LLC 4.875% 3/1/24 | 895,000 | 884,582 | |
| NXP BV/NXP Funding LLC/NXP U.S.A., Inc.: | |||
| 2.7% 5/1/25 | 750,000 | 711,938 | |
| 3.875% 6/18/26 | 565,000 | 543,989 | |
| 4.4% 6/1/27 | 155,000 | 150,670 | |
| Qorvo, Inc. 1.75% 12/15/24 (b) | 510,000 | 475,866 | |
| Skyworks Solutions, Inc. 0.9% 6/1/23 | 305,000 | 305,000 | |
| Texas Instruments, Inc. 4.6% 2/15/28 | 185,000 | 187,334 | |
| 10,524,787 | |||
| Software - 0.2% | |||
| Fortinet, Inc. 1% 3/15/26 | 675,000 | 607,061 | |
| Oracle Corp. 5.8% 11/10/25 | 510,000 | 518,872 | |
| Roper Technologies, Inc.: | |||
| 1% 9/15/25 | 235,000 | 214,221 | |
| 2.35% 9/15/24 | 365,000 | 350,899 | |
| VMware, Inc. 0.6% 8/15/23 | 4,644,000 | 4,596,447 | |
| Workday, Inc. 3.5% 4/1/27 | 525,000 | 501,307 | |
| 6,788,807 | |||
TOTAL INFORMATION TECHNOLOGY | 18,829,875 | ||
| MATERIALS - 0.4% | |||
| Chemicals - 0.3% | |||
| Celanese U.S. Holdings LLC: | |||
| 5.9% 7/5/24 | 4,970,000 | 4,964,238 | |
| 6.05% 3/15/25 | 2,435,000 | 2,444,847 | |
| Ecolab, Inc.: | |||
| 1.65% 2/1/27 | 400,000 | 362,537 | |
| 5.25% 1/15/28 | 1,055,000 | 1,084,598 | |
| LYB International Finance III LLC 1.25% 10/1/25 | 692,000 | 629,528 | |
| Nutrien Ltd. 4.9% 3/27/28 | 400,000 | 396,512 | |
| Sherwin-Williams Co. 4.25% 8/8/25 | 420,000 | 413,534 | |
| Westlake Corp. 0.875% 8/15/24 | 720,000 | 678,325 | |
| 10,974,119 | |||
| Construction Materials - 0.0% | |||
| Martin Marietta Materials, Inc. 0.65% 7/15/23 | 405,000 | 402,611 | |
| Containers & Packaging - 0.0% | |||
| Bemis Co., Inc. 4% 5/17/25 | 805,000 | 781,439 | |
| Metals & Mining - 0.1% | |||
| ArcelorMittal SA 3.6% 7/16/24 | 390,000 | 381,603 | |
| Nucor Corp.: | |||
| 2% 6/1/25 | 350,000 | 328,475 | |
| 3.95% 5/23/25 | 525,000 | 513,413 | |
| POSCO 5.625% 1/17/26 (b) | 1,375,000 | 1,383,295 | |
| Steel Dynamics, Inc. 2.8% 12/15/24 | 395,000 | 378,191 | |
| 2,984,977 | |||
| Paper & Forest Products - 0.0% | |||
| Celulosa Arauco y Constitucion SA 4.5% 8/1/24 | 635,000 | 624,967 | |
TOTAL MATERIALS | 15,768,113 | ||
| REAL ESTATE - 0.2% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.2% | |||
| American Tower Corp.: | |||
| 2.4% 3/15/25 | 665,000 | 630,582 | |
| 5% 2/15/24 | 375,000 | 372,738 | |
| Crown Castle International Corp.: | |||
| 1.05% 7/15/26 | 1,005,000 | 884,595 | |
| 2.9% 3/15/27 | 955,000 | 882,016 | |
| 3.15% 7/15/23 | 985,000 | 981,609 | |
| 5% 1/11/28 | 305,000 | 302,524 | |
| Kilroy Realty LP 4.375% 10/1/25 | 755,000 | 697,047 | |
| Public Storage U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.470% 5.4531% 4/23/24 (c)(d) | 495,000 | 494,217 | |
| Realty Income Corp. 5.05% 1/13/26 | 230,000 | 228,432 | |
| Simon Property Group LP: | |||
| 2% 9/13/24 | 380,000 | 362,831 | |
| 3.375% 10/1/24 | 985,000 | 957,042 | |
| WP Carey, Inc.: | |||
| 4% 2/1/25 | 1,440,000 | 1,400,020 | |
| 4.6% 4/1/24 | 770,000 | 756,480 | |
| 8,950,133 | |||
| Real Estate Management & Development - 0.0% | |||
| Essex Portfolio LP 3.875% 5/1/24 | 1,980,000 | 1,939,049 | |
TOTAL REAL ESTATE | 10,889,182 | ||
| UTILITIES - 1.2% | |||
| Electric Utilities - 0.9% | |||
| Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.250% 5.1209% 6/10/23 (c)(d) | 3,003,000 | 3,002,806 | |
| ENEL Finance International NV: | |||
| 1.375% 7/12/26 (b) | 1,105,000 | 981,348 | |
| 2.65% 9/10/24 (b) | 1,775,000 | 1,710,277 | |
| 6.8% 10/14/25 (b) | 200,000 | 206,022 | |
| Eversource Energy U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.250% 5.3098% 8/15/23 (c)(d) | 5,000,000 | 4,996,159 | |
| Israel Electric Corp. Ltd. 5% 11/12/24 (Reg. S) (b) | 1,365,000 | 1,346,447 | |
| Korea Electric Power Corp. 5.375% 4/6/26 (b) | 1,750,000 | 1,760,402 | |
| Korea Hydro & Nuclear Power Co. Ltd.: | |||
| 1.25% 4/27/26 (b) | 1,421,000 | 1,271,100 | |
| 4.25% 7/27/27 (b) | 630,000 | 618,659 | |
| Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.300% 5.231% 6/28/24 (c)(d) | 5,297,000 | 5,255,374 | |
| NextEra Energy Capital Holdings, Inc.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.400% 5.4405% 11/3/23 (c)(d) | 6,000,000 | 5,997,585 | |
| 1.84% 3/1/25 | 420,000 | 424,644 | |
| 1.875% 1/15/27 | 1,255,000 | 1,127,311 | |
| 4.45% 6/20/25 | 1,050,000 | 1,038,741 | |
| NRG Energy, Inc. 3.75% 6/15/24 (b) | 535,000 | 518,225 | |
| Pacific Gas & Electric Co. 3.5% 6/15/25 | 955,000 | 915,992 | |
| Southern Co. 0.6% 2/26/24 | 1,515,000 | 1,458,261 | |
| Tampa Electric Co. 3.875% 7/12/24 | 2,079,000 | 2,045,809 | |
| Vistra Operations Co. LLC: | |||
| 3.55% 7/15/24 (b) | 4,595,000 | 4,447,418 | |
| 5.125% 5/13/25 (b) | 1,210,000 | 1,181,278 | |
| 40,303,858 | |||
| Gas Utilities - 0.1% | |||
| APT Pipelines Ltd. 4.2% 3/23/25 (b) | 2,200,000 | 2,147,261 | |
| Southern California Gas Co. 2.95% 4/15/27 | 815,000 | 769,181 | |
| 2,916,442 | |||
| Independent Power and Renewable Electricity Producers - 0.1% | |||
| Alexander Funding Trust 1.841% 11/15/23 (b) | 920,000 | 898,839 | |
| Constellation Energy Generation, LLC 5.6% 3/1/28 | 520,000 | 531,167 | |
| The AES Corp. 3.3% 7/15/25 (b) | 820,000 | 777,114 | |
| 2,207,120 | |||
| Multi-Utilities - 0.1% | |||
| CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.7098% 5/13/24 (c)(d) | 2,893,000 | 2,885,067 | |
| Dominion Energy, Inc. 3 month U.S. LIBOR + 0.530% 5.3963% 9/15/23 (c)(d) | 2,327,000 | 2,326,282 | |
| NiSource, Inc. 5.25% 3/30/28 | 210,000 | 211,560 | |
| Sempra Energy 3.3% 4/1/25 | 760,000 | 731,585 | |
| 6,154,494 | |||
TOTAL UTILITIES | 51,581,914 | ||
| TOTAL NONCONVERTIBLE BONDS (Cost $894,559,117) | 879,075,947 | ||
| U.S. Government and Government Agency Obligations - 6.7% | |||
Principal Amount (a) | Value ($) | ||
| U.S. Government Agency Obligations - 0.1% | |||
| Federal Home Loan Bank 5% 2/28/25 | 2,285,000 | 2,299,579 | |
| U.S. Treasury Obligations - 6.6% | |||
| U.S. Treasury Bills, yield at date of purchase 4.58% to 4.72% 11/2/23 to 1/25/24 | 95,000,000 | 92,375,557 | |
| U.S. Treasury Notes: | |||
| 1.75% 3/15/25 | 17,440,000 | 16,601,708 | |
| 2.75% 5/15/25 | 21,130,000 | 20,459,783 | |
| 3% 6/30/24 | 72,000,000 | 70,371,562 | |
| 3.875% 3/31/25 | 12,700,000 | 12,553,156 | |
| 3.875% 4/30/25 | 6,300,000 | 6,231,340 | |
| 4% 12/15/25 | 5,360,000 | 5,338,434 | |
| 4.125% 1/31/25 (e) | 23,550,000 | 23,349,457 | |
| 4.25% 5/31/25 | 3,945,000 | 3,933,905 | |
| 4.5% 11/30/24 | 15,000,000 | 14,936,719 | |
| 4.5% 11/15/25 | 15,700,000 | 15,801,191 | |
| 4.625% 2/28/25 | 6,345,000 | 6,348,718 | |
TOTAL U.S. TREASURY OBLIGATIONS | 288,301,530 | ||
| TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $293,090,399) | 290,601,109 | ||
| U.S. Government Agency - Mortgage Securities - 0.7% | |||
Principal Amount (a) | Value ($) | ||
| Fannie Mae - 0.4% | |||
| 12 month U.S. LIBOR + 1.560% 3.807% 7/1/35 (c)(d) | 2,086 | 2,118 | |
| 12 month U.S. LIBOR + 1.590% 3.834% 12/1/35 (c)(d) | 4,446 | 4,502 | |
| 12 month U.S. LIBOR + 1.650% 3.905% 8/1/37 (c)(d) | 708 | 727 | |
| 12 month U.S. LIBOR + 1.690% 3.44% 5/1/38 (c)(d) | 4,679 | 4,794 | |
| 12 month U.S. LIBOR + 1.780% 4.538% 5/1/38 (c)(d) | 2,337 | 2,355 | |
| 12 month U.S. LIBOR + 1.830% 5.082% 4/1/38 (c)(d) | 9,274 | 9,461 | |
| 12 month U.S. LIBOR + 1.850% 4.103% 8/1/38 (c)(d) | 5,765 | 5,935 | |
| 12 month U.S. LIBOR + 1.880% 5.199% 5/1/38 (c)(d) | 7,635 | 7,806 | |
| 12 month U.S. LIBOR + 2.040% 4.29% 12/1/36 (c)(d) | 1,071 | 1,092 | |
| 6 month U.S. LIBOR + 1.360% 3.863% 10/1/33 (c)(d) | 19,382 | 19,336 | |
| 2% 10/1/50 to 2/1/52 | 468,155 | 385,697 | |
| 2.5% 1/1/52 | 858,142 | 733,435 | |
| 3% 9/1/28 to 11/1/51 | 3,260,378 | 2,957,315 | |
| 3.5% 11/1/26 to 7/1/50 | 701,353 | 654,955 | |
| 4% 1/1/47 to 9/1/52 | 2,787,087 | 2,638,950 | |
| 4.5% 6/1/38 to 7/1/52 | 4,675,564 | 4,563,604 | |
| 5% 12/1/23 to 9/1/52 | 984,355 | 986,990 | |
| 5.5% 1/1/24 to 4/1/53 (f) | 1,813,468 | 1,842,244 | |
| 6% to 6% 3/1/34 to 12/1/52 (f) | 1,838,068 | 1,884,751 | |
| 6.5% 7/1/32 to 12/1/32 | 45,739 | 47,488 | |
TOTAL FANNIE MAE | 16,753,555 | ||
| Freddie Mac - 0.1% | |||
| 12 month U.S. LIBOR + 1.620% 3.873% 6/1/38 (c)(d) | 9,665 | 9,833 | |
| 12 month U.S. LIBOR + 1.720% 3.943% 7/1/35 (c)(d) | 4,773 | 4,859 | |
| 12 month U.S. LIBOR + 1.730% 3.978% 5/1/38 (c)(d) | 5,011 | 5,087 | |
| 12 month U.S. LIBOR + 1.730% 4.022% 10/1/36 (c)(d) | 9,711 | 9,867 | |
| 12 month U.S. LIBOR + 1.730% 4.108% 2/1/37 (c)(d) | 1,926 | 1,939 | |
| 12 month U.S. LIBOR + 1.770% 4.821% 5/1/37 (c)(d) | 2,368 | 2,413 | |
| 12 month U.S. LIBOR + 1.830% 4.202% 2/1/37 (c)(d) | 2,466 | 2,488 | |
| 12 month U.S. LIBOR + 1.920% 4.187% 12/1/36 (c)(d) | 4,392 | 4,462 | |
| 12 month U.S. LIBOR + 2.020% 4.276% 11/1/36 (c)(d) | 2,543 | 2,590 | |
| 12 month U.S. LIBOR + 2.080% 4.582% 2/1/38 (c)(d) | 10,245 | 10,376 | |
| 12 month U.S. LIBOR + 2.160% 4.558% 2/1/37 (c)(d) | 2,555 | 2,593 | |
| U.S. TREASURY 1 YEAR INDEX + 2.340% 4.472% 11/1/34 (c)(d) | 6,316 | 6,439 | |
| 2.5% 1/1/52 to 4/1/52 | 1,447,678 | 1,243,312 | |
| 3% 11/1/34 | 209,719 | 199,091 | |
| 3.5% 12/1/47 | 614,432 | 571,512 | |
| 4% 12/1/49 | 135,633 | 130,086 | |
| 4.5% 9/1/37 to 5/1/50 | 357,346 | 351,280 | |
| 5% 10/1/23 to 12/1/41 | 242,600 | 246,941 | |
| 5.5% 10/1/38 | 1,668 | 1,725 | |
| 6% 9/1/34 to 9/1/35 | 61,755 | 63,795 | |
| 7% 3/1/39 | 93,371 | 98,339 | |
| 7.5% 6/1/38 | 85,427 | 90,365 | |
TOTAL FREDDIE MAC | 3,059,392 | ||
| Ginnie Mae - 0.2% | |||
| 6% 7/15/36 | 115,465 | 119,124 | |
| 3% 9/20/47 | 1,001,989 | 913,475 | |
| 3.5% 8/20/44 to 2/20/52 | 2,352,978 | 2,197,891 | |
| 4% 3/20/48 to 8/20/50 | 379,994 | 364,186 | |
| 4.5% 9/20/40 to 3/20/53 | 1,337,956 | 1,310,277 | |
| 5% 12/20/34 to 4/20/53 | 1,330,787 | 1,324,334 | |
| 5.5% 9/15/45 to 4/20/53 | 1,154,800 | 1,162,851 | |
| 6.5% 4/20/53 | 602,299 | 614,295 | |
TOTAL GINNIE MAE | 8,006,433 | ||
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $29,817,226) | 27,819,380 | ||
| Asset-Backed Securities - 5.6% | |||
Principal Amount (a) | Value ($) | ||
| Aimco Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 6.3327% 7/22/32 (b)(c)(d) | 4,100,000 | 4,032,108 | |
| Ally Auto Receivables Trust Series 2019-3 Class A4, 1.96% 12/16/24 | 323,030 | 322,598 | |
| AmeriCredit Automobile Receivables Series 2023-1 Class C, 5.8% 12/18/28 | 625,000 | 627,653 | |
| AmeriCredit Automobile Receivables Trust: | |||
| Series 2020-1 Class D, 1.8% 12/18/25 | 690,000 | 657,193 | |
| Series 2020-3 Class C, 1.06% 8/18/26 | 420,000 | 395,572 | |
| Series 2021-1: | |||
Class C, 0.89% 10/19/26 | 755,000 | 699,514 | |
Class D, 1.21% 12/18/26 | 470,000 | 428,646 | |
| Series 2021-2 Class D, 1.29% 6/18/27 | 995,000 | 899,214 | |
| Series 2022-1 Class D, 3.23% 2/18/28 | 1,830,000 | 1,694,176 | |
| ARI Fleet Lease Trust Series 2020-A Class B, 2.06% 11/15/28 (b) | 770,000 | 762,831 | |
| Avis Budget Rental Car Funding (AESOP) LLC: | |||
| Series 2018-2A Class C, 4.95% 3/20/25 (b) | 430,000 | 424,220 | |
| Series 2019-2A Class A, 3.35% 9/22/25 (b) | 650,000 | 630,891 | |
| Series 2020-1A Class A, 2.33% 8/20/26 (b) | 540,000 | 504,656 | |
| Blackbird Capital Aircraft Series 2016-1A Class AA, 2.487% 12/16/41 (b)(c) | 290,434 | 278,102 | |
| BMW Vechicle Lease Trust 2023-1 Series 2023-1 Class A2, 5.27% 2/25/25 | 1,725,000 | 1,718,339 | |
| BMW Vehicle Owner Trust Series 2022-A Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.950% 5.493% 12/26/24 (c)(d) | 2,352,216 | 2,352,895 | |
| BRE Grand Islander Timeshare Issuer Series 2019-A Class A, 3.28% 9/26/33 (b) | 130,226 | 123,165 | |
| Capital One Prime Auto Receivables Series 2023-1 Class A2, 5.2% 5/15/26 | 3,000,000 | 2,985,155 | |
| Capital One Prime Auto Receivables Trust Series 2022-2 Class A2A, 3.74% 9/15/25 | 3,877,073 | 3,833,498 | |
| CarMax Auto Owner Trust: | |||
| Series 2020-4 Class D, 1.75% 4/15/27 | 540,000 | 502,909 | |
| Series 2021-2 Class C, 1.34% 2/16/27 | 545,000 | 499,422 | |
| Series 2022-2 Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.600% 5.4723% 5/15/25 (c)(d) | 1,115,114 | 1,114,968 | |
| Series 2022-3 Class A2A, 3.81% 9/15/25 | 2,488,627 | 2,464,564 | |
| Carmax Auto Owner Trust: | |||
| Series 2023 2 Class A2A, 5.5% 6/15/26 | 2,000,000 | 1,991,697 | |
| Series 2023 2: | |||
Class C, 5.57% 11/15/28 | 955,000 | 956,052 | |
Class D, 6.55% 10/15/29 | 635,000 | 635,353 | |
| Carvana Auto Receivables Trust: | |||
| Series 2021-P3 Class A2, 0.38% 1/10/25 | 57,200 | 57,113 | |
| Series 2021-P4 Class B, 1.98% 2/10/28 | 445,000 | 387,582 | |
| Series 2022-N1 Class C, 3.32% 12/11/28 (b) | 580,000 | 561,544 | |
| Cedar Funding Ltd.: | |||
| Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 6.3504% 10/20/32 (b)(c)(d) | 1,089,000 | 1,068,504 | |
| Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 6.3603% 7/15/33 (b)(c)(d) | 5,722,000 | 5,627,507 | |
| Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 6.2616% 7/27/30 (b)(c)(d) | 3,413,678 | 3,374,390 | |
| CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | 446,843 | 427,725 | |
| Chesapeake Funding II LLC: | |||
| Series 2020-1A Class A1, 0.87% 8/15/32 (b) | 1,038,526 | 1,032,599 | |
| Series 2021-1A Class A2, 1 month U.S. LIBOR + 0.230% 5.3374% 4/15/33 (b)(c)(d) | 1,657,442 | 1,652,041 | |
| Series 2023 1A Class A1, 5.65% 5/15/35 (b) | 2,067,509 | 2,060,095 | |
| CIFC Funding Ltd. / CIFC Funding LLC Series 2021-4A Class A, 3 month U.S. LIBOR + 1.050% 6.3103% 7/15/33 (b)(c)(d) | 1,615,000 | 1,592,164 | |
| CIM Trust Series 2020-INV1 Class A2, 2.5% 4/25/50 (b) | 194,088 | 161,015 | |
| CNH Equipment Trust: | |||
| Series 2020-A Class A4, 1.51% 4/15/27 | 590,000 | 571,870 | |
| Series 2021-C Class A2, 0.33% 1/15/25 | 659,868 | 656,381 | |
| Connecticut Avenue Securities Trust Series 2022-R06 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.750% 7.723% 5/25/42 (b)(c)(d) | 544,011 | 556,450 | |
| Daimler Trucks Retail Trust Series 2022-1 Class A2, 5.07% 9/16/24 | 2,227,089 | 2,216,571 | |
| Dell Equipment Finance Trust Series 2021-1 Class A3, 0.43% 5/22/26 (b) | 684,809 | 677,550 | |
| Dell Equipment Finance Trust 2022-2 4.03% 7/22/27 (b) | 4,035,027 | 3,980,356 | |
| DLLAD Series 2023-1A Class A2, 5.19% 4/20/26 (b) | 2,083,000 | 2,065,649 | |
| DLLAD LLC Series 2021-1A Class A2, 0.35% 9/20/24 (b) | 285,925 | 284,444 | |
| Dllmt 2023-1 LLC Series 2023-1A Class A2, 5.78% 11/20/25 (b) | 2,129,000 | 2,126,267 | |
| DLLMT LLC Series 2021-1A Class A2, 0.6% 3/20/24 (b) | 548,338 | 546,844 | |
| Donlen Fleet Lease Funding Series 2021-2 Class A1, 1 month U.S. LIBOR + 0.330% 5.4344% 12/11/34 (b)(c)(d) | 1,560,195 | 1,555,881 | |
| Drive Auto Receivables Trust: | |||
| Series 2021-1 Class D, 1.45% 1/16/29 | 630,000 | 593,560 | |
| Series 2021-2 Class D, 1.39% 3/15/29 | 785,000 | 734,659 | |
| Dryden CLO, Ltd. / Dryden CLO, LLC Series 2021-86A Class A1R, 3 month U.S. LIBOR + 1.100% 6.3603% 7/17/34 (b)(c)(d) | 1,055,000 | 1,031,449 | |
| Eagle Re Ltd. Series 2021-2 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.550% 6.523% 4/25/34 (b)(c)(d) | 283,447 | 283,314 | |
| Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 6.3603% 4/15/31 (b)(c)(d) | 3,935,000 | 3,874,547 | |
| Elara HGV Timeshare Issuer LLC Series 2017-A Class A, 2.69% 3/25/30 (b) | 259,119 | 251,393 | |
| Enterprise Fleet Financing Series 2023-2 Class A2, 5.56% 4/22/30 (b) | 1,460,000 | 1,457,312 | |
| Enterprise Fleet Financing LLC: | |||
| Series 2020-1 Class A2, 1.78% 12/22/25 (b) | 59,712 | 59,639 | |
| Series 2020-2 Class A2, 0.61% 7/20/26 (b) | 851,803 | 837,085 | |
| Series 2021-1 Class A2, 0.44% 12/21/26 (b) | 474,434 | 463,078 | |
| Series 2021-2 Class A2, 0.48% 5/20/27 (b) | 1,835,067 | 1,761,235 | |
| Series 2022-3 Class A2, 4.38% 7/20/29 (b) | 496,000 | 486,474 | |
| Exeter Automobile Receivables: | |||
| Series 2022-2A Class C, 3.85% 7/17/28 | 1,285,000 | 1,242,525 | |
| Series 2022-6A, Class A3, 5.7% 8/17/26 | 170,000 | 169,753 | |
| Series 2023-1A Class D, 6.69% 6/15/29 | 80,000 | 80,669 | |
| Exeter Automobile Receivables Trust Series 2021-3A Class D, 1.55% 6/15/27 | 660,000 | 606,983 | |
| Ford Credit Auto Lease Trust Series 2022-A: | |||
| Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.600% 5.4723% 10/15/24 (c)(d) | 1,151,143 | 1,151,261 | |
| Class C, 4.18% 10/15/25 | 2,030,000 | 1,974,958 | |
| Ford Credit Auto Owner Trust: | |||
| Series 2020-2 Class C, 1.74% 4/15/33 (b) | 570,000 | 518,373 | |
| Series 2020-B Class C, 2.04% 12/15/26 | 1,270,000 | 1,228,144 | |
| Series 2022-D, Class A2A, 5.37% 8/15/25 | 4,899,327 | 4,884,510 | |
| Series 2023-A Class B, 5.07% 1/15/29 | 1,495,000 | 1,486,860 | |
| Ford Credit Floorplan Master Owner Trust Series 2023-1: | |||
| Class C, 5.75% 5/15/28 (b) | 405,000 | 401,748 | |
| Class D, 6.62% 5/15/28 (b) | 485,000 | 481,188 | |
| Fordl 2023-A Series 2023-A: | |||
| Class A2A, 5.19% 6/15/25 | 1,164,000 | 1,158,586 | |
| Class C, 5.54% 12/15/26 | 1,445,000 | 1,423,566 | |
| FORDO Series 2022-B Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.840% 5.4723% 2/15/25 (c)(d) | 1,833,958 | 1,834,117 | |
| Freddie Mac STACR REMIC Trust: | |||
| Series 2022-DNA3 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.000% 6.973% 4/25/42 (b)(c)(d) | 1,091,172 | 1,095,926 | |
| Series 2022-DNA4 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.200% 7.173% 5/25/42 (b)(c)(d) | 1,203,427 | 1,213,650 | |
| Gm Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25 | 269,000 | 268,452 | |
| GM Financial Automobile Leasing Trust: | |||
| Series 2022-2 Class A2, 2.93% 10/21/24 | 1,717,062 | 1,701,107 | |
| Series 2023-1 Class C, 5.76% 1/20/27 | 955,000 | 951,343 | |
| Series 2023-A Class A2A, 5.27% 6/20/25 | 2,507,000 | 2,496,780 | |
| GM Financial Consumer Automobile Re Series 2023 2 Class A2A, 5.1% 5/18/26 | 2,495,000 | 2,483,250 | |
| Gm Financial Consumer Automobile Re Series 2023-1 Class A2A, 5.19% 3/16/26 | 1,161,000 | 1,156,256 | |
| GM Financial Consumer Automobile Receivables Series 2022-2 Class A2, 2.52% 5/16/25 | 1,708,107 | 1,689,135 | |
| GM Financial Consumer Automobile Receivables Trust: | |||
| Series 2020-2 Class A3, 1.49% 12/16/24 | 39,979 | 39,713 | |
| Series 2020-4 Class C, 1.05% 5/18/26 | 420,000 | 393,786 | |
| Series 2022-3 Class A2A, 3.5% 9/16/25 | 4,959,676 | 4,905,187 | |
| GMF Floorplan Owner Revolving Trust: | |||
| Series 2020-1 Class A, 0.68% 8/15/25 (b) | 1,480,000 | 1,465,472 | |
| Series 2020-2 Class A, 0.69% 10/15/25 (b) | 3,238,000 | 3,177,362 | |
| Hardee's Funding LLC / Carl's Jr. Funding LLC Series 2018-1A Class A2II, 4.959% 6/20/48 (b) | 840,400 | 791,766 | |
| Hilton Grand Vacations Trust: | |||
| Series 2017-AA: | |||
Class A, 2.66% 12/26/28 (b) | 65,977 | 64,936 | |
Class B, 2.96% 12/26/28 (b) | 100,627 | 98,712 | |
| Series 2020-AA: | |||
Class A, 2.74% 2/25/39 (b) | 330,411 | 309,935 | |
Class B, 4.22% 2/25/39 (b) | 509,063 | 490,294 | |
| Home Partners of America Trust Series 2022-1 Class A, 3.93% 4/17/39 (b) | 1,900,634 | 1,799,144 | |
| Honda Auto Receivables Series 2023-1 Class A2, 5.22% 10/21/25 | 3,000,000 | 2,987,493 | |
| HPEFS Equipment Trust Series 2022-3A Class A2, 5.26% 8/20/29 (b) | 2,723,943 | 2,714,455 | |
| HPEFS Equiptment Trust Series 2023 1A Class C, 5.91% 4/20/28 (b) | 535,000 | 531,528 | |
| Hyundai Auto Lease Securitizat Series 2023-B Class A2A, 5.47% 9/15/25 (b) | 633,000 | 632,817 | |
| Hyundai Auto Lease Securitization Trust: | |||
| Series 2022-B Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.150% 5.4923% 10/15/24 (b)(c)(d) | 1,132,357 | 1,132,257 | |
| Series 2023-A Class A2A, 5.2% 4/15/25 (b) | 1,861,000 | 1,852,776 | |
| Hyundai Auto Receivables Trust: | |||
| Series 2020-A Class A3, 1.41% 11/15/24 | 128,972 | 127,983 | |
| Series 2022-B Class A2A, 3.64% 5/15/25 | 2,987,101 | 2,957,462 | |
| Series 2022-C, Class A2A, 5.35% 11/17/25 | 3,530,000 | 3,517,419 | |
| John Deere Owner Trust: | |||
| Series 2022-C Class A2, 4.98% 8/15/25 | 1,990,360 | 1,981,210 | |
| 3.73% 6/16/25 | 4,064,314 | 4,024,789 | |
| Juniper Valley Park CLO LLC Series 2023-1A Class A1, CME Term SOFR 3 Month Index + 1.850% 0% 7/20/35 (b)(c)(d)(f) | 2,000,000 | 1,998,962 | |
| KKR CLO Ltd. / KKR CLO LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 1.200% 6.4603% 1/15/32 (b)(c)(d) | 1,250,000 | 1,234,266 | |
| KKR Finanical CLO Ltd. Series 13 Class A1R, 3 month U.S. LIBOR + 0.800% 6.0603% 1/16/28 (b)(c)(d) | 321,745 | 319,956 | |
| KKR Industrial Portfolio Trust Series 2021-KDIP Class C, CME Term SOFR 1 Month Index + 1.110% 6.1738% 12/15/37 (b)(c)(d) | 1,061,250 | 1,024,042 | |
| Kubota Credit Owner Trust Series 2020-1A Class A3, 1.96% 3/15/24 (b) | 2,134 | 2,131 | |
| Madison Park Funding XXIII, Ltd. Series 2021-23A: | |||
| Class AR, 3 month U.S. LIBOR + 0.970% 6.2616% 7/27/31 (b)(c)(d) | 1,219,072 | 1,205,607 | |
| Class BR, 3 month U.S. LIBOR + 1.550% 6.8416% 7/27/31 (b)(c)(d) | 800,000 | 782,141 | |
| Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 6.2727% 1/22/31 (b)(c)(d) | 3,229,000 | 3,184,307 | |
| Madison Park Funding XXXIII Ltd. Series 2022-33A Class AR, CME Term SOFR 3 Month Index + 1.290% 6.2763% 10/15/32 (b)(c)(d) | 1,910,000 | 1,873,460 | |
| Madison Park Funding XXXV Ltd. / Madison Park Funding XXXV LLC Series 2021-35A Class A1R, 3 month U.S. LIBOR + 0.990% 6.2404% 4/20/32 (b)(c)(d) | 1,650,000 | 1,626,148 | |
| Magnetite XXV Ltd. Series 2020-25A Class A, 3 month U.S. LIBOR + 1.200% 6.4551% 1/25/32 (b)(c)(d) | 1,015,000 | 1,003,341 | |
| Mercedes-Benz Auto Receivables: | |||
| Series 2022-1, Class A2, 5.26% 10/15/25 | 3,478,771 | 3,469,262 | |
| Series 2023-1 Class A2, 5.09% 1/15/26 | 1,392,000 | 1,385,964 | |
| MFRA Trust Series 2021-INV1 Class A1, 0.852% 1/25/56 (b)(c) | 209,402 | 188,376 | |
| MMAF Equipment Finance LLC Series 2022-B Class A2, 5.57% 9/9/25 (b) | 1,507,000 | 1,499,645 | |
| MVW LLC: | |||
| Series 2020-1A Class B, 2.73% 10/20/37 (b) | 250,621 | 232,024 | |
| Series 2023 1A Class A, 4.93% 10/20/40 (b) | 1,174,405 | 1,161,479 | |
| MVW Owner Trust: | |||
| Series 2017-1A: | |||
Class A, 2.42% 12/20/34 (b) | 183,355 | 181,494 | |
Class B, 2.75% 12/20/34 (b) | 10,786 | 10,671 | |
Class C, 2.99% 12/20/34 (b) | 25,885 | 25,571 | |
| Series 2021-1WA Class C, 1.94% 1/22/41 (b) | 157,874 | 143,081 | |
| Navient Private Education Loan Trust: | |||
| Series 2019-D Class A2A, 3.01% 12/15/59 (b) | 311,678 | 291,043 | |
| Series 2020-CA Class A2A, 2.15% 11/15/68 (b) | 2,057,149 | 1,887,971 | |
| Navient Private Education Refi Loan Trust: | |||
| Series 2019-A Class A2A, 3.42% 1/15/43 (b) | 732,047 | 705,492 | |
| Series 2019-GA Class A, 2.4% 10/15/68 (b) | 237,331 | 220,346 | |
| Series 2020-DA Class A, 1.69% 5/15/69 (b) | 378,587 | 343,014 | |
| Navient Student Loan Trust: | |||
| Series 2017-A Class A2A, 2.88% 12/16/58 (b) | 183,234 | 180,643 | |
| Series 2019-EA Class A2A, 2.64% 5/15/68 (b) | 606,368 | 569,577 | |
| Nelnet Student Loan Trust: | |||
| Series 2005-4 Class A4, 3 month U.S. LIBOR + 0.180% 5.1271% 3/22/32 (c)(d) | 390,517 | 376,673 | |
| Series 2020-1A Class A, 1 month U.S. LIBOR + 0.740% 5.878% 3/26/68 (b)(c)(d) | 226,452 | 222,142 | |
| Series 2021-CA Class AFX, 1.32% 4/20/62 (b) | 1,135,289 | 1,016,697 | |
| Series 2021-DA Class AFX, 1.63% 4/20/62 (b) | 409,242 | 369,629 | |
| Neuberger Berman Loan Advisers CLO 40, Ltd. / Neuberger Berman Loan Advisers CLO 40 LLC Series 2021-40A Class A, 3 month U.S. LIBOR + 1.060% 6.3203% 4/16/33 (b)(c)(d) | 455,000 | 448,852 | |
| Neuberger Berman Loan Advisers CLO, Ltd. Series 2021-26A Class AR, 3 month U.S. LIBOR + 0.920% 6.1817% 10/18/30 (b)(c)(d) | 812,332 | 802,742 | |
| Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 6.2603% 7/17/32 (b)(c)(d) | 4,100,000 | 4,015,991 | |
| Nissan Auto Receivables Trust Series 2020-A Class A3, 1.38% 12/16/24 | 72,281 | 71,657 | |
| OCP CLO Ltd. Series 2014-7A Class A1RR, 3 month U.S. LIBOR + 1.120% 6.3704% 7/20/29 (b)(c)(d) | 2,188,893 | 2,167,788 | |
| OCP CLO Ltd. / OCP CLO LLC Series 2021-13A Class A2R, 6.8103% 7/15/30 (b)(c) | 1,320,000 | 1,276,303 | |
| Octane Receivables Trust: | |||
| Series 2021-2A Class A, 1.21% 9/20/28 (b) | 309,030 | 296,234 | |
| Series 2022-1A Class B, 4.9% 5/22/28 (b) | 780,000 | 758,208 | |
| Series 2023-1A Class A, 5.87% 5/21/29 (b) | 219,777 | 218,941 | |
| Palmer Square CLO, Ltd. Series 2021-3A Class A1AR, 3 month U.S. LIBOR + 1.080% 6.4007% 11/15/31 (b)(c)(d) | 2,570,000 | 2,533,763 | |
| Planet Fitness Master Issuer LLC Series 2018-1A Class A2II, 4.666% 9/5/48 (b) | 1,485,025 | 1,425,282 | |
| Progress Residential: | |||
| Series 2020-SFR2 Class A, 2.078% 6/17/37 (b) | 269,667 | 252,104 | |
| Series 2022-SFR6 Class A, 4.451% 7/20/39 (b) | 1,000,000 | 963,853 | |
| Santander Bank, N.A.: | |||
| Series 2021-1A Class B, 1.833% 12/15/31 (b) | 113,686 | 109,478 | |
| Series 2022-B Class C, 5.916% 8/16/32 (b) | 249,941 | 248,234 | |
| Series 2022-C Class A2, 6.024% 12/15/32 (b) | 249,479 | 249,058 | |
| Series 2022-C, Class B, 6.451% 12/15/32 (b) | 1,075,502 | 1,071,962 | |
| Santander Consumer Auto Receivables Trust 1.57% 1/15/27 (b) | 801,000 | 733,938 | |
| Santander Drive Auto Receivables Trust: | |||
| Series 2020-4 Class C, 1.01% 1/15/26 | 146,002 | 145,152 | |
| Series 2021-4 Class D, 1.67% 10/15/27 | 1,310,000 | 1,212,609 | |
| Series 2022-1 Class C, 2.56% 4/17/28 | 1,630,000 | 1,559,730 | |
| Series 2022-2 Class C, 3.76% 7/16/29 | 1,990,000 | 1,903,245 | |
| Series 2022-5 Class A2, 3.98% 1/15/25 | 712,506 | 711,365 | |
| Santander Retail Auto Lease Trust: | |||
| Series 2021-A Class C, 1.14% 3/20/26 (b) | 1,815,000 | 1,743,436 | |
| Series 2021-C Class C, 1.11% 3/20/26 (b) | 630,000 | 598,661 | |
| Series 2022-B Class B, 3.85% 3/22/27 (b) | 445,000 | 430,032 | |
| SBA Tower Trust: | |||
| Series 2019, 2.836% 1/15/50 (b) | 1,590,000 | 1,509,526 | |
| 1.631% 5/15/51 (b) | 495,000 | 431,681 | |
| 1.884% 7/15/50 (b) | 365,000 | 329,641 | |
| 6.599% 1/15/28 (b) | 550,000 | 569,155 | |
| SG Residential Mortgage Trust Series 2019-3 Class A2, 2.877% 9/25/59 (b) | 195,617 | 187,670 | |
| Sierra Receivables Funding Co. LLC: | |||
| Series 2019-1A Class A, 3.2% 1/20/36 (b) | 76,966 | 74,075 | |
| Series 2019-2A Class A, 2.59% 5/20/36 (b) | 489,277 | 471,037 | |
| Sierra Timeshare Receivables Funding LLC: | |||
| Series 2019-3A Class A, 2.34% 8/20/36 (b) | 114,327 | 108,039 | |
| Series 2020-2A Class C, 3.51% 7/20/37 (b) | 155,885 | 147,261 | |
| Series 2021-1A Class B, 1.34% 11/20/37 (b) | 157,132 | 145,022 | |
| SMB Private Education Loan Trust: | |||
| Series 2014-A Class A3, 1 month U.S. LIBOR + 1.500% 6.6074% 4/15/32 (b)(c)(d) | 385,665 | 385,817 | |
| Series 2016-C Class A2B, 1 month U.S. LIBOR + 1.100% 6.2074% 9/15/34 (b)(c)(d) | 282,470 | 281,429 | |
| Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.720% 5.8274% 1/15/37 (b)(c)(d) | 772,869 | 761,172 | |
| Series 2020-BA Class A1A, 1.29% 7/15/53 (b) | 255,826 | 228,770 | |
| Series 2020-PTB Class A2A, 1.6% 9/15/54 (b) | 1,588,877 | 1,420,888 | |
| Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (b) | 1,019,312 | 1,017,369 | |
| Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 6.3203% 7/15/32 (b)(c)(d) | 3,117,000 | 3,054,529 | |
| Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 6.2803% 1/15/34 (b)(c)(d) | 6,116,000 | 6,025,422 | |
| Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 6.3304% 4/20/33 (b)(c)(d) | 465,000 | 456,085 | |
| Symphony Static CLO Ltd. Series 2021-1A Class B, 3 month U.S. LIBOR + 1.450% 6.7051% 10/25/29 (b)(c)(d) | 1,385,000 | 1,338,402 | |
| TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 6.2904% 11/18/30 (b)(c)(d) | 3,671,713 | 3,637,941 | |
| Tesla Auto Lease Trust Series 2021-B Class A2, 0.36% 9/22/25 (b) | 1,512,035 | 1,497,482 | |
| Towd Point Mortgage Trust: | |||
| Series 2017-1 Class A1, 2.75% 10/25/56 (b)(c) | 50,193 | 49,355 | |
| Series 2019-1 Class A1, 3.75% 3/25/58 (b)(c) | 472,838 | 446,918 | |
| Toyota Auto Receivables Series 2022-D Class A2A, 5.27% 1/15/26 | 3,850,000 | 3,836,962 | |
| Toyota Auto Receivables 2022-B Series 2022-B Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.000% 5.3623% 1/15/25 (c)(d) | 891,156 | 890,834 | |
| Toyota Auto Receivables Owner Trust Series 2023-A Class A2, 5.05% 1/15/26 | 2,290,000 | 2,279,532 | |
| Verizon Master Trust: | |||
| Series 2022-5 Class A1A, 3.72% 7/20/27 | 1,588,000 | 1,566,385 | |
| Series 2023 2 Class A, 4.89% 4/13/28 | 1,891,000 | 1,884,277 | |
| Volkswagen Auto Loan Enhanced Trust: | |||
| Series 2020-1 Class A4, 1.26% 8/20/26 | 545,000 | 531,601 | |
| Series 2021-1 Class A2, 0.49% 10/21/24 | 469,518 | 468,116 | |
| Wheels SPV LLC Series 2021-1A Class A, 1 month U.S. LIBOR + 0.280% 5.4284% 8/20/29 (b)(c)(d) | 1,372,023 | 1,360,918 | |
| World Omni Auto Receivables Trust: | |||
| Series 2020-A Class C, 1.64% 8/17/26 | 480,000 | 463,307 | |
| Series 2022-A Class C, 2.55% 9/15/28 | 600,000 | 555,458 | |
| Series 2022-B, Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 5.4423% 10/15/25 (c)(d) | 2,137,583 | 2,136,950 | |
| World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25 | 518,000 | 517,822 | |
| World Omni Select Auto Trust Series 2020-A: | |||
| Class B, 0.84% 6/15/26 | 510,000 | 498,357 | |
| Class C, 1.25% 10/15/26 | 585,000 | 555,857 | |
| World Omni Select Auto Trust 2023 Series 2023-A Class B, 5.87% 8/15/28 | 280,000 | 282,576 | |
| TOTAL ASSET-BACKED SECURITIES (Cost $246,194,063) | 241,392,725 | ||
| Collateralized Mortgage Obligations - 1.1% | |||
Principal Amount (a) | Value ($) | ||
| Private Sponsor - 1.0% | |||
| Angel Oak Mortgage Trust: | |||
| sequential payer: | |||
Series 2021-1: | |||
Class A1, 0.909% 1/25/66 (b) | 533,728 | 435,571 | |
Class A2, 1.115% 1/25/66 (b) | 156,087 | 129,698 | |
Series 2021-2 Class A1, 0.985% 4/25/66 (b) | 449,552 | 367,204 | |
| Series 2021-3 Class A1, 1.068% 5/25/66 (b) | 354,504 | 291,323 | |
| Series 2021-6 Class A3, 1.714% 9/25/66 (b) | 394,826 | 312,454 | |
| Angel Oak Mortgage Trust LLC: | |||
| Series 2020-3 Class A3, 2.872% 4/25/65 (b)(c) | 464,555 | 433,777 | |
| Series 2022-2 Class A1, 3.353% 1/25/67 (b)(c) | 1,706,609 | 1,569,455 | |
| Bayview MSR Opportunity Master Fund Trust sequential payer: | |||
| Series 2021-1 Class A5, 2.5% 12/25/51 (b) | 806,193 | 694,711 | |
| Series 2021-5 Class A5, 2.5% 11/25/51 (b) | 1,604,775 | 1,382,865 | |
| BINOM Securitization Trust sequential payer Series 2021-INV1: | |||
| Class A2, 2.37% 6/25/56 (b) | 1,104,057 | 959,095 | |
| Class A3, 2.625% 6/25/56 (b) | 346,371 | 298,261 | |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | 407,904 | 389,464 | |
| BRAVO Residential Funding Trust sequential payer Series 2021-NQM3 Class A1, 1.699% 4/25/60 (b) | 528,366 | 477,290 | |
| Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b) | 518,240 | 502,650 | |
| CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b) | 2,844,452 | 2,780,631 | |
| CIM Trust Series 2021-INV1 Class A8, 2.5% 7/1/51 (b) | 399,038 | 343,858 | |
| Citigroup Mortgage Loan Trust Series 2020-EXP2 Class A3, 2.5% 8/25/50 (b) | 209,427 | 176,630 | |
| Colt Funding LLC Series 2021-1 Class A2, 1.167% 6/25/66 (b) | 457,772 | 380,900 | |
| COLT Mortgage Loan Trust sequential payer Series 2020-3 Class A1, 1.506% 4/27/65 (b) | 70,406 | 65,262 | |
| Connecticut Avenue Securities floater Series 2022-R03 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.100% 7.073% 3/25/42 (b)(c)(d) | 843,631 | 847,625 | |
| Connecticut Avenue Securities Trust floater: | |||
| Series 2022-R01 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 5.973% 12/25/41 (b)(c)(d) | 1,479,751 | 1,470,701 | |
| Series 2022-R07 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.950% 7.9314% 6/25/42 (b)(c)(d) | 940,516 | 961,678 | |
| Series 2022-R08 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.550% 7.523% 7/25/42 (b)(c)(d) | 399,409 | 405,169 | |
| Deephaven Residential Mortgage Trust: | |||
| Series 2021-1 Class A2, 0.973% 5/25/65 (b) | 95,247 | 87,307 | |
| Series 2021-2: | |||
Class A1, 0.899% 4/25/66 (b) | 184,515 | 156,444 | |
Class A3, 1.26% 4/25/66 (b) | 205,603 | 173,185 | |
| Ellington Financial Mortgage Trust: | |||
| Series 2019-2 Class A3, 3.046% 11/25/59 (b) | 84,898 | 78,931 | |
| Series 2021-1: | |||
Class A1, 0.797% 2/25/66 (b) | 109,231 | 90,698 | |
Class A3, 1.106% 2/25/66 (b) | 91,026 | 75,306 | |
| Series 2021-2: | |||
Class A1, 0.931% 6/25/66 (b)(c) | 275,481 | 223,328 | |
Class A3, 1.291% 6/25/66 (b) | 266,400 | 218,163 | |
| Series 2021-3 Class A3, 1.55% 9/25/66 (b) | 273,194 | 209,977 | |
| Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c) | 2,858,058 | 2,693,527 | |
| Flagstar Mortgage Trust floater sequential payer Series 2020-1INV Class A11, 1 month U.S. LIBOR + 0.850% 5.8704% 3/25/50 (b)(c)(d) | 228,926 | 212,808 | |
| Galton Funding Mortgage Trust: | |||
| sequential payer: | |||
Series 2019-H1 Class M1, 3.339% 10/25/59 (b) | 600,000 | 548,202 | |
Series 2020-H1 Class M1, 2.832% 1/25/60 (b) | 625,000 | 460,612 | |
| Series 2019-1: | |||
Class A21, 4.5% 2/25/59 (b) | 60,936 | 58,645 | |
Class A32, 4% 2/25/59 (b) | 30,803 | 28,918 | |
| GMRF Mortgage Acquisition Co., LLC Series 2018-1 Class A33, 3.5% 11/25/57 (b) | 61,745 | 55,320 | |
| GS Mortgage-Backed Securites Trust: | |||
| Series 2014-EB1A Class 2A1, 3.8686% 7/25/44 (b)(c) | 7,254 | 7,568 | |
| Series 2021-GR2 Class A6, 2.5% 2/25/52 (b)(c) | 872,010 | 750,882 | |
| GS Mortgage-Backed Securities Trust Series 2022-GR1 Class A5, 2.5% 6/25/52 (b) | 1,718,610 | 1,478,896 | |
| Imperial Fund Mortgage Trust: | |||
| sequential payer Series 2022-NQM4 Class A1, 4.767% 6/25/67 (b) | 1,479,185 | 1,449,852 | |
| Series 2021-NQM2 Class A3, 1.516% 9/25/56 (b) | 453,388 | 361,883 | |
| J.P. Morgan Mortgage Trust Series 2020-INV1 Class A15, 3.5% 8/25/50 (b) | 164,597 | 142,842 | |
| Metlife Securitization Trust Series 2017-1A Class A, 3% 4/25/55 (b) | 163,390 | 149,260 | |
| MFRA Trust Series 2021-NQM2 Class A2, 1.317% 11/25/64 (b) | 213,601 | 181,072 | |
| Mill City Mortgage Loan Trust Series 2017-2 Class A1, 2.75% 7/25/59 (b) | 33,361 | 32,880 | |
| New Residential Mortgage Loan Trust Series 2021-INV1 Class A6, 2.5% 6/25/51 (b) | 518,640 | 446,273 | |
| NMLT Trust sequential payer Series 2021-INV2 Class A3, 1.52% 8/25/56 (b) | 391,624 | 326,046 | |
| OBX Trust: | |||
| floater Series 2020-EXP1 Class 2A2, 1 month U.S. LIBOR + 0.950% 6.088% 2/25/60 (b)(c)(d) | 186,892 | 173,492 | |
| Series 2020-EXP1 Class 1A8, 3.5% 2/25/60 (b)(c) | 339,452 | 300,043 | |
| Series 2020-EXP2: | |||
Class A8, 3% 5/25/60 (b) | 417,650 | 359,120 | |
Class A9, 3% 5/25/60 (b) | 102,745 | 86,879 | |
| Series 2020-INV1 Class A5, 3.5% 12/25/49 (b) | 93,927 | 82,993 | |
| Oceanview Mortgage Trust sequential payer Series 2021-2 Class A5, 2.5% 6/25/51 (b) | 775,377 | 672,034 | |
| Onslow Bay Financial LLC: | |||
| floater Series 2019-EXP2 Class 2A2, 1 month U.S. LIBOR + 1.200% 5.2983% 6/25/59 (b)(c)(d) | 140,216 | 134,693 | |
| sequential payer: | |||
Series 2021-J1 Class A4, 2.5% 5/25/51 (b) | 893,489 | 777,893 | |
Series 2021-NQM1 Class A2, 1.175% 2/25/66 (b) | 300,101 | 245,754 | |
| PSMC Trust sequential payer Series 2021-1 Class A11, 2.5% 3/25/51 (b)(c) | 1,258,557 | 1,095,985 | |
| Residential Mortgage Loan Trust Series 2021-INV2 Class A7, 2.5% 9/25/51 (b) | 1,527,617 | 1,314,467 | |
| Sequoia Mortgage Trust: | |||
| sequential payer Series 2018-CH2 Class A3, 4% 6/25/48 (b) | 108,957 | 101,150 | |
| Series 2018-CH2 Class A21, 4% 6/25/48 (b) | 48,621 | 44,903 | |
| Series 2018-CH3 Class A19, 4.5% 8/25/48 (b) | 7,134 | 6,921 | |
| Series 2018-CH4 Class A2, 4% 10/25/48 (b) | 3,352 | 3,304 | |
| SG Residential Mortgage Trust: | |||
| sequential payer Series 2022-1 Class A1, 3.166% 3/27/62 (b) | 1,138,635 | 1,029,880 | |
| Series 2020-2 Class A1, 1.381% 5/25/65 (b) | 184,383 | 161,461 | |
| Starwood Mortgage Residential Trust: | |||
| sequential payer Series 2019-INV1 Class A3, 2.916% 9/27/49 (b) | 388,376 | 368,207 | |
| Series 2020-1 Class A2, 2.408% 2/25/50 (b) | 396,343 | 366,621 | |
| Series 2021-2 Class A1, 0.943% 5/25/65 (b) | 427,435 | 384,296 | |
| Series 2021-4 Class A1, 1.162% 8/25/56 (b) | 1,071,676 | 889,840 | |
| Toorak Mortgage Corp. Series 2021-INV1 Class A2, 1.409% 7/25/56 (b) | 205,423 | 174,069 | |
| Towd Point Mortgage Trust: | |||
| Series 2017-2 Class A1, 2.75% 4/25/57 (b)(c) | 29,197 | 28,703 | |
| Series 2017-3 Class A1, 2.75% 7/25/57 (b)(c) | 142,877 | 137,445 | |
| Verus Securitization Trust: | |||
| sequential payer: | |||
Series 2020-2 Class A1, 2.226% 5/25/60 (b) | 206,480 | 198,492 | |
Series 2020-INV1 Class A1, 1.977% 3/25/60 (b) | 78,340 | 76,415 | |
| Series 2019-INV2 Class A2, 3.117% 7/25/59 (b) | 267,445 | 257,804 | |
| Series 2020-5 Class A3, 1.733% 5/25/65 (b) | 140,781 | 127,484 | |
| Series 2021-1: | |||
Class A2, 1.052% 1/25/66 (b) | 204,826 | 173,298 | |
Class A3, 1.155% 1/25/66 (b) | 121,034 | 102,646 | |
| Series 2021-2 Class A1, 1.031% 2/25/66 (b) | 297,564 | 250,309 | |
| Series 2021-5 Class A3, 1.373% 9/25/66 (b) | 375,509 | 307,149 | |
| Series 2021-7 Class A1, 1.829% 10/25/66 (b) | 1,453,275 | 1,242,931 | |
| Series 2021-R1 Class A2, 1.057% 10/25/63 (b) | 91,494 | 82,807 | |
| Series 2021-R2 Class A1, 0.918% 2/25/64 (b) | 313,704 | 274,280 | |
| Series 2022-1 Class A3, 3.288% 1/25/67 (b) | 1,673,138 | 1,469,705 | |
| Series 2022-6 Class A1, 4.91% 6/25/67 (b) | 594,941 | 587,639 | |
| Vista Point Securitization Trust sequential payer Series 2020-2 Class A3, 2.496% 4/25/65 (b) | 782,808 | 725,330 | |
| Wells Fargo Mortgage Backed Securities Trust Series 2021-RR1 Class A3, 2.5% 12/25/50 (b)(c) | 1,044,709 | 904,163 | |
TOTAL PRIVATE SPONSOR | 42,095,702 | ||
| U.S. Government Agency - 0.1% | |||
| Fannie Mae: | |||
| floater Series 2022-R04 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.000% 6.973% 3/25/42 (b)(c)(d) | 562,850 | 565,120 | |
| Series 2017-90 Class KA, 3% 11/25/47 | 431,384 | 406,395 | |
| Fannie Mae Connecticut Avenue Securities floater Series 2017-C05 Class 1ED3, 1 month U.S. LIBOR + 1.200% 6.338% 1/25/30 (c)(d) | 18,038 | 17,996 | |
| FHLMC Structured Agency Credit Risk Debt Notes floater Series 2014-DN3 Class M3, 1 month U.S. LIBOR + 4.000% 9.138% 8/25/24 (c)(d) | 109,438 | 110,816 | |
| Freddie Mac planned amortization class Series 3713 Class PA, 2% 2/15/40 | 124,201 | 120,509 | |
| Freddie Mac STACR REMIC Trust floater: | |||
| Series 2021-DNA3 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.100% 7.073% 10/25/33 (b)(c)(d) | 690,000 | 677,123 | |
| Series 2021-DNA5 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.650% 6.623% 1/25/34 (b)(c)(d) | 329,406 | 326,531 | |
| Series 2021-DNA7 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.800% 6.773% 11/25/41 (b)(c)(d) | 555,000 | 535,502 | |
| Series 2022-DNA2 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.300% 6.273% 2/25/42 (b)(c)(d) | 440,069 | 436,769 | |
| Series 2022-DNA5 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.950% 7.923% 6/25/42 (b)(c)(d) | 1,171,237 | 1,190,635 | |
| Series 2022-DNA6 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.150% 7.123% 9/25/42 (b)(c)(d) | 348,144 | 350,071 | |
| Series 2022-HQA1 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.100% 7.073% 3/25/42 (b)(c)(d) | 1,309,024 | 1,313,117 | |
| Freddie Mac Whole Loan Securities Trust Series 2017-SC02 Class M1, 3.8625% 5/25/47 (b)(c) | 47,462 | 46,109 | |
TOTAL U.S. GOVERNMENT AGENCY | 6,096,693 | ||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $53,231,169) | 48,192,395 | ||
| Commercial Mortgage Securities - 2.2% | |||
Principal Amount (a) | Value ($) | ||
| ALEN Mortgage Trust floater Series 2021-ACEN Class A, 1 month U.S. LIBOR + 1.150% 6.257% 4/15/34 (b)(c)(d) | 595,000 | 525,968 | |
| Americold Realty Trust floater Series 2020-ICE5 Class B, 1 month U.S. LIBOR + 1.300% 6.4074% 11/15/37 (b)(c)(d) | 1,705,489 | 1,669,141 | |
| BAMLL Commercial Mortgage Securities Trust floater: | |||
| Series 2021-JACX Class C, 1 month U.S. LIBOR + 2.000% 7.107% 9/15/38 (b)(c)(d) | 805,000 | 687,687 | |
| Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 6.21% 1/15/39 (b)(c)(d) | 1,014,000 | 984,892 | |
| Banc of America Merrill Lynch Large Loan, Inc. floater Series 2018-DSNY Class A, 1 month U.S. LIBOR + 0.850% 5.958% 9/15/34 (b)(c)(d) | 970,000 | 961,864 | |
| BANK Series 2019-BN19 Class A1, 2.263% 8/15/61 | 202,174 | 190,643 | |
| BCP Trust floater Series 2021-330N Class A, 1 month U.S. LIBOR + 0.790% 5.906% 6/15/38 (b)(c)(d) | 500,000 | 447,574 | |
| BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 5.857% 9/15/26 (b)(c)(d) | 2,040,000 | 1,935,583 | |
| BPR Trust floater: | |||
| Series 2021-TY Class B, 1 month U.S. LIBOR + 1.150% 6.257% 9/15/38 (b)(c)(d) | 780,000 | 722,498 | |
| Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 6.9573% 4/15/37 (b)(c)(d) | 3,529,000 | 3,418,983 | |
| BSREP Commercial Mortgage Trust floater Series 2021-DC Class D, 1 month U.S. LIBOR + 1.900% 7.008% 8/15/38 (b)(c)(d) | 340,000 | 288,794 | |
| BX Commercial Mortgage Trust floater: | |||
| Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 5.7971% 10/15/36 (b)(c)(d) | 1,872,000 | 1,807,293 | |
| Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 5.7593% 5/15/38 (b)(c)(d) | 1,600,000 | 1,550,357 | |
| Series 2022-CSMO Class B, CME Term SOFR 1 Month Index + 3.140% 8.2% 6/15/27 (b)(c)(d) | 1,090,000 | 1,083,523 | |
| Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.0722% 2/15/39 (b)(c)(d) | 2,411,957 | 2,342,924 | |
| Bx Commercial Mortgage Trust 2 floater sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 6.107% 4/15/34 (b)(c)(d) | 2,135,000 | 2,107,897 | |
| BX Trust: | |||
| floater: | |||
Series 2019-XL Class B, CME Term SOFR 1 Month Index + 1.190% 6.2538% 10/15/36 (b)(c)(d) | 382,500 | 378,181 | |
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 5.958% 11/15/38 (b)(c)(d) | 1,838,000 | 1,780,969 | |
Series 2021-ARIA Class C, 1 month U.S. LIBOR + 1.640% 6.753% 10/15/36 (b)(c)(d) | 590,000 | 564,788 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 5.7429% 10/15/26 (b)(c)(d) | 1,715,000 | 1,653,421 | |
Series 2021-SOAR Class D, 1 month U.S. LIBOR + 1.400% 6.508% 6/15/38 (b)(c)(d) | 644,606 | 613,815 | |
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.2243% 10/15/39 (b)(c)(d) | 644,000 | 643,596 | |
| floater sequential payer: | |||
Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.0938% 10/15/36 (b)(c)(d) | 4,432,173 | 4,401,589 | |
Series 2021-SOAR Class A, 1 month U.S. LIBOR + 0.670% 5.778% 6/15/38 (b)(c)(d) | 1,722,504 | 1,668,520 | |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
| Class A, 1 month U.S. LIBOR + 0.950% 6.0574% 11/15/36 (b)(c)(d) | 1,033,000 | 1,017,358 | |
| Class D, 1 month U.S. LIBOR + 1.650% 6.7574% 11/15/36 (b)(c)(d) | 1,545,000 | 1,486,525 | |
| CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 6.227% 6/15/34 (b)(c)(d) | 3,714,948 | 3,667,904 | |
| Citigroup Commercial Mortgage Trust: | |||
| sequential payer Series 2015-GC27 Class AAB, 2.944% 2/10/48 | 1,434,120 | 1,401,345 | |
| Series 2013-375P Class C, 3.5176% 5/10/35 (b)(c) | 560,000 | 494,200 | |
| COMM Mortgage Trust: | |||
| sequential payer Series 2013-300P Class A1, 4.353% 8/10/30 (b) | 620,000 | 564,200 | |
| Series 2014-CR15 Class B, 4.6197% 2/10/47 (c) | 920,000 | 881,404 | |
| Series 2014-CR19 Class AM, 4.08% 8/10/47 | 1,846,434 | 1,772,085 | |
| Series 2014-UBS2 Class B, 4.701% 3/10/47 | 915,000 | 888,567 | |
| Series 2015-CR22: | |||
Class B, 3.926% 3/10/48 (c) | 405,000 | 370,203 | |
Class C, 4.0689% 3/10/48 (c) | 740,000 | 661,823 | |
| Commercial Mortgage Trust Series 2017-PANW Class D, 3.9347% 10/10/29 (b)(c) | 345,000 | 308,837 | |
| Credit Suisse Mortgage Trust: | |||
| floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 6.087% 5/15/36 (b)(c)(d) | 5,471,388 | 5,437,352 | |
Class C, 1 month U.S. LIBOR + 1.430% 6.537% 5/15/36 (b)(c)(d) | 1,012,481 | 1,002,616 | |
Class D, 1 month U.S. LIBOR + 1.600% 6.707% 5/15/36 (b)(c)(d) | 778,064 | 768,212 | |
| sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 444,680 | 399,439 | |
| Series 2020-NET Class D, 3.7042% 8/15/37 (b)(c) | 985,000 | 838,972 | |
| CSAIL Commercial Mortgage Trust: | |||
| sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48 | 670,000 | 644,133 | |
| Series 2019-C16 Class A1, 2.3595% 6/15/52 | 189,086 | 184,458 | |
| CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 5.857% 7/15/32 (b)(c)(d) | 3,342,032 | 3,166,345 | |
| ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 5.809% 11/15/38 (b)(c)(d) | 2,555,000 | 2,463,709 | |
| Extended Stay America Trust floater Series 2021-ESH: | |||
| Class A, 1 month U.S. LIBOR + 1.080% 6.188% 7/15/38 (b)(c)(d) | 1,195,789 | 1,170,305 | |
| Class C, 1 month U.S. LIBOR + 1.700% 6.808% 7/15/38 (b)(c)(d) | 793,622 | 771,790 | |
| Fontainebleau Miami Beach Trust Series 2019-FBLU Class B, 3.447% 12/10/36 (b) | 1,075,000 | 1,017,856 | |
| Great Wolf Trust floater Series 2019-WOLF: | |||
| Class A, CME Term SOFR 1 Month Index + 1.030% 6.2075% 12/15/36 (b)(c)(d) | 1,906,000 | 1,880,292 | |
| Class C, CME Term SOFR 1 Month Index + 1.630% 6.8065% 12/15/36 (b)(c)(d) | 600,000 | 586,756 | |
| GS Mortgage Securities Corp. Trust floater Series 2021-ROSS Class B, 1 month U.S. LIBOR + 1.600% 6.708% 5/15/26 (b)(c)(d) | 685,000 | 599,720 | |
| GS Mortgage Securities Trust floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 6.057% 10/15/36 (b)(c)(d) | 1,087,000 | 1,019,440 | |
| J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2020-609M: | |||
| Class B, 1 month U.S. LIBOR + 1.770% 6.878% 10/15/33 (b)(c)(d) | 995,000 | 869,848 | |
| Class C, 1 month U.S. LIBOR + 2.170% 7.278% 10/15/33 (b)(c)(d) | 805,000 | 678,019 | |
| JPMorgan Chase Commercial Mortgage Securities Trust floater: | |||
| Series 2018-GW Class A, 1 month U.S. LIBOR + 0.800% 6.157% 5/15/35 (b)(c)(d) | 1,940,000 | 1,910,690 | |
| Series 2019-BKWD: | |||
Class A, 1 month U.S. LIBOR + 1.250% 6.357% 9/15/29 (b)(c)(d) | 1,644,659 | 1,485,003 | |
Class C, 1 month U.S. LIBOR + 1.850% 6.957% 9/15/29 (b)(c)(d) | 575,000 | 491,111 | |
| KKR Industrial Portfolio Trust floater Series 2021-KDIP Class D, CME Term SOFR 1 Month Index + 1.360% 6.4238% 12/15/37 (b)(c)(d) | 198,750 | 190,763 | |
| KNDR Trust floater Series 2021-KIND Class C, CME Term SOFR 1 Month Index + 1.860% 6.9235% 8/15/38 (b)(c)(d) | 972,968 | 886,207 | |
| Life Financial Services Trust floater Series 2022-BMR2 Class A1, CME Term SOFR 1 Month Index + 1.290% 6.3545% 5/15/39 (b)(c)(d) | 2,874,000 | 2,813,387 | |
| LIFE Mortgage Trust floater Series 2021-BMR Class A, CME Term SOFR 1 Month Index + 0.810% 5.8735% 3/15/38 (b)(c)(d) | 1,631,730 | 1,589,690 | |
| Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 5.807% 7/15/38 (b)(c)(d) | 907,000 | 877,925 | |
| MHC Commercial Mortgage Trust floater Series 2021-MHC Class B, CME Term SOFR 1 Month Index + 1.210% 6.2744% 4/15/38 (b)(c)(d) | 710,000 | 690,816 | |
| Morgan Stanley BAML Trust Series 2014-C18 Class A/S, 4.11% 10/15/47 | 370,000 | 354,288 | |
| Morgan Stanley Capital I Trust: | |||
| floater: | |||
Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 5.957% 8/15/33 (b)(c)(d) | 3,654,512 | 3,100,854 | |
Series 2019-NUGS Class D, 1 month U.S. LIBOR + 1.800% 6.907% 12/15/36 (b)(c)(d) | 510,000 | 372,939 | |
| sequential payer Series 2014-150E Class A, 3.912% 9/9/32 (b) | 1,325,000 | 1,052,210 | |
| Series 2019-MEAD Class D, 3.1771% 11/10/36 (b)(c) | 1,150,000 | 1,005,422 | |
| New Orleans Hotel Trust floater Series 2019-HNLA Class B, 1 month U.S. LIBOR + 1.289% 6.3957% 4/15/32 (b)(c)(d) | 1,216,977 | 1,164,552 | |
| OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 5.591% 10/15/36 (b)(c)(d) | 2,736,613 | 2,633,421 | |
| RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 5.908% 4/15/36 (b)(c)(d) | 650,000 | 628,982 | |
| SREIT Trust floater Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 5.8382% 11/15/38 (b)(c)(d) | 1,753,000 | 1,693,661 | |
| Wells Fargo Commercial Mortgage Trust Series 2015-NXS2 Class A2, 3.02% 7/15/58 | 114,932 | 110,910 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $97,293,745) | 92,497,044 | ||
| Municipal Securities - 0.0% | |||
Principal Amount (a) | Value ($) | ||
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 A1, 1.711% 6/1/24 (Cost $800,000) | 800,000 | 766,514 | |
| Bank Notes - 0.0% | |||
Principal Amount (a) | Value ($) | ||
Fifth Third Bank, Cincinnati 2.25% 2/1/27 (Cost $463,292) | 520,000 | 456,669 | |
| Certificates of Deposit - 0.2% | |||
Principal Amount (a) | Value ($) | ||
| Barclays Bank PLC yankee 5.4% 11/6/23 | 5,000,000 | 4,991,766 | |
| Toronto-Dominion Bank yankee U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.670% 5.73% 3/25/24 (c)(d) | 4,000,000 | 4,002,122 | |
| TOTAL CERTIFICATES OF DEPOSIT (Cost $9,000,000) | 8,993,888 | ||
| Commercial Paper - 0.1% | |||
Principal Amount (a) | Value ($) | ||
Citigroup Global Markets, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.71% 9/22/23 (c)(d) (Cost $5,000,000) | 5,000,000 | 5,000,000 | |
| Short-Term Funds - 58.9% | |||
| Shares | Value ($) | ||
| Short-Term Funds - 58.9% | |||
| Baird Short-Term Bond Fund - Institutional Class | 13,984,734 | 129,638,487 | |
| Baird Ultra Short Bond Fund Institutional Class | 34,173,083 | 342,756,024 | |
| BlackRock Low Duration Bond Portfolio Investor A Shares | 5,130,496 | 45,661,415 | |
| Fidelity SAI Short-Term Bond Fund (g) | 15,546,373 | 148,312,401 | |
| iShares Lehman 1-3 Year Treasury Bond ETF (h) | 2,276,674 | 185,958,732 | |
| iShares Short Maturity Bond ETF | 2,391,230 | 118,879,999 | |
| iShares Short Treasury Bond ETF (h) | 953,669 | 105,294,594 | |
| iShares Ultra Short-Term Bond ETF | 4,028,861 | 202,691,997 | |
| JPMorgan Ultra-Short Income ETF | 7,335,331 | 368,453,676 | |
| Metropolitan West Low Duration Bond Fund - Class M | 8,100,193 | 66,664,587 | |
| Morgan Stanley Institutional Fund Trust Ultra-Short Income Portfolio Class IR | 7,071,664 | 70,575,207 | |
| PIMCO Short-Term Fund Institutional Class | 47,291,580 | 449,270,006 | |
| SPDR Lehman 1-3 Month T-Bill ETF (h) | 874,798 | 80,280,212 | |
| T. Rowe Price Ultra Short-Term Bond Fund | 47,049,076 | 232,422,433 | |
| TOTAL SHORT-TERM FUNDS (Cost $2,576,419,286) | 2,546,859,770 | ||
| Money Market Funds - 4.5% | |||
| Shares | Value ($) | ||
| Fidelity Cash Central Fund 5.14% (i) | 46,930,482 | 46,939,868 | |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.02% (g)(j) | 141,768,749 | 141,768,749 | |
| Fidelity Securities Lending Cash Central Fund 5.14% (i)(k) | 4,014,056 | 4,014,457 | |
| State Street Institutional U.S. Government Money Market Fund Premier Class 5.02% (j) | 1,193,291 | 1,193,291 | |
| TOTAL MONEY MARKET FUNDS (Cost $193,916,365) | 193,916,365 | ||
| TOTAL INVESTMENT IN SECURITIES - 100.3% (Cost $4,399,784,662) | 4,335,571,806 |
NET OTHER ASSETS (LIABILITIES) - (0.3)% | (13,431,069) |
| NET ASSETS - 100.0% | 4,322,140,737 |
| Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Purchased | |||||
| Treasury Contracts | |||||
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 613 | Sep 2023 | 126,172,641 | (208,239) | (208,239) |
| Sold | |||||
| Treasury Contracts | |||||
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 97 | Sep 2023 | 11,103,469 | (27,418) | (27,418) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 118 | Sep 2023 | 12,871,219 | 5,364 | 5,364 |
| CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 55 | Sep 2023 | 6,624,922 | (32,305) | (32,305) |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 3 | Sep 2023 | 410,625 | (6,708) | (6,708) |
| TOTAL SOLD | (61,067) | ||||
| TOTAL FUTURES CONTRACTS | (269,306) | ||||
| The notional amount of futures purchased as a percentage of Net Assets is 2.9% | |||||
| The notional amount of futures sold as a percentage of Net Assets is 0.7% | |||||
Security Type Abbreviations
| ETF | - | EXCHANGE-TRADED FUND |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | 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 $521,187,953 or 12.1% of net assets. |
| (c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (d) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (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 $753,503. |
| (f) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (g) | Affiliated Fund |
| (h) | Security or a portion of the security is on loan at period end. |
| (i) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (j) | The rate quoted is the annualized seven-day yield of the fund at period end. |
| (k) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.14% | 26,998,503 | 798,035,547 | 778,094,181 | 933,241 | 4,974 | (4,975) | 46,939,868 | 0.1% |
| Fidelity Securities Lending Cash Central Fund 5.14% | 83,359,539 | 2,611,820,834 | 2,691,165,916 | 157,427 | - | - | 4,014,457 | 0.0% |
| Total | 110,358,042 | 3,409,856,381 | 3,469,260,097 | 1,090,668 | 4,974 | (4,975) | 50,954,325 | |
Amounts in the dividend 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.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.02% | 30,026,291 | 615,707,000 | 503,964,566 | 2,768,352 | 24 | - | 141,768,749 |
| Fidelity SAI Short-Term Bond Fund | 232,541,959 | 3,121,022 | 85,000,000 | 3,121,023 | (3,944,319) | 1,593,739 | 148,312,401 |
| 262,568,250 | 618,828,022 | 588,964,566 | 5,889,375 | (3,944,295) | 1,593,739 | 290,081,150 |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: | ||||
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
| Corporate Bonds | 879,075,947 | - | 879,075,947 | - |
| U.S. Government and Government Agency Obligations | 290,601,109 | - | 290,601,109 | - |
| U.S. Government Agency - Mortgage Securities | 27,819,380 | - | 27,819,380 | - |
| Asset-Backed Securities | 241,392,725 | - | 241,392,725 | - |
| Collateralized Mortgage Obligations | 48,192,395 | - | 48,192,395 | - |
| Commercial Mortgage Securities | 92,497,044 | - | 92,497,044 | - |
| Municipal Securities | 766,514 | - | 766,514 | - |
| Bank Notes | 456,669 | - | 456,669 | - |
| Certificates of Deposit | 8,993,888 | - | 8,993,888 | - |
| Commercial Paper | 5,000,000 | - | 5,000,000 | - |
| Short-Term Funds | 2,546,859,770 | 2,546,859,770 | - | - |
| Money Market Funds | 193,916,365 | 193,916,365 | - | - |
| Total Investments in Securities: | 4,335,571,806 | 2,740,776,135 | 1,594,795,671 | - |
Derivative Instruments: | ||||
| Assets | ||||
Futures Contracts | 5,364 | 5,364 | - | - |
| Total Assets | 5,364 | 5,364 | - | - |
| Liabilities | ||||
Futures Contracts | (274,670) | (274,670) | - | - |
| Total Liabilities | (274,670) | (274,670) | - | - |
| Total Derivative Instruments: | (269,306) | (269,306) | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
| Asset ($) | Liability ($) | |
| Interest Rate Risk | ||
Futures Contracts (a) | 5,364 | (274,670) |
| Total Interest Rate Risk | 5,364 | (274,670) |
| Total Value of Derivatives | 5,364 | (274,670) |
(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).
| Statement of Assets and Liabilities | ||||
| May 31, 2023 | ||||
| Assets | ||||
| Investment in securities, at value (including securities loaned of $3,911,868) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $4,051,900,065) | $ | 3,994,536,331 | ||
Fidelity Central Funds (cost $50,954,325) | 50,954,325 | |||
Other affiliated issuers (cost $296,930,272) | 290,081,150 | |||
| Total Investment in Securities (cost $4,399,784,662) | $ | 4,335,571,806 | ||
| Cash | 134,821 | |||
| Foreign currency held at value (cost $215) | 226 | |||
| Receivable for investments sold | 3,244,508 | |||
| Receivable for fund shares sold | 4,056,392 | |||
| Interest receivable | 9,714,602 | |||
| Distributions receivable from Fidelity Central Funds | 129,218 | |||
| Receivable for daily variation margin on futures contracts | 103,081 | |||
| Prepaid expenses | 9,852 | |||
| Other receivables | 101,823 | |||
Total assets | 4,353,066,329 | |||
| Liabilities | ||||
| Payable for investments purchased | ||||
Regular delivery | $ | 16,039,068 | ||
Delayed delivery | 3,729,839 | |||
| Payable for fund shares redeemed | 4,139,906 | |||
| Distributions payable | 2,771,012 | |||
| Accrued management fee | 94,951 | |||
| Other payables and accrued expenses | 158,897 | |||
| Collateral on securities loaned | 3,991,919 | |||
| Total Liabilities | 30,925,592 | |||
| Net Assets | $ | 4,322,140,737 | ||
| Net Assets consist of: | ||||
| Paid in capital | $ | 4,468,286,461 | ||
| Total accumulated earnings (loss) | (146,145,724) | |||
| Net Assets | $ | 4,322,140,737 | ||
Net Asset Value , offering price and redemption price per share ($4,322,140,737 ÷ 439,705,188 shares) | $ | 9.83 | ||
| Statement of Operations | ||||
Year ended May 31, 2023 | ||||
| Investment Income | ||||
| Dividends: | ||||
| Unaffiliated issuers | $ | 72,421,339 | ||
| Affiliated issuers | 5,889,375 | |||
| Interest | 56,733,271 | |||
| Income from Fidelity Central Funds (including $157,427 from security lending) | 1,090,668 | |||
| Total Income | 136,134,653 | |||
| Expenses | ||||
| Management fee | $ | 13,030,617 | ||
| Custodian fees and expenses | 37,596 | |||
| Independent trustees' fees and expenses | 30,596 | |||
| Registration fees | 140,770 | |||
| Audit | 70,311 | |||
| Legal | 6,812 | |||
| Miscellaneous | 35,298 | |||
| Total expenses before reductions | 13,352,000 | |||
| Expense reductions | (11,116,586) | |||
| Total expenses after reductions | 2,235,414 | |||
| Net Investment income (loss) | 133,899,239 | |||
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers | (64,900,428) | |||
| Fidelity Central Funds | 4,974 | |||
| Other affiliated issuers | (3,944,295) | |||
| Futures contracts | (3,636,294) | |||
| Capital gain distributions from underlying funds: | ||||
| Unaffiliated issuers | 2,419,696 | |||
| Total net realized gain (loss) | (70,056,347) | |||
| Change in net unrealized appreciation (depreciation) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers | 26,140,876 | |||
| Fidelity Central Funds | (4,975) | |||
| Other affiliated issuers | 1,593,739 | |||
| Assets and liabilities in foreign currencies | 11 | |||
| Futures contracts | (150,851) | |||
| Total change in net unrealized appreciation (depreciation) | 27,578,800 | |||
| Net gain (loss) | (42,477,547) | |||
| Net increase (decrease) in net assets resulting from operations | $ | 91,421,692 | ||
| Statement of Changes in Net Assets | ||||
Year ended May 31, 2023 | Year ended May 31, 2022 | |||
| Increase (Decrease) in Net Assets | ||||
| Operations | ||||
| Net investment income (loss) | $ | 133,899,239 | $ | 46,888,123 |
| Net realized gain (loss) | (70,056,347) | (7,039,589) | ||
| Change in net unrealized appreciation (depreciation) | 27,578,800 | (142,818,369) | ||
| Net increase (decrease) in net assets resulting from operations | 91,421,692 | (102,969,835) | ||
| Distributions to shareholders | (131,562,158) | (53,579,740) | ||
| Share transactions | ||||
| Proceeds from sales of shares | 2,679,155,241 | 2,455,390,765 | ||
| Reinvestment of distributions | 102,997,070 | 41,012,985 | ||
| Cost of shares redeemed | (4,199,251,103) | (2,741,262,414) | ||
Net increase (decrease) in net assets resulting from share transactions | (1,417,098,792) | (244,858,664) | ||
| Total increase (decrease) in net assets | (1,457,239,258) | (401,408,239) | ||
| Net Assets | ||||
| Beginning of period | 5,779,379,995 | 6,180,788,234 | ||
| End of period | $ | 4,322,140,737 | $ | 5,779,379,995 |
| Other Information | ||||
| Shares | ||||
| Sold | 273,102,994 | 244,485,558 | ||
| Issued in reinvestment of distributions | 10,502,359 | 4,092,840 | ||
| Redeemed | (428,307,418) | (274,075,501) | ||
| Net increase (decrease) | (144,702,065) | (25,497,103) | ||
Financial Highlights
| Strategic Advisers® Short Duration Fund |
| Years ended May 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
| Net asset value, beginning of period | $ | 9.89 | $ | 10.13 | $ | 10.06 | $ | 10.04 | $ | 10.03 |
| Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .296 | .075 | .106 | .229 | .254 | |||||
| Net realized and unrealized gain (loss) | (.052) | (.230) | .081 | .020 | .018 | |||||
| Total from investment operations | .244 | (.155) | .187 | .249 | .272 | |||||
| Distributions from net investment income | (.304) | (.085) | (.112) | (.229) | (.259) | |||||
| Distributions from net realized gain | - | - | (.005) | - | (.003) | |||||
| Total distributions | (.304) | (.085) | (.117) | (.229) | (.262) | |||||
| Net asset value, end of period | $ | 9.83 | $ | 9.89 | $ | 10.13 | $ | 10.06 | $ | 10.04 |
Total Return C | 2.52% | (1.54)% | 1.86% | 2.51% | 2.75% | |||||
Ratios to Average Net Assets B,D,E | ||||||||||
| Expenses before reductions | .30% | .30% | .30% | .30% | .32% | |||||
| Expenses net of fee waivers, if any | .05% | .05% | .05% | .05% | .07% | |||||
| Expenses net of all reductions | .05% | .05% | .05% | .05% | .07% | |||||
| Net investment income (loss) | 3.01% | .74% | 1.05% | 2.28% | 2.54% | |||||
| Supplemental Data | ||||||||||
| Net assets, end of period (000 omitted) | $ | 4,322,141 | $ | 5,779,380 | $ | 6,180,788 | $ | 8,049,040 | $ | 7,144,753 |
Portfolio turnover rate F | 49% | 43% | 102% | 58% | 33% |
A Calculated based on average shares outstanding during the period.
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended May 31, 2023
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 managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 services or from brokers who make markets in such securities. Corporate bonds, bank notes, municipal securities, U.S. government and government agency obligations, commercial paper and certificates of deposit are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services 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 services. 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2023 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds 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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. 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 any underlying mutual funds or exchange-traded funds (ETFs) 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. 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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
| Strategic Advisers Short Duration Fund | $101,822 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, market discount, 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 | $8,484,254 |
| Gross unrealized depreciation | (71,031,464) |
| Net unrealized appreciation (depreciation) | $(62,547,210) |
| Tax Cost | $4,398,119,016 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $965,028 |
| Capital loss carryforward | $(84,563,552) |
| Net unrealized appreciation (depreciation) on securities and other investments | $(62,547,199) |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
| Short-term | $(20,362,314) |
| Long-term | (64,201,238) |
| Total capital loss carryforward | $(84,563,552) |
The tax character of distributions paid was as follows:
| May 31, 2023 | May 31, 2022 | |
| Ordinary Income | $131,562,158 | $53,579,740 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds 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. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). Funds 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 held at period end is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Counterparty credit risk related to exchange-traded 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. Futures contracts were used to manage 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 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 unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Strategic Advisers Short Duration Fund | 1,803,292,398 | 3,308,732,212 |
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 to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .55% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .29% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and T. Rowe Price Associates, Inc. each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
| Amount | |
| Strategic Advisers Short Duration Fund | $ 1,359 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing 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 the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| Amount | |
| Strategic Advisers Short Duration Fund | $8,787 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the 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. Affiliated security lending activity, if any, was as follows:
| Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
| Strategic Advisers Short Duration Fund | $16,416 | $- | $- |
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, 2025. During the period, this waiver reduced the Fund's management fee by $ 11,109,574.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $7,012.
10. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Short Duration Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Short Duration Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of May 31, 2023, the related statement of operations for the year ended May 31, 2023, the statement of changes in net assets for each of the two years in the period ended May 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2023 and the financial highlights for each of the five years in the period ended May 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2023 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 13, 2023
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
TRUSTEES AND OFFICERS
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity ® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's alternative investment, investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity®; funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives' Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women's Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), Secretary of the Ad Council, Inc. (2022-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women's accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women's Forum (2008-2010), Treasurer of the Massachusetts Women's Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President - Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity ® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption University (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and Chair of the Board of Directors and Chair of the Compensation Committee of Live Current Media, Inc. (2022-present). Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum's Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity ® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Assistant Secretary
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity ® funds (2016-2020) and Assistant Treasurer of certain Fidelity ® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity ® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity ® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2022 to May 31, 2023). |
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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio- A | Beginning Account Value December 1, 2022 | Ending Account Value May 31, 2023 | Expenses Paid During Period- C December 1, 2022 to May 31, 2023 | |||||||
| Strategic Advisers® Short Duration Fund | .05% | |||||||||
| Actual | $ 1,000 | $ 1,026.40 | $ .25 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.68 | $ .25 | |||||||
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com .
A total of 11.95% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $61,191,004 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.
In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period December 1, 2021 through November 30, 2022. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.
 |
1.934458.111
ASD-ANN-0723
Strategic Advisers® Fidelity® U.S. Total Stock Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Annual Report
May 31, 2023
Contents
To view a fund's proxy voting guidelines and 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. © 2023 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.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns | |||
Periods ended May 31, 2023 | Past 1 year | Past 5 years | Life of Fund A |
| Strategic Advisers® Fidelity® U.S. Total Stock Fund | 3.45% | 10.04% | 9.55% |
A From March 20, 2018
| $10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Fidelity® U.S. Total Stock Fund, on March 20, 2018, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Dow Jones U.S. Total Stock Market Index℠ performed over the same period. |
 |
Market Recap:
U.S. equities gained 2.92% for the 12 months ending May 31, 2023, according to the S&P 500 ® index, as markets digested multiple crosscurrents and sustained year-to-date momentum. The upturn followed a year in which the S&P 500 ® returned -18.11% amid a multitude of risk factors. Record inflation prompted the Federal Reserve to aggressively tighten monetary policy, and market interest rates eclipsed their highest level in a decade, stoking recession fears. Since March 2022, the Fed has raised its benchmark rate 10 times, by 5 percentage points, while also shrinking its massive asset portfolio. Against this backdrop, stocks struggled to gain traction until a rally in late 2022, as risky assets regained favor. The S&P 500 ® continued its advance in 2023, gaining 9.65% through May 31, supported by moderating inflation data, a resilient labor market, and indications the Fed was nearing the end of its interest rate hiking regime. Uncertainty about the debt ceiling resulted in some ups and downs in May (+0.43%) but did not meaningfully alter the recent uptrend. A handful of mega-cap tech stocks have driven the index this year, as investors favored their perceived safety and that they were insulated from the March banking crisis that caused the Fed to reconsider its aggressive rate-hike campaign. Indeed, the central bank stepped down to hikes of 25 basis points in February, March and May. By sector for the full 12 months, information technology (+21%) led by a wide margin, whereas real estate (-16%) and materials (-11%) lagged most.
Comments from Portfolio Manager Barry Golden:
For the fiscal year ending May 31, 2023, the Fund gained 3.45%, topping the 1.92% advance of the benchmark Dow Jones U.S. Total Stock Market Index. Among the Fund's underlying managers, Fidelity ® Growth Company Fund (+14%) was the top relative contributor. Its high-growth approach did well amid the rotation from value to growth stocks in the first five months of 2023. The Sector Managed mandate from sub-adviser FIAM ® (+7%) - the Fund's largest investment - also added meaningful value. The growth-driven backdrop at certain times during the reporting period proved favorable for this strategy, as it generated broadly positive stock selection. Fidelity ® SAI U.S. Quality Index Fund (+5%) was another top contributor. The fund's emphasis on high-quality companies helped amid a generally risk-averse market context early in the period. On the downside, the Value Discovery strategy from FIAM ® (-4%) was the biggest relative detractor. This quality-focused value approach fell out of favor during the reversal in market leadership that occurred in the first quarter of 2023. Fidelity ® Large Cap Value Enhanced Index Fund (-6%) also struggled as market participants shifted from value to growth early on in 2023. During the period, we added the U.S. Equity Large Cap Plus mandate from FIAM ® . This strategy uses futures contracts on the S&P 500 index to gain broad stock market exposure, in conjunction with high-quality corporate bonds. Overall, we continued to reduce risk within the portfolio by trimming exposure to value-oriented strategies, adjusting manager allocations to decrease small-cap exposure, and moving the Fund's total market risk closer to that of the benchmark.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) | ||
| (excluding cash equivalents) | ||
| Fidelity SAI U.S. Quality Index Fund | 13.4 | |
| Fidelity Growth Company Fund | 10.7 | |
| Fidelity Contrafund | 7.4 | |
| Fidelity Magellan Fund | 6.6 | |
| Fidelity SAI U.S. Low Volatility Index Fund | 4.1 | |
| Fidelity Large Cap Value Enhanced Index Fund | 4.1 | |
| Fidelity Blue Chip Growth Fund | 2.7 | |
| Microsoft Corp. | 2.2 | |
| Apple, Inc. | 1.6 | |
| Exxon Mobil Corp. | 1.4 | |
| 54.2 | ||
Asset Allocation (% of Fund's net assets) |
 |
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Showing Percentage of Net Assets
| Common Stocks - 43.3% | |||
| Shares | Value ($) | ||
| COMMUNICATION SERVICES - 3.3% | |||
| Diversified Telecommunication Services - 0.0% | |||
| AT&T, Inc. | 188,800 | 2,969,824 | |
| Cellnex Telecom SA (a) | 515,600 | 20,893,143 | |
| Cogent Communications Group, Inc. | 34,060 | 2,095,371 | |
| EchoStar Holding Corp. Class A (b)(c) | 25,101 | 395,843 | |
| Liberty Global PLC Class C (b) | 359,800 | 6,123,796 | |
| Verizon Communications, Inc. | 361,009 | 12,862,751 | |
| 45,340,728 | |||
| Entertainment - 0.7% | |||
| Activision Blizzard, Inc. | 2,185,344 | 175,264,589 | |
| Cinemark Holdings, Inc. (b)(c) | 419,800 | 6,720,998 | |
| IMAX Corp. (b) | 838,820 | 14,545,139 | |
| International Games Systems Co. Ltd. | 305,000 | 5,629,761 | |
| Liberty Media Corp. Liberty Formula One Series C (b) | 207,100 | 14,579,840 | |
| Netflix, Inc. (b) | 241,000 | 95,250,430 | |
| Sciplay Corp. (A Shares) (b) | 16,601 | 321,893 | |
| Sea Ltd. ADR (b) | 432,800 | 24,847,048 | |
| Take-Two Interactive Software, Inc. (b) | 153,298 | 21,113,734 | |
| The Walt Disney Co. (b) | 893,922 | 78,629,379 | |
| Universal Music Group NV | 1,577,883 | 31,300,549 | |
| Universal Music Group NV rights (b)(c)(d) | 1,577,883 | 455,382 | |
| Warner Bros Discovery, Inc. (b) | 548,793 | 6,190,385 | |
| World Wrestling Entertainment, Inc. Class A | 213,300 | 21,611,556 | |
| 496,460,683 | |||
| Interactive Media & Services - 1.8% | |||
| Alphabet, Inc.: | |||
| Class A (b) | 5,348,540 | 657,175,110 | |
| Class C (b) | 1,637,340 | 201,998,636 | |
| Cars.com, Inc. (b) | 465,700 | 8,219,605 | |
| IAC, Inc. (b) | 214,700 | 11,988,848 | |
| Match Group, Inc. (b) | 441,300 | 15,224,850 | |
| Meta Platforms, Inc. Class A (b) | 1,577,900 | 417,701,688 | |
| QuinStreet, Inc. (b) | 177,930 | 1,640,515 | |
| Snap, Inc. Class A (b) | 3,190,800 | 32,546,160 | |
| Ziff Davis, Inc. (b) | 224,830 | 13,273,963 | |
| ZIGExN Co. Ltd. | 938,100 | 4,571,828 | |
| 1,364,341,203 | |||
| Media - 0.7% | |||
| Altice U.S.A., Inc. Class A (b) | 521,700 | 1,335,552 | |
| Cable One, Inc. (c) | 11,700 | 7,158,411 | |
| Charter Communications, Inc. Class A (b) | 73,400 | 23,939,410 | |
| Comcast Corp. Class A | 10,193,301 | 401,106,394 | |
| Interpublic Group of Companies, Inc. | 984,225 | 36,603,328 | |
| Liberty Broadband Corp.: | |||
| Class A (b) | 190,825 | 14,096,243 | |
| Class C (b) | 177,200 | 13,130,520 | |
| Nexstar Broadcasting Group, Inc. Class A | 25,100 | 3,788,092 | |
| Pico Far East Holdings Ltd. | 1,000,000 | 162,187 | |
| TechTarget, Inc. (b) | 20,540 | 713,560 | |
| Thryv Holdings, Inc. (b) | 324,080 | 7,551,064 | |
| 509,584,761 | |||
| Wireless Telecommunication Services - 0.1% | |||
| Gogo, Inc. (b) | 190,000 | 2,859,500 | |
| T-Mobile U.S., Inc. (b) | 313,775 | 43,065,619 | |
| 45,925,119 | |||
TOTAL COMMUNICATION SERVICES | 2,461,652,494 | ||
| CONSUMER DISCRETIONARY - 3.4% | |||
| Automobile Components - 0.2% | |||
| Adient PLC (b) | 1,279,075 | 43,092,037 | |
| Akwel | 5,700 | 85,664 | |
| Autoliv, Inc. | 15,806 | 1,288,189 | |
| BorgWarner, Inc. | 402,703 | 17,851,824 | |
| Brembo SpA | 212,700 | 3,232,989 | |
| Cie Automotive SA | 186,000 | 5,316,324 | |
| Compagnie Plastic Omnium SA | 103,600 | 1,675,467 | |
| DaikyoNishikawa Corp. | 604,000 | 3,143,011 | |
| Gentex Corp. | 171,419 | 4,501,463 | |
| LCI Industries (c) | 46,600 | 5,034,664 | |
| Lear Corp. | 232,758 | 28,550,096 | |
| Murakami Corp. | 19,800 | 415,399 | |
| Patrick Industries, Inc. (c) | 213,580 | 13,995,897 | |
| 128,183,024 | |||
| Automobiles - 0.3% | |||
| Ferrari NV | 65,300 | 18,719,551 | |
| General Motors Co. | 153,246 | 4,966,703 | |
| Harley-Davidson, Inc. | 191,600 | 5,960,676 | |
| Tesla, Inc. (b) | 900,000 | 183,537,000 | |
| 213,183,930 | |||
| Broadline Retail - 0.7% | |||
| Amazon.com, Inc. (b) | 3,954,900 | 476,881,842 | |
| ASKUL Corp. | 332,500 | 4,310,031 | |
| B&M European Value Retail SA | 1,175,200 | 7,452,715 | |
| Big Lots, Inc. (c) | 213,533 | 1,071,936 | |
| Dillard's, Inc. Class A (c) | 2,494 | 686,623 | |
| eBay, Inc. | 1,002,600 | 42,650,604 | |
| Europris ASA (a) | 960,181 | 6,349,191 | |
| Max Stock Ltd. | 99,100 | 198,489 | |
| Next PLC | 69,800 | 5,510,086 | |
| 545,111,517 | |||
| Distributors - 0.0% | |||
| Arata Corp. | 71,900 | 2,345,491 | |
| Harima-Kyowa Co. Ltd. | 15,700 | 172,523 | |
| LKQ Corp. | 185,479 | 9,784,017 | |
| 12,302,031 | |||
| Diversified Consumer Services - 0.2% | |||
| Adtalem Global Education, Inc. (b) | 249,167 | 10,340,431 | |
| European Wax Center, Inc. (c) | 211,620 | 3,667,375 | |
| Grand Canyon Education, Inc. (b) | 33,850 | 3,546,126 | |
| H&R Block, Inc. (c) | 2,779,600 | 82,971,060 | |
| Laureate Education, Inc. Class A | 2,218,900 | 26,848,690 | |
| OneSpaWorld Holdings Ltd. (b) | 327,130 | 3,411,966 | |
| Perdoceo Education Corp. (b) | 49,000 | 577,710 | |
| Service Corp. International | 112,402 | 7,149,891 | |
| WW International, Inc. (b) | 38,935 | 255,414 | |
| 138,768,663 | |||
| Hotels, Restaurants & Leisure - 0.7% | |||
| Amadeus IT Holding SA Class A | 253,100 | 18,163,732 | |
| ARAMARK Holdings Corp. | 764,600 | 30,186,408 | |
| Betsson AB (b) | 107,900 | 24,360 | |
| Booking Holdings, Inc. (b) | 49,467 | 124,101,326 | |
| Bowlero Corp. Class A (b)(c) | 217,200 | 2,489,112 | |
| Brinker International, Inc. (b) | 275,500 | 10,077,790 | |
| Caesars Entertainment, Inc. (b) | 364,900 | 14,964,549 | |
| Churchill Downs, Inc. | 433,600 | 58,891,552 | |
| Domino's Pizza, Inc. | 136,317 | 39,511,482 | |
| El Pollo Loco Holdings, Inc. | 175,110 | 1,600,505 | |
| Everi Holdings, Inc. (b) | 388,193 | 5,395,883 | |
| Expedia, Inc. (b) | 120,066 | 11,491,517 | |
| Marriott International, Inc. Class A | 462,700 | 77,636,433 | |
| McDonald's Corp. | 146,600 | 41,797,126 | |
| NeoGames SA (b) | 202,270 | 5,515,903 | |
| Noodles & Co. (b) | 298,880 | 1,001,248 | |
| Penn Entertainment, Inc. (b) | 310,200 | 7,767,408 | |
| Planet Fitness, Inc. (b) | 255,900 | 16,362,246 | |
| Starbucks Corp. | 76,402 | 7,459,891 | |
| Wingstop, Inc. | 13,250 | 2,641,520 | |
| Wyndham Hotels & Resorts, Inc. | 397,848 | 27,153,126 | |
| Yum! Brands, Inc. | 301,300 | 38,774,297 | |
| 543,007,414 | |||
| Household Durables - 0.2% | |||
| Cavco Industries, Inc. (b) | 6,056 | 1,507,823 | |
| Cuckoo Holdings Co. Ltd. | 40,045 | 461,448 | |
| D.R. Horton, Inc. | 124,700 | 13,322,948 | |
| Ethan Allen Interiors, Inc. (c) | 14,238 | 356,377 | |
| FJ Next Co. Ltd. | 112,000 | 803,072 | |
| Helen of Troy Ltd. (b)(c) | 238,890 | 23,000,329 | |
| LGI Homes, Inc. (b)(c) | 32,130 | 3,655,430 | |
| Mohawk Industries, Inc. (b) | 268,075 | 24,673,623 | |
| Pressance Corp. | 277,900 | 3,642,170 | |
| PulteGroup, Inc. | 563,972 | 37,267,270 | |
| Skyline Champion Corp. (b) | 38,689 | 2,248,992 | |
| Sony Group Corp. sponsored ADR | 103,900 | 9,735,430 | |
| Tempur Sealy International, Inc. | 402,100 | 14,330,844 | |
| Toll Brothers, Inc. | 74,085 | 5,015,555 | |
| TopBuild Corp. (b) | 60,802 | 12,261,331 | |
| Vistry Group PLC | 561,463 | 5,049,663 | |
| Whirlpool Corp. (c) | 35,652 | 4,609,447 | |
| 161,941,752 | |||
| Leisure Products - 0.0% | |||
| Brunswick Corp. | 43,480 | 3,282,740 | |
| Malibu Boats, Inc. Class A (b) | 14,841 | 778,410 | |
| MasterCraft Boat Holdings, Inc. (b) | 12,996 | 344,394 | |
| Sturm, Ruger & Co., Inc. | 12,887 | 664,454 | |
| 5,069,998 | |||
| Specialty Retail - 0.8% | |||
| Academy Sports & Outdoors, Inc. | 176,709 | 8,651,673 | |
| Advance Auto Parts, Inc. | 16,972 | 1,237,089 | |
| America's Car Mart, Inc. (b)(c) | 32,300 | 2,633,419 | |
| American Eagle Outfitters, Inc. | 133,590 | 1,358,610 | |
| Arcland Sakamoto Co. Ltd. | 100,000 | 1,131,168 | |
| AutoZone, Inc. (b) | 3,900 | 9,308,676 | |
| Burlington Stores, Inc. (b) | 66,600 | 10,020,636 | |
| Camping World Holdings, Inc. (c) | 99,110 | 2,671,015 | |
| Dick's Sporting Goods, Inc. | 137,170 | 17,490,547 | |
| Fast Retailing Co. Ltd. | 45,600 | 10,695,912 | |
| Five Below, Inc. (b) | 85,100 | 14,681,452 | |
| Foot Locker, Inc. (c) | 328,207 | 8,310,201 | |
| Haverty Furniture Companies, Inc. (c) | 9,317 | 245,876 | |
| JD Sports Fashion PLC | 4,018,994 | 7,599,130 | |
| Lithia Motors, Inc. Class A (sub. vtg.) (c) | 10,100 | 2,356,128 | |
| Lookers PLC | 465,231 | 468,188 | |
| Lowe's Companies, Inc. | 768,008 | 154,469,449 | |
| Maisons du Monde SA (a)(c) | 433,600 | 4,328,857 | |
| Monro, Inc. (c) | 23,019 | 952,296 | |
| Murphy U.S.A., Inc. (c) | 52,681 | 14,562,082 | |
| Penske Automotive Group, Inc. (c) | 18,238 | 2,520,856 | |
| PetMed Express, Inc. (c) | 13,498 | 200,175 | |
| Pets At Home Group PLC | 1,172,500 | 5,469,493 | |
| RH (b) | 27,200 | 6,663,456 | |
| Ross Stores, Inc. | 530,600 | 54,980,772 | |
| Sally Beauty Holdings, Inc. (b) | 368,000 | 4,143,680 | |
| The Buckle, Inc. (c) | 21,070 | 647,060 | |
| The Home Depot, Inc. | 203,200 | 57,597,040 | |
| The Hour Glass Ltd. | 1,645,500 | 2,482,304 | |
| TJX Companies, Inc. | 1,125,700 | 86,442,503 | |
| Upbound Group, Inc. | 101,670 | 3,040,950 | |
| Valvoline, Inc. | 704,187 | 27,111,200 | |
| Victoria's Secret & Co. (b) | 176,680 | 3,607,806 | |
| WH Smith PLC | 238,900 | 4,665,721 | |
| Williams-Sonoma, Inc. (c) | 119,852 | 13,604,401 | |
| 546,349,821 | |||
| Textiles, Apparel & Luxury Goods - 0.3% | |||
| Capri Holdings Ltd. (b) | 170,400 | 5,981,040 | |
| Crocs, Inc. (b) | 188,780 | 21,196,218 | |
| Deckers Outdoor Corp. (b) | 15,715 | 7,464,625 | |
| Kontoor Brands, Inc. | 242,176 | 9,483,612 | |
| Levi Strauss & Co. Class A (c) | 286,400 | 3,789,072 | |
| NIKE, Inc. Class B | 318,400 | 33,514,784 | |
| PVH Corp. | 614,000 | 52,816,280 | |
| Rocky Brands, Inc. (c) | 246,077 | 4,702,531 | |
| Skechers U.S.A., Inc. Class A (sub. vtg.) (b) | 166,400 | 8,547,968 | |
| Tapestry, Inc. | 892,300 | 35,709,846 | |
| Wolverine World Wide, Inc. | 646,560 | 8,650,973 | |
| 191,856,949 | |||
TOTAL CONSUMER DISCRETIONARY | 2,485,775,099 | ||
| CONSUMER STAPLES - 3.0% | |||
| Beverages - 0.7% | |||
| Celsius Holdings, Inc. (b) | 118,590 | 14,886,603 | |
| Coca-Cola European Partners PLC | 788,900 | 49,219,471 | |
| Constellation Brands, Inc. Class A (sub. vtg.) | 294,200 | 71,481,774 | |
| Diageo PLC sponsored ADR (c) | 180,605 | 30,345,252 | |
| Duckhorn Portfolio, Inc. (b) | 31,087 | 405,064 | |
| Keurig Dr. Pepper, Inc. | 835,910 | 26,013,519 | |
| Molson Coors Beverage Co. Class B | 235,200 | 14,547,120 | |
| Monster Beverage Corp. | 1,574,200 | 92,279,604 | |
| National Beverage Corp. (b)(c) | 17,087 | 844,440 | |
| Primo Water Corp. | 183,980 | 2,367,823 | |
| The Coca-Cola Co. | 3,099,086 | 184,891,471 | |
| Yantai Changyu Pioneer Wine Co. Ltd. (B Shares) | 240,061 | 349,801 | |
| 487,631,942 | |||
| Consumer Staples Distribution & Retail - 0.8% | |||
| Acomo NV | 107,400 | 2,525,597 | |
| Alimentation Couche-Tard, Inc. Class A (multi-vtg.) (c) | 473,500 | 22,926,818 | |
| Belc Co. Ltd. | 10,400 | 439,663 | |
| BJ's Wholesale Club Holdings, Inc. (b) | 140,851 | 8,824,315 | |
| Costco Wholesale Corp. | 79,600 | 40,720,176 | |
| Dollar General Corp. | 435,000 | 87,474,150 | |
| Dollar Tree, Inc. (b) | 67,800 | 9,144,864 | |
| G-7 Holdings, Inc. | 366,200 | 3,298,626 | |
| Ingles Markets, Inc. Class A | 10,282 | 825,336 | |
| OM2 Network Co. Ltd. | 25,200 | 203,119 | |
| Performance Food Group Co. (b)(c) | 734,429 | 40,606,579 | |
| PriceSmart, Inc. | 15,598 | 1,130,543 | |
| Sprouts Farmers Market LLC (b) | 1,364,190 | 47,146,406 | |
| Sysco Corp. | 587,155 | 41,071,492 | |
| Target Corp. | 79,200 | 10,369,656 | |
| U.S. Foods Holding Corp. (b) | 2,685,365 | 106,823,820 | |
| United Natural Foods, Inc. (b) | 204,230 | 5,454,983 | |
| Walgreens Boots Alliance, Inc. | 167,130 | 5,075,738 | |
| Walmart, Inc. | 1,093,700 | 160,631,719 | |
| Weis Markets, Inc. (c) | 11,736 | 698,761 | |
| YAKUODO Holdings Co. Ltd. | 40,300 | 722,551 | |
| 596,114,912 | |||
| Food Products - 0.5% | |||
| Armanino Foods of Distinction | 10,000 | 41,850 | |
| Bunge Ltd. | 399,700 | 37,028,208 | |
| Flowers Foods, Inc. | 137,785 | 3,441,869 | |
| Freshpet, Inc. (b)(c) | 231,200 | 13,816,512 | |
| Hostess Brands, Inc. Class A (b) | 232,850 | 5,793,308 | |
| Ingredion, Inc. | 43,081 | 4,506,273 | |
| John B. Sanfilippo & Son, Inc. | 6,513 | 757,006 | |
| Kaneko Seeds Co. Ltd. | 53,100 | 540,814 | |
| Lancaster Colony Corp. | 12,835 | 2,523,104 | |
| LDC SA | 10,059 | 1,290,248 | |
| Mondelez International, Inc. | 2,651,200 | 194,624,592 | |
| Nomad Foods Ltd. (b) | 242,100 | 4,127,805 | |
| Pickles Holdings Co. Ltd. | 100,000 | 878,521 | |
| S Foods, Inc. | 205,800 | 4,534,764 | |
| Sovos Brands, Inc. (b) | 116,130 | 2,205,309 | |
| SunOpta, Inc. (b)(c) | 2,083,220 | 14,020,071 | |
| Tootsie Roll Industries, Inc. | 13,319 | 520,373 | |
| TreeHouse Foods, Inc. (b) | 89,710 | 4,247,769 | |
| Tyson Foods, Inc. Class A | 796,500 | 40,334,760 | |
| 335,233,156 | |||
| Household Products - 0.6% | |||
| Central Garden & Pet Co. Class A (non-vtg.) (b) | 12,840 | 441,054 | |
| Colgate-Palmolive Co. | 955,900 | 71,099,842 | |
| Procter & Gamble Co. | 2,097,300 | 298,865,250 | |
| Reckitt Benckiser Group PLC | 590,500 | 45,918,214 | |
| Spectrum Brands Holdings, Inc. | 69,963 | 5,052,028 | |
| The Clorox Co. | 220,500 | 34,878,690 | |
| Transaction Co. Ltd. | 49,100 | 590,997 | |
| WD-40 Co. (c) | 9,925 | 1,882,276 | |
| 458,728,351 | |||
| Personal Care Products - 0.3% | |||
| BellRing Brands, Inc. (b) | 1,053,040 | 38,562,325 | |
| elf Beauty, Inc. (b) | 28,248 | 2,938,357 | |
| Estee Lauder Companies, Inc. Class A | 401,700 | 73,924,851 | |
| Haleon PLC | 9,908,200 | 39,194,006 | |
| Haleon PLC ADR (c) | 3,293,559 | 26,480,214 | |
| Hengan International Group Co. Ltd. | 403,500 | 1,715,936 | |
| Herbalife Ltd. (b) | 64,005 | 757,819 | |
| Kenvue, Inc. | 1,978,400 | 49,638,056 | |
| MediFast, Inc. | 7,971 | 627,318 | |
| Nu Skin Enterprises, Inc. Class A | 35,998 | 1,199,813 | |
| The Beauty Health Co. (b)(c) | 602,846 | 4,846,882 | |
| Unilever PLC sponsored ADR | 424,200 | 21,184,548 | |
| USANA Health Sciences, Inc. (b) | 8,126 | 493,004 | |
| 261,563,129 | |||
| Tobacco - 0.1% | |||
| Altria Group, Inc. | 1,343,481 | 59,677,426 | |
| KT&G Corp. | 40,099 | 2,534,716 | |
| Philip Morris International, Inc. | 7,800 | 702,078 | |
| Vector Group Ltd. | 96,261 | 1,127,216 | |
| 64,041,436 | |||
TOTAL CONSUMER STAPLES | 2,203,312,926 | ||
| ENERGY - 3.0% | |||
| Energy Equipment & Services - 0.2% | |||
| Baker Hughes Co. Class A | 53,900 | 1,468,775 | |
| Cactus, Inc. (c) | 96,980 | 3,062,628 | |
| Expro Group Holdings NV (b) | 2,436,700 | 40,424,853 | |
| Liberty Oilfield Services, Inc. Class A | 220,009 | 2,582,906 | |
| Natural Gas Services Group, Inc. (b) | 57,379 | 579,528 | |
| Nextier Oilfield Solutions, Inc. (b) | 273,980 | 2,065,809 | |
| Oceaneering International, Inc. (b) | 322,410 | 4,936,097 | |
| Schlumberger Ltd. | 656,400 | 28,113,612 | |
| TechnipFMC PLC (b) | 363,050 | 4,770,477 | |
| Weatherford International PLC (b) | 795,900 | 44,920,596 | |
| 132,925,281 | |||
| Oil, Gas & Consumable Fuels - 2.8% | |||
| Africa Oil Corp. (c) | 5,237,900 | 11,189,621 | |
| Antero Resources Corp. (b)(c) | 2,028,894 | 41,409,727 | |
| Arch Resources, Inc. | 108,118 | 11,173,995 | |
| California Resources Corp. | 78,110 | 2,932,249 | |
| Canadian Natural Resources Ltd. | 597,200 | 32,171,813 | |
| Cenovus Energy, Inc.: | |||
| warrants 1/1/26 (b) | 117,180 | 1,316,387 | |
| (Canada) (c) | 4,726,454 | 75,518,812 | |
| China Petroleum & Chemical Corp. (H Shares) | 5,840,000 | 3,676,826 | |
| Chord Energy Corp. | 124,120 | 17,754,125 | |
| Civitas Resources, Inc. | 119,865 | 8,006,982 | |
| CNX Resources Corp. (b) | 651,200 | 10,061,040 | |
| ConocoPhillips Co. | 800,400 | 79,479,720 | |
| CONSOL Energy, Inc. | 23,970 | 1,293,421 | |
| Denbury, Inc. (b) | 16,550 | 1,492,314 | |
| Diamondback Energy, Inc. | 83,100 | 10,566,165 | |
| Eco Atlantic Oil & Gas Ltd. (b) | 4,584,000 | 1,029,923 | |
| Enterprise Products Partners LP | 166,100 | 4,207,313 | |
| Equinor ASA sponsored ADR (c) | 1,466,100 | 37,136,313 | |
| Exxon Mobil Corp. | 10,112,745 | 1,033,320,284 | |
| Golar LNG Ltd. | 120,230 | 2,473,131 | |
| Hess Corp. | 1,439,063 | 182,286,110 | |
| HF Sinclair Corp. | 230,400 | 9,547,776 | |
| Imperial Oil Ltd. (c) | 1,772,300 | 80,448,712 | |
| Kosmos Energy Ltd. (b) | 8,458,469 | 50,412,475 | |
| Magnolia Oil & Gas Corp. Class A | 419,780 | 8,114,347 | |
| MEG Energy Corp. (b) | 2,113,525 | 31,932,521 | |
| Motor Oil (HELLAS) Corinth Refineries SA | 36,800 | 948,773 | |
| Murphy Oil Corp. | 523,000 | 18,200,400 | |
| National Energy Services Reunited Corp. (b) | 308,910 | 926,730 | |
| Northern Oil & Gas, Inc. | 170,090 | 5,087,392 | |
| Occidental Petroleum Corp. | 784,300 | 45,222,738 | |
| Oil & Natural Gas Corp. Ltd. | 1,538,400 | 2,881,826 | |
| Ovintiv, Inc. | 1,405,570 | 46,482,200 | |
| Parex Resources, Inc. (c) | 2,823,500 | 56,844,387 | |
| PBF Energy, Inc. Class A | 83,522 | 3,074,445 | |
| PDC Energy, Inc. | 128,100 | 8,790,222 | |
| Phillips 66 Co. | 457,968 | 41,954,448 | |
| Range Resources Corp. | 1,111,610 | 30,424,766 | |
| Sitio Royalties Corp. (c) | 127,600 | 3,251,248 | |
| Southwestern Energy Co. (b) | 973,884 | 4,645,427 | |
| Star Petroleum Refining PCL (For. Reg.) | 2,366,800 | 561,741 | |
| TotalEnergies SE sponsored ADR | 244,020 | 13,738,326 | |
| Valero Energy Corp. | 281,200 | 30,099,648 | |
| 2,062,086,819 | |||
TOTAL ENERGY | 2,195,012,100 | ||
| FINANCIALS - 7.0% | |||
| Banks - 3.3% | |||
| AIB Group PLC | 1,295,500 | 5,306,400 | |
| Associated Banc-Corp. | 2,957,115 | 43,794,873 | |
| Bancorp, Inc., Delaware (b) | 860,996 | 26,570,337 | |
| Bank of America Corp. | 15,913,300 | 442,230,607 | |
| BankUnited, Inc. | 229,360 | 4,339,491 | |
| Bar Harbor Bankshares | 101,400 | 2,396,082 | |
| BNP Paribas SA (c) | 589,028 | 34,245,080 | |
| Bridgewater Bancshares, Inc. (b) | 210,850 | 1,815,419 | |
| Byline Bancorp, Inc. | 98,330 | 1,742,408 | |
| Cadence Bank | 947,920 | 17,024,643 | |
| Camden National Corp. (c) | 92,590 | 2,732,331 | |
| Citigroup, Inc. | 928,579 | 41,154,621 | |
| Cullen/Frost Bankers, Inc. | 143,400 | 14,368,680 | |
| DNB Bank ASA | 570,900 | 9,563,681 | |
| East West Bancorp, Inc. | 56,860 | 2,720,751 | |
| Eurobank Ergasias Services and Holdings SA (b) | 9,303,840 | 14,519,517 | |
| First Bancorp, Puerto Rico | 327,600 | 3,656,016 | |
| First Foundation, Inc. | 658,050 | 2,553,234 | |
| First Interstate Bancsystem, Inc. | 174,640 | 3,850,812 | |
| First Northwest Bancorp (c) | 160,038 | 1,795,626 | |
| FNB Corp., Pennsylvania | 1,723,520 | 18,941,485 | |
| Greene County Bancorp, Inc. | 171,100 | 4,576,925 | |
| Hanmi Financial Corp. | 192,194 | 2,767,594 | |
| Independent Bank Corp. | 117,270 | 1,917,365 | |
| International Bancshares Corp. | 49,920 | 2,132,582 | |
| JPMorgan Chase & Co. | 3,151,410 | 427,677,851 | |
| KBC Group NV | 153,500 | 10,038,179 | |
| KeyCorp | 6,448,272 | 60,226,860 | |
| M&T Bank Corp. | 855,911 | 101,990,355 | |
| NatWest Group PLC | 3,167,837 | 10,264,372 | |
| Nicolet Bankshares, Inc. | 60,800 | 3,773,856 | |
| Orrstown Financial Services, Inc. | 131,926 | 2,387,861 | |
| Piraeus Financial Holdings SA (b) | 3,287,200 | 9,697,779 | |
| Plumas Bancorp | 145,000 | 4,774,850 | |
| PNC Financial Services Group, Inc. | 1,260,247 | 145,974,410 | |
| Popular, Inc. | 39,170 | 2,239,741 | |
| QCR Holdings, Inc. | 148,400 | 5,701,528 | |
| Southern Missouri Bancorp, Inc. | 88,700 | 3,295,205 | |
| Standard Chartered PLC (United Kingdom) | 846,400 | 6,671,043 | |
| Sumitomo Mitsui Financial Group, Inc. | 306,500 | 12,438,283 | |
| Synovus Financial Corp. | 307,450 | 8,328,821 | |
| The Bank of NT Butterfield & Son Ltd. | 49,522 | 1,241,517 | |
| Truist Financial Corp. | 1,243,642 | 37,893,772 | |
| U.S. Bancorp | 3,116,812 | 93,192,679 | |
| UniCredit SpA | 788,676 | 15,207,467 | |
| Union Bankshares, Inc. | 30,712 | 669,829 | |
| United Community Bank, Inc. | 517,268 | 11,695,429 | |
| Univest Corp. of Pennsylvania | 477,710 | 8,469,798 | |
| Washington Trust Bancorp, Inc. | 108,700 | 2,767,502 | |
| Webster Financial Corp. | 595,071 | 21,154,774 | |
| Wells Fargo & Co. | 17,148,887 | 682,697,191 | |
| West Bancorp., Inc. | 109,200 | 1,834,560 | |
| Western Alliance Bancorp. | 69,840 | 2,367,576 | |
| Wintrust Financial Corp. | 70,060 | 4,453,714 | |
| Zions Bancorp NA | 1,241,203 | 33,872,430 | |
| 2,439,715,792 | |||
| Capital Markets - 0.8% | |||
| Affiliated Managers Group, Inc. | 317,000 | 44,091,530 | |
| Artisan Partners Asset Management, Inc. | 49,649 | 1,588,768 | |
| Banca Generali SpA | 101,100 | 3,112,295 | |
| Bank of New York Mellon Corp. | 1,418,121 | 57,008,464 | |
| BlackRock, Inc. Class A | 157,139 | 103,326,749 | |
| Bridge Investment Group Holdings, Inc. | 19,544 | 190,359 | |
| Cboe Global Markets, Inc. | 51,843 | 6,865,050 | |
| Charles Schwab Corp. | 15,600 | 821,964 | |
| CI Financial Corp. | 198,400 | 1,916,040 | |
| CME Group, Inc. | 10,200 | 1,823,250 | |
| Cohen & Steers, Inc. | 18,176 | 988,956 | |
| Diamond Hill Investment Group, Inc. | 2,129 | 338,021 | |
| Donnelley Financial Solutions, Inc. (b) | 18,219 | 808,013 | |
| Evercore, Inc. Class A | 26,113 | 2,818,898 | |
| Federated Hermes, Inc. | 310,471 | 10,689,517 | |
| GQG Partners, Inc. CDI | 560,055 | 473,574 | |
| Invesco Ltd. | 584,300 | 8,402,234 | |
| KKR & Co. LP | 699,507 | 36,017,615 | |
| Lazard Ltd. Class A | 709,528 | 20,356,358 | |
| LPL Financial | 86,271 | 16,803,865 | |
| Moelis & Co. Class A | 46,749 | 1,770,385 | |
| Morgan Stanley | 399,912 | 32,696,805 | |
| Northern Trust Corp. | 1,142,866 | 82,194,923 | |
| Patria Investments Ltd. | 238,816 | 3,522,536 | |
| Perella Weinberg Partners Class A | 479,030 | 3,750,805 | |
| Piper Jaffray Companies | 18,270 | 2,327,050 | |
| PJT Partners, Inc. | 17,858 | 1,203,629 | |
| Rathbone Brothers PLC | 134,000 | 3,323,785 | |
| Raymond James Financial, Inc. | 333,059 | 30,091,881 | |
| SEI Investments Co. | 74,886 | 4,237,050 | |
| State Street Corp. | 756,304 | 51,443,798 | |
| StepStone Group, Inc. Class A | 280,453 | 6,032,544 | |
| UBS Group AG | 1,231,367 | 23,285,150 | |
| Van Lanschot Kempen NV (Bearer) | 5,800 | 158,710 | |
| Victory Capital Holdings, Inc. | 10,530 | 326,114 | |
| Virtu Financial, Inc. Class A | 354,983 | 6,244,151 | |
| Virtus Investment Partners, Inc. | 39,750 | 7,583,505 | |
| 578,634,341 | |||
| Consumer Finance - 0.2% | |||
| Aeon Credit Service (Asia) Co. Ltd. | 2,930,000 | 1,964,446 | |
| American Express Co. | 21,939 | 3,478,648 | |
| Capital One Financial Corp. | 130,464 | 13,595,653 | |
| Discover Financial Services | 215,342 | 22,124,237 | |
| FirstCash Holdings, Inc. | 308,389 | 30,388,652 | |
| OneMain Holdings, Inc. | 963,291 | 36,470,197 | |
| Shriram Transport Finance Co. Ltd. | 282,546 | 4,782,849 | |
| SLM Corp. | 182,848 | 2,790,260 | |
| 115,594,942 | |||
| Financial Services - 1.4% | |||
| Apollo Global Management, Inc. | 590,802 | 39,495,114 | |
| Berkshire Hathaway, Inc.: | |||
| Class A (b) | 39 | 19,032,935 | |
| Class B (b) | 1,100,400 | 353,316,432 | |
| BFF Bank SpA (a) | 693,800 | 7,189,839 | |
| Block, Inc. Class A (b) | 423,400 | 25,569,126 | |
| Cannae Holdings, Inc. (b) | 1,242,320 | 24,411,588 | |
| Cass Information Systems, Inc. | 8,874 | 342,714 | |
| Dlocal Ltd. (b) | 577,300 | 6,719,772 | |
| Edenred SA | 426,459 | 27,386,989 | |
| Essent Group Ltd. | 987,835 | 43,632,672 | |
| EVERTEC, Inc. | 47,670 | 1,643,662 | |
| Federal Agricultural Mortgage Corp. Class C (non-vtg.) | 35,200 | 4,710,112 | |
| Fidelity National Information Services, Inc. | 296,057 | 16,155,830 | |
| Fiserv, Inc. (b) | 405,868 | 45,534,331 | |
| FleetCor Technologies, Inc. (b) | 135,313 | 30,655,160 | |
| Global Payments, Inc. | 34,400 | 3,360,536 | |
| Jackson Financial, Inc. (c) | 43,103 | 1,193,953 | |
| MasterCard, Inc. Class A | 71,486 | 26,093,820 | |
| MGIC Investment Corp. | 339,605 | 5,134,828 | |
| NMI Holdings, Inc. (b) | 440,389 | 11,075,783 | |
| One97 Communications Ltd. (b) | 163,615 | 1,379,815 | |
| PayPal Holdings, Inc. (b) | 194,100 | 12,032,259 | |
| Radian Group, Inc. (c) | 680,622 | 17,383,086 | |
| The Western Union Co. | 282,203 | 3,214,292 | |
| UWM Holdings Corp. Class A (c) | 354,800 | 1,820,124 | |
| Visa, Inc. Class A | 1,299,551 | 287,239,758 | |
| Voya Financial, Inc. | 201,600 | 13,668,480 | |
| WEX, Inc. (b) | 135,828 | 22,527,074 | |
| Worldline SA (a)(b) | 342,339 | 13,301,416 | |
| Zenkoku Hosho Co. Ltd. | 53,600 | 1,917,789 | |
| 1,067,139,289 | |||
| Insurance - 1.3% | |||
| American Equity Investment Life Holding Co. | 50,732 | 2,001,377 | |
| American Financial Group, Inc. | 42,833 | 4,808,861 | |
| Arthur J. Gallagher & Co. | 102,971 | 20,628,180 | |
| ASR Nederland NV | 123,000 | 5,232,693 | |
| BRP Group, Inc. (b) | 683,240 | 13,705,794 | |
| Chubb Ltd. | 1,123,576 | 208,760,421 | |
| Db Insurance Co. Ltd. | 115,660 | 6,471,492 | |
| Direct Line Insurance Group PLC | 4,485,810 | 9,257,425 | |
| Enstar Group Ltd. (b) | 19,360 | 4,556,957 | |
| Erie Indemnity Co. Class A | 16,150 | 3,457,715 | |
| Everest Re Group Ltd. | 99,680 | 33,893,194 | |
| Fairfax Financial Holdings Ltd. (sub. vtg.) | 21,415 | 15,371,159 | |
| First American Financial Corp. | 55,900 | 3,070,587 | |
| Globe Life, Inc. | 184,856 | 19,073,442 | |
| Hartford Financial Services Group, Inc. | 504,299 | 34,554,567 | |
| Hyundai Fire & Marine Insurance Co. Ltd. | 142,860 | 3,543,023 | |
| Kinsale Capital Group, Inc. | 13,889 | 4,208,089 | |
| Marsh & McLennan Companies, Inc. | 248,787 | 43,084,933 | |
| NN Group NV | 131,103 | 4,725,386 | |
| Primerica, Inc. | 234,229 | 42,634,363 | |
| Progressive Corp. | 420,456 | 53,780,527 | |
| Prudential PLC | 523,672 | 6,880,942 | |
| Reinsurance Group of America, Inc. | 290,140 | 40,619,600 | |
| RLI Corp. | 29,513 | 3,655,185 | |
| Selective Insurance Group, Inc. | 114,000 | 11,027,220 | |
| Talanx AG | 145,341 | 8,101,763 | |
| The Travelers Companies, Inc. | 1,236,727 | 209,303,677 | |
| Unum Group | 513,174 | 22,297,410 | |
| White Mountains Insurance Group Ltd. (c) | 3,440 | 4,658,414 | |
| Willis Towers Watson PLC | 379,800 | 83,119,230 | |
| 926,483,626 | |||
| Mortgage Real Estate Investment Trusts - 0.0% | |||
| AGNC Investment Corp. (c) | 403,250 | 3,705,868 | |
| Redwood Trust, Inc. | 394,150 | 2,333,368 | |
| 6,039,236 | |||
TOTAL FINANCIALS | 5,133,607,226 | ||
| HEALTH CARE - 6.4% | |||
| Biotechnology - 0.8% | |||
| AbbVie, Inc. | 80,000 | 11,036,800 | |
| Akero Therapeutics, Inc. (b) | 185,000 | 8,247,300 | |
| Alnylam Pharmaceuticals, Inc. (b) | 59,200 | 10,952,592 | |
| Amgen, Inc. | 61,400 | 13,547,910 | |
| Apellis Pharmaceuticals, Inc. (b) | 149,100 | 12,800,235 | |
| Arcutis Biotherapeutics, Inc. (b)(c) | 6,606 | 49,611 | |
| Argenx SE ADR (b) | 119,060 | 46,278,622 | |
| Ascendis Pharma A/S sponsored ADR (b)(c) | 132,000 | 11,480,040 | |
| Avid Bioservices, Inc. (b)(c) | 261,980 | 4,047,591 | |
| Avidity Biosciences, Inc. (b) | 591,600 | 6,282,792 | |
| Beam Therapeutics, Inc. (b)(c) | 164,100 | 5,234,790 | |
| Blueprint Medicines Corp. (b) | 471,198 | 26,632,111 | |
| Celldex Therapeutics, Inc. (b) | 146,629 | 4,662,802 | |
| Century Therapeutics, Inc. (b) | 27,180 | 86,432 | |
| Cerevel Therapeutics Holdings (b) | 94,350 | 3,075,810 | |
| Cytokinetics, Inc. (b)(c) | 591,500 | 22,293,635 | |
| Day One Biopharmaceuticals, Inc. (b) | 310,150 | 4,124,995 | |
| Essex Bio-Technology Ltd. | 320,000 | 146,709 | |
| Exact Sciences Corp. (b) | 186,000 | 15,173,880 | |
| Gilead Sciences, Inc. | 150,540 | 11,582,548 | |
| Insmed, Inc. (b)(c) | 221,600 | 4,217,048 | |
| Intellia Therapeutics, Inc. (b) | 145,000 | 5,402,700 | |
| Karuna Therapeutics, Inc. (b) | 60,100 | 13,615,655 | |
| Keros Therapeutics, Inc. (b) | 13,330 | 637,974 | |
| Krystal Biotech, Inc. (b) | 29,170 | 3,437,685 | |
| Legend Biotech Corp. ADR (b) | 400,000 | 25,668,000 | |
| Natera, Inc. (b) | 363,090 | 17,105,170 | |
| Poseida Therapeutics, Inc. (b) | 3,190 | 7,241 | |
| Prelude Therapeutics, Inc. (b)(c) | 408,280 | 2,278,202 | |
| PTC Therapeutics, Inc. (b) | 449,250 | 18,855,023 | |
| RAPT Therapeutics, Inc. (b) | 101,830 | 2,039,655 | |
| Regeneron Pharmaceuticals, Inc. (b) | 145,600 | 107,097,536 | |
| Relay Therapeutics, Inc. (b)(c) | 16,466 | 183,431 | |
| Repare Therapeutics, Inc. (b)(c) | 161,940 | 1,718,183 | |
| Repligen Corp. (b) | 236,400 | 39,696,288 | |
| Sarepta Therapeutics, Inc. (b) | 105,300 | 13,015,080 | |
| Stoke Therapeutics, Inc. (b) | 375,361 | 4,204,043 | |
| United Therapeutics Corp. (b) | 64,108 | 13,446,012 | |
| Vaxcyte, Inc. (b) | 629,660 | 31,180,763 | |
| Vertex Pharmaceuticals, Inc. (b) | 278,800 | 90,211,316 | |
| Verve Therapeutics, Inc. (b)(c) | 228,040 | 3,530,059 | |
| Xencor, Inc. (b) | 285,000 | 7,723,500 | |
| Zentalis Pharmaceuticals, Inc. (b) | 345,930 | 9,008,017 | |
| 632,015,786 | |||
| Health Care Equipment & Supplies - 1.0% | |||
| Abbott Laboratories | 37,900 | 3,865,800 | |
| Atrion Corp. | 983 | 511,514 | |
| Axonics Modulation Technologies, Inc. (b) | 694,270 | 33,595,725 | |
| Baxter International, Inc. | 283,500 | 11,544,120 | |
| Becton, Dickinson & Co. | 75,125 | 18,162,220 | |
| Boston Scientific Corp. (b) | 4,744,109 | 244,226,731 | |
| Enovis Corp. (b) | 31,712 | 1,672,174 | |
| Envista Holdings Corp. (b) | 219,300 | 6,993,477 | |
| GE Healthcare Holding LLC | 1,143,381 | 90,910,223 | |
| Globus Medical, Inc. (b) | 56,575 | 3,062,405 | |
| Haemonetics Corp. (b) | 48,090 | 4,068,414 | |
| InBody Co. Ltd. | 31,800 | 641,990 | |
| Inspire Medical Systems, Inc. (b) | 51,500 | 15,063,235 | |
| Insulet Corp. (b) | 132,000 | 36,201,000 | |
| Intuitive Surgical, Inc. (b) | 40,000 | 12,313,600 | |
| iRhythm Technologies, Inc. (b) | 106,909 | 12,216,491 | |
| Koninklijke Philips Electronics NV (depository receipt) (NY Reg.) | 423,496 | 7,995,604 | |
| LeMaitre Vascular, Inc. | 12,425 | 780,787 | |
| Masimo Corp. (b) | 302,500 | 48,956,600 | |
| Neogen Corp. (b) | 154,341 | 2,699,424 | |
| Omnicell, Inc. (b) | 35,380 | 2,597,600 | |
| Penumbra, Inc. (b) | 339,300 | 104,280,462 | |
| ResMed, Inc. | 145,000 | 30,564,550 | |
| Stryker Corp. | 75,000 | 20,668,500 | |
| Tandem Diabetes Care, Inc. (b) | 367,160 | 9,542,488 | |
| TransMedics Group, Inc. (b) | 45,570 | 3,311,116 | |
| Utah Medical Products, Inc. | 2,477 | 231,575 | |
| Value Added Technology Co. Ltd. | 78,700 | 2,038,097 | |
| Vieworks Co. Ltd. | 147,059 | 3,624,923 | |
| ViewRay, Inc. (b) | 788,420 | 434,419 | |
| 732,775,264 | |||
| Health Care Providers & Services - 2.4% | |||
| Acadia Healthcare Co., Inc. (b) | 318,740 | 22,512,606 | |
| AdaptHealth Corp. (b) | 703,088 | 7,368,362 | |
| Addus HomeCare Corp. (b) | 55,340 | 4,988,901 | |
| agilon health, Inc. (b)(c) | 3,491,700 | 69,414,996 | |
| AMN Healthcare Services, Inc. (b) | 52,440 | 4,979,702 | |
| Cardinal Health, Inc. | 566,227 | 46,600,482 | |
| Centene Corp. (b) | 3,304,200 | 206,215,122 | |
| Chemed Corp. | 10,867 | 5,800,479 | |
| Cigna Group | 1,162,275 | 287,558,458 | |
| Corvel Corp. (b) | 6,693 | 1,308,080 | |
| CVS Health Corp. | 929,093 | 63,206,197 | |
| Elevance Health, Inc. | 251,034 | 112,418,046 | |
| Encompass Health Corp. | 72,925 | 4,522,809 | |
| Guardant Health, Inc. (b) | 160,300 | 4,699,996 | |
| HealthEquity, Inc. (b) | 65,430 | 3,585,564 | |
| Henry Schein, Inc. (b) | 99,057 | 7,320,312 | |
| Humana, Inc. | 358,000 | 179,669,460 | |
| Laboratory Corp. of America Holdings | 55,200 | 11,731,656 | |
| LifeStance Health Group, Inc. (b)(c) | 405,220 | 3,318,752 | |
| McKesson Corp. | 205,274 | 80,229,290 | |
| Modivcare, Inc. (b)(c) | 28,290 | 1,271,070 | |
| Molina Healthcare, Inc. (b) | 40,000 | 10,956,000 | |
| National Research Corp. Class A | 10,268 | 461,033 | |
| Option Care Health, Inc. (b) | 31,590 | 870,305 | |
| Owens & Minor, Inc. (b) | 674,510 | 13,699,298 | |
| Privia Health Group, Inc. (b) | 670,000 | 16,716,500 | |
| Quest Diagnostics, Inc. | 55,600 | 7,375,340 | |
| Sinopharm Group Co. Ltd. (H Shares) | 3,916,000 | 12,827,539 | |
| Surgery Partners, Inc. (b) | 968,070 | 36,283,264 | |
| Tenet Healthcare Corp. (b) | 185,880 | 13,234,656 | |
| The Ensign Group, Inc. | 29,660 | 2,628,173 | |
| UnitedHealth Group, Inc. | 1,069,730 | 521,215,245 | |
| Universal Health Services, Inc. Class B | 171,514 | 22,662,145 | |
| 1,787,649,838 | |||
| Health Care Technology - 0.1% | |||
| Doximity, Inc. (b)(c) | 82,967 | 2,544,598 | |
| Evolent Health, Inc. (b) | 539,410 | 15,718,407 | |
| Evolent Health, Inc. (e) | 500,000 | 13,841,500 | |
| Health Catalyst, Inc. (b) | 37,880 | 426,529 | |
| Phreesia, Inc. (b) | 459,190 | 13,784,884 | |
| Simulations Plus, Inc. | 10,176 | 449,677 | |
| 46,765,595 | |||
| Life Sciences Tools & Services - 0.6% | |||
| 10X Genomics, Inc. (b) | 395,300 | 20,737,438 | |
| Bruker Corp. (c) | 660,470 | 45,638,477 | |
| Danaher Corp. | 642,300 | 147,484,926 | |
| Gerresheimer AG | 130,000 | 14,284,780 | |
| ICON PLC (b) | 37,000 | 7,882,110 | |
| IQVIA Holdings, Inc. (b) | 175,000 | 34,459,250 | |
| Maravai LifeSciences Holdings, Inc. (b) | 49,155 | 631,150 | |
| Medpace Holdings, Inc. (b) | 18,410 | 3,810,318 | |
| Quanterix Corp. (b) | 570,840 | 11,194,172 | |
| Sartorius Stedim Biotech | 45,000 | 11,813,483 | |
| Syneos Health, Inc. (b) | 48,300 | 2,009,280 | |
| Thermo Fisher Scientific, Inc. | 201,800 | 102,607,228 | |
| West Pharmaceutical Services, Inc. | 48,500 | 16,229,555 | |
| 418,782,167 | |||
| Pharmaceuticals - 1.5% | |||
| Arvinas Holding Co. LLC (b) | 174,620 | 3,811,955 | |
| AstraZeneca PLC: | |||
| (United Kingdom) | 400,000 | 58,260,250 | |
| sponsored ADR | 1,512,320 | 110,520,346 | |
| Axsome Therapeutics, Inc. (b) | 20,040 | 1,478,551 | |
| Bristol-Myers Squibb Co. | 4,205,261 | 270,987,019 | |
| Catalent, Inc. (b) | 79,710 | 2,967,603 | |
| Daito Pharmaceutical Co. Ltd. (c) | 45,500 | 752,101 | |
| Dawnrays Pharmaceutical Holdings Ltd. | 2,354,000 | 372,770 | |
| DICE Therapeutics, Inc. (b)(c) | 135,670 | 4,288,529 | |
| Edgewise Therapeutics, Inc. (b)(c) | 275,350 | 2,786,542 | |
| Eli Lilly & Co. | 382,300 | 164,182,558 | |
| Faes Farma SA | 109,311 | 386,165 | |
| Genomma Lab Internacional SA de CV | 1,000,000 | 839,505 | |
| GH Research PLC (b)(c) | 138,970 | 1,556,464 | |
| GSK PLC sponsored ADR | 1,407,127 | 47,279,467 | |
| Jazz Pharmaceuticals PLC (b) | 55,900 | 7,164,144 | |
| Johnson & Johnson | 463,289 | 71,837,592 | |
| Merck & Co., Inc. | 500,000 | 55,205,000 | |
| Novo Nordisk A/S Series B | 168,000 | 27,036,415 | |
| Prestige Brands Holdings, Inc. (b) | 36,193 | 2,071,325 | |
| Roche Holding AG (participation certificate) | 275,996 | 87,907,181 | |
| Royalty Pharma PLC | 960,000 | 31,430,400 | |
| Sanofi SA | 43,200 | 4,381,224 | |
| Sanofi SA sponsored ADR (c) | 2,210,150 | 112,761,853 | |
| UCB SA | 190,000 | 16,555,978 | |
| Ventyx Biosciences, Inc. (b)(c) | 302,620 | 10,431,311 | |
| Verona Pharma PLC ADR (b) | 33,430 | 719,414 | |
| Viatris, Inc. | 63,300 | 579,195 | |
| 1,098,550,857 | |||
TOTAL HEALTH CARE | 4,716,539,507 | ||
| INDUSTRIALS - 5.3% | |||
| Aerospace & Defense - 1.1% | |||
| AerSale Corp. (b) | 107,260 | 1,611,045 | |
| Airbus Group NV | 526,698 | 69,168,768 | |
| Cadre Holdings, Inc. | 651,600 | 13,618,440 | |
| General Dynamics Corp. | 84,927 | 17,340,395 | |
| HEICO Corp. Class A | 252,646 | 30,784,915 | |
| Howmet Aerospace, Inc. | 557,600 | 23,837,400 | |
| Huntington Ingalls Industries, Inc. | 103,731 | 20,889,349 | |
| Kratos Defense & Security Solutions, Inc. (b) | 148,040 | 1,945,246 | |
| L3Harris Technologies, Inc. | 269,400 | 47,392,848 | |
| Leonardo DRS, Inc. (b) | 63,800 | 963,380 | |
| Lockheed Martin Corp. | 313,100 | 139,019,531 | |
| MTU Aero Engines AG | 27,900 | 6,435,655 | |
| Northrop Grumman Corp. | 284,400 | 123,853,356 | |
| Raytheon Technologies Corp. | 301,368 | 27,768,048 | |
| Safran SA (c) | 60,200 | 8,715,263 | |
| Textron, Inc. | 65,300 | 4,040,111 | |
| The Boeing Co. (b) | 1,120,102 | 230,404,981 | |
| TransDigm Group, Inc. | 42,700 | 33,034,855 | |
| V2X, Inc. (b) | 286,632 | 11,823,570 | |
| 812,647,156 | |||
| Air Freight & Logistics - 0.2% | |||
| Compania de Distribucion Integral Logista Holdings SA | 75,100 | 1,867,182 | |
| Delhivery Private Ltd. | 707,400 | 2,987,351 | |
| Deutsche Post AG | 448,900 | 20,242,631 | |
| FedEx Corp. | 154,183 | 33,608,810 | |
| Forward Air Corp. | 19,175 | 1,865,152 | |
| United Parcel Service, Inc. Class B | 651,060 | 108,727,020 | |
| 169,298,146 | |||
| Building Products - 0.3% | |||
| A.O. Smith Corp. | 92,716 | 5,928,261 | |
| Armstrong World Industries, Inc. | 91,860 | 5,735,738 | |
| Builders FirstSource, Inc. (b) | 171,033 | 19,831,276 | |
| Carlisle Companies, Inc. | 191,913 | 40,769,998 | |
| Fortune Brands Home & Security, Inc. | 239,929 | 14,503,708 | |
| Hayward Holdings, Inc. (b)(c) | 1,432,100 | 15,552,606 | |
| Johnson Controls International PLC | 139,493 | 8,327,732 | |
| Masonite International Corp. (b) | 111,800 | 9,846,226 | |
| Nihon Dengi Co. Ltd. | 28,200 | 764,077 | |
| Nihon Flush Co. Ltd. | 104,578 | 749,854 | |
| Trane Technologies PLC | 459,700 | 75,036,831 | |
| Trex Co., Inc. (b) | 80,197 | 4,118,116 | |
| UFP Industries, Inc. | 39,890 | 3,115,409 | |
| 204,279,832 | |||
| Commercial Services & Supplies - 0.1% | |||
| ACV Auctions, Inc. Class A (b) | 600,000 | 10,224,000 | |
| Brady Corp. Class A | 33,899 | 1,616,304 | |
| Casella Waste Systems, Inc. Class A (b) | 65,230 | 5,881,137 | |
| Ennis, Inc. | 18,851 | 365,144 | |
| Montrose Environmental Group, Inc. (b)(c) | 76,460 | 2,682,981 | |
| Rollins, Inc. | 169,146 | 6,650,821 | |
| Takkt AG | 158,494 | 2,354,858 | |
| Tetra Tech, Inc. | 38,718 | 5,322,563 | |
| The Brink's Co. | 334,110 | 22,228,338 | |
| The GEO Group, Inc. (b) | 323,660 | 2,414,504 | |
| UniFirst Corp. | 5,017 | 858,459 | |
| VSE Corp. | 123,000 | 5,784,690 | |
| 66,383,799 | |||
| Construction & Engineering - 0.1% | |||
| Bowman Consulting Group Ltd. (b) | 47,800 | 1,294,902 | |
| Dycom Industries, Inc. (b) | 41,820 | 4,241,803 | |
| EMCOR Group, Inc. | 171,394 | 28,252,587 | |
| IES Holdings, Inc. (b) | 40,070 | 1,900,119 | |
| Meisei Industrial Co. Ltd. | 215,000 | 1,416,616 | |
| Raiznext Corp. | 201,000 | 1,941,834 | |
| Totetsu Kogyo Co. Ltd. | 54,200 | 987,718 | |
| Willscot Mobile Mini Holdings (b) | 834,300 | 35,941,644 | |
| 75,977,223 | |||
| Electrical Equipment - 0.5% | |||
| Acuity Brands, Inc. | 204,253 | 30,778,885 | |
| AMETEK, Inc. | 599,900 | 87,027,493 | |
| AQ Group AB | 83,000 | 3,510,662 | |
| Array Technologies, Inc. (b) | 139,430 | 3,091,163 | |
| Atkore, Inc. (b) | 98,430 | 11,493,671 | |
| Eaton Corp. PLC | 264,200 | 46,472,780 | |
| GrafTech International Ltd. (c) | 1,243,200 | 5,333,328 | |
| Hubbell, Inc. Class B | 114,793 | 32,424,431 | |
| nVent Electric PLC | 108,940 | 4,725,817 | |
| Regal Rexnord Corp. | 684,534 | 88,914,121 | |
| Shoals Technologies Group, Inc. (b) | 149,890 | 3,520,916 | |
| Vertiv Holdings Co. | 1,408,014 | 27,174,670 | |
| Vertiv Holdings LLC (b)(e) | 600,000 | 11,580,000 | |
| 356,047,937 | |||
| Ground Transportation - 0.3% | |||
| ArcBest Corp. | 16,521 | 1,384,129 | |
| CSX Corp. | 1,823,700 | 55,932,879 | |
| Knight-Swift Transportation Holdings, Inc. Class A | 601,485 | 33,075,660 | |
| Landstar System, Inc. | 196,672 | 34,492,335 | |
| Nikkon Holdings Co. Ltd. | 28,200 | 531,109 | |
| Old Dominion Freight Lines, Inc. | 171,000 | 53,085,240 | |
| RXO, Inc. (b) | 135,860 | 2,835,398 | |
| Saia, Inc. (b) | 17,550 | 4,987,008 | |
| Stef SA | 50,734 | 5,639,876 | |
| Uber Technologies, Inc. (b) | 899,800 | 34,129,414 | |
| Universal Logistics Holdings, Inc. | 25,544 | 678,193 | |
| XPO, Inc. (b) | 245,350 | 11,514,276 | |
| 238,285,517 | |||
| Industrial Conglomerates - 0.9% | |||
| 3M Co. | 65,103 | 6,074,761 | |
| DCC PLC (United Kingdom) | 82,900 | 4,740,585 | |
| General Electric Co. (f) | 5,352,445 | 543,433,741 | |
| Honeywell International, Inc. | 185,200 | 35,484,320 | |
| Mytilineos SA | 85,200 | 2,684,752 | |
| Siemens AG | 305,000 | 50,191,683 | |
| 642,609,842 | |||
| Machinery - 1.0% | |||
| AGCO Corp. | 219,800 | 24,239,544 | |
| Albany International Corp. Class A | 14,761 | 1,253,504 | |
| Allison Transmission Holdings, Inc. | 67,587 | 3,196,865 | |
| Barnes Group, Inc. | 36,098 | 1,420,456 | |
| Beijer Alma AB (B Shares) | 120,100 | 2,667,217 | |
| Caterpillar, Inc. | 244,200 | 50,244,150 | |
| Chart Industries, Inc. (b)(c) | 160,572 | 17,619,566 | |
| Columbus McKinnon Corp. (NY Shares) | 283,310 | 10,335,149 | |
| Crane Co. | 283,780 | 20,619,455 | |
| Crane Nxt Co. (c) | 317,780 | 16,724,761 | |
| Cummins, Inc. | 38,142 | 7,796,606 | |
| Daiwa Industries Ltd. | 317,400 | 3,077,749 | |
| Deere & Co. | 87,100 | 30,134,858 | |
| Donaldson Co., Inc. | 89,485 | 5,237,557 | |
| Dover Corp. | 465,200 | 62,025,116 | |
| Ebara Jitsugyo Co. Ltd. | 19,800 | 426,341 | |
| EnPro Industries, Inc. | 11,870 | 1,199,820 | |
| ESAB Corp. | 573,633 | 33,683,730 | |
| Estic Corp. | 17,500 | 118,069 | |
| Federal Signal Corp. | 146,480 | 7,761,975 | |
| Flowserve Corp. | 1,248,731 | 40,646,194 | |
| Fortive Corp. | 1,455,924 | 94,795,212 | |
| Gorman-Rupp Co. | 15,299 | 366,105 | |
| Graco, Inc. | 120,764 | 9,237,238 | |
| Hillenbrand, Inc. | 227,700 | 10,922,769 | |
| Hy-Lok Corp. | 61,216 | 1,087,733 | |
| IDEX Corp. | 116,527 | 23,207,517 | |
| Ingersoll Rand, Inc. | 1,032,900 | 58,524,114 | |
| ITT, Inc. | 529,410 | 40,319,866 | |
| John Bean Technologies Corp. | 53,140 | 5,665,255 | |
| JOST Werke AG (a) | 82,700 | 4,358,023 | |
| Kadant, Inc. | 8,526 | 1,617,553 | |
| Lincoln Electric Holdings, Inc. | 42,193 | 7,158,464 | |
| Miller Industries, Inc. | 12,100 | 397,606 | |
| Mueller Industries, Inc. | 41,556 | 3,085,949 | |
| Nordson Corp. | 45,106 | 9,829,951 | |
| NORMA Group AG | 85,768 | 1,546,598 | |
| Omega Flex, Inc. (c) | 2,200 | 229,174 | |
| Oshkosh Corp. | 122,100 | 9,014,643 | |
| Otis Worldwide Corp. | 112,104 | 8,913,389 | |
| Parker Hannifin Corp. | 240,600 | 77,097,864 | |
| Pentair PLC | 507,000 | 28,123,290 | |
| Snap-On, Inc. | 38,842 | 9,666,220 | |
| Stanley Black & Decker, Inc. | 93,132 | 6,982,106 | |
| Watts Water Technologies, Inc. Class A | 19,498 | 3,089,458 | |
| Westinghouse Air Brake Tech Co. | 137,114 | 12,700,870 | |
| 768,365,649 | |||
| Marine Transportation - 0.0% | |||
| Genco Shipping & Trading Ltd. (c) | 219,500 | 2,723,995 | |
| Passenger Airlines - 0.1% | |||
| Copa Holdings SA Class A | 17,300 | 1,817,538 | |
| Delta Air Lines, Inc. (b) | 532,600 | 19,349,358 | |
| Jet2 PLC | 262,443 | 3,904,533 | |
| JetBlue Airways Corp. (b) | 1,907,400 | 13,027,542 | |
| Ryanair Holdings PLC sponsored ADR (b) | 49,500 | 5,201,460 | |
| Sun Country Airlines Holdings, Inc. (b) | 144,550 | 2,717,540 | |
| 46,017,971 | |||
| Professional Services - 0.5% | |||
| Altech Corp. | 57,500 | 1,148,968 | |
| ASGN, Inc. (b) | 297,400 | 19,458,882 | |
| Barrett Business Services, Inc. | 31,608 | 2,655,072 | |
| CACI International, Inc. Class A (b) | 69,871 | 20,906,801 | |
| CBIZ, Inc. (b) | 35,460 | 1,787,893 | |
| Concentrix Corp. (c) | 287,953 | 25,253,478 | |
| CRA International, Inc. (c) | 55,296 | 5,124,280 | |
| Creek & River Co. Ltd. | 20,000 | 275,471 | |
| CSG Systems International, Inc. | 21,008 | 1,007,964 | |
| Dun & Bradstreet Holdings, Inc. | 729,668 | 7,296,680 | |
| E-Credible Co. Ltd. | 46,500 | 560,091 | |
| Equifax, Inc. | 30,000 | 6,258,600 | |
| ExlService Holdings, Inc. (b) | 43,785 | 6,608,908 | |
| Exponent, Inc. | 37,007 | 3,379,479 | |
| First Advantage Corp. (b) | 125,180 | 1,691,182 | |
| Franklin Covey Co. (b) | 8,614 | 318,029 | |
| Genpact Ltd. | 1,154,555 | 42,464,533 | |
| Heidrick & Struggles International, Inc. | 12,693 | 307,805 | |
| ICF International, Inc. | 112,360 | 12,583,196 | |
| Insperity, Inc. | 23,187 | 2,567,265 | |
| KBR, Inc. (c) | 868,760 | 51,274,215 | |
| Kforce, Inc. (c) | 288,037 | 16,588,051 | |
| Mastech Digital, Inc. (b)(c) | 30,000 | 320,700 | |
| Maximus, Inc. | 904,440 | 73,223,462 | |
| Paycom Software, Inc. | 18,100 | 5,070,353 | |
| Paylocity Holding Corp. (b) | 30,109 | 5,201,330 | |
| Quick Co. Ltd. | 180,800 | 2,536,975 | |
| Robert Half International, Inc. | 79,291 | 5,155,501 | |
| Science Applications International Corp. | 88,910 | 8,653,610 | |
| TriNet Group, Inc. (b) | 25,474 | 2,263,874 | |
| Verra Mobility Corp. (b)(c) | 502,700 | 8,862,601 | |
| WDB Holdings Co. Ltd. | 22,300 | 326,197 | |
| Will Group, Inc. | 187,400 | 1,362,542 | |
| WNS Holdings Ltd. sponsored ADR (b) | 63,379 | 4,924,548 | |
| 347,418,536 | |||
| Trading Companies & Distributors - 0.2% | |||
| AerCap Holdings NV (b) | 67,500 | 3,852,900 | |
| Air Lease Corp. Class A | 511,100 | 19,432,022 | |
| Applied Industrial Technologies, Inc. | 103,680 | 12,748,493 | |
| Beacon Roofing Supply, Inc. (b) | 220,009 | 14,067,375 | |
| Beijer Ref AB (B Shares) | 115,600 | 1,709,744 | |
| Boise Cascade Co. | 26,614 | 1,911,417 | |
| Core & Main, Inc. (b)(c) | 220,420 | 5,894,031 | |
| Ferguson PLC | 58,300 | 8,448,253 | |
| Green Cross Co. Ltd. | 28,200 | 198,154 | |
| Itochu Corp. | 290,200 | 9,833,369 | |
| Kamei Corp. | 149,800 | 1,474,077 | |
| Mitani Shoji Co. Ltd. | 272,500 | 2,569,998 | |
| Momentum Group Komponenter & Tjanster AB | 162,700 | 1,611,737 | |
| MSC Industrial Direct Co., Inc. Class A | 33,799 | 3,039,206 | |
| Rush Enterprises, Inc. Class A | 146,700 | 7,668,009 | |
| Totech Corp. | 18,400 | 538,166 | |
| Univar Solutions, Inc. (b) | 240,200 | 8,555,924 | |
| Watsco, Inc. (c) | 24,308 | 7,884,786 | |
| WESCO International, Inc. | 173,500 | 23,835,430 | |
| 135,273,091 | |||
| Transportation Infrastructure - 0.0% | |||
| Isewan Terminal Service Co. Ltd. | 10,900 | 54,138 | |
| Qingdao Port International Co. Ltd. (H Shares) (a) | 3,523,814 | 2,020,564 | |
| 2,074,702 | |||
TOTAL INDUSTRIALS | 3,867,403,396 | ||
| INFORMATION TECHNOLOGY - 8.1% | |||
| Communications Equipment - 0.2% | |||
| Cisco Systems, Inc. | 2,518,300 | 125,083,961 | |
| Juniper Networks, Inc. | 237,165 | 7,202,701 | |
| Lumentum Holdings, Inc. (b) | 210,370 | 11,128,573 | |
| NetScout Systems, Inc. (b) | 48,527 | 1,481,044 | |
| 144,896,279 | |||
| Electronic Equipment, Instruments & Components - 0.4% | |||
| Advanced Energy Industries, Inc. | 200,330 | 19,662,390 | |
| Amphenol Corp. Class A | 514,500 | 38,819,025 | |
| Avnet, Inc. | 314,000 | 13,765,760 | |
| Badger Meter, Inc. | 21,390 | 2,949,039 | |
| Belden, Inc. | 31,283 | 2,736,950 | |
| CDW Corp. | 86,700 | 14,885,523 | |
| Cognex Corp. | 374,775 | 20,597,634 | |
| Coherent Corp. (b)(c) | 334,830 | 12,375,317 | |
| CTS Corp. | 20,905 | 954,731 | |
| Daido Signal Co. Ltd. | 68,848 | 214,957 | |
| Daiwabo Holdings Co. Ltd. | 160,000 | 2,967,450 | |
| Elematec Corp. | 54,000 | 661,604 | |
| Fabrinet (b) | 60,818 | 6,885,814 | |
| Flex Ltd. (b) | 473,300 | 12,017,087 | |
| Insight Enterprises, Inc. (b) | 217,245 | 29,375,869 | |
| IPG Photonics Corp. (b) | 23,496 | 2,595,603 | |
| Jabil, Inc. | 139,400 | 12,479,088 | |
| Kingboard Chemical Holdings Ltd. | 707,000 | 1,905,088 | |
| Makus, Inc. | 287,084 | 3,494,817 | |
| Maruwa Ceramic Co. Ltd. | 15,100 | 2,102,566 | |
| Methode Electronics, Inc. Class A | 295,500 | 12,721,275 | |
| Mirion Technologies, Inc. (b)(e) | 1,339,313 | 10,593,966 | |
| Napco Security Technologies, Inc. (c) | 88,570 | 3,293,918 | |
| Redington (India) Ltd. | 1,034,288 | 2,178,271 | |
| Riken Keiki Co. Ltd. | 17,700 | 604,716 | |
| Sanmina Corp. (b) | 41,970 | 2,226,089 | |
| TD SYNNEX Corp. | 124,300 | 11,109,934 | |
| Thinking Electronic Industries Co. Ltd. | 197,000 | 987,629 | |
| Tripod Technology Corp. | 582,000 | 2,434,631 | |
| TTM Technologies, Inc. (b) | 501,400 | 6,869,180 | |
| Vishay Precision Group, Inc. (b) | 116,230 | 4,058,752 | |
| Vontier Corp. | 196,500 | 5,824,260 | |
| 264,348,933 | |||
| IT Services - 0.6% | |||
| Accenture PLC Class A | 111,200 | 34,018,304 | |
| Amdocs Ltd. | 1,048,228 | 98,711,631 | |
| Avant Group Corp. | 180,500 | 1,770,992 | |
| Capgemini SA | 286,600 | 49,873,249 | |
| Cognizant Technology Solutions Corp. Class A | 723,800 | 45,230,262 | |
| DTS Corp. | 109,500 | 2,758,622 | |
| Enea AB (b)(c) | 17,373 | 79,086 | |
| EPAM Systems, Inc. (b) | 99,400 | 25,508,028 | |
| Future Corp. | 27,500 | 338,112 | |
| GoDaddy, Inc. (b) | 226,300 | 16,605,894 | |
| Hackett Group, Inc. (c) | 16,865 | 327,012 | |
| IBM Corp. | 58,082 | 7,468,764 | |
| MongoDB, Inc. Class A (b) | 190,800 | 56,055,132 | |
| Perficient, Inc. (b) | 111,580 | 8,532,523 | |
| Shopify, Inc. Class A (b) | 89,000 | 5,089,910 | |
| Snowflake, Inc. (b) | 104,500 | 17,280,120 | |
| TDC Soft, Inc. | 182,200 | 1,935,446 | |
| Twilio, Inc. Class A (b) | 822,500 | 57,262,450 | |
| Unisys Corp. (b) | 353,950 | 1,391,024 | |
| Wix.com Ltd. (b) | 167,000 | 12,728,740 | |
| 442,965,301 | |||
| Semiconductors & Semiconductor Equipment - 1.7% | |||
| Advanced Micro Devices, Inc. (b) | 505,100 | 59,707,871 | |
| Analog Devices, Inc. | 69,526 | 12,354,075 | |
| Applied Materials, Inc. | 155,818 | 20,770,539 | |
| ASML Holding NV (Netherlands) | 43,200 | 31,247,706 | |
| Cirrus Logic, Inc. (b) | 181,887 | 14,128,982 | |
| Diodes, Inc. (b) | 132,900 | 11,939,736 | |
| FormFactor, Inc. (b) | 55,097 | 1,723,985 | |
| Ichor Holdings Ltd. (b) | 39,490 | 1,196,547 | |
| Intel Corp. | 168,522 | 5,298,332 | |
| Kulicke & Soffa Industries, Inc. (c) | 42,435 | 2,243,963 | |
| Lam Research Corp. | 140,400 | 86,584,680 | |
| Lattice Semiconductor Corp. (b) | 100,161 | 8,144,091 | |
| MACOM Technology Solutions Holdings, Inc. (b) | 88,500 | 5,294,955 | |
| Marvell Technology, Inc. | 1,518,811 | 88,835,255 | |
| MaxLinear, Inc. Class A (b) | 152,950 | 4,467,670 | |
| MediaTek, Inc. | 365,000 | 9,018,654 | |
| Microchip Technology, Inc. | 122,000 | 9,181,720 | |
| Micron Technology, Inc. | 1,271,750 | 86,733,350 | |
| MKS Instruments, Inc. | 140,800 | 13,701,248 | |
| Nova Ltd. (b)(c) | 52,530 | 5,672,715 | |
| NVE Corp. | 3,243 | 289,827 | |
| NVIDIA Corp. | 1,208,136 | 457,086,174 | |
| NXP Semiconductors NV | 229,342 | 41,075,152 | |
| Onto Innovation, Inc. (b) | 51,500 | 5,528,525 | |
| Parade Technologies Ltd. | 145,000 | 4,814,767 | |
| Photronics, Inc. (b) | 45,003 | 955,414 | |
| Power Integrations, Inc. | 41,799 | 3,611,434 | |
| Qualcomm, Inc. | 517,175 | 58,652,817 | |
| Renesas Electronics Corp. (b) | 2,505,300 | 40,548,783 | |
| Semtech Corp. (b) | 46,496 | 1,010,823 | |
| Silergy Corp. | 414,000 | 5,397,715 | |
| SiTime Corp. (b) | 30,980 | 3,072,287 | |
| Sitronix Technology Corp. | 20,000 | 146,494 | |
| Skyworks Solutions, Inc. | 76,200 | 7,887,462 | |
| SMART Global Holdings, Inc. (b)(c) | 346,990 | 7,835,034 | |
| SolarEdge Technologies, Inc. (b) | 130,800 | 37,255,764 | |
| Synaptics, Inc. (b) | 50,140 | 4,314,046 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 3,366,000 | 60,936,141 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 174,000 | 17,154,660 | |
| Topco Scientific Co. Ltd. | 881,000 | 5,736,051 | |
| Universal Display Corp. | 28,074 | 4,136,142 | |
| 1,245,691,586 | |||
| Software - 3.6% | |||
| Adobe, Inc. (b) | 440,910 | 184,207,789 | |
| American Software, Inc. Class A | 23,309 | 296,724 | |
| Autodesk, Inc. (b) | 294,767 | 58,773,592 | |
| Blackbaud, Inc. (b) | 280,617 | 20,586,063 | |
| CCC Intelligent Solutions Holdings, Inc. (b)(e) | 134,385 | 1,470,172 | |
| Check Point Software Technologies Ltd. (b) | 31,300 | 3,906,553 | |
| Cresco Ltd. | 317,400 | 4,339,831 | |
| Cvent Holding Corp. (b)(e) | 267,744 | 2,273,147 | |
| Dolby Laboratories, Inc. Class A | 45,011 | 3,714,758 | |
| DoubleVerify Holdings, Inc. (b) | 101,700 | 3,546,279 | |
| Elastic NV (b) | 764,586 | 55,677,153 | |
| Envestnet, Inc. (b) | 100 | 5,233 | |
| Five9, Inc. (b) | 641,183 | 42,388,608 | |
| Gen Digital, Inc. | 3,668,100 | 64,338,474 | |
| HubSpot, Inc. (b) | 91,700 | 47,499,683 | |
| Intuit, Inc. | 225,300 | 94,427,736 | |
| Manhattan Associates, Inc. (b) | 45,600 | 8,272,752 | |
| Microsoft Corp. | 4,915,702 | 1,614,267,380 | |
| New Relic, Inc. (b) | 139,360 | 9,817,912 | |
| Open Text Corp. (c) | 785,300 | 32,684,186 | |
| Open Text Corp. | 125,400 | 5,213,684 | |
| Progress Software Corp. | 31,426 | 1,885,560 | |
| PTC, Inc. (b) | 202,943 | 27,275,539 | |
| Qualys, Inc. (b) | 66,194 | 8,357,654 | |
| Rapid7, Inc. (b) | 69,870 | 3,334,196 | |
| Salesforce, Inc. (b) | 617,370 | 137,908,111 | |
| SAP SE sponsored ADR | 473,855 | 61,809,646 | |
| Synopsys, Inc. (b) | 102,100 | 46,451,416 | |
| System Information Co. Ltd. | 48,000 | 244,263 | |
| System Research Co. Ltd. | 147,000 | 2,520,603 | |
| Telos Corp. (b) | 149,560 | 480,088 | |
| Tenable Holdings, Inc. (b) | 980,999 | 40,211,149 | |
| Varonis Systems, Inc. (b) | 282,780 | 7,431,458 | |
| VMware, Inc. Class A (b) | 108,688 | 14,813,088 | |
| Workday, Inc. Class A (b) | 161,923 | 34,326,057 | |
| Workiva, Inc. (b) | 259,290 | 25,114,829 | |
| 2,669,871,366 | |||
| Technology Hardware, Storage & Peripherals - 1.6% | |||
| Apple, Inc. | 6,404,357 | 1,135,172,278 | |
| Avid Technology, Inc. (b) | 151,480 | 3,635,520 | |
| Dell Technologies, Inc. | 378,353 | 16,953,998 | |
| MCJ Co. Ltd. | 672,000 | 4,553,153 | |
| Pure Storage, Inc. Class A (b) | 103,370 | 2,976,022 | |
| Samsung Electronics Co. Ltd. | 171,160 | 9,240,384 | |
| Seagate Technology Holdings PLC | 387,600 | 23,294,760 | |
| TSC Auto ID Technology Corp. | 43,000 | 327,560 | |
| Western Digital Corp. (b) | 207,700 | 8,044,221 | |
| 1,204,197,896 | |||
TOTAL INFORMATION TECHNOLOGY | 5,971,971,361 | ||
| MATERIALS - 1.3% | |||
| Chemicals - 0.7% | |||
| Air Products & Chemicals, Inc. | 88,300 | 23,765,062 | |
| Ashland, Inc. | 32,290 | 2,740,775 | |
| Axalta Coating Systems Ltd. (b) | 433,700 | 12,581,637 | |
| C. Uyemura & Co. Ltd. | 77,700 | 4,026,514 | |
| Cabot Corp. | 422,800 | 28,953,344 | |
| Celanese Corp. Class A | 201,400 | 20,949,628 | |
| Chase Corp. | 13,900 | 1,634,640 | |
| Chemtrade Logistics Income Fund | 689,800 | 4,181,992 | |
| Corteva, Inc. | 386,200 | 20,657,838 | |
| DuPont de Nemours, Inc. | 2,028,575 | 136,299,954 | |
| Element Solutions, Inc. | 1,173,270 | 21,036,731 | |
| Huntsman Corp. | 364,754 | 8,662,908 | |
| Linde PLC | 235,700 | 83,357,662 | |
| LyondellBasell Industries NV Class A | 488,900 | 41,820,506 | |
| Methanex Corp. | 58,470 | 2,389,669 | |
| Minerals Technologies, Inc. | 23,293 | 1,295,324 | |
| Olin Corp. | 1,011,250 | 47,842,238 | |
| Quaker Houghton (c) | 25,640 | 4,866,728 | |
| Scientex Bhd | 1,245,100 | 895,620 | |
| Scientex Bhd warrants 1/14/26 (b) | 118,080 | 13,559 | |
| Sherwin-Williams Co. | 15,300 | 3,485,034 | |
| Soulbrain Co. Ltd. | 22,500 | 3,921,417 | |
| The Chemours Co. LLC | 1,192,500 | 31,589,325 | |
| Tronox Holdings PLC (c) | 1,555,131 | 16,546,594 | |
| Westlake Corp. | 35,400 | 3,679,830 | |
| 527,194,529 | |||
| Construction Materials - 0.1% | |||
| Eagle Materials, Inc. | 104,746 | 17,066,266 | |
| Martin Marietta Materials, Inc. | 26,500 | 10,548,060 | |
| RHI Magnesita NV | 59,900 | 1,870,266 | |
| Summit Materials, Inc. | 167,629 | 5,302,105 | |
| Vertex Corp. | 33,600 | 349,445 | |
| Vulcan Materials Co. | 56,600 | 11,065,300 | |
| Wienerberger AG | 220,613 | 6,234,902 | |
| 52,436,344 | |||
| Containers & Packaging - 0.1% | |||
| Aptargroup, Inc. | 114,605 | 12,891,916 | |
| Crown Holdings, Inc. | 62,860 | 4,791,818 | |
| Graphic Packaging Holding Co. | 560,230 | 13,389,497 | |
| Greif, Inc. Class A | 375,100 | 22,543,510 | |
| Mayr-Melnhof Karton AG (c) | 23,400 | 3,401,667 | |
| Packaging Corp. of America | 61,000 | 7,565,830 | |
| Silgan Holdings, Inc. | 42,400 | 1,907,576 | |
| Vidrala SA | 5,512 | 522,601 | |
| 67,014,415 | |||
| Metals & Mining - 0.4% | |||
| Alcoa Corp. | 212,800 | 6,750,016 | |
| ATI, Inc. (b) | 91,660 | 3,169,603 | |
| Commercial Metals Co. | 311,300 | 13,308,075 | |
| Constellium NV (b) | 308,440 | 4,595,756 | |
| Coronado Global Resources, Inc. CDI (a) | 611,461 | 524,997 | |
| First Quantum Minerals Ltd. (c) | 3,411,701 | 71,476,078 | |
| Franco-Nevada Corp. | 66,800 | 9,707,775 | |
| Freeport-McMoRan, Inc. | 3,073,217 | 105,534,272 | |
| Glencore PLC | 5,853,000 | 29,933,141 | |
| Horizonte Minerals PLC (b) | 969,959 | 1,628,884 | |
| Ivanhoe Mines Ltd. (b) | 354,100 | 2,592,821 | |
| Lundin Mining Corp. (c) | 5,575,500 | 38,977,160 | |
| Major Drilling Group International, Inc. (b) | 355,300 | 2,389,605 | |
| Mount Gibson Iron Ltd. (b) | 10,969,671 | 2,711,385 | |
| MP Materials Corp. (b)(c) | 67,300 | 1,394,456 | |
| Newmont Corp. | 377,600 | 15,311,680 | |
| Reliance Steel & Aluminum Co. | 80,991 | 19,006,968 | |
| Steel Dynamics, Inc. | 121,889 | 11,201,599 | |
| 340,214,271 | |||
| Paper & Forest Products - 0.0% | |||
| Louisiana-Pacific Corp. (c) | 42,870 | 2,508,752 | |
| Stella-Jones, Inc. | 54,600 | 2,415,673 | |
| Sylvamo Corp. | 24,204 | 954,122 | |
| 5,878,547 | |||
TOTAL MATERIALS | 992,738,106 | ||
| REAL ESTATE - 0.9% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.8% | |||
| Alexandria Real Estate Equities, Inc. | 7,300 | 828,258 | |
| American Homes 4 Rent Class A | 841,200 | 28,836,336 | |
| American Tower Corp. | 275,899 | 50,886,812 | |
| Apartment Income (REIT) Corp. | 669,483 | 23,224,365 | |
| Apartment Investment & Management Co. Class A | 110,607 | 897,023 | |
| Apple Hospitality (REIT), Inc. | 208,640 | 3,031,539 | |
| Armada Hoffler Properties, Inc. | 265,020 | 2,925,821 | |
| Corporate Office Properties Trust (SBI) | 300,300 | 6,852,846 | |
| Crown Castle International Corp. | 229,610 | 25,994,148 | |
| CubeSmart | 37,300 | 1,657,612 | |
| Digital Realty Trust, Inc. | 206,300 | 21,137,498 | |
| Equinix, Inc. | 57,495 | 42,865,397 | |
| Equity Lifestyle Properties, Inc. | 599,800 | 37,889,366 | |
| Essex Property Trust, Inc. | 93,200 | 20,136,792 | |
| Four Corners Property Trust, Inc. | 114,340 | 2,938,538 | |
| Gaming & Leisure Properties | 498,200 | 23,983,348 | |
| Host Hotels & Resorts, Inc. | 430,700 | 7,149,620 | |
| Invitation Homes, Inc. | 591,700 | 20,046,796 | |
| Iron Mountain, Inc. | 212,458 | 11,349,506 | |
| Life Storage, Inc. | 24,700 | 3,146,533 | |
| LXP Industrial Trust (REIT) | 3,459,411 | 35,770,310 | |
| Mid-America Apartment Communities, Inc. | 137,300 | 20,191,338 | |
| Outfront Media, Inc. | 106,070 | 1,518,922 | |
| Plymouth Industrial REIT, Inc. | 1,226,210 | 26,866,261 | |
| Postal Realty Trust, Inc. | 129,270 | 1,897,684 | |
| Prologis (REIT), Inc. | 380,600 | 47,403,730 | |
| RLJ Lodging Trust | 1,039,010 | 10,681,023 | |
| Sabra Health Care REIT, Inc. | 299,160 | 3,368,542 | |
| Simon Property Group, Inc. | 351,735 | 36,984,935 | |
| Spirit Realty Capital, Inc. | 75,000 | 2,929,500 | |
| Universal Health Realty Income Trust (SBI) | 9,266 | 404,739 | |
| Urban Edge Properties | 255,840 | 3,410,347 | |
| Ventas, Inc. | 478,100 | 20,625,234 | |
| Welltower, Inc. | 337,700 | 25,195,797 | |
| 573,026,516 | |||
| Real Estate Management & Development - 0.1% | |||
| Arealink Co. Ltd. | 26,800 | 416,451 | |
| CBRE Group, Inc. (b) | 428,500 | 32,103,220 | |
| Cushman & Wakefield PLC (b)(c) | 1,913,673 | 15,175,427 | |
| Jones Lang LaSalle, Inc. (b)(c) | 143,827 | 20,184,681 | |
| Newmark Group, Inc. | 2,115,500 | 12,100,660 | |
| WeWork, Inc. (b)(c) | 335,708 | 57,507 | |
| 80,037,946 | |||
TOTAL REAL ESTATE | 653,064,462 | ||
| UTILITIES - 1.6% | |||
| Electric Utilities - 1.2% | |||
| Allete, Inc. | 393,710 | 23,453,305 | |
| Constellation Energy Corp. | 955,955 | 80,319,339 | |
| Edison International | 1,204,600 | 81,334,592 | |
| Entergy Corp. | 90,500 | 8,887,100 | |
| Evergy, Inc. | 1,113,064 | 64,390,752 | |
| FirstEnergy Corp. | 303,400 | 11,344,126 | |
| IDACORP, Inc. | 235,129 | 24,469,875 | |
| NextEra Energy, Inc. | 1,679,100 | 123,346,686 | |
| NRG Energy, Inc. | 22,500 | 760,275 | |
| OGE Energy Corp. | 588,300 | 20,755,224 | |
| PG&E Corp. (b) | 13,654,566 | 231,308,348 | |
| Pinnacle West Capital Corp. | 112,700 | 8,709,456 | |
| Portland General Electric Co. (c) | 628,500 | 30,626,805 | |
| PPL Corp. | 749,200 | 19,629,040 | |
| Southern Co. | 2,287,366 | 159,543,779 | |
| 888,878,702 | |||
| Gas Utilities - 0.0% | |||
| Brookfield Infrastructure Corp. A Shares (c) | 376,540 | 17,358,494 | |
| China Resource Gas Group Ltd. | 262,200 | 862,230 | |
| New Jersey Resources Corp. (c) | 103,250 | 5,002,463 | |
| 23,223,187 | |||
| Independent Power and Renewable Electricity Producers - 0.1% | |||
| Brookfield Renewable Corp. (c) | 114,730 | 3,852,633 | |
| Clearway Energy, Inc. Class C | 53,490 | 1,536,768 | |
| Energy Harbor Corp. (b) | 59,500 | 4,603,813 | |
| The AES Corp. | 1,852,800 | 36,574,272 | |
| 46,567,486 | |||
| Multi-Utilities - 0.3% | |||
| Dominion Energy, Inc. | 1,681,717 | 84,556,731 | |
| DTE Energy Co. | 90,400 | 9,727,040 | |
| National Grid PLC | 3,274,000 | 45,106,516 | |
| NiSource, Inc. | 543,300 | 14,609,337 | |
| Public Service Enterprise Group, Inc. | 198,400 | 11,854,400 | |
| Sempra Energy | 242,600 | 34,820,378 | |
| 200,674,402 | |||
| Water Utilities - 0.0% | |||
| American Water Works Co., Inc. | 117,900 | 17,030,655 | |
TOTAL UTILITIES | 1,176,374,432 | ||
| TOTAL COMMON STOCKS (Cost $26,372,989,509) | 31,857,451,109 | ||
| Nonconvertible Preferred Stocks - 0.1% | |||
| Shares | Value ($) | ||
| INDUSTRIALS - 0.0% | |||
| Aerospace & Defense - 0.0% | |||
| Embraer SA sponsored ADR (b) | 740,200 | 11,014,176 | |
| INFORMATION TECHNOLOGY - 0.1% | |||
| Technology Hardware, Storage & Peripherals - 0.1% | |||
| Samsung Electronics Co. Ltd. | 1,763,200 | 78,124,767 | |
| TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $85,868,647) | 89,138,943 | ||
| Nonconvertible Bonds - 0.6% | |||
Principal Amount (g) | Value ($) | ||
| COMMUNICATION SERVICES - 0.0% | |||
| Diversified Telecommunication Services - 0.0% | |||
| AT&T, Inc.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.640% 5.5697% 3/25/24 (h)(i) | 1,000,000 | 1,000,001 | |
| 0.9% 3/25/24 | 3,000,000 | 2,894,854 | |
| NTT Finance Corp. 0.583% 3/1/24 (a) | 2,000,000 | 1,928,950 | |
| Verizon Communications, Inc. 0.75% 3/22/24 | 1,000,000 | 961,909 | |
| 6,785,714 | |||
| Media - 0.0% | |||
| Magallanes, Inc. 3.638% 3/15/25 | 3,000,000 | 2,903,345 | |
| Wireless Telecommunication Services - 0.0% | |||
| T-Mobile U.S.A., Inc. 3.5% 4/15/25 | 2,000,000 | 1,939,318 | |
TOTAL COMMUNICATION SERVICES | 11,628,377 | ||
| CONSUMER DISCRETIONARY - 0.0% | |||
| Automobiles - 0.0% | |||
| BMW U.S. Capital LLC U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.840% 5.7783% 4/1/25 (a)(h)(i) | 1,000,000 | 1,004,204 | |
| Daimler Finance North America LLC: | |||
| 0.75% 3/1/24 (a) | 2,500,000 | 2,412,584 | |
| 5.5% 11/27/24 (a) | 1,000,000 | 1,003,229 | |
| General Motors Financial Co., Inc.: | |||
| 1.2% 10/15/24 | 3,000,000 | 2,822,633 | |
| 1.7% 8/18/23 | 2,000,000 | 1,983,297 | |
| 3.95% 4/13/24 | 3,000,000 | 2,952,661 | |
| 4.35% 4/9/25 | 3,000,000 | 2,931,852 | |
| Volkswagen Group of America Finance LLC 3.95% 6/6/25 (a) | 3,000,000 | 2,918,832 | |
| 18,029,292 | |||
| Specialty Retail - 0.0% | |||
| AutoZone, Inc.: | |||
| 3.125% 4/21/26 | 1,500,000 | 1,426,127 | |
| 3.625% 4/15/25 | 3,000,000 | 2,912,874 | |
| Lowe's Companies, Inc.: | |||
| 4% 4/15/25 | 1,500,000 | 1,471,819 | |
| 4.8% 4/1/26 | 225,000 | 224,460 | |
| Ross Stores, Inc. 0.875% 4/15/26 | 1,500,000 | 1,333,432 | |
| 7,368,712 | |||
TOTAL CONSUMER DISCRETIONARY | 25,398,004 | ||
| CONSUMER STAPLES - 0.0% | |||
| Beverages - 0.0% | |||
| Constellation Brands, Inc. 3.6% 5/9/24 | 3,000,000 | 2,942,047 | |
| Consumer Staples Distribution & Retail - 0.0% | |||
| 7-Eleven, Inc. 0.8% 2/10/24 (a) | 2,000,000 | 1,928,726 | |
| Dollar General Corp. 4.25% 9/20/24 | 3,000,000 | 2,959,167 | |
| Dollar Tree, Inc. 4% 5/15/25 | 1,500,000 | 1,466,094 | |
| 6,353,987 | |||
| Food Products - 0.0% | |||
| JDE Peet's BV 0.8% 9/24/24 (a) | 2,000,000 | 1,864,822 | |
| Tobacco - 0.0% | |||
| BAT Capital Corp. 3.222% 8/15/24 | 3,000,000 | 2,911,837 | |
| Imperial Tobacco Finance PLC 3.5% 7/26/26 (a) | 1,000,000 | 937,212 | |
| Philip Morris International, Inc.: | |||
| 2.875% 5/1/24 | 3,000,000 | 2,928,302 | |
| 5.125% 11/15/24 | 2,200,000 | 2,201,198 | |
| Reynolds American, Inc. 4.45% 6/12/25 | 4,000,000 | 3,913,262 | |
| 12,891,811 | |||
TOTAL CONSUMER STAPLES | 24,052,667 | ||
| ENERGY - 0.1% | |||
| Energy Equipment & Services - 0.0% | |||
| Baker Hughes Co. 2.061% 12/15/26 | 1,000,000 | 907,651 | |
| Oil, Gas & Consumable Fuels - 0.1% | |||
| Canadian Natural Resources Ltd. 2.05% 7/15/25 | 2,000,000 | 1,878,021 | |
| DCP Midstream Operating LP 5.375% 7/15/25 | 3,000,000 | 2,966,914 | |
| Enbridge, Inc.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.630% 5.6896% 2/16/24 (h)(i) | 3,000,000 | 2,995,146 | |
| 4% 10/1/23 | 3,000,000 | 2,981,238 | |
| Energy Transfer LP: | |||
| 2.9% 5/15/25 | 2,000,000 | 1,900,171 | |
| 4.25% 4/1/24 | 3,000,000 | 2,956,367 | |
| 5.875% 1/15/24 | 3,000,000 | 3,000,672 | |
| EQT Corp. 5.678% 10/1/25 | 3,000,000 | 2,997,780 | |
| Hess Corp. 3.5% 7/15/24 | 1,500,000 | 1,466,371 | |
| MPLX LP 4% 2/15/25 | 2,000,000 | 1,948,908 | |
| Phillips 66 Co. 3.85% 4/9/25 | 2,000,000 | 1,952,585 | |
| Pioneer Natural Resources Co. 1.125% 1/15/26 | 1,500,000 | 1,357,247 | |
| Plains All American Pipeline LP/PAA Finance Corp. 3.85% 10/15/23 | 3,000,000 | 2,972,377 | |
| The Williams Companies, Inc.: | |||
| 3.9% 1/15/25 | 3,000,000 | 2,926,771 | |
| 4.55% 6/24/24 | 3,000,000 | 2,963,338 | |
| 5.4% 3/2/26 | 312,000 | 314,543 | |
| 37,578,449 | |||
TOTAL ENERGY | 38,486,100 | ||
| FINANCIALS - 0.3% | |||
| Banks - 0.2% | |||
| Bank of America Corp.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.290% 5.08% 1/20/27 (h)(i) | 2,000,000 | 1,984,961 | |
| 0.81% 10/24/24 (h) | 3,000,000 | 2,940,360 | |
| 3.366% 1/23/26 (h) | 3,000,000 | 2,882,209 | |
| 3.458% 3/15/25 (h) | 3,000,000 | 2,942,044 | |
| 3.95% 4/21/25 | 3,000,000 | 2,922,269 | |
| Barclays PLC: | |||
| 1.007% 12/10/24 (h) | 3,000,000 | 2,906,822 | |
| 2.852% 5/7/26 (h) | 1,000,000 | 939,680 | |
| 3.932% 5/7/25 (h) | 3,000,000 | 2,935,703 | |
| 7.325% 11/2/26 (h) | 1,500,000 | 1,555,216 | |
| BNP Paribas SA 2.219% 6/9/26 (a)(h) | 1,500,000 | 1,392,187 | |
| BPCE SA 5.975% 1/18/27 (a)(h) | 3,000,000 | 2,996,352 | |
| Canadian Imperial Bank of Commerce 3.945% 8/4/25 | 2,000,000 | 1,937,887 | |
| Citigroup, Inc.: | |||
| 0.981% 5/1/25 (h) | 2,000,000 | 1,907,849 | |
| 2.014% 1/25/26 (h) | 1,500,000 | 1,411,171 | |
| 3.106% 4/8/26 (h) | 2,000,000 | 1,917,189 | |
| Citizens Bank NA 4.119% 5/23/25 (h) | 3,000,000 | 2,806,417 | |
| Danske Bank A/S: | |||
| 3.773% 3/28/25 (a)(h) | 1,020,000 | 996,041 | |
| 6.466% 1/9/26 (a)(h) | 1,960,000 | 1,962,433 | |
| DNB Bank ASA: | |||
| 0.856% 9/30/25 (a)(h) | 1,000,000 | 935,518 | |
| 2.968% 3/28/25 (a)(h) | 3,000,000 | 2,927,270 | |
| Fifth Third Bancorp: | |||
| 2.375% 1/28/25 | 3,000,000 | 2,782,339 | |
| 3.65% 1/25/24 | 1,500,000 | 1,469,466 | |
| HSBC Holdings PLC: | |||
| 0.976% 5/24/25 (h) | 3,000,000 | 2,849,985 | |
| 1.162% 11/22/24 (h) | 3,000,000 | 2,926,348 | |
| 1.645% 4/18/26 (h) | 1,000,000 | 922,931 | |
| 3.803% 3/11/25 (h) | 3,000,000 | 2,943,958 | |
| Huntington Bancshares, Inc. 2.625% 8/6/24 | 1,000,000 | 946,140 | |
| Huntington National Bank 5.699% 11/18/25 (h) | 1,792,000 | 1,699,712 | |
| Intesa Sanpaolo SpA 3.25% 9/23/24 (a) | 3,000,000 | 2,878,809 | |
| JPMorgan Chase & Co.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.920% 5.979% 2/24/26 (h)(i) | 3,000,000 | 3,002,484 | |
| 0.563% 2/16/25 (h) | 3,000,000 | 2,891,105 | |
| 3.22% 3/1/25 (h) | 3,000,000 | 2,942,514 | |
| 3.845% 6/14/25 (h) | 3,000,000 | 2,940,160 | |
| 4.023% 12/5/24 (h) | 3,000,000 | 2,973,359 | |
| KeyBank NA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.320% 5.1975% 6/14/24 (h)(i) | 3,000,000 | 2,897,665 | |
| KeyCorp 3.878% 5/23/25 (h) | 1,500,000 | 1,365,331 | |
| Mitsubishi UFJ Financial Group, Inc. 0.953% 7/19/25 (h) | 2,000,000 | 1,887,655 | |
| Mizuho Financial Group, Inc.: | |||
| 0.849% 9/8/24 (h) | 3,000,000 | 2,956,156 | |
| 1.234% 5/22/27 (h) | 1,000,000 | 882,101 | |
| 2.226% 5/25/26 (h) | 2,000,000 | 1,865,968 | |
| Morgan Stanley Bank, West Valley City Utah 4.754% 4/21/26 | 941,000 | 937,338 | |
| NatWest Group PLC: | |||
| 3.875% 9/12/23 | 1,500,000 | 1,489,680 | |
| 5.847% 3/2/27 (h) | 1,288,000 | 1,291,506 | |
| NatWest Markets PLC: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.450% 6.3657% 3/22/25 (a)(h)(i) | 2,000,000 | 2,002,403 | |
| 0.8% 8/12/24 (a) | 3,000,000 | 2,833,837 | |
| Rabobank Nederland New York Branch 3.875% 8/22/24 | 2,000,000 | 1,964,403 | |
| Royal Bank of Canada 2.55% 7/16/24 | 2,000,000 | 1,933,466 | |
| Santander Holdings U.S.A., Inc.: | |||
| 3.5% 6/7/24 | 3,000,000 | 2,915,579 | |
| 4.26% 6/9/25 (h) | 3,000,000 | 2,877,134 | |
| Societe Generale: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 6.0294% 1/21/26 (a)(h)(i) | 3,000,000 | 2,974,410 | |
| 3.875% 3/28/24 (a) | 3,000,000 | 2,938,170 | |
| Sumitomo Mitsui Financial Group, Inc.: | |||
| 2.696% 7/16/24 | 1,500,000 | 1,450,623 | |
| 5.464% 1/13/26 | 3,000,000 | 3,011,614 | |
| The Toronto-Dominion Bank 1.2% 6/3/26 | 1,000,000 | 891,359 | |
| Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 5.2677% 6/9/25 (h)(i) | 3,000,000 | 2,892,399 | |
| U.S. Bancorp 3.1% 4/27/26 | 1,500,000 | 1,385,749 | |
| Wells Fargo & Co.: | |||
| 0.805% 5/19/25 (h) | 2,500,000 | 2,382,453 | |
| 2.164% 2/11/26 (h) | 1,000,000 | 944,278 | |
| 2.406% 10/30/25 (h) | 3,000,000 | 2,866,330 | |
| 3% 2/19/25 | 3,000,000 | 2,887,204 | |
| 132,093,699 | |||
| Capital Markets - 0.1% | |||
| Bank of New York, New York 5.224% 11/21/25 (h) | 690,000 | 688,386 | |
| Deutsche Bank AG New York Branch: | �� | ||
| 1.447% 4/1/25 (h) | 3,000,000 | 2,826,185 | |
| 3.961% 11/26/25 (h) | 3,000,000 | 2,849,716 | |
| Goldman Sachs Group, Inc.: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 5.6832% 1/24/25 (h)(i) | 2,000,000 | 1,993,201 | |
| 1.757% 1/24/25 (h) | 2,000,000 | 1,943,451 | |
| 3.625% 2/20/24 | 2,000,000 | 1,969,405 | |
| Intercontinental Exchange, Inc. 3.65% 5/23/25 | 1,500,000 | 1,470,551 | |
| Moody's Corp.: | |||
| 3.75% 3/24/25 | 3,000,000 | 2,916,782 | |
| 4.875% 2/15/24 | 3,000,000 | 2,980,587 | |
| Morgan Stanley: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 5.6296% 1/24/25 (h)(i) | 3,000,000 | 2,986,026 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.160% 6.1198% 4/17/25 (h)(i) | 2,000,000 | 2,005,312 | |
| 0.79% 5/30/25 (h) | 3,000,000 | 2,843,327 | |
| 0.791% 1/22/25 (h) | 3,000,000 | 2,902,861 | |
| 3.62% 4/17/25 (h) | 3,000,000 | 2,939,253 | |
| UBS Group AG: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.580% 6.6405% 5/12/26 (a)(h)(i) | 2,000,000 | 2,001,174 | |
| 4.49% 8/5/25 (a)(h) | 2,000,000 | 1,955,025 | |
| 37,271,242 | |||
| Consumer Finance - 0.0% | |||
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
| 1.15% 10/29/23 | 2,000,000 | 1,960,898 | |
| 1.65% 10/29/24 | 3,000,000 | 2,816,497 | |
| 1.75% 1/30/26 | 1,000,000 | 895,523 | |
| Ally Financial, Inc.: | |||
| 3.875% 5/21/24 | 3,000,000 | 2,903,322 | |
| 5.125% 9/30/24 | 3,000,000 | 2,929,782 | |
| 5.8% 5/1/25 | 2,000,000 | 1,976,708 | |
| 7.1% 11/15/27 | 1,620,000 | 1,655,051 | |
| Capital One Financial Corp.: | |||
| 1.343% 12/6/24 (h) | 2,000,000 | 1,939,138 | |
| 3.3% 10/30/24 | 3,000,000 | 2,891,592 | |
| 4.166% 5/9/25 (h) | 2,000,000 | 1,946,697 | |
| 4.985% 7/24/26 (h) | 1,500,000 | 1,467,465 | |
| Ford Motor Credit Co. LLC 6.95% 3/6/26 | 65,000 | 65,137 | |
| Synchrony Financial: | |||
| 4.5% 7/23/25 | 3,000,000 | 2,787,233 | |
| 4.875% 6/13/25 | 3,000,000 | 2,828,910 | |
| 29,063,953 | |||
| Financial Services - 0.0% | |||
| AIG Global Funding 0.9% 9/22/25 (a) | 2,000,000 | 1,809,575 | |
| Athene Global Funding: | |||
| 1.608% 6/29/26 (a) | 1,000,000 | 861,349 | |
| 1.716% 1/7/25 (a) | 3,000,000 | 2,783,027 | |
| Corebridge Financial, Inc. 3.5% 4/4/25 | 1,500,000 | 1,431,906 | |
| Jackson Financial, Inc. 1.125% 11/22/23 | 2,000,000 | 1,959,067 | |
| 8,844,924 | |||
| Insurance - 0.0% | |||
| American International Group, Inc. 4.125% 2/15/24 | 3,000,000 | 2,970,782 | |
| Equitable Financial Life Global Funding 1.1% 11/12/24 (a) | 3,000,000 | 2,822,399 | |
| Marsh & McLennan Companies, Inc. 3.875% 3/15/24 | 3,000,000 | 2,960,759 | |
| MassMutual Global Funding II 4.5% 4/10/26 (a) | 2,000,000 | 1,979,847 | |
| 10,733,787 | |||
TOTAL FINANCIALS | 218,007,605 | ||
| HEALTH CARE - 0.1% | |||
| Biotechnology - 0.0% | |||
| Amgen, Inc.: | |||
| 5.15% 3/2/28 | 342,000 | 344,829 | |
| 5.25% 3/2/25 | 2,000,000 | 2,005,564 | |
| 2,350,393 | |||
| Health Care Equipment & Supplies - 0.0% | |||
| Becton, Dickinson & Co. 3.363% 6/6/24 | 3,000,000 | 2,936,721 | |
| Boston Scientific Corp.: | |||
| 1.9% 6/1/25 | 3,000,000 | 2,835,052 | |
| 3.45% 3/1/24 | 3,000,000 | 2,948,030 | |
| 8,719,803 | |||
| Health Care Providers & Services - 0.1% | |||
| Cigna Group: | |||
| 0.613% 3/15/24 | 3,000,000 | 2,888,921 | |
| 4.125% 11/15/25 | 1,500,000 | 1,468,829 | |
| CVS Health Corp. 5% 2/20/26 | 2,000,000 | 2,002,358 | |
| Humana, Inc. 0.65% 8/3/23 | 3,000,000 | 2,978,974 | |
| 9,339,082 | |||
| Life Sciences Tools & Services - 0.0% | |||
| Revvity, Inc. 0.85% 9/15/24 | 3,000,000 | 2,825,950 | |
| Pharmaceuticals - 0.0% | |||
| AstraZeneca Finance LLC 0.7% 5/28/24 | 1,500,000 | 1,432,253 | |
| Bristol-Myers Squibb Co. 2.9% 7/26/24 | 3,000,000 | 2,929,072 | |
| GSK Consumer Healthcare Capital 3.125% 3/24/25 | 1,000,000 | 961,653 | |
| Viatris, Inc. 1.65% 6/22/25 | 3,000,000 | 2,761,537 | |
| 8,084,515 | |||
TOTAL HEALTH CARE | 31,319,743 | ||
| INDUSTRIALS - 0.1% | |||
| Aerospace & Defense - 0.1% | |||
| The Boeing Co.: | |||
| 1.95% 2/1/24 | 3,000,000 | 2,930,378 | |
| 4.875% 5/1/25 | 3,000,000 | 2,969,392 | |
| 5,899,770 | |||
| Building Products - 0.0% | |||
| Carrier Global Corp. 2.242% 2/15/25 | 3,000,000 | 2,842,391 | |
| Commercial Services & Supplies - 0.0% | |||
| Republic Services, Inc. 3.2% 3/15/25 | 1,500,000 | 1,452,218 | |
| Ground Transportation - 0.0% | |||
| Canadian Pacific Railway Co. 1.35% 12/2/24 | 3,000,000 | 2,824,619 | |
| Machinery - 0.0% | |||
| Daimler Trucks Finance North America LLC 5.2% 1/17/25 (a) | 610,000 | 607,951 | |
| Otis Worldwide Corp. 2.056% 4/5/25 | 3,000,000 | 2,833,448 | |
| Parker Hannifin Corp. 3.65% 6/15/24 | 1,500,000 | 1,470,976 | |
| 4,912,375 | |||
| Trading Companies & Distributors - 0.0% | |||
| Air Lease Corp.: | |||
| 2.3% 2/1/25 | 3,000,000 | 2,829,372 | |
| 3.375% 7/1/25 | 3,000,000 | 2,845,303 | |
| 5,674,675 | |||
| Transportation Infrastructure - 0.0% | |||
| Avolon Holdings Funding Ltd.: | |||
| 2.875% 2/15/25 (a) | 2,500,000 | 2,331,908 | |
| 6.375% 5/4/28 (a) | 571,000 | 557,729 | |
| 2,889,637 | |||
TOTAL INDUSTRIALS | 26,495,685 | ||
| INFORMATION TECHNOLOGY - 0.0% | |||
| Electronic Equipment, Instruments & Components - 0.0% | |||
| Dell International LLC/EMC Corp. 5.85% 7/15/25 | 1,500,000 | 1,519,684 | |
| Software - 0.0% | |||
| Roper Technologies, Inc.: | |||
| 1% 9/15/25 | 2,000,000 | 1,823,158 | |
| 2.35% 9/15/24 | 2,000,000 | 1,922,735 | |
| VMware, Inc. 1% 8/15/24 | 2,000,000 | 1,888,626 | |
| 5,634,519 | |||
TOTAL INFORMATION TECHNOLOGY | 7,154,203 | ||
| MATERIALS - 0.0% | |||
| Chemicals - 0.0% | |||
| Celanese U.S. Holdings LLC 5.9% 7/5/24 | 3,000,000 | 2,996,522 | |
| Nutrien Ltd. 5.9% 11/7/24 | 1,996,000 | 2,008,085 | |
| 5,004,607 | |||
| REAL ESTATE - 0.0% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.0% | |||
| Federal Realty Investment Trust 3.95% 1/15/24 | 3,000,000 | 2,967,118 | |
| Omega Healthcare Investors, Inc.: | |||
| 4.375% 8/1/23 | 3,000,000 | 2,980,680 | |
| 4.5% 1/15/25 | 3,000,000 | 2,882,315 | |
| Ventas Realty LP 3.5% 4/15/24 | 3,000,000 | 2,932,032 | |
| WP Carey, Inc. 4.6% 4/1/24 | 3,000,000 | 2,947,323 | |
| 14,709,468 | |||
| UTILITIES - 0.0% | |||
| Electric Utilities - 0.0% | |||
| Duke Energy Corp. 2.65% 9/1/26 | 1,000,000 | 928,515 | |
| Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.300% 5.231% 6/28/24 (h)(i) | 2,000,000 | 1,984,283 | |
| Pennsylvania Electric Co. 5.15% 3/30/26 (a) | 576,000 | 572,397 | |
| Southern California Edison Co. 3.7% 8/1/25 | 1,500,000 | 1,457,349 | |
| Tampa Electric Co. 3.875% 7/12/24 | 2,000,000 | 1,968,070 | |
| 6,910,614 | |||
| Independent Power and Renewable Electricity Producers - 0.0% | |||
| The AES Corp. 3.3% 7/15/25 (a) | 2,000,000 | 1,895,400 | |
| Multi-Utilities - 0.0% | |||
| CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.7098% 5/13/24 (h)(i) | 3,000,000 | 2,991,773 | |
| DTE Energy Co. 4.22% 11/1/24 | 3,000,000 | 2,951,123 | |
| NiSource, Inc. 0.95% 8/15/25 | 3,000,000 | 2,736,500 | |
| 8,679,396 | |||
TOTAL UTILITIES | 17,485,410 | ||
| TOTAL NONCONVERTIBLE BONDS (Cost $419,720,814) | 419,741,869 | ||
| U.S. Treasury Obligations - 0.2% | |||
Principal Amount (g) | Value ($) | ||
| U.S. Treasury Bills, yield at date of purchase 4.69% to 4.72% 1/25/24 (j) | 16,519,300 | 15,998,227 | |
| U.S. Treasury Notes: | |||
| 3.875% 1/15/26 | 82,029,300 | 81,455,736 | |
| 4.25% 9/30/24 (k) | 35,367,200 | 35,068,789 | |
| 4.25% 12/31/24 | 34,743,600 | 34,489,809 | |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $167,854,704) | 167,012,561 | ||
| Asset-Backed Securities - 0.0% | |||
Principal Amount (g) | Value ($) | ||
| Carmax Auto Owner Trust Series 2023 2 Class A3, 5.05% 1/18/28 | 1,534,000 | 1,527,005 | |
| Cedar Funding Ltd. Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 6.3603% 7/15/33 (a)(h)(i) | 2,000,000 | 1,966,972 | |
| Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 6.2616% 7/27/30 (a)(h)(i) | 584,248 | 577,524 | |
| CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (a) | 281,345 | 269,308 | |
| Chesapeake Funding II LLC: | |||
| Series 2021-1A Class A2, 1 month U.S. LIBOR + 0.230% 5.3374% 4/15/33 (a)(h)(i) | 869,364 | 866,531 | |
| Series 2023 1A Class A1, 5.65% 5/15/35 (a) | 1,299,434 | 1,294,775 | |
| Enterprise Fleet Financing Series 2023-2 Class A2, 5.56% 4/22/30 (a) | 1,552,000 | 1,549,143 | |
| Enterprise Fleet Financing LLC Series 2023-1 Class A2, 5.51% 1/22/29 (a) | 1,136,000 | 1,132,597 | |
| Ford Credit Auto Owner Trust Series 2020-2 Class A, 1.06% 4/15/33 (a) | 1,409,000 | 1,283,381 | |
| Ford Credit Floorplan Master Owner Trust Series 2023-1 Class A1, 4.92% 5/15/28 (a) | 986,000 | 980,751 | |
| Gm Financial Automobile Leasing Series 2023-2 Class A3, 5.05% 7/20/26 | 981,000 | 978,080 | |
| Sofi Consumer Loan Program Series 2023-1S Class A, 5.81% 5/15/31 (a) | 635,103 | 633,893 | |
| Verizon Master Trust Series 2023 2 Class A, 4.89% 4/13/28 | 1,189,000 | 1,184,773 | |
| Voya CLO Ltd./Voya CLO LLC Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 6.425% 7/19/34 (a)(h)(i) | 2,000,000 | 1,956,754 | |
| TOTAL ASSET-BACKED SECURITIES (Cost $16,267,428) | 16,201,487 | ||
| Collateralized Mortgage Obligations - 0.0% | |||
Principal Amount (g) | Value ($) | ||
| Private Sponsor - 0.0% | |||
Preston Ridge Partners Mortgage Trust Series 2021-2 Class A1, 2.115% 3/25/26 (a) (Cost $386,820) | 405,871 | 380,635 | |
| Commercial Mortgage Securities - 0.0% | |||
Principal Amount (g) | Value ($) | ||
| Benchmark Mortgage Trust sequential payer Series 2019-B9 Class AAB, 3.9325% 3/15/52 | 1,864,305 | 1,789,187 | |
| BX Commercial Mortgage Trust floater Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.0722% 2/15/39 (a)(h)(i) | 2,320,975 | 2,254,546 | |
| Bx Commercial Mortgage Trust 2 floater sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 6.107% 4/15/34 (a)(h)(i) | 319,000 | 314,950 | |
| BX Trust floater sequential payer: | |||
| Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.0938% 10/15/36 (a)(h)(i) | 1,096,168 | 1,088,604 | |
| Series 2021-SOAR Class A, 1 month U.S. LIBOR + 0.670% 5.778% 6/15/38 (a)(h)(i) | 390,641 | 378,398 | |
| CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, 1 month U.S. LIBOR + 1.070% 6.177% 12/15/37 (a)(h)(i) | 2,200,000 | 2,175,039 | |
| GS Mortgage Securities Trust floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 6.057% 10/15/36 (a)(h)(i) | 2,300,000 | 2,157,048 | |
| Life Financial Services Trust floater Series 2022-BMR2 Class A1, CME Term SOFR 1 Month Index + 1.290% 6.3545% 5/15/39 (a)(h)(i) | 2,500,000 | 2,447,275 | |
| LIFE Mortgage Trust floater Series 2021-BMR Class A, CME Term SOFR 1 Month Index + 0.810% 5.8735% 3/15/38 (a)(h)(i) | 1,808,665 | 1,762,066 | |
| MSCCG Trust floater Series 2018-SELF Class A, 1 month U.S. LIBOR + 0.900% 6.008% 10/15/37 (a)(h)(i) | 1,827,743 | 1,800,682 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $16,260,277) | 16,167,795 | ||
| Bank Notes - 0.0% | |||
Principal Amount (g) | Value ($) | ||
| Citizens Bank NA 2.25% 4/28/25 | 3,000,000 | 2,727,558 | |
| Truist Bank: | |||
| 1.5% 3/10/25 | 2,000,000 | 1,839,365 | |
| 3.689% 8/2/24 (h) | 3,000,000 | 2,979,660 | |
| TOTAL BANK NOTES (Cost $7,668,283) | 7,546,583 | ||
| Other - 0.0% | |||
| Shares | Value ($) | ||
| Commodity Funds - Broad Basket - 0.0% | |||
Fidelity SAI Inflation-Focused Fund (l) (Cost $11,491,612) | 1,313,459 | 11,387,686 | |
| Money Market Funds - 2.1% | |||
| Shares | Value ($) | ||
| Fidelity Cash Central Fund 5.14% (m) | 868,514,921 | 868,688,624 | |
| Fidelity Securities Lending Cash Central Fund 5.14% (m)(n) | 660,902,063 | 660,968,153 | |
| TOTAL MONEY MARKET FUNDS (Cost $1,529,653,015) | 1,529,656,777 | ||
| Equity Funds - 54.6% | |||
| Shares | Value ($) | ||
| Large Blend Funds - 5.4% | |||
| Fidelity SAI U.S. Large Cap Index Fund (l) | 50,067,542 | 922,244,117 | |
| Fidelity SAI U.S. Low Volatility Index Fund (l) | 178,397,540 | 3,045,246,000 | |
| iShares S&P 500 Index ETF (c) | 42,952 | 18,015,357 | |
TOTAL LARGE BLEND FUNDS | 3,985,505,474 | ||
| Large Growth Funds - 40.8% | |||
| Fidelity Blue Chip Growth Fund (l) | 13,393,537 | 1,945,143,431 | |
| Fidelity Contrafund (l) | 385,709,256 | 5,426,929,231 | |
| Fidelity Growth Company Fund (l) | 277,737,667 | 7,890,527,117 | |
| Fidelity Magellan Fund (l) | 459,651,430 | 4,886,094,703 | |
| Fidelity SAI U.S. Momentum Index Fund (l) | 828,952 | 10,950,456 | |
| Fidelity SAI U.S. Quality Index Fund (l) | 578,421,185 | 9,879,433,831 | |
TOTAL LARGE GROWTH FUNDS | 30,039,078,769 | ||
| Large Value Funds - 4.2% | |||
| Fidelity Large Cap Value Enhanced Index Fund (l) | 216,355,199 | 3,031,136,332 | |
| Fidelity SAI U.S. Value Index Fund (l) | 4,555,354 | 46,783,485 | |
TOTAL LARGE VALUE FUNDS | 3,077,919,817 | ||
| Mid-Cap Blend Funds - 1.2% | |||
| Fidelity SAI Small-Mid Cap 500 Index Fund (l) | 161,739,400 | 865,305,791 | |
| Mid-Cap Growth Funds - 1.4% | |||
| Fidelity Extended Market Index Fund (l) | 15,734,265 | 1,030,279,659 | |
| Small Blend Funds - 0.6% | |||
| Fidelity Small Cap Discovery Fund (l) | 18,255,587 | 422,981,957 | |
| Fidelity Small Cap Index Fund (l) | 1,630,570 | 35,415,990 | |
TOTAL SMALL BLEND FUNDS | 458,397,947 | ||
| Small Growth Funds - 1.0% | |||
| Fidelity Advisor Small Cap Growth Fund Class Z (l) | 28,267,733 | 697,082,289 | |
| TOTAL EQUITY FUNDS (Cost $38,528,022,130) | 40,153,569,746 | ||
| TOTAL INVESTMENT IN SECURITIES - 100.9% (Cost $67,156,183,239) | 74,268,255,191 |
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (636,776,956) |
| NET ASSETS - 100.0% | 73,631,478,235 |
| Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Purchased | |||||
| Equity Index Contracts | |||||
| CME E-mini Russell 2000 Index Contracts (United States) | 16 | Jun 2023 | 1,401,440 | (14,768) | (14,768) |
| CME E-mini S&P 500 Index Contracts (United States) | 1,285 | Jun 2023 | 269,239,625 | 2,384,174 | 2,384,174 |
| CME E-mini S&P MidCap 400 Index Contracts (United States) | 2 | Jun 2023 | 481,800 | 349 | 349 |
| TOTAL EQUITY INDEX CONTRACTS | 2,369,755 | ||||
| Treasury Contracts | |||||
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 371 | Sep 2023 | 76,362,234 | (157,627) | (157,627) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 220 | Sep 2023 | 23,997,188 | (29,662) | (29,662) |
| TOTAL TREASURY CONTRACTS | (187,289) | ||||
| TOTAL FUTURES CONTRACTS | 2,182,466 | ||||
| The notional amount of futures purchased as a percentage of Net Assets is 0.5% | |||||
| Written Options | ||||||
| Counterparty | Number of Contracts | Notional Amount ($) | Exercise Price ($) | Expiration Date | Value ($) | |
| Call Options | ||||||
| General Electric Co. | Chicago Board Options Exchange | 2,200 | 22,336,600 | 110.00 | 06/16/23 | (53,900) |
| Total Return Swaps | ||||||||||||
| Underlying Reference | Pay/ Receive Reference | Reference Payment Frequency | Financing Rate | Financing Frequency | Counterparty | Maturity Date | Units | Notional Amount | Value ($) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| S&P 500 Total Return | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 33.5 basis points | Monthly | Bank of America, N.A. | Nov 2023 | 23,172 | 206,808,223 | 75,459 | 0 | 75,459 | |
| S&P 500 Total Return | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 28 basis points | Monthly | Goldman Sachs Intl. | Nov 2023 | 24,693 | 220,383,025 | 90,262 | 0 | 90,262 | |
| TOTAL RETURN SWAPS | 165,721 | 0 | 165,721 | |||||||||
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 $145,250,672 or 0.2% of net assets. |
| (b) | Non-income producing |
| (c) | Security or a portion of the security is on loan at period end. |
| (d) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (e) | Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $39,758,785 or 0.1% of net assets. |
| (f) | Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $22,336,600. |
| (g) | Amount is stated in United States dollars unless otherwise noted. |
| (h) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (i) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (j) | 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 $12,591,875. |
| (k) | Security or a portion of the security has been segregated as collateral for open bi-lateral over the counter (OTC) swaps. At period end, the value of securities pledged amounted to $9,710,133. |
| (l) | Affiliated Fund |
| (m) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (n) | Investment made with cash collateral received from securities on loan. |
| Additional information on each restricted holding is as follows: | ||
| Security | Acquisition Date | Acquisition Cost ($) |
| CCC Intelligent Solutions Holdings, Inc. | 2/02/21 | 1,343,850 |
| Cvent Holding Corp. | 7/23/21 | 2,677,440 |
| Evolent Health, Inc. | 3/28/23 | 14,500,000 |
| Mirion Technologies, Inc. | 6/16/21 | 13,393,130 |
| Vertiv Holdings LLC | 2/06/20 | 6,000,000 |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.14% | 699,065,513 | 6,051,237,938 | 5,881,614,827 | 27,171,669 | - | - | 868,688,624 | 2.1% |
| Fidelity Securities Lending Cash Central Fund 5.14% | 538,532,731 | 3,255,479,062 | 3,133,043,640 | 2,061,295 | - | - | 660,968,153 | 2.3% |
| Total | 1,237,598,244 | 9,306,717,000 | 9,014,658,467 | 29,232,964 | - | - | 1,529,656,777 | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Advisor Small Cap Growth Fund Class Z | 645,592,892 | 45,000,000 | - | - | - | 6,489,397 | 697,082,289 |
| Fidelity Blue Chip Growth Fund | 728,703,693 | 930,229,477 | - | 3,542,580 | - | 286,210,261 | 1,945,143,431 |
| Fidelity Contrafund | 4,252,277,077 | 1,198,630,397 | - | 463,094,280 | - | (23,978,243) | 5,426,929,231 |
| Fidelity Extended Market Index Fund | 9,653,628 | 1,480,401,104 | 451,831,776 | 3,640,668 | (16,009,936) | 8,066,639 | 1,030,279,659 |
| Fidelity Growth Company Fund | 5,757,358,880 | 1,476,606,532 | - | 404,264,240 | - | 656,561,705 | 7,890,527,117 |
| Fidelity Large Cap Value Enhanced Index Fund | 3,223,774,368 | 137,718,648 | - | 137,718,648 | - | (330,356,684) | 3,031,136,332 |
| Fidelity Magellan Fund | 3,775,907,772 | 1,447,175,814 | - | 543,794,137 | - | (336,988,883) | 4,886,094,703 |
| Fidelity SAI Inflation-Focused Fund | 15,530,401 | 1,468,909 | - | 1,468,909 | - | (5,611,624) | 11,387,686 |
| Fidelity SAI Small-Mid Cap 500 Index Fund | - | 882,523,366 | - | 3,872,806 | - | (17,217,575) | 865,305,791 |
| Fidelity SAI U.S. Large Cap Index Fund | 1,226,602,131 | 5,487,693,562 | 5,796,386,873 | 125,349,472 | (54,920,423) | 59,255,720 | 922,244,117 |
| Fidelity SAI U.S. Low Volatility Index Fund | 3,443,908,174 | 1,148,244,110 | 1,409,339,182 | 105,660,953 | (67,141,724) | (70,425,378) | 3,045,246,000 |
| Fidelity SAI U.S. Momentum Index Fund | 2,661,523,137 | 76,238,102 | 2,691,044,543 | 39,388,309 | (99,748,474) | 63,982,234 | 10,950,456 |
| Fidelity SAI U.S. Quality Index Fund | 8,581,412,523 | 1,613,166,602 | 684,418,637 | 118,162,618 | (91,742,666) | 461,016,009 | 9,879,433,831 |
| Fidelity SAI U.S. Value Index Fund | 2,398,664,563 | 539,211,013 | 2,375,000,000 | 223,356,553 | 107,457,167 | (623,549,258) | 46,783,485 |
| Fidelity Small Cap Discovery Fund | 614,067,483 | 61,760,350 | 168,817,053 | 61,760,350 | (41,860,698) | (42,168,125) | 422,981,957 |
| Fidelity Small Cap Index Fund | 10,781,226 | 25,127,857 | - | 127,857 | - | (493,093) | 35,415,990 |
| 37,345,757,948 | 16,551,195,843 | 13,576,838,064 | 2,235,202,380 | (263,966,754) | 90,793,102 | 40,146,942,075 |
Amounts in the dividend 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.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Other Affiliated Issuers
An affiliated company is a company in which the Fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are presented in the table below. Certain corporate actions, such as mergers, are excluded from the amounts in this table if applicable. A dash in the Value end of period ($) column means either the issuer is no longer held at period end, or the issuer is held at period end but is no longer an affiliate.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| RAPT Therapeutics, Inc. | 24,319,206 | 3,213,080 | 38,802,965 | - | (1,901,830) | 15,212,164 | - |
| Total | 24,319,206 | 3,213,080 | 38,802,965 | - | (1,901,830) | 15,212,164 | - |
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2023, 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 | 2,461,652,494 | 2,429,896,563 | 31,755,931 | - |
Consumer Discretionary | 2,485,775,099 | 2,467,611,367 | 18,163,732 | - |
Consumer Staples | 2,203,312,926 | 2,118,200,706 | 85,112,220 | - |
Energy | 2,195,012,100 | 2,195,012,100 | - | - |
Financials | 5,133,607,226 | 5,045,007,401 | 88,599,825 | - |
Health Care | 4,716,539,507 | 4,529,494,161 | 187,045,346 | - |
Industrials | 3,878,417,572 | 3,738,814,490 | 139,603,082 | - |
Information Technology | 6,050,096,128 | 5,917,363,498 | 132,732,630 | - |
Materials | 992,738,106 | 962,804,965 | 29,933,141 | - |
Real Estate | 653,064,462 | 653,064,462 | - | - |
Utilities | 1,176,374,432 | 1,131,267,916 | 45,106,516 | - |
| Corporate Bonds | 419,741,869 | - | 419,741,869 | - |
| U.S. Government and Government Agency Obligations | 167,012,561 | - | 167,012,561 | - |
| Asset-Backed Securities | 16,201,487 | - | 16,201,487 | - |
| Collateralized Mortgage Obligations | 380,635 | - | 380,635 | - |
| Commercial Mortgage Securities | 16,167,795 | - | 16,167,795 | - |
| Bank Notes | 7,546,583 | - | 7,546,583 | - |
| Other | 11,387,686 | 11,387,686 | - | - |
| Money Market Funds | 1,529,656,777 | 1,529,656,777 | - | - |
| Equity Funds | 40,153,569,746 | 40,153,569,746 | - | - |
| Total Investments in Securities: | 74,268,255,191 | 72,883,151,838 | 1,385,103,353 | - |
Derivative Instruments: | ||||
| Assets | ||||
Futures Contracts | 2,384,523 | 2,384,523 | - | - |
Swaps | 165,721 | - | 165,721 | - |
| Total Assets | 2,550,244 | 2,384,523 | 165,721 | - |
| Liabilities | ||||
Futures Contracts | (202,057) | (202,057) | - | - |
Written Options | (53,900) | (53,900) | - | - |
| Total Liabilities | (255,957) | (255,957) | - | - |
| Total Derivative Instruments: | 2,294,287 | 2,128,566 | 165,721 | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2023. 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) | 2,384,523 | (14,768) |
Swaps (c) | 165,721 | 0 |
Written Options (b) | 0 | (53,900) |
| Total Equity Risk | 2,550,244 | (68,668) |
| Interest Rate Risk | ||
Futures Contracts (a) | 0 | (187,289) |
| Total Interest Rate Risk | 0 | (187,289) |
| Total Value of Derivatives | 2,550,244 | (255,957) |
(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.
(c)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.
| Statement of Assets and Liabilities | ||||
| May 31, 2023 | ||||
| Assets | ||||
| Investment in securities, at value (including securities loaned of $623,253,137) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $27,103,417,753) | $ | 32,591,656,339 | ||
Fidelity Central Funds (cost $1,529,653,015) | 1,529,656,777 | |||
Other affiliated issuers (cost $38,523,112,471) | 40,146,942,075 | |||
| Total Investment in Securities (cost $67,156,183,239) | $ | 74,268,255,191 | ||
| Segregated cash with brokers for derivative instruments | 2,971,960 | |||
| Cash | 944,964 | |||
| Foreign currency held at value (cost $644,970) | 645,834 | |||
| Receivable for investments sold | 61,180,902 | |||
| Receivable for fund shares sold | 31,376,159 | |||
| Dividends receivable | 61,440,650 | |||
| Interest receivable | 5,420,147 | |||
| Distributions receivable from Fidelity Central Funds | 3,895,267 | |||
| Bi-lateral OTC swaps, at value | 165,721 | |||
| Prepaid expenses | 181,873 | |||
| Other receivables | 587,471 | |||
Total assets | 74,437,066,139 | |||
| Liabilities | ||||
| Payable for investments purchased | ||||
Regular delivery | $ | 99,695,515 | ||
Delayed delivery | 455,382 | |||
| Payable for fund shares redeemed | 34,296,777 | |||
| Accrued management fee | 7,332,017 | |||
| Payable for daily variation margin on futures contracts | 1,423,611 | |||
| Written options, at value (premium received $233,677) | 53,900 | |||
| Other payables and accrued expenses | 1,366,177 | |||
| Collateral on securities loaned | 660,964,525 | |||
| Total Liabilities | 805,587,904 | |||
| Net Assets | $ | 73,631,478,235 | ||
| Net Assets consist of: | ||||
| Paid in capital | $ | 66,012,894,887 | ||
| Total accumulated earnings (loss) | 7,618,583,348 | |||
| Net Assets | $ | 73,631,478,235 | ||
Net Asset Value , offering price and redemption price per share ($73,631,478,235 ÷ 5,676,008,222 shares) | $ | 12.97 | ||
| Statement of Operations | ||||
Year ended May 31, 2023 | ||||
| Investment Income | ||||
| Dividends: | ||||
| Unaffiliated issuers | $ | 509,905,287 | ||
| Affiliated issuers | 378,304,124 | |||
| Interest | 16,945,556 | |||
| Income from Fidelity Central Funds (including $2,061,295 from security lending) | 29,232,964 | |||
| Total Income | 934,387,931 | |||
| Expenses | ||||
| Management fee | $ | 254,968,649 | ||
| Custodian fees and expenses | 635,050 | |||
| Independent trustees' fees and expenses | 449,469 | |||
| Registration fees | 2,189,631 | |||
| Audit | 169,201 | |||
| Legal | 109,029 | |||
| Interest | 43,010 | |||
| Miscellaneous | 444,540 | |||
| Total expenses before reductions | 259,008,579 | |||
| Expense reductions | (171,360,573) | |||
| Total expenses after reductions | 87,648,006 | |||
| Net Investment income (loss) | 846,739,925 | |||
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers (net of foreign taxes of $3,050) | (544,473,597) | |||
| Affiliated issuers | (265,868,584) | |||
| Foreign currency transactions | 206,750 | |||
| Futures contracts | (6,512,866) | |||
| Swaps | 44,575,196 | |||
| Written options | 768,319 | |||
| Capital gain distributions from underlying funds: | ||||
| Affiliated issuers | 1,856,898,256 | |||
| Total net realized gain (loss) | 1,085,593,474 | |||
| Change in net unrealized appreciation (depreciation) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers(net of increase in deferred foreign taxes of $85,881) | 704,332,581 | |||
| Affiliated issuers | 106,005,266 | |||
| Assets and liabilities in foreign currencies | (79,775) | |||
| Futures contracts | 5,083,413 | |||
| Swaps | 165,721 | |||
| Written options | 259,765 | |||
| Total change in net unrealized appreciation (depreciation) | 815,766,971 | |||
| Net gain (loss) | 1,901,360,445 | |||
| Net increase (decrease) in net assets resulting from operations | $ | 2,748,100,370 | ||
| Statement of Changes in Net Assets | ||||
Year ended May 31, 2023 | Year ended May 31, 2022 | |||
| Increase (Decrease) in Net Assets | ||||
| Operations | ||||
| Net investment income (loss) | $ | 846,739,925 | $ | 699,094,461 |
| Net realized gain (loss) | 1,085,593,474 | 4,930,460,240 | ||
| Change in net unrealized appreciation (depreciation) | 815,766,971 | (9,233,265,960) | ||
| Net increase (decrease) in net assets resulting from operations | 2,748,100,370 | (3,603,711,259) | ||
| Distributions to shareholders | (3,625,572,938) | (5,208,639,221) | ||
| Share transactions | ||||
| Proceeds from sales of shares | 20,458,813,664 | 29,306,308,888 | ||
| Reinvestment of distributions | 3,542,390,748 | 5,100,769,766 | ||
| Cost of shares redeemed | (18,357,269,480) | (16,843,458,876) | ||
Net increase (decrease) in net assets resulting from share transactions | 5,643,934,932 | 17,563,619,778 | ||
| Total increase (decrease) in net assets | 4,766,462,364 | 8,751,269,298 | ||
| Net Assets | ||||
| Beginning of period | 68,865,015,871 | 60,113,746,573 | ||
| End of period | $ | 73,631,478,235 | $ | 68,865,015,871 |
| Other Information | ||||
| Shares | ||||
| Sold | 1,656,217,226 | 2,010,560,389 | ||
| Issued in reinvestment of distributions | 296,499,303 | 336,660,502 | ||
| Redeemed | (1,470,021,362) | (1,143,166,462) | ||
| Net increase (decrease) | 482,695,167 | 1,204,054,429 | ||
Financial Highlights
| Strategic Advisers® Fidelity® U.S. Total Stock Fund |
| Years ended May 31, | 2023 | 2022 | 2021 | 2020 | 2019 | |||||
Selected Per-Share Data | ||||||||||
| Net asset value, beginning of period | $ | 13.26 | $ | 15.07 | $ | 10.56 | $ | 9.72 | $ | 9.96 |
| Income from Investment Operations | ||||||||||
Net investment income (loss) A,B | .15 | .15 | .14 | .16 | .18 | |||||
| Net realized and unrealized gain (loss) | .24 | (.75) | 4.73 | 1.00 | (.20) | |||||
| Total from investment operations | .39 | (.60) | 4.87 | 1.16 | (.02) | |||||
| Distributions from net investment income | (.15) | (.12) | (.18) | (.17) | (.09) C | |||||
| Distributions from net realized gain | (.54) | (1.09) | (.19) | (.16) | (.13) C | |||||
| Total distributions | (.68) D | (1.21) | (.36) D | (.32) D | (.22) | |||||
| Net asset value, end of period | $ | 12.97 | $ | 13.26 | $ | 15.07 | $ | 10.56 | $ | 9.72 |
Total Return E | 3.45% | (4.85)% | 46.63% | 11.84% | (.04)% | |||||
Ratios to Average Net Assets B,F,G | ||||||||||
| Expenses before reductions | .38% | .38% | .38% | .39% | .42% | |||||
| Expenses net of fee waivers, if any | .13% | .13% | .13% | .14% | .17% | |||||
| Expenses net of all reductions | .13% | .13% | .13% | .14% | .17% | |||||
| Net investment income (loss) | 1.24% | 1.03% | 1.11% | 1.55% | 1.81% | |||||
| Supplemental Data | ||||||||||
| Net assets, end of period (000 omitted) | $ | 73,631,478 | $ | 68,865,016 | $ | 60,113,747 | $ | 33,429,994 | $ | 22,411,704 |
Portfolio turnover rate H | 39% | 35% | 46% | 52% | 61% |
A Calculated based on average shares outstanding during the period.
B Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
C The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.
D Total distributions per share do not sum due to rounding.
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
H Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended May 31, 2023
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 managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 service 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, 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 services or from brokers who make markets in such securities. Corporate bonds, bank notes and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services 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 services, 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 services. Debt securities and swaps 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 service 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. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2023 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds 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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. 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 any underlying mutual funds or exchange-traded funds (ETFs) 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. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
| Strategic Advisers Fidelity U.S. Total Stock Fund | $19,644 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, swaps, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC),partnerships and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $10,906,152,940 |
| Gross unrealized depreciation | (4,050,162,357) |
| Net unrealized appreciation (depreciation) | $6,855,990,583 |
| Tax Cost | $67,407,951,354 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $257,794,271 |
| Undistributed long-term capital gain | $505,268,521 |
| Net unrealized appreciation (depreciation) on securities and other investments | $6,855,811,533 |
The tax character of distributions paid was as follows:
| May 31, 2023 | May 31, 2022 | |
| Ordinary Income | $808,463,658 | $1,871,983,731 |
| Long-term Capital Gains | 2,817,109,280 | 3,336,655,490 |
| Total | $3,625,572,938 | $5,208,639,221 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds 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. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). Funds 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 held at period end is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| 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. |
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral OTC swaps, a 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 a 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, a fund receives collateral in the form of cash or securities once 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 custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund 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 a fund. A 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. Counterparty credit risk related to exchange-traded 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.
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, 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) |
| Strategic Advisers Fidelity U.S. Total Stock Fund | ||
| Equity Risk | ||
| Futures Contracts | (6,782,794) | 5,270,702 |
| Written Options | 768,319 | 259,765 |
| Swaps | 44,575,196 | 165,721 |
| Total Equity Risk | 38,560,721 | 5,696,188 |
| Interest Rate Risk | ||
| Futures Contracts | 269,928 | (187,289) |
| Total Interest Rate Risk | 269,928 | (187,289) |
| Totals | $38,830,649 | $5,508,899 |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure 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. Futures contracts were used to manage exposure to the stock market and 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 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 unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
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.
Exchange-traded written covered call options were used to manage exposure to the market. When a fund writes a covered call option, a 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, a 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 in total accumulated earnings (loss) in 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, a gain or loss is realized 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 unless an average contracts amount is presented.
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.
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 unamortized upfront premiums are presented in the Schedule of Investments.
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 unless an average notional amount is present.
Total Return Swaps. Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty. A fund enters into total return swaps to manage its market exposure.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Strategic Advisers Fidelity U.S. Total Stock Fund | 30,962,550,132 | 26,449,400,736 |
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 to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.00% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .37% 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 Geode Capital Management, LLC 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 as described in the Management Fee note.
FIL Investment Advisors (FIL) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, FIL has not been allocated any portion of the Fund's assets. FIL 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 Fidelity U.S. Total Stock Fund | $217,296 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
| Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
| Strategic Advisers Fidelity U.S. Total Stock Fund | 1,013,605,029 | 819,679,648 | (84,967,429) |
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
| Amount ($) | |
| Strategic Advisers Fidelity U.S. Total Stock Fund | 68,406 |
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing 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 the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| Amount | |
| Strategic Advisers Fidelity U.S. Total Stock Fund | $126,388 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the 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. Affiliated security lending activity, if any, was as follows:
| Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
| Strategic Advisers Fidelity U.S. Total Stock Fund | $219,289 | $- | $- |
Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
| Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
| Strategic Advisers Fidelity U.S. Total Stock Fund | $109,424,000 | 2.83% | $43,010 |
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, 2025. During the period, this waiver reduced the Fund's management fee by $171,289,723.
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 $70,850.
10. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
| Fund | Strategic Advisers Fidelity U.S. Total Stock Fund |
| Fidelity Growth Company Fund | 17% |
| Fidelity Large Cap Value Enhanced Index Fund | 58% |
| Fidelity Magellan Fund | 19% |
| Fidelity SAI Small-Mid Cap 500 Index Fund | 67% |
| Fidelity SAI U.S. Low Volatility Index Fund | 36% |
| Fidelity SAI U.S. Quality Index Fund | 84% |
| Fidelity SAI U.S. Value Index Fund | 13% |
| Fidelity Small Cap Discovery Fund | 16% |
| Fidelity Small Cap Growth Fund | 14% |
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity U.S. Total Stock Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity U.S. Total Stock Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of May 31, 2023, the related statement of operations for the year ended May 31, 2023, the statement of changes in net assets for each of the two years in the period ended May 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2023 and the financial highlights for each of the five years in the period ended May 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2023 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 13, 2023
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
TRUSTEES AND OFFICERS
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity ® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's alternative investment, investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity®; funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives' Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women's Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), Secretary of the Ad Council, Inc. (2022-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women's accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women's Forum (2008-2010), Treasurer of the Massachusetts Women's Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President - Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity ® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption University (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and Chair of the Board of Directors and Chair of the Compensation Committee of Live Current Media, Inc. (2022-present). Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum's Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity ® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Assistant Secretary
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity ® funds (2016-2020) and Assistant Treasurer of certain Fidelity ® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity ® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity ® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2022 to May 31, 2023). |
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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio- A | Beginning Account Value December 1, 2022 | Ending Account Value May 31, 2023 | Expenses Paid During Period- C December 1, 2022 to May 31, 2023 | |||||||
| Strategic Advisers® Fidelity® U.S. Total Stock Fund | .13% | |||||||||
| Actual | $ 1,000 | $ 1,033.60 | $ .66 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.28 | $ .66 | |||||||
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com .
The fund hereby designates as a capital gain dividend with respect to the taxable year ended May 31, 2023, $551,794,157, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates $16,866,709 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.
The fund designates 98% and 88% of the dividends distributed in July and December, respectively, during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 99.89% and 94.18% of the dividends distributed in July and December, respectively, during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 0.07%, and 3.37% of the dividends distributed in July and December, respectively, during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.
In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period December 1, 2021 through November 30, 2022. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.
 |
1.9887487.105
TSF-ANN-0723
Strategic Advisers® Fidelity® Emerging Markets Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Annual Report
May 31, 2023
Contents
To view a fund's proxy voting guidelines and 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. © 2023 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.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns | |||
Periods ended May 31, 2023 | Past 1 year | Life of Fund A |
| Strategic Advisers® Fidelity® Emerging Markets Fund | -6.28% | 4.19% |
A From October 30, 2018
| $10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Fidelity® Emerging Markets Fund, on October 30, 2018, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the MSCI Emerging Markets Index performed over the same period. |
 |
Market Recap:
Emerging-markets equities returned -8.46% for the 12 months ending May 31, 2023, according to the MSCI Emerging Markets Index. The period featured a multitude of macroeconomic factors that ebbed and flowed throughout the period, leading to elevated volatility. Early on, persistently high inflation in some markets, a strong exacerbated by ongoing energy price shocks from the Russia-Ukraine conflict and worldwide supply-chain snarls, spurred the U.S. Federal Reserve and other central banks to aggressively tighten monetary policy. Market interest rates eclipsed their highest level in a decade, stoking recession fears and a strengthening U.S. dollar. These factors led to a broad retreat from riskier assets during the first five months of the period. The MSCI EM index declined in June (-6.56%) and July (-0.16%) and fell from August through October (-14.01%). In November, however, the index reversed course and gained 14.85% for the month amid signs of moderating inflation in some markets and the possibility that central banks were nearing peak interest rates. The index continued its advance in 2023, gaining 4.02% through March before a few U.S. banks failures caused tremors in the global financial system, suppressing the value of EM equities in April (-1.13%) and May (-1.68%). For the full 12 months, South Africa (-21%), China (-15%) and Saudi Arabia (-15%) notably lagged, whereas Mexico (+16%) and India (+2%) outperformed. By sector, real estate (-23%), consumer discretionary and utilities (-15% each) lagged. Consumer staples (-2%) and energy (-3%) topped the index.
Comments from Co-Portfolio Managers Wilfred Chilangwa and Antonio Martinez:
For the fiscal year ending May 31, 2023, the Fund returned -6.28%, topping the -8.46% result of the benchmark MSCI Emerging Markets (EM) Index. Among the Fund's underlying managers, the Concentrated EM mandate from sub-adviser FIAM ® (-3%) was the top relative contributor. This strategy benefited from stock selection in the financials, materials and information technology sectors. Country-wise, positioning in India and avoiding the Saudi Arabian equity market also helped. Fidelity ® SAI Emerging Markets Value Index Fund (-5%) further contributed, as value outpaced growth in the first half of the reporting period. Favorable positioning in China, along with investment choices in Taiwan, proved beneficial as well. Fidelity ® Emerging Markets Fund (-3%) rounded out the Fund's top relative contributors. During the period's second half, this fund's growth-oriented strategy received a major boost from picks among technology stocks, especially semiconductor companies in Taiwan. On the downside, the Greater China mandate from sub-adviser FIL ® (-16%) was the only relative detractor of note, reflecting that market's weakness during the first half of the period. More specifically, security selection in consumer discretionary, financials and energy weighed on this strategy's return. During the period, we continued to keep the Fund's country allocations closely aligned with the benchmark, relying on the stock picking of our underlying managers to navigate various risk factors within the investment landscape.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) | ||
| (excluding cash equivalents) | ||
| Fidelity SAI Emerging Markets Value Index Fund | 20.4 | |
| Fidelity Advisor Emerging Markets Fund Class Z | 11.2 | |
| Fidelity SAI Emerging Markets Index Fund | 8.2 | |
| Fidelity SAI Emerging Markets Low Volatility Index Fund | 7.7 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 4.1 | |
| Samsung Electronics Co. Ltd. | 2.8 | |
| Tencent Holdings Ltd. | 2.5 | |
| Alibaba Group Holding Ltd. | 1.2 | |
| Meituan Class B | 0.8 | |
| Housing Development Finance Corp. Ltd. | 0.7 | |
| 59.6 | ||
Asset Allocation (% of Fund's net assets) |
 |
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Geographic Diversification (% of Fund's net assets) |
 |
* Includes Short-Term investments and Net Other Assets (Liabilities). Percentages are adjusted for the effect of derivatives, if applicable. |
Showing Percentage of Net Assets
| Common Stocks - 47.2% | |||
| Shares | Value ($) | ||
| COMMUNICATION SERVICES - 4.1% | |||
| Diversified Telecommunication Services - 0.2% | |||
| PT Telkom Indonesia Persero Tbk | 13,365,901 | 3,608,599 | |
| Saudi Telecom Co. | 884,255 | 10,196,232 | |
| 13,804,831 | |||
| Entertainment - 0.6% | |||
| International Games Systems Co. Ltd. | 405,720 | 7,488,874 | |
| JYP Entertainment Corp. | 85,800 | 7,914,740 | |
| NetEase, Inc. | 508,300 | 8,645,596 | |
| NetEase, Inc. ADR (a) | 282,723 | 24,054,073 | |
| 48,103,283 | |||
| Interactive Media & Services - 2.8% | |||
| Baidu, Inc. sponsored ADR (b) | 75,898 | 9,324,069 | |
| NAVER Corp. | 73,015 | 11,013,986 | |
| Tencent Holdings Ltd. | 5,276,905 | 208,830,043 | |
| Yandex NV Series A (b)(c) | 722,790 | 5,926,878 | |
| 235,094,976 | |||
| Wireless Telecommunication Services - 0.5% | |||
| America Movil S.A.B. de CV Series L | 5,036,195 | 5,375,282 | |
| Bharti Airtel Ltd. | 1,648,241 | 16,940,864 | |
| MTN Group Ltd. | 3,599,652 | 22,265,588 | |
| 44,581,734 | |||
TOTAL COMMUNICATION SERVICES | 341,584,824 | ||
| CONSUMER DISCRETIONARY - 7.9% | |||
| Automobiles - 1.5% | |||
| Brilliance China Automotive Holdings Ltd. | 10,526,000 | 4,046,161 | |
| BYD Co. Ltd.: | |||
| (A Shares) | 139,782 | 4,985,777 | |
| (H Shares) | 497,656 | 15,027,957 | |
| Eicher Motors Ltd. | 206,909 | 9,188,046 | |
| Guangzhou Automobile Group Co. Ltd. (H Shares) | 35,221,801 | 20,196,271 | |
| Hyundai Motor Co. Ltd. | 295,333 | 44,661,316 | |
| Kia Corp. | 271,100 | 17,608,089 | |
| Li Auto, Inc. ADR (b) | 356,145 | 10,346,012 | |
| 126,059,629 | |||
| Broadline Retail - 3.0% | |||
| Alibaba Group Holding Ltd. (b) | 9,944,931 | 98,975,730 | |
| Alibaba Group Holding Ltd. sponsored ADR (b) | 479,724 | 38,162,044 | |
| JD.com, Inc.: | |||
| Class A | 1,128,205 | 18,380,271 | |
| sponsored ADR | 313,069 | 10,206,049 | |
| MercadoLibre, Inc. (b) | 4,102 | 5,082,378 | |
| MINISO Group Holding Ltd. ADR | 130,697 | 1,986,594 | |
| Naspers Ltd. Class N | 311,514 | 46,992,968 | |
| PDD Holdings, Inc. ADR (b) | 501,892 | 32,783,585 | |
| 252,569,619 | |||
| Hotels, Restaurants & Leisure - 1.5% | |||
| MakeMyTrip Ltd. (a)(b) | 231,353 | 6,031,373 | |
| Meituan Class B (b)(d) | 4,912,654 | 68,979,934 | |
| Sands China Ltd. (b) | 658,400 | 2,131,479 | |
| Shangri-La Asia Ltd. (b) | 13,890,000 | 10,394,728 | |
| Trip.com Group Ltd. ADR (b) | 1,058,436 | 33,425,409 | |
| Yum China Holdings, Inc. | 25,526 | 1,441,198 | |
| Yum China Holdings, Inc. (Hong Kong) | 72,150 | 4,022,845 | |
| 126,426,966 | |||
| Household Durables - 0.5% | |||
| Haier Smart Home Co. Ltd. | 2,747,266 | 7,876,447 | |
| Haier Smart Home Co. Ltd. (A Shares) | 11,575,395 | 34,962,278 | |
| 42,838,725 | |||
| Specialty Retail - 0.5% | |||
| China Tourism Group Duty Free Corp. Ltd.: | |||
| (A Shares) | 148,372 | 2,568,264 | |
| (H Shares) (d) | 245,900 | 3,912,820 | |
| Lojas Renner SA | 3,077,589 | 11,798,850 | |
| Pet Center Comercio e Participacoes SA | 7,123,400 | 10,179,696 | |
| Zhongsheng Group Holdings Ltd. Class H | 2,570,000 | 9,485,151 | |
| 37,944,781 | |||
| Textiles, Apparel & Luxury Goods - 0.9% | |||
| Anta Sports Products Ltd. | 396,000 | 4,043,216 | |
| ECLAT Textile Co. Ltd. | 1,230,000 | 18,779,543 | |
| Li Ning Co. Ltd. | 7,486,312 | 40,154,155 | |
| Samsonite International SA (b)(d) | 4,486,800 | 11,391,119 | |
| Shenzhou International Group Holdings Ltd. | 485,635 | 3,931,991 | |
| 78,300,024 | |||
TOTAL CONSUMER DISCRETIONARY | 664,139,744 | ||
| CONSUMER STAPLES - 2.9% | |||
| Beverages - 1.1% | |||
| China Resources Beer Holdings Co. Ltd. | 1,345,479 | 8,488,230 | |
| Fomento Economico Mexicano S.A.B. de CV sponsored ADR | 88,579 | 8,911,933 | |
| Kweichow Moutai Co. Ltd. (A Shares) | 240,016 | 54,974,874 | |
| Tsingtao Brewery Co. Ltd. (H Shares) | 1,270,000 | 10,931,428 | |
| Wuliangye Yibin Co. Ltd. (A Shares) | 614,392 | 13,924,715 | |
| 97,231,180 | |||
| Consumer Staples Distribution & Retail - 0.8% | |||
| Bid Corp. Ltd. | 337,889 | 7,197,046 | |
| CP ALL PCL (For. Reg.) | 2,702,116 | 4,955,693 | |
| Jeronimo Martins SGPS SA | 164,962 | 3,981,484 | |
| Laobaixing Pharmacy Chain JSC (A Shares) | 397,596 | 1,824,827 | |
| Raia Drogasil SA | 2,753,592 | 15,376,434 | |
| Shoprite Holdings Ltd. | 664,397 | 6,577,004 | |
| Wal-Mart de Mexico SA de CV Series V | 6,595,164 | 25,062,294 | |
| 64,974,782 | |||
| Food Products - 0.6% | |||
| China Mengniu Dairy Co. Ltd. | 9,476,000 | 36,788,486 | |
| Gruma S.A.B. de CV Series B | 461,271 | 7,089,737 | |
| Indofood Sukses Makmur Tbk PT | 9,846,500 | 4,663,786 | |
| PT Indofood CBP Sukses Makmur Tbk | 7,109,300 | 5,548,953 | |
| 54,090,962 | |||
| Personal Care Products - 0.2% | |||
| Hindustan Unilever Ltd. | 531,336 | 17,140,710 | |
| LG H & H Co. Ltd. | 1,286 | 512,438 | |
| 17,653,148 | |||
| Tobacco - 0.2% | |||
| ITC Ltd. | 2,531,323 | 13,637,736 | |
TOTAL CONSUMER STAPLES | 247,587,808 | ||
| ENERGY - 1.4% | |||
| Energy Equipment & Services - 0.0% | |||
| Yantai Jereh Oilfield Services (A Shares) | 267,292 | 917,076 | |
| Oil, Gas & Consumable Fuels - 1.4% | |||
| Adnoc Gas PLC | 6,764,300 | 5,690,708 | |
| China Merchants Energy Shipping Co. Ltd. (A Shares) | 3,896,955 | 3,128,896 | |
| China Petroleum & Chemical Corp. (H Shares) | 20,644,226 | 12,997,469 | |
| Gazprom OAO (c) | 5,946,277 | 709,953 | |
| LUKOIL PJSC (c) | 345,667 | 122,077 | |
| LUKOIL PJSC sponsored ADR (b)(c) | 499,400 | 141,275 | |
| OMV AG | 241,624 | 10,764,773 | |
| Petroleo Brasileiro SA - Petrobras (ON) | 2,415,789 | 13,909,131 | |
| PT United Tractors Tbk | 5,551,286 | 8,230,643 | |
| Reliance Industries Ltd. | 1,301,421 | 38,872,654 | |
| Reliance Industries Ltd. GDR (d) | 109,657 | 6,480,729 | |
| TotalEnergies SE | 251,209 | 14,175,930 | |
| 115,224,238 | |||
TOTAL ENERGY | 116,141,314 | ||
| FINANCIALS - 10.5% | |||
| Banks - 6.7% | |||
| Absa Group Ltd. | 3,030,191 | 23,639,139 | |
| Al Rajhi Bank | 645,559 | 12,168,343 | |
| Alinma Bank | 1,450,164 | 12,623,402 | |
| Axis Bank Ltd. | 2,946,577 | 32,599,782 | |
| Axis Bank Ltd. sponsored GDR (Reg. S) | 284,231 | 15,661,128 | |
| Bangkok Bank PCL (For. Reg.) | 2,509,379 | 11,767,226 | |
| China Construction Bank Corp. (H Shares) | 36,795,355 | 23,537,298 | |
| China Merchants Bank Co. Ltd. (H Shares) | 1,110,000 | 5,159,857 | |
| Credicorp Ltd. (United States) | 192,466 | 24,914,724 | |
| Grupo Financiero Banorte S.A.B. de CV Series O | 5,455,259 | 43,727,807 | |
| HDFC Bank Ltd. | 1,584,050 | 30,774,915 | |
| HDFC Bank Ltd. sponsored ADR | 707,849 | 45,585,476 | |
| ICICI Bank Ltd. | 3,540,446 | 40,507,822 | |
| ICICI Bank Ltd. sponsored ADR | 1,411,788 | 32,358,181 | |
| Industrial & Commercial Bank of China Ltd. (H Shares) | 58,599,522 | 31,356,052 | |
| Kasikornbank PCL (For. Reg.) | 4,888,400 | 18,211,962 | |
| KB Financial Group, Inc. | 276,467 | 10,005,173 | |
| National Bank of Greece SA (b) | 7,229,727 | 44,821,560 | |
| Nu Holdings Ltd. (b) | 2,170,722 | 14,630,666 | |
| PT Bank Central Asia Tbk | 65,766,711 | 39,705,719 | |
| PT Bank Mandiri (Persero) Tbk | 33,424,528 | 11,278,846 | |
| PT Bank Rakyat Indonesia (Persero) Tbk | 47,251,165 | 17,573,399 | |
| Sberbank of Russia (c) | 3,314,825 | 23,255 | |
| Sberbank of Russia: | |||
| (RTSX) (c) | 617,111 | 4,329 | |
| sponsored ADR (b)(c) | 1,653,549 | 29,433 | |
| Standard Bank Group Ltd. | 797,671 | 6,130,159 | |
| TCS Group Holding PLC GDR (b)(c) | 267,069 | 2,392,938 | |
| The Saudi National Bank | 1,332,090 | 13,104,970 | |
| 564,293,561 | |||
| Capital Markets - 0.4% | |||
| East Money Information Co. Ltd. (A Shares) | 1,193,853 | 2,353,577 | |
| Hong Kong Exchanges and Clearing Ltd. | 138,600 | 5,072,858 | |
| Noah Holdings Ltd. sponsored ADR (b) | 80,375 | 1,247,420 | |
| XP, Inc. Class A (a)(b) | 1,346,000 | 23,756,900 | |
| 32,430,755 | |||
| Consumer Finance - 0.3% | |||
| Kaspi.KZ JSC GDR (Reg. S) | 340,458 | 27,236,640 | |
| Financial Services - 1.1% | |||
| Chailease Holding Co. Ltd. | 4,717,052 | 31,095,873 | |
| Housing Development Finance Corp. Ltd. | 1,844,463 | 58,896,119 | |
| StoneCo Ltd. Class A (b) | 265,700 | 3,329,221 | |
| 93,321,213 | |||
| Insurance - 2.0% | |||
| AIA Group Ltd. | 5,490,000 | 52,776,468 | |
| China Life Insurance Co. Ltd. (H Shares) | 33,594,407 | 56,716,799 | |
| Db Insurance Co. Ltd. | 180,678 | 10,109,427 | |
| HDFC Standard Life Insurance Co. Ltd. (d) | 1,671,712 | 11,975,313 | |
| Hyundai Fire & Marine Insurance Co. Ltd. | 116,382 | 2,886,351 | |
| Ping An Insurance Group Co. of China Ltd. (H Shares) | 4,435,489 | 28,148,459 | |
| 162,612,817 | |||
TOTAL FINANCIALS | 879,894,986 | ||
| HEALTH CARE - 1.7% | |||
| Biotechnology - 0.3% | |||
| BeiGene Ltd. ADR (b) | 76,736 | 16,953,284 | |
| Innovent Biologics, Inc. (b)(d) | 509,000 | 2,385,597 | |
| Zai Lab Ltd. ADR (b) | 139,155 | 4,521,146 | |
| 23,860,027 | |||
| Health Care Equipment & Supplies - 0.2% | |||
| Peijia Medical Ltd. (b)(d) | 1,261,000 | 1,098,279 | |
| Shenzhen Mindray Bio-Medical Electronics Co. Ltd. (A Shares) | 297,068 | 12,555,834 | |
| 13,654,113 | |||
| Health Care Providers & Services - 0.5% | |||
| Apollo Hospitals Enterprise Ltd. | 76,444 | 4,272,830 | |
| Dr Sulaiman Al Habib Medical Services Group Co. | 150,483 | 10,712,104 | |
| Hapvida Participacoes e Investimentos SA (b)(d) | 21,598,907 | 16,986,900 | |
| New Horizon Health Ltd. (b)(d) | 1,738,500 | 6,249,804 | |
| 38,221,638 | |||
| Health Care Technology - 0.0% | |||
| Medlive Technology Co. Ltd. (d) | 429,500 | 377,916 | |
| Life Sciences Tools & Services - 0.1% | |||
| WuXi AppTec Co. Ltd. (H Shares) (d) | 484,216 | 3,988,523 | |
| Wuxi Biologics (Cayman), Inc. (b)(d) | 1,498,744 | 7,665,549 | |
| 11,654,072 | |||
| Pharmaceuticals - 0.6% | |||
| Hansoh Pharmaceutical Group Co. Ltd. (d) | 12,420,000 | 20,556,060 | |
| Richter Gedeon PLC | 1,242,425 | 31,271,962 | |
| 51,828,022 | |||
TOTAL HEALTH CARE | 139,595,788 | ||
| INDUSTRIALS - 3.9% | |||
| Aerospace & Defense - 0.5% | |||
| Hindustan Aeronautics Ltd. | 289,876 | 10,927,053 | |
| Korea Aerospace Industries Ltd. | 798,103 | 31,078,190 | |
| 42,005,243 | |||
| Air Freight & Logistics - 0.1% | |||
| ZTO Express, Inc. sponsored ADR | 215,551 | 5,440,507 | |
| Building Products - 0.0% | |||
| Zhejiang Weixing New Building Materials Co. Ltd. (A Shares) | 1,105,833 | 3,002,627 | |
| Construction & Engineering - 0.5% | |||
| China State Construction International Holdings Ltd. | 948,000 | 1,071,433 | |
| Larsen & Toubro Ltd. | 1,476,506 | 39,383,909 | |
| 40,455,342 | |||
| Electrical Equipment - 0.3% | |||
| Bharat Heavy Electricals Ltd. | 14,901,300 | 14,758,937 | |
| Contemporary Amperex Technology Co. Ltd. | 240,340 | 7,474,496 | |
| Hongfa Technology Co. Ltd. (A Shares) | 366,764 | 1,561,609 | |
| Titan Wind Energy Suzhou Co. Ltd. (A Shares) | 2,005,920 | 4,388,871 | |
| 28,183,913 | |||
| Ground Transportation - 0.8% | |||
| Full Truck Alliance Co. Ltd. ADR (b) | 416,745 | 2,421,288 | |
| Localiza Rent a Car SA | 4,790,535 | 58,582,144 | |
| Localiza Rent a Car SA (b) | 7,008 | 85,699 | |
| Vamos Locacao de Caminhoes Maquinas e Equipamentos SA | 3,128,800 | 7,937,172 | |
| 69,026,303 | |||
| Industrial Conglomerates - 0.1% | |||
| Bidvest Group Ltd./The | 225,819 | 2,723,513 | |
| Industries Qatar QSC (b) | 792,635 | 2,608,727 | |
| 5,332,240 | |||
| Machinery - 1.2% | |||
| Airtac International Group | 532,286 | 17,189,521 | |
| HIWIN Technologies Corp. | 2,824,920 | 22,025,143 | |
| Hyundai Mipo Dockyard Co. Ltd. (b) | 197,040 | 11,114,317 | |
| Shenzhen Inovance Technology Co. Ltd. (A Shares) | 2,518,300 | 20,924,307 | |
| Sinoseal Holding Co. Ltd. | 312,695 | 2,034,025 | |
| Sinotruk Hong Kong Ltd. | 8,813,948 | 12,471,639 | |
| Techtronic Industries Co. Ltd. | 478,000 | 4,434,828 | |
| Zhejiang Sanhua Intelligent Controls Co. Ltd. (A Shares) | 2,012,217 | 7,353,781 | |
| 97,547,561 | |||
| Marine Transportation - 0.1% | |||
| Pacific Basin Shipping Ltd. | 14,286,000 | 4,177,913 | |
| Passenger Airlines - 0.1% | |||
| Azul SA sponsored ADR (a)(b) | 1,194,949 | 11,925,591 | |
| Trading Companies & Distributors - 0.1% | |||
| BOC Aviation Ltd. Class A (d) | 645,400 | 4,743,376 | |
| Transportation Infrastructure - 0.1% | |||
| Grupo Aeroportuario del Pacifico S.A.B. de CV Series B | 687,028 | 12,155,529 | |
TOTAL INDUSTRIALS | 323,996,145 | ||
| INFORMATION TECHNOLOGY - 11.1% | |||
| Communications Equipment - 0.1% | |||
| Accton Technology Corp. | 633,000 | 7,274,204 | |
| Electronic Equipment, Instruments & Components - 1.1% | |||
| Delta Electronics, Inc. | 1,401,000 | 14,435,071 | |
| Gold Circuit Electronics Ltd. | 1,690,000 | 6,712,026 | |
| Hon Hai Precision Industry Co. Ltd. (Foxconn) | 1,630,213 | 5,651,985 | |
| LG Innotek Co. Ltd. | 49,290 | 11,441,599 | |
| Lotes Co. Ltd. | 166,000 | 4,706,882 | |
| SINBON Electronics Co. Ltd. | 546,000 | 6,398,854 | |
| Sunny Optical Technology Group Co. Ltd. | 2,246,801 | 21,118,142 | |
| Unimicron Technology Corp. | 799,000 | 4,694,951 | |
| Yageo Corp. | 1,218,109 | 20,144,520 | |
| 95,304,030 | |||
| IT Services - 0.5% | |||
| HCL Technologies Ltd. | 920,793 | 12,751,240 | |
| Infosys Ltd. | 1,133,753 | 18,032,445 | |
| Infosys Ltd. sponsored ADR | 298,357 | 4,761,778 | |
| Tata Consultancy Services Ltd. | 122,373 | 4,868,134 | |
| 40,413,597 | |||
| Semiconductors & Semiconductor Equipment - 6.1% | |||
| ASML Holding NV (Netherlands) | 9,215 | 6,665,454 | |
| Daqo New Energy Corp. ADR (b) | 181,157 | 6,512,594 | |
| eMemory Technology, Inc. | 160,558 | 9,617,381 | |
| Flat Glass Group Co. Ltd. | 1,564,000 | 4,394,128 | |
| MediaTek, Inc. | 1,662,068 | 41,067,440 | |
| Nanya Technology Corp. | 1,780,000 | 4,259,066 | |
| Silergy Corp. | 353,690 | 4,611,395 | |
| SK Hynix, Inc. | 497,790 | 40,875,731 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 19,221,052 | 347,966,946 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 416,299 | 41,042,918 | |
| United Microelectronics Corp. | 2,718,000 | 4,550,753 | |
| 511,563,806 | |||
| Technology Hardware, Storage & Peripherals - 3.3% | |||
| Lenovo Group Ltd. | 4,742,000 | 4,457,103 | |
| Quanta Computer, Inc. | 1,392,000 | 5,279,250 | |
| Samsung Electronics Co. Ltd. | 4,295,050 | 231,876,095 | |
| Samsung Electronics Co. Ltd. GDR (Reg. S) | 21,300 | 28,733,700 | |
| Wistron Corp. | 1,434,000 | 3,113,738 | |
| 273,459,886 | |||
TOTAL INFORMATION TECHNOLOGY | 928,015,523 | ||
| MATERIALS - 3.1% | |||
| Chemicals - 0.7% | |||
| Hansol Chemical Co. Ltd. | 36,543 | 6,396,534 | |
| LG Chemical Ltd. | 57,070 | 29,904,094 | |
| PhosAgro PJSC (c) | 88,909 | 6,242 | |
| PhosAgro PJSC: | |||
| GDR (Reg. S) (b)(c) | 1 | 0 | |
| sponsored GDR (Reg. S) (b)(c) | 1,718 | 35 | |
| Shandong Sinocera Functional Material Co. Ltd. (A Shares) | 282,900 | 1,074,055 | |
| Solar Industries India Ltd. | 476,984 | 21,645,117 | |
| SRF Ltd. | 176,400 | 5,375,304 | |
| 64,401,381 | |||
| Construction Materials - 0.5% | |||
| Beijing Oriental Yuhong Waterproof Technology Co. Ltd. (A Shares) | 788,286 | 2,907,446 | |
| CEMEX S.A.B. de CV sponsored ADR (b) | 965,900 | 5,795,400 | |
| JK Cement Ltd. | 499,800 | 19,391,805 | |
| Ultratech Cement Ltd. | 133,637 | 12,718,949 | |
| 40,813,600 | |||
| Metals & Mining - 1.9% | |||
| AngloGold Ashanti Ltd. | 551,381 | 13,423,524 | |
| Antofagasta PLC | 1,003,400 | 16,694,400 | |
| Barrick Gold Corp. (a) | 1,157,900 | 19,545,352 | |
| Endeavour Mining PLC (a) | 269,837 | 7,112,168 | |
| First Quantum Minerals Ltd. | 724,833 | 15,185,452 | |
| Gold Fields Ltd. sponsored ADR (a) | 515,900 | 7,800,408 | |
| Grupo Mexico SA de CV Series B | 3,905,605 | 17,334,448 | |
| Impala Platinum Holdings Ltd. | 2,758,292 | 22,146,384 | |
| Novolipetsk Steel OJSC GDR (Reg. S) (b)(c) | 169,976 | 21,118 | |
| POSCO | 59,766 | 16,252,289 | |
| Southern Copper Corp. (a) | 16,791 | 1,121,135 | |
| Tata Steel Ltd. | 5,619,503 | 7,190,028 | |
| Vale SA | 265,845 | 3,343,695 | |
| Zijin Mining Group Co. Ltd. (H Shares) | 8,445,223 | 11,453,782 | |
| 158,624,183 | |||
TOTAL MATERIALS | 263,839,164 | ||
| REAL ESTATE - 0.2% | |||
| Real Estate Management & Development - 0.2% | |||
| China Overseas Land and Investment Ltd. | 1,973,000 | 4,001,206 | |
| China Resources Land Ltd. | 2,454,000 | 9,182,384 | |
| 13,183,590 | |||
| UTILITIES - 0.4% | |||
| Gas Utilities - 0.2% | |||
| ENN Energy Holdings Ltd. | 1,288,536 | 14,974,462 | |
| Kunlun Energy Co. Ltd. | 6,429,558 | 5,123,644 | |
| 20,098,106 | |||
| Independent Power and Renewable Electricity Producers - 0.2% | |||
| NTPC Ltd. | 5,803,391 | 12,201,227 | |
TOTAL UTILITIES | 32,299,333 | ||
| TOTAL COMMON STOCKS (Cost $4,007,176,016) | 3,950,278,219 | ||
| Nonconvertible Preferred Stocks - 0.9% | |||
| Shares | Value ($) | ||
| ENERGY - 0.4% | |||
| Oil, Gas & Consumable Fuels - 0.4% | |||
| Petroleo Brasileiro SA - Petrobras sponsored ADR | 2,843,510 | 32,814,105 | |
| FINANCIALS - 0.5% | |||
| Banks - 0.5% | |||
| Banco Bradesco SA (PN) | 2,983,500 | 9,121,102 | |
| Itau Unibanco Holding SA | 5,967,195 | 30,969,240 | |
| Itausa-Investimentos Itau SA (PN) | 208,310 | 360,507 | |
| Sberbank of Russia (c) | 2,462,434 | 17,400 | |
| Sberbank of Russia (Russia) (c) | 3,791,522 | 26,792 | |
| 40,495,041 | |||
| MATERIALS - 0.0% | |||
| Metals & Mining - 0.0% | |||
| Gerdau SA | 485,867 | 2,295,593 | |
| TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $85,662,622) | 75,604,739 | ||
| Equity Funds - 47.5% | |||
| Shares | Value ($) | ||
| Diversified Emerging Markets Funds - 47.5% | |||
| Fidelity Advisor Emerging Markets Fund Class Z (e) | 28,248,478 | 942,934,200 | |
| Fidelity SAI Emerging Markets Index Fund (e) | 55,689,248 | 687,205,319 | |
| Fidelity SAI Emerging Markets Low Volatility Index Fund (e) | 63,155,582 | 645,450,043 | |
| Fidelity SAI Emerging Markets Value Index Fund (e) | 150,482,940 | 1,707,981,376 | |
| TOTAL EQUITY FUNDS (Cost $4,370,268,746) | 3,983,570,938 | ||
| U.S. Treasury Obligations - 0.1% | |||
Principal Amount (f) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 4.45% to 5.2% 6/1/23 to 7/27/23 (g) (Cost $7,887,096) | 7,910,000 | 7,886,977 | |
| Money Market Funds - 4.7% | |||
| Shares | Value ($) | ||
| Fidelity Cash Central Fund 5.14% (h) | 68,959,933 | 68,973,725 | |
| Fidelity Securities Lending Cash Central Fund 5.14% (h)(i) | 42,548,817 | 42,553,072 | |
| Invesco Government & Agency Portfolio Institutional Class 5.04% (j) | 280,653,808 | 280,653,808 | |
| TOTAL MONEY MARKET FUNDS (Cost $392,160,462) | 392,180,605 | ||
| TOTAL INVESTMENT IN SECURITIES - 100.4% (Cost $8,863,154,942) | 8,409,521,478 |
NET OTHER ASSETS (LIABILITIES) - (0.4)% | (29,788,031) |
| NET ASSETS - 100.0% | 8,379,733,447 |
| Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Purchased | |||||
| Equity Index Contracts | |||||
| ICE E-mini MSCI Emerging Markets Index Contracts (United States) | 4,802 | Jun 2023 | 229,727,680 | (607,272) | (607,272) |
| The notional amount of futures purchased as a percentage of Net Assets is 2.7% | |||||
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $471,571,900.
Legend
| (a) | Security or a portion of the security is on loan at period end. |
| (b) | Non-income producing |
| (c) | Level 3 security |
| (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 $166,791,919 or 2.0% of net assets. |
| (e) | Affiliated Fund |
| (f) | Amount is stated in United States dollars unless otherwise noted. |
| (g) | 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 $6,746,977. |
| (h) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (i) | Investment made with cash collateral received from securities on loan. |
| (j) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.14% | 120,253,538 | 831,060,325 | 882,340,138 | 3,882,290 | - | - | 68,973,725 | 0.2% |
| Fidelity Securities Lending Cash Central Fund 5.14% | 38,531,257 | 681,393,418 | 677,371,603 | 386,781 | - | - | 42,553,072 | 0.1% |
| Total | 158,784,795 | 1,512,453,743 | 1,559,711,741 | 4,269,071 | - | - | 111,526,797 | |
Amounts in the dividend 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.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Advisor Emerging Markets Fund Class Z | 976,247,283 | 7,899,014 | - | 7,899,015 | - | (41,212,097) | 942,934,200 |
| Fidelity SAI Emerging Markets Index Fund | 748,130,649 | 713,890,044 | 717,972,613 | 19,772,771 | (64,346,889) | 7,504,128 | 687,205,319 |
| Fidelity SAI Emerging Markets Low Volatility Index Fund | 670,774,901 | 11,406,893 | - | 11,406,893 | - | (36,731,751) | 645,450,043 |
| Fidelity SAI Emerging Markets Value Index Fund | 1,803,271,961 | 75,806,332 | - | 75,806,337 | - | (171,096,917) | 1,707,981,376 |
| 4,198,424,794 | 809,002,283 | 717,972,613 | 114,885,016 | (64,346,889) | (241,536,637) | 3,983,570,938 |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: | ||||
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
| Equities: | ||||
Communication Services | 341,584,824 | 114,573,708 | 221,084,238 | 5,926,878 |
Consumer Discretionary | 664,139,744 | 415,782,884 | 248,356,860 | - |
Consumer Staples | 247,587,808 | 247,587,808 | - | - |
Energy | 148,955,419 | 133,806,184 | 14,175,930 | 973,305 |
Financials | 920,390,027 | 720,866,899 | 197,028,981 | 2,494,147 |
Health Care | 139,595,788 | 139,595,788 | - | - |
Industrials | 323,996,145 | 323,996,145 | - | - |
Information Technology | 928,015,523 | 550,799,925 | 377,215,598 | - |
Materials | 266,134,757 | 214,285,165 | 51,822,197 | 27,395 |
Real Estate | 13,183,590 | 13,183,590 | - | - |
Utilities | 32,299,333 | 32,299,333 | - | - |
| Equity Funds | 3,983,570,938 | 3,983,570,938 | - | - |
| Other Short-Term Investments | 7,886,977 | - | 7,886,977 | - |
| Money Market Funds | 392,180,605 | 392,180,605 | - | - |
| Total Investments in Securities: | 8,409,521,478 | 7,282,528,972 | 1,117,570,781 | 9,421,725 |
Derivative Instruments: | ||||
| Liabilities | ||||
Futures Contracts | (607,272) | (607,272) | - | - |
| Total Liabilities | (607,272) | (607,272) | - | - |
| Total Derivative Instruments: | (607,272) | (607,272) | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
| Asset ($) | Liability ($) | |
| Equity Risk | ||
Futures Contracts (a) | 0 | (607,272) |
| Total Equity Risk | 0 | (607,272) |
| Total Value of Derivatives | 0 | (607,272) |
(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).
| Statement of Assets and Liabilities | ||||
| May 31, 2023 | ||||
| Assets | ||||
| Investment in securities, at value (including securities loaned of $41,908,864) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $4,381,379,542) | $ | 4,314,423,743 | ||
Fidelity Central Funds (cost $111,506,654) | 111,526,797 | |||
Other affiliated issuers (cost $4,370,268,746) | 3,983,570,938 | |||
| Total Investment in Securities (cost $8,863,154,942) | $ | 8,409,521,478 | ||
| Cash | 1,080,638 | |||
| Foreign currency held at value (cost $1,924,050) | 1,668,709 | |||
| Receivable for investments sold | 26,369,775 | |||
| Receivable for fund shares sold | 4,042,487 | |||
| Dividends receivable | 9,095,034 | |||
| Interest receivable | 2,462,701 | |||
| Distributions receivable from Fidelity Central Funds | 337,993 | |||
| Prepaid expenses | 22,403 | |||
| Other receivables | 1,132,305 | |||
Total assets | 8,455,733,523 | |||
| Liabilities | ||||
| Payable for investments purchased | $ | 16,028,419 | ||
| Payable for fund shares redeemed | 4,669,064 | |||
| Accrued management fee | 1,381,023 | |||
| Payable for daily variation margin on futures contracts | 2,112,880 | |||
| Deferred taxes | 8,821,997 | |||
| Other payables and accrued expenses | 434,678 | |||
| Collateral on securities loaned | 42,552,015 | |||
| Total Liabilities | 76,000,076 | |||
| Net Assets | $ | 8,379,733,447 | ||
| Net Assets consist of: | ||||
| Paid in capital | $ | 9,793,027,446 | ||
| Total accumulated earnings (loss) | (1,413,293,999) | |||
| Net Assets | $ | 8,379,733,447 | ||
Net Asset Value , offering price and redemption price per share ($8,379,733,447 ÷ 775,240,583 shares) | $ | 10.81 | ||
| Statement of Operations | ||||
Year ended May 31, 2023 | ||||
| Investment Income | ||||
| Dividends: | ||||
| Unaffiliated issuers | $ | 112,490,025 | ||
| Affiliated issuers | 114,885,016 | |||
| Non-Cash dividends | 13,173,834 | |||
| Interest | 18,110,736 | |||
| Income from Fidelity Central Funds (including $386,781 from security lending) | 4,269,071 | |||
| Income before foreign taxes withheld | $ | 262,928,682 | ||
| Less foreign taxes withheld | (12,797,620) | |||
| Total Income | 250,131,062 | |||
| Expenses | ||||
| Management fee | $ | 38,835,315 | ||
| Custodian fees and expenses | 796,979 | |||
| Independent trustees' fees and expenses | 56,063 | |||
| Registration fees | 345,378 | |||
| Audit | 112,110 | |||
| Legal | 12,489 | |||
| Miscellaneous | 57,281 | |||
| Total expenses before reductions | 40,215,615 | |||
| Expense reductions | (21,286,912) | |||
| Total expenses after reductions | 18,928,703 | |||
| Net Investment income (loss) | 231,202,359 | |||
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers (net of foreign taxes of $2,535,961) | (467,636,287) | |||
| Affiliated issuers | (64,346,889) | |||
| Foreign currency transactions | (4,840,635) | |||
| Futures contracts | (38,001,919) | |||
| Total net realized gain (loss) | (574,825,730) | |||
| Change in net unrealized appreciation (depreciation) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers(net of increase in deferred foreign taxes of $5,894,615) | 64,286,276 | |||
| Affiliated issuers | (241,536,637) | |||
| Assets and liabilities in foreign currencies | (222,372) | |||
| Futures contracts | (12,002,642) | |||
| Total change in net unrealized appreciation (depreciation) | (189,475,375) | |||
| Net gain (loss) | (764,301,105) | |||
| Net increase (decrease) in net assets resulting from operations | $ | (533,098,746) | ||
| Statement of Changes in Net Assets | ||||
Year ended May 31, 2023 | Year ended May 31, 2022 | |||
| Increase (Decrease) in Net Assets | ||||
| Operations | ||||
| Net investment income (loss) | $ | 231,202,359 | $ | 166,029,265 |
| Net realized gain (loss) | (574,825,730) | (347,098,037) | ||
| Change in net unrealized appreciation (depreciation) | (189,475,375) | (1,937,734,177) | ||
| Net increase (decrease) in net assets resulting from operations | (533,098,746) | (2,118,802,949) | ||
| Distributions to shareholders | (196,585,510) | (364,306,392) | ||
| Share transactions | ||||
| Proceeds from sales of shares | 3,100,100,338 | 5,475,036,336 | ||
| Reinvestment of distributions | 190,308,274 | 360,403,920 | ||
| Cost of shares redeemed | (3,177,214,790) | (1,860,049,091) | ||
Net increase (decrease) in net assets resulting from share transactions | 113,193,822 | 3,975,391,165 | ||
| Total increase (decrease) in net assets | (616,490,434) | 1,492,281,824 | ||
| Net Assets | ||||
| Beginning of period | 8,996,223,881 | 7,503,942,057 | ||
| End of period | $ | 8,379,733,447 | $ | 8,996,223,881 |
| Other Information | ||||
| Shares | ||||
| Sold | 284,992,413 | 398,993,856 | ||
| Issued in reinvestment of distributions | 17,822,445 | 24,964,583 | ||
| Redeemed | (289,241,557) | (140,229,335) | ||
| Net increase (decrease) | 13,573,301 | 283,729,104 | ||
Financial Highlights
| Strategic Advisers® Fidelity® Emerging Markets Fund |
| Years ended May 31, | 2023 | 2022 | 2021 | 2020 | 2019 A | |||||
Selected Per-Share Data | ||||||||||
| Net asset value, beginning of period | $ | 11.81 | $ | 15.70 | $ | 10.32 | $ | 10.71 | $ | 10.00 |
| Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | .29 | .26 | .15 | .26 D | .18 | |||||
| Net realized and unrealized gain (loss) | (1.03) | (3.50) | 5.34 | (.39) | .67 | |||||
| Total from investment operations | (.74) | (3.24) | 5.49 | (.13) | .85 | |||||
| Distributions from net investment income | (.26) | (.24) | (.11) | (.26) | (.14) | |||||
| Distributions from net realized gain | - | (.40) | - | - | - | |||||
| Total distributions | (.26) | (.65) E | (.11) | (.26) | (.14) | |||||
| Net asset value, end of period | $ | 10.81 | $ | 11.81 | $ | 15.70 | $ | 10.32 | $ | 10.71 |
Total Return F,G | (6.28)% | (21.40)% | 53.25% | (1.58)% | 8.63% | |||||
Ratios to Average Net Assets C,H,I | ||||||||||
| Expenses before reductions | .47% | .50% | .51% | .49% | .57% J | |||||
| Expenses net of fee waivers, if any | .22% | .25% | .25% | .24% | .32% J | |||||
| Expenses net of all reductions | .22% | .25% | .24% | .23% | .31% J | |||||
| Net investment income (loss) | 2.72% | 1.89% | 1.05% | 2.35% D | 2.82% J | |||||
| Supplemental Data | ||||||||||
| Net assets, end of period (000 omitted) | $ | 8,379,733 | $ | 8,996,224 | $ | 7,503,942 | $ | 2,976,388 | $ | 1,943,853 |
Portfolio turnover rate K | 43% | 29% | 47% | 49% | 125% J |
A For the period October 30, 2018 (commencement of operations) through May 31, 2019.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
D Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.06 per share. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been 1.80%.
E Total distributions per share do not sum due to rounding.
F Total returns for periods of less than one year are not annualized.
G Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
H Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
J Annualized.
K Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended May 31, 2023
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 managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR). The Fund's investments in emerging markets can be subject to social, economic, regulatory, and political uncertainties and can be extremely volatile.
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 - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 service 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, 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 services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2023, is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds 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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. 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 any underlying mutual funds or exchange-traded funds (ETFs) 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in foreign taxes withheld. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
| Strategic Advisers Fidelity Emerging Markets Fund | $10 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Deferred taxes on the Statement of Assets & Liabilities.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $647,658,373 |
| Gross unrealized depreciation | (1,207,012,794) |
| Net unrealized appreciation (depreciation) | $(559,354,421) |
| Tax Cost | $8,968,875,899 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $44,131,825 |
| Capital loss carryforward | $(888,853,856) |
| Net unrealized appreciation (depreciation) on securities and other investments | $(559,749,971) |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
Short-term | $(590,464,371) |
Long-term | (298,389,485) |
| Total capital loss carryforward | $(888,853,856) |
The tax character of distributions paid was as follows:
| May 31, 2023 | May 31, 2022 | |
| Ordinary Income | $196,585,510 | $ 185,950,539 |
| Long-term Capital Gains | - | 178,355,853 |
| Total | $196,585,510 | $ 364,306,392 |
Restricted Securities (including Private Placements). Funds 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 held at period end is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Counterparty credit risk related to exchange-traded 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. Futures contracts were used to manage 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 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 unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Strategic Advisers Fidelity Emerging Markets Fund | 3,645,156,216 | 3,365,927,790 |
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 to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 1.20% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .46% of the Fund's average net assets.
During the period, the investment adviser waived a portion of its management fee as described in the Expense Reductions note.
Sub-Advisers. FIAM LLC (an affiliate of the investment adviser) and FIL Investment Advisors each served as a sub-adviser for the Fund during the period. Sub-advisers provide discretionary investment advisory services for their allocated portion of the Fund's assets and are paid as described in the Management Fee note.
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.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
| Amount | |
| Strategic Advisers Fidelity Emerging Markets Fund | $ 5,962 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
| Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
| Strategic Advisers Fidelity Emerging Markets Fund | 20,337,465 | 23,684,627 | (7,458,320) |
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing 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 the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| Amount | |
| Strategic Advisers Fidelity Emerging Markets Fund | $15,823 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the 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. Affiliated security lending activity, if any, was as follows:
| Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
| Strategic Advisers Fidelity Emerging Markets Fund | $41,573 | $ - | $- |
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, 2025. During the period, this waiver reduced the Fund's management fee by $ 21,272,444.
Through arrangements with the Fund's custodian and transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $14,430 and $38, respectively.
10. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
| Fund | Strategic Advisers Fidelity Emerging Markets Fund |
| Fidelity Emerging Markets Fund | 13% |
| Fidelity SAI Emerging Markets Index Fund | 21% |
| Fidelity SAI Emerging Markets Low Volatility Index Fund | 21% |
| Fidelity SAI Emerging Markets Value Index Fund | 64% |
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity Emerging Markets Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity Emerging Markets Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of May 31, 2023, the related statement of operations for the year ended May 31, 2023, the statement of changes in net assets for each of the two years in the period ended May 31, 2023, including the related notes, and the financial highlights for each of the four years in the period ended May 31, 2023 and for the period October 30, 2018 (commencement of operations) through May 31, 2019 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2023 and the financial highlights for each of the four years in the period ended May 31, 2023 and for the period October 30, 2018 (commencement of operations) through May 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2023 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 13, 2023
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
TRUSTEES AND OFFICERS
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity ® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's alternative investment, investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity®; funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives' Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women's Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), Secretary of the Ad Council, Inc. (2022-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women's accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women's Forum (2008-2010), Treasurer of the Massachusetts Women's Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President - Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity ® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption University (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and Chair of the Board of Directors and Chair of the Compensation Committee of Live Current Media, Inc. (2022-present). Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum's Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity ® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Assistant Secretary
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity ® funds (2016-2020) and Assistant Treasurer of certain Fidelity ® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity ® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity ® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2022 to May 31, 2023). |
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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio- A | Beginning Account Value December 1, 2022 | Ending Account Value May 31, 2023 | Expenses Paid During Period- C December 1, 2022 to May 31, 2023 | |||||||
| Strategic Advisers® Fidelity® Emerging Markets Fund | .21% | |||||||||
| Actual | $ 1,000 | $ 999.10 | $ 1.05 | |||||||
Hypothetical- B | $ 1,000 | $ 1,023.88 | $ 1.06 | |||||||
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com .
The fund designates $2,709,955 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.
The fund designates 97.32% and 65.59% of the dividends distributed in July and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
Board Approval of Amended Sub-Advisory Agreement
Strategic Advisers Fidelity Emerging Markets Fund
In March 2023, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve an amendment to the fee schedule for one investment mandate in the existing sub-advisory agreement among Strategic Advisers, FIAM LLC (the Sub-Adviser), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (Amended Sub-Advisory Agreement). The Board noted that the updated fee schedule in the Amended Sub-Advisory Agreement became effective as of February 1, 2023 and will result in a lower fee at all asset levels. The Board also noted that no other material contract terms are impacted by the Amended Sub-Advisory Agreement. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
In considering whether to approve the 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 agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. The Board's decision to approve the Amended Sub-Advisory Agreements 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 provide services to the fund, the fund's investment objective, strategies and related investment philosophy, the current sub-adviser line-up, and the structure of the investment personnel compensation programs and whether such structure provides appropriate incentives to act in the best interests of the fund in connection with its annual renewal of the fund's management contract, sub-advisory agreements and sub-subadvisory agreements at its September 2022 meeting.
The Board noted that it had approved the existing sub-advisory agreement with the Sub-Adviser at its September 2022 meeting and the Amended Sub-Advisory Agreement will not result in any changes to: (i) the nature, extent and quality of the sub-advisory services provided; (ii) the investment process or strategies employed in the management of the fund's assets; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management.
The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreement because the approval of the Amended Sub-Advisory Agreement will not result in any changes (i) to the fund's investment processes or strategies; or (ii) 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 the Amended Sub-Advisory Agreement should continue to benefit the fund's shareholders.
Competitiveness of Management Fee and Total Fund Expenses. The Board noted that the Amended Sub-Advisory Agreement will not result in changes 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 portion of the fund's management fee.
The Board also considered that the Amended Sub-Advisory Agreement is expected to result in a decrease in the total management fee rate of the fund.
Based on its review, the Board concluded that the fund's management fee structure and projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.
Costs of the Services and Profitability. Because the Amended 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 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 management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the Amended Sub-Advisory Agreement will have a significant impact on the profitability of, or potential 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 management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board also noted that it did not consider the possible realization of economies of scale to be a significant factor in its decision to approve the Amended Sub-Advisory Agreement because the fund is not expected to bear any additional expenses as a result of the Amended Sub-Advisory Agreement.
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 Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.
In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period December 1, 2021 through November 30, 2022. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.
 |
1.9890707.104
STE-ANN-0723
Strategic Advisers® Fidelity® Core Income Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Annual Report
May 31, 2023
Contents
To view a fund's proxy voting guidelines and 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. © 2023 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.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns | |||
Periods ended May 31, 2023 | Past 1 year | Life of Fund A |
| Strategic Advisers® Fidelity® Core Income Fund | -2.02% | 1.80% |
A From October 16, 2018
| $10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Fidelity® Core Income Fund, on October 16, 2018, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg U.S. Aggregate Bond Index performed over the same period. |
 |
Market Recap:
U.S. taxable investment-grade bonds returned -2.14% for the 12 months ending May 31, 2023, according to the Bloomberg U.S. Aggregate Bond Index. The first five months of the period saw a continuation of the notable bond market downturn that began in early 2022, when the U.S. Federal Reserve, faced with persistent inflationary pressure, began an aggressive series of interest rate hikes to combat it. The actions helped push nominal and real (inflation-adjusted) U.S. bond yields to their highest level in more than a decade. Bond prices, which move inversely to yields, fell sharply through October, and credit spreads widened, as investors demanded more yield for buying corporate debt and other credit-sensitive assets. In November, the bond market staged a broad rally (+3.68%) when comments by Fed Chair Powell pointed to a slowdown in the size of future rate hikes, and in December the Fed began raising rates in smaller increments. To date, the central bank has raised its benchmark rate ten times, by a total of 5.0 percentage points. With the market anticipating the end of the Fed's cycle later this year, the Aggregate index advanced 3.59% in the first four months of 2023 but returned -1.09% in May, when the continued strength of the labor market surprised analysts and suggested the Fed may need to keep rates higher for longer. For the full 12 months, short-term bonds outperformed longer-term issues, while higher-risk assets like corporate bonds and asset-backed securities outpaced U.S. Treasuries.
Comments from Portfolio Manager Jonathan Duggan:
For the fiscal year ending May 31, 2023, the Fund returned -2.02%, faring slightly better than the -2.14% result of the benchmark Bloomberg Barclays U.S. Aggregate Bond Index. Among the Fund's underlying managers, Fidelity ® SAI Total Bond Fund (-1%), Fidelity Advisor ® Floating Rate High Income Fund (+6%) and the Core Investment Grade (IG) mandate from sub-adviser FIAM ® (-2%) were the top relative contributors. Fidelity SAI Total Bond benefited from positions in high-yield corporate credit and leveraged loans, along with underweight exposure to IG credit, and having less interest rate sensitivity than the broader Fund's benchmark during the first half of the period. FA Floating Rate High Income specializes in leveraged loans which outperformed most other fixed-income categories during the 12-month reporting period. Having lower interest rate sensitivity versus the broader Fund's benchmark aided FIAM Core IG, as did an underweight allocation to IG credit. Extending its duration and increasing exposure to IG credit helped FIAM later in the period. On the downside, Fidelity ® SAI Long-Term Treasury Bond Index Fund (-9%) was the biggest performance headwind, as its long duration faced a major challenge amid rising bond yields. I maintain an exposure to long-term U.S. Treasuries within the portfolio for both liquidity and risk-management purposes. During the period, I reallocated assets from Fidelity ® Intermediate Bond Fund and Fidelity Advisor ® Corporate Bond Fund into sub-advisory relationships with FIAM pursuing the same strategies. I initiated a position in Fidelity ® Short-Term Treasury Bond Index Fund to further boost portfolio liquidity and increase exposure to the short-maturity end of the yield curve.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) | ||
| (excluding cash equivalents) | ||
| Fidelity SAI Total Bond Fund | 23.1 | |
| Fidelity SAI U.S. Treasury Bond Index Fund | 9.9 | |
| Fidelity U.S. Bond Index Fund | 5.0 | |
| Fidelity SAI Long-Term Treasury Bond Index Fund | 4.4 | |
| Fidelity Intermediate Treasury Bond Index Fund | 2.1 | |
| Fannie Mae 2.5% 1/1/28 to 9/1/52 | 1.8 | |
| Fidelity Advisor New Markets Income Fund Class Z | 1.7 | |
| Fidelity Advisor Floating Rate High Income Fund Class Z | 1.7 | |
| Fannie Mae 2% 2/1/28 to 4/1/52 | 1.6 | |
| U.S. Treasury Notes 2.875% 5/15/32 | 1.4 | |
Asset Allocation (% of Fund's net assets) |
 |
Short-Term Investments and Net Other Assets (Liabilities) - (6.5)% |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Percentages in the above tables are adjusted for the effect of futures contracts and swaps, if applicable.
Showing Percentage of Net Assets
| Nonconvertible Bonds - 12.8% | |||
Principal Amount (a) | Value ($) | ||
| COMMUNICATION SERVICES - 1.2% | |||
| Diversified Telecommunication Services - 0.3% | |||
| AT&T, Inc.: | |||
| 1.65% 2/1/28 | 2,253,000 | 1,951,063 | |
| 2.25% 2/1/32 | 8,095,000 | 6,481,921 | |
| 2.55% 12/1/33 | 2,825,000 | 2,219,957 | |
| 2.75% 6/1/31 | 7,200,000 | 6,089,886 | |
| 3.55% 9/15/55 | 3,426,000 | 2,357,025 | |
| 3.65% 9/15/59 | 2,396,000 | 1,640,998 | |
| 3.8% 12/1/57 | 49,962,000 | 35,548,098 | |
| 4.3% 2/15/30 | 10,554,000 | 10,100,533 | |
| 4.5% 5/15/35 | 2,388,000 | 2,200,643 | |
| 4.75% 5/15/46 | 41,310,000 | 35,862,834 | |
| C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) | 1,246,000 | 1,071,809 | |
| Cogent Communications Group, Inc. 7% 6/15/27 (b) | 610,000 | 586,155 | |
| Frontier Communications Holdings LLC 5.875% 10/15/27 (b) | 235,000 | 209,433 | |
| Level 3 Financing, Inc.: | |||
| 3.4% 3/1/27 (b) | 5,137,000 | 4,067,639 | |
| 3.625% 1/15/29 (b) | 85,000 | 45,917 | |
| 10.5% 5/15/30 (b) | 154,000 | 146,336 | |
| NTT Finance Corp.: | |||
| 1.162% 4/3/26 (b) | 2,595,000 | 2,342,912 | |
| 1.591% 4/3/28 (b) | 3,586,000 | 3,111,030 | |
| Sprint Capital Corp.: | |||
| 6.875% 11/15/28 | 2,360,000 | 2,522,996 | |
| 8.75% 3/15/32 | 1,315,000 | 1,595,762 | |
| Telecom Italia Capital SA: | |||
| 6% 9/30/34 | 286,000 | 240,592 | |
| 7.2% 7/18/36 | 1,090,000 | 971,542 | |
| Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | 800,000 | 740,000 | |
| Verizon Communications, Inc.: | |||
| 2.1% 3/22/28 | 2,703,000 | 2,385,589 | |
| 2.355% 3/15/32 | 11,895,000 | 9,592,928 | |
| 2.55% 3/21/31 | 3,016,000 | 2,525,676 | |
| 2.987% 10/30/56 | 1,378,000 | 851,157 | |
| 3% 11/20/60 | 5,215,000 | 3,197,033 | |
| 3.15% 3/22/30 | 449,000 | 401,497 | |
| 3.7% 3/22/61 | 7,473,000 | 5,326,706 | |
| 4.016% 12/3/29 | 6,227,000 | 5,864,620 | |
| 4.329% 9/21/28 | 11,705,000 | 11,376,618 | |
| 4.4% 11/1/34 | 8,120,000 | 7,525,134 | |
| 4.5% 8/10/33 | 653,000 | 617,010 | |
| 5.012% 4/15/49 | 129,000 | 119,513 | |
| Virgin Media Finance PLC 5% 7/15/30 (b) | 636,000 | 504,847 | |
| 172,393,409 | |||
| Entertainment - 0.1% | |||
| Roblox Corp. 3.875% 5/1/30 (b) | 670,000 | 573,721 | |
| The Walt Disney Co.: | |||
| 2.2% 1/13/28 | 10,316,000 | 9,379,808 | |
| 2.65% 1/13/31 | 13,000,000 | 11,299,555 | |
| 3.8% 3/22/30 | 7,255,000 | 6,871,770 | |
| 4.7% 3/23/50 | 3,114,000 | 2,902,501 | |
| 6.65% 11/15/37 | 5,862,000 | 6,711,183 | |
| 37,738,538 | |||
| Media - 0.6% | |||
| Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | 1,330,000 | 1,116,003 | |
| Altice Financing SA 5% 1/15/28 (b) | 1,200,000 | 937,610 | |
| CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
| 4.25% 2/1/31 (b) | 940,000 | 752,977 | |
| 4.5% 8/15/30 (b) | 9,560,000 | 7,869,332 | |
| 4.5% 5/1/32 | 2,380,000 | 1,862,632 | |
| 4.5% 6/1/33 (b) | 500,000 | 381,682 | |
| 5% 2/1/28 (b) | 2,401,000 | 2,182,058 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
| 2.8% 4/1/31 | 25,100,000 | 20,076,895 | |
| 3.7% 4/1/51 | 24,646,000 | 15,111,077 | |
| 3.85% 4/1/61 | 14,293,000 | 8,427,086 | |
| 3.9% 6/1/52 | 40,000,000 | 25,161,472 | |
| 4.2% 3/15/28 | 1,724,000 | 1,612,243 | |
| 4.8% 3/1/50 | 29,000,000 | 21,231,058 | |
| 4.908% 7/23/25 | 6,304,000 | 6,199,113 | |
| 5.25% 4/1/53 | 5,418,000 | 4,224,304 | |
| 5.375% 5/1/47 | 44,218,000 | 35,272,455 | |
| 5.5% 4/1/63 | 2,304,000 | 1,781,472 | |
| 5.75% 4/1/48 | 18,275,000 | 15,125,822 | |
| 6.834% 10/23/55 | 10,000,000 | 9,250,986 | |
| Comcast Corp.: | |||
| 2.937% 11/1/56 | 1,612,000 | 1,032,787 | |
| 2.987% 11/1/63 | 6,248,000 | 3,872,885 | |
| 3.75% 4/1/40 | 1,000,000 | 835,455 | |
| 3.95% 10/15/25 | 1,057,000 | 1,038,890 | |
| 3.999% 11/1/49 | 26,352,000 | 21,440,665 | |
| 4.65% 7/15/42 | 2,578,000 | 2,362,432 | |
| CSC Holdings LLC 6.5% 2/1/29 (b) | 1,500,000 | 1,177,769 | |
| Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (b)(c) | 925,000 | 38,864 | |
| Discovery Communications LLC: | |||
| 3.625% 5/15/30 | 6,977,000 | 6,056,004 | |
| 3.95% 3/20/28 | 8,095,000 | 7,498,930 | |
| 4.65% 5/15/50 | 20,947,000 | 15,330,227 | |
| DISH Network Corp. 11.75% 11/15/27 (b) | 1,210,000 | 1,158,099 | |
| Fox Corp.: | |||
| 3.5% 4/8/30 | 5,947,000 | 5,373,892 | |
| 4.709% 1/25/29 | 252,000 | 245,639 | |
| 5.476% 1/25/39 | 2,513,000 | 2,327,605 | |
| 5.576% 1/25/49 | 1,667,000 | 1,507,305 | |
| Gray Television, Inc. 4.75% 10/15/30 (b) | 245,000 | 158,797 | |
| Lagardere S.C.A. 2.125% 10/16/26 (Reg. S) | EUR | 1,400,000 | 1,466,282 |
| Lamar Media Corp. 3.625% 1/15/31 | 515,000 | 430,025 | |
| Magallanes, Inc.: | |||
| 3.428% 3/15/24 | 7,508,000 | 7,349,599 | |
| 3.638% 3/15/25 | 5,651,000 | 5,468,935 | |
| 3.755% 3/15/27 | 10,494,000 | 9,834,258 | |
| 4.054% 3/15/29 | 6,665,000 | 6,089,207 | |
| 4.279% 3/15/32 | 25,515,000 | 22,290,961 | |
| 5.05% 3/15/42 | 9,304,000 | 7,527,603 | |
| 5.141% 3/15/52 | 70,384,000 | 54,930,416 | |
| 5.391% 3/15/62 | 3,419,000 | 2,659,543 | |
| Scripps Escrow II, Inc. 3.875% 1/15/29 (b) | 225,000 | 173,250 | |
| Sirius XM Radio, Inc.: | |||
| 3.875% 9/1/31 (b) | 275,000 | 202,933 | |
| 4.125% 7/1/30 (b) | 10,000,000 | 7,864,946 | |
| 5% 8/1/27 (b) | 375,000 | 339,999 | |
| 5.5% 7/1/29 (b) | 2,890,000 | 2,522,673 | |
| TEGNA, Inc.: | |||
| 4.625% 3/15/28 | 915,000 | 796,050 | |
| 5% 9/15/29 | 115,000 | 98,607 | |
| Time Warner Cable LLC: | |||
| 4.5% 9/15/42 | 886,000 | 656,613 | |
| 5.5% 9/1/41 | 10,379,000 | 8,577,895 | |
| 5.875% 11/15/40 | 12,748,000 | 11,041,468 | |
| 6.55% 5/1/37 | 7,048,000 | 6,714,163 | |
| 6.75% 6/15/39 | 5,390,000 | 5,102,866 | |
| 7.3% 7/1/38 | 8,091,000 | 8,263,909 | |
| Virgin Media Secured Finance PLC 5.5% 5/15/29 (b) | 415,000 | 372,999 | |
| VZ Secured Financing BV 5% 1/15/32 (b) | 1,090,000 | 866,948 | |
| Ziggo Bond Co. BV 5.125% 2/28/30 (b) | 345,000 | 264,567 | |
| Ziggo BV 4.875% 1/15/30 (b) | 550,000 | 457,702 | |
| 422,396,939 | |||
| Wireless Telecommunication Services - 0.2% | |||
| Millicom International Cellular SA: | |||
| 4.5% 4/27/31 (b) | 7,026,000 | 5,268,797 | |
| 5.125% 1/15/28 (b) | 540,000 | 462,775 | |
| Rogers Communications, Inc.: | |||
| 3.2% 3/15/27 (b) | 14,667,000 | 13,654,056 | |
| 3.8% 3/15/32 (b) | 17,728,000 | 15,666,667 | |
| 4.55% 3/15/52 (b) | 6,856,000 | 5,444,514 | |
| T-Mobile U.S.A., Inc.: | |||
| 2.4% 3/15/29 | 3,185,000 | 2,762,573 | |
| 2.625% 4/15/26 | 2,931,000 | 2,730,684 | |
| 2.7% 3/15/32 | 13,401,000 | 11,123,550 | |
| 2.875% 2/15/31 | 695,000 | 593,512 | |
| 3.5% 4/15/25 | 2,693,000 | 2,611,292 | |
| 3.75% 4/15/27 | 15,510,000 | 14,734,472 | |
| 3.875% 4/15/30 | 22,877,000 | 21,225,240 | |
| 5.65% 1/15/53 | 2,491,000 | 2,487,556 | |
| Vodafone Group PLC: | |||
| 3.25% 6/4/81 (d) | 1,806,000 | 1,588,034 | |
| 4.125% 5/30/25 | 3,663,000 | 3,597,112 | |
| 4.875% 10/3/78 (Reg. S) (d) | GBP | 1,100,000 | 1,292,046 |
| 6.25% 10/3/78 (Reg. S) (d) | 1,445,000 | 1,434,163 | |
| 106,677,043 | |||
TOTAL COMMUNICATION SERVICES | 739,205,929 | ||
| CONSUMER DISCRETIONARY - 0.8% | |||
| Automobile Components - 0.0% | |||
| Allison Transmission, Inc. 3.75% 1/30/31 (b) | 615,000 | 519,270 | |
| Clarios Global LP / Clarios U.S. Finance Co. 6.75% 5/15/28 (b) | 260,000 | 260,000 | |
| Dana, Inc. 4.5% 2/15/32 | 275,000 | 220,600 | |
| Macquarie AirFinance Holdings 8.375% 5/1/28 (b) | 310,000 | 305,390 | |
| Robert Bosch GmbH: | |||
| 4% 6/2/35 (Reg. S) | EUR | 600,000 | 652,639 |
| 4.375% 6/2/43 (Reg. S) | EUR | 500,000 | 549,138 |
| Valeo SA 1% 8/3/28 (Reg. S) | EUR | 200,000 | 173,025 |
| ZF Finance GmbH 2% 5/6/27 (Reg. S) | EUR | 1,400,000 | 1,302,303 |
| ZF North America Capital, Inc. 6.875% 4/14/28 (b) | 380,000 | 381,678 | |
| 4,364,043 | |||
| Automobiles - 0.2% | |||
| Daimler Finance North America LLC 4.8% 3/30/28 (b) | 6,600,000 | 6,584,560 | |
| Ford Motor Co.: | |||
| 3.25% 2/12/32 | 7,505,000 | 5,702,936 | |
| 5.291% 12/8/46 | 325,000 | 256,847 | |
| General Motors Co.: | |||
| 5% 4/1/35 | 1,419,000 | 1,277,128 | |
| 5.2% 4/1/45 | 1,619,000 | 1,346,656 | |
| 5.4% 4/1/48 | 654,000 | 548,867 | |
| 5.6% 10/15/32 | 3,114,000 | 2,999,189 | |
| 5.95% 4/1/49 | 3,089,000 | 2,806,263 | |
| 6.125% 10/1/25 | 1,724,000 | 1,750,157 | |
| General Motors Financial Co., Inc.: | |||
| 1.05% 3/8/24 | 693,000 | 670,121 | |
| 1.25% 1/8/26 | 5,114,000 | 4,591,907 | |
| 2.35% 2/26/27 | 1,414,000 | 1,264,385 | |
| 3.1% 1/12/32 | 7,510,000 | 6,053,460 | |
| 4.15% 6/19/23 | 2,077,000 | 2,076,347 | |
| 4.3% 4/6/29 | 6,975,000 | 6,450,918 | |
| 4.35% 4/9/25 | 2,069,000 | 2,022,001 | |
| 5.15% 8/15/26 (Reg. S) | GBP | 440,000 | 529,480 |
| 5.4% 4/6/26 | 7,700,000 | 7,665,848 | |
| 5.85% 4/6/30 | 10,453,000 | 10,349,778 | |
| 6% 1/9/28 | 1,900,000 | 1,930,037 | |
| Stellantis Finance U.S., Inc.: | |||
| 1.711% 1/29/27 (b) | 3,733,000 | 3,299,899 | |
| 2.691% 9/15/31 (b) | 6,943,000 | 5,517,896 | |
| Thor Industries, Inc. 4% 10/15/29 (b) | 355,000 | 290,241 | |
| Volkswagen Group of America Finance LLC: | |||
| 1.25% 11/24/25 (b) | 4,238,000 | 3,832,840 | |
| 1.625% 11/24/27 (b) | 7,473,000 | 6,463,281 | |
| 3.35% 5/13/25 (b) | 14,765,000 | 14,216,137 | |
| 4.35% 6/8/27 (b) | 3,394,000 | 3,301,957 | |
| 4.75% 11/13/28 (b) | 5,027,000 | 4,930,596 | |
| 108,729,732 | |||
| Broadline Retail - 0.0% | |||
| Alibaba Group Holding Ltd.: | |||
| 2.125% 2/9/31 | 2,350,000 | 1,924,503 | |
| 2.7% 2/9/41 | 12,255,000 | 8,128,895 | |
| John Lewis PLC 6.125% 1/21/25 | GBP | 2,887,000 | 3,477,268 |
| Marks & Spencer PLC 4.5% 7/10/27 (Reg. S) | GBP | 1,800,000 | 2,004,003 |
| Match Group Holdings II LLC: | |||
| 3.625% 10/1/31 (b) | 410,000 | 333,990 | |
| 4.125% 8/1/30 (b) | 170,000 | 144,284 | |
| Nordstrom, Inc.: | |||
| 4.25% 8/1/31 | 10,000,000 | 7,602,000 | |
| 4.375% 4/1/30 | 1,185,000 | 941,802 | |
| 24,556,745 | |||
| Distributors - 0.0% | |||
| Genuine Parts Co. 2.75% 2/1/32 | 3,756,000 | 3,104,380 | |
| Diversified Consumer Services - 0.0% | |||
| Adtalem Global Education, Inc. 5.5% 3/1/28 (b) | 355,000 | 331,634 | |
| GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) | 765,000 | 742,672 | |
| Ingersoll-Rand Global Holding Co. Ltd.: | |||
| 3.75% 8/21/28 | 3,205,000 | 3,061,960 | |
| 5.75% 6/15/43 | 223,000 | 228,016 | |
| Massachusetts Institute of Technology 3.885% 7/1/2116 | 4,116,000 | 3,143,997 | |
| Service Corp. International 5.125% 6/1/29 | 970,000 | 921,500 | |
| 8,429,779 | |||
| Hotels, Restaurants & Leisure - 0.1% | |||
| Aramark Services, Inc.: | |||
| 5% 2/1/28 (b) | 3,530,000 | 3,336,203 | |
| 6.375% 5/1/25 (b) | 1,890,000 | 1,875,825 | |
| Carnival Corp.: | |||
| 7.625% 3/1/26 (b) | 915,000 | 867,528 | |
| 10.5% 2/1/26 (b) | 1,105,000 | 1,148,286 | |
| Churchill Downs, Inc. 6.75% 5/1/31 (b) | 510,000 | 502,988 | |
| Garden SpinCo Corp. 8.625% 7/20/30 (b) | 110,000 | 119,039 | |
| Hilton Domestic Operating Co., Inc.: | |||
| 3.625% 2/15/32 (b) | 660,000 | 545,729 | |
| 3.75% 5/1/29 (b) | 700,000 | 617,807 | |
| 4% 5/1/31 (b) | 1,535,000 | 1,324,800 | |
| Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 | 164,000 | 159,242 | |
| InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S) | GBP | 1,185,000 | 1,286,504 |
| McDonald's Corp. 4.875% 12/9/45 | 4,159,000 | 3,916,726 | |
| Melco Resorts Finance Ltd. 4.875% 6/6/25 (b) | 750,000 | 698,008 | |
| MGM Resorts International 5.75% 6/15/25 | 820,000 | 814,448 | |
| NCL Corp. Ltd.: | |||
| 5.875% 2/15/27 (b) | 365,000 | 346,186 | |
| 8.375% 2/1/28 (b) | 255,000 | 263,678 | |
| Royal Caribbean Cruises Ltd.: | |||
| 5.375% 7/15/27 (b) | 245,000 | 225,757 | |
| 5.5% 4/1/28 (b) | 755,000 | 694,593 | |
| 7.25% 1/15/30 (b) | 230,000 | 232,052 | |
| 11.5% 6/1/25 (b) | 325,000 | 342,875 | |
| Whitbread PLC: | |||
| 2.375% 5/31/27 (Reg. S) | GBP | 1,260,000 | 1,332,734 |
| 3.375% 10/16/25 (Reg. S) | GBP | 3,355,000 | 3,886,769 |
| Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (b) | 290,000 | 266,075 | |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.5% 3/1/25 (b) | 645,000 | 632,373 | |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 7.125% 2/15/31 (b) | 380,000 | 379,939 | |
| Yum! Brands, Inc.: | |||
| 3.625% 3/15/31 | 963,000 | 821,705 | |
| 5.35% 11/1/43 | 125,000 | 109,584 | |
| 26,747,453 | |||
| Household Durables - 0.1% | |||
| Century Communities, Inc. 3.875% 8/15/29 (b) | 325,000 | 278,257 | |
| D.R. Horton, Inc. 1.3% 10/15/26 | 15,859,000 | 14,040,808 | |
| Lennar Corp.: | |||
| 4.75% 11/29/27 | 9,429,000 | 9,235,534 | |
| 5% 6/15/27 | 12,243,000 | 12,064,228 | |
| 5.25% 6/1/26 | 2,965,000 | 2,960,828 | |
| Newell Brands, Inc. 5.875% 4/1/36 (e) | 270,000 | 216,000 | |
| Tempur Sealy International, Inc.: | |||
| 3.875% 10/15/31 (b) | 280,000 | 223,985 | |
| 4% 4/15/29 (b) | 590,000 | 502,029 | |
| The Berkeley Group PLC 2.5% 8/11/31 (Reg. S) | GBP | 1,820,000 | 1,504,131 |
| Toll Brothers Finance Corp.: | |||
| 4.35% 2/15/28 | 14,431,000 | 13,638,461 | |
| 4.875% 11/15/25 | 1,562,000 | 1,520,232 | |
| 4.875% 3/15/27 | 28,295,000 | 27,743,435 | |
| TopBuild Corp. 4.125% 2/15/32 (b) | 580,000 | 486,898 | |
| 84,414,826 | |||
| Leisure Products - 0.0% | |||
| Hasbro, Inc. 3% 11/19/24 | 6,474,000 | 6,225,903 | |
| Mattel, Inc.: | |||
| 3.75% 4/1/29 (b) | 430,000 | 374,997 | |
| 6.2% 10/1/40 | 275,000 | 241,666 | |
| 6,842,566 | |||
| Specialty Retail - 0.3% | |||
| Advance Auto Parts, Inc.: | |||
| 1.75% 10/1/27 | 3,120,000 | 2,698,093 | |
| 5.95% 3/9/28 | 5,301,000 | 5,390,501 | |
| Asbury Automotive Group, Inc.: | |||
| 4.625% 11/15/29 (b) | 175,000 | 154,253 | |
| 5% 2/15/32 (b) | 190,000 | 163,004 | |
| AutoNation, Inc.: | |||
| 1.95% 8/1/28 | 7,691,000 | 6,295,604 | |
| 2.4% 8/1/31 | 26,621,000 | 20,245,444 | |
| 3.85% 3/1/32 | 3,363,000 | 2,841,785 | |
| 4.75% 6/1/30 | 1,650,000 | 1,534,931 | |
| AutoZone, Inc.: | |||
| 3.625% 4/15/25 | 187,000 | 181,569 | |
| 4% 4/15/30 | 30,823,000 | 28,742,225 | |
| Bath & Body Works, Inc.: | |||
| 6.625% 10/1/30 (b) | 1,370,000 | 1,305,400 | |
| 6.875% 11/1/35 | 835,000 | 756,424 | |
| Foot Locker, Inc. 4% 10/1/29 (b) | 145,000 | 108,767 | |
| Gap, Inc. 3.875% 10/1/31 (b) | 275,000 | 189,691 | |
| LCM Investments Holdings 4.875% 5/1/29 (b) | 120,000 | 100,067 | |
| Lowe's Companies, Inc.: | |||
| 1.7% 9/15/28 | 1,724,000 | 1,478,278 | |
| 3% 10/15/50 | 7,286,000 | 4,701,187 | |
| 3.75% 4/1/32 | 36,608,000 | 33,212,806 | |
| 4.25% 4/1/52 | 14,990,000 | 11,992,075 | |
| 4.45% 4/1/62 | 36,330,000 | 28,514,846 | |
| 4.5% 4/15/30 | 2,414,000 | 2,359,311 | |
| 4.8% 4/1/26 | 4,400,000 | 4,389,443 | |
| 5.15% 7/1/33 | 7,000,000 | 6,983,866 | |
| 5.625% 4/15/53 | 4,017,000 | 3,922,087 | |
| O'Reilly Automotive, Inc.: | |||
| 3.9% 6/1/29 | 5,541,000 | 5,258,315 | |
| 4.2% 4/1/30 | 193,000 | 183,539 | |
| 4.35% 6/1/28 | 3,914,000 | 3,848,136 | |
| Ross Stores, Inc.: | |||
| 0.875% 4/15/26 | 2,791,000 | 2,481,072 | |
| 4.6% 4/15/25 | 3,207,000 | 3,171,565 | |
| The Home Depot, Inc.: | |||
| 2.5% 4/15/27 | 123,000 | 115,204 | |
| 5.95% 4/1/41 | 527,000 | 576,373 | |
| Triton Container International Ltd. 1.15% 6/7/24 (b) | 3,394,000 | 3,199,481 | |
| Valvoline, Inc. 4.25% 2/15/30 (b) | 165,000 | 161,886 | |
| VIA Outlets 1.75% 11/15/28 (Reg. S) | EUR | 1,300,000 | 1,103,849 |
| 188,361,077 | |||
| Textiles, Apparel & Luxury Goods - 0.1% | |||
| Crocs, Inc. 4.125% 8/15/31 (b) | 285,000 | 231,920 | |
| Hanesbrands, Inc. 4.875% 5/15/26 (b) | 615,000 | 572,796 | |
| Kontoor Brands, Inc. 4.125% 11/15/29 (b) | 95,000 | 80,062 | |
| Levi Strauss & Co. 3.5% 3/1/31 (b) | 355,000 | 293,411 | |
| Tapestry, Inc. 3.05% 3/15/32 | 45,762,000 | 36,825,947 | |
| The William Carter Co. 5.625% 3/15/27 (b) | 446,000 | 435,474 | |
| Wolverine World Wide, Inc. 4% 8/15/29 (b) | 380,000 | 303,126 | |
| 38,742,736 | |||
TOTAL CONSUMER DISCRETIONARY | 494,293,337 | ||
| CONSUMER STAPLES - 0.7% | |||
| Beverages - 0.2% | |||
| Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 4.9% 2/1/46 | 7,473,000 | 7,097,069 | |
| Anheuser-Busch InBev Finance, Inc.: | |||
| 4.7% 2/1/36 | 7,862,000 | 7,701,385 | |
| 4.9% 2/1/46 | 602,000 | 571,716 | |
| Anheuser-Busch InBev SA NV 9.75% 7/30/24 | GBP | 75,000 | 97,501 |
| Anheuser-Busch InBev Worldwide, Inc.: | |||
| 3.5% 6/1/30 | 22,095,000 | 20,734,823 | |
| 4.35% 6/1/40 | 6,274,000 | 5,754,398 | |
| 4.5% 6/1/50 | 4,359,000 | 3,950,195 | |
| 4.6% 4/15/48 | 6,544,000 | 6,013,822 | |
| 4.75% 1/23/29 | 11,220,000 | 11,300,551 | |
| 4.9% 1/23/31 | 3,568,000 | 3,682,576 | |
| 5.45% 1/23/39 | 5,480,000 | 5,690,517 | |
| 5.8% 1/23/59 (Reg. S) | 14,304,000 | 15,440,675 | |
| Constellation Brands, Inc. 2.875% 5/1/30 | 5,370,000 | 4,685,827 | |
| Molson Coors Beverage Co. 3% 7/15/26 | 1,552,000 | 1,461,386 | |
| PepsiCo, Inc.: | |||
| 2.75% 3/19/30 | 5,700,000 | 5,155,991 | |
| 3.9% 7/18/32 | 9,341,000 | 9,037,024 | |
| 108,375,456 | |||
| Consumer Staples Distribution & Retail - 0.1% | |||
| 7-Eleven, Inc. 0.95% 2/10/26 (b) | 797,000 | 717,607 | |
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
| 3.5% 3/15/29 (b) | 2,290,000 | 1,991,105 | |
| 4.625% 1/15/27 (b) | 925,000 | 879,520 | |
| 6.5% 2/15/28 (b) | 510,000 | 506,813 | |
| Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b) | 6,932,000 | 5,971,508 | |
| Dollar General Corp.: | |||
| 3.5% 4/3/30 | 6,956,000 | 6,307,453 | |
| 4.625% 11/1/27 | 2,000,000 | 1,986,022 | |
| Dollar Tree, Inc.: | |||
| 2.65% 12/1/31 | 7,473,000 | 6,174,582 | |
| 4% 5/15/25 | 8,121,000 | 7,937,433 | |
| 4.2% 5/15/28 | 3,971,000 | 3,817,499 | |
| Sysco Corp. 6.6% 4/1/50 | 30,390,000 | 33,890,711 | |
| Tesco Corporate Treasury Services PLC 5.5% 2/27/35 (Reg. S) | GBP | 1,550,000 | 1,804,233 |
| U.S. Foods, Inc.: | |||
| 4.625% 6/1/30 (b) | 130,000 | 117,016 | |
| 6.25% 4/15/25 (b) | 1,210,000 | 1,207,476 | |
| 73,308,978 | |||
| Food Products - 0.2% | |||
| Darling Ingredients, Inc.: | |||
| 5.25% 4/15/27 (b) | 615,000 | 597,844 | |
| 6% 6/15/30 (b) | 160,000 | 157,436 | |
| General Mills, Inc. 2.875% 4/15/30 | 1,277,000 | 1,139,862 | |
| JBS U.S.A. Lux SA / JBS Food Co.: | |||
| 2.5% 1/15/27 (b) | 23,449,000 | 20,488,564 | |
| 3% 2/2/29 (b) | 1,724,000 | 1,453,833 | |
| 3% 5/15/32 (b) | 21,344,000 | 16,327,029 | |
| 3.625% 1/15/32 (b) | 24,530,000 | 19,847,387 | |
| 4.375% 2/2/52 (b) | 3,413,000 | 2,282,894 | |
| 5.125% 2/1/28 (b) | 11,858,000 | 11,426,613 | |
| 5.5% 1/15/30 (b) | 33,147,000 | 31,492,302 | |
| 5.75% 4/1/33 (b) | 12,805,000 | 11,941,303 | |
| 6.5% 12/1/52 (b) | 4,982,000 | 4,506,740 | |
| JDE Peet's BV: | |||
| 1.375% 1/15/27 (b) | 3,516,000 | 3,050,839 | |
| 2.25% 9/24/31 (b) | 5,160,000 | 4,010,444 | |
| Kraft Heinz Foods Co.: | |||
| 4.875% 10/1/49 | 10,000,000 | 9,000,541 | |
| 7.125% 8/1/39 (b) | 9,489,000 | 10,547,710 | |
| Lamb Weston Holdings, Inc.: | |||
| 4.375% 1/31/32 (b) | 855,000 | 758,439 | |
| 4.875% 5/15/28 (b) | 825,000 | 796,345 | |
| Pilgrim's Pride Corp. 4.25% 4/15/31 | 740,000 | 632,053 | |
| Post Holdings, Inc. 4.625% 4/15/30 (b) | 905,000 | 792,503 | |
| Smithfield Foods, Inc. 3% 10/15/30 (b) | 1,317,000 | 1,036,954 | |
| TreeHouse Foods, Inc. 4% 9/1/28 | 390,000 | 335,603 | |
| Viterra Finance BV 4.9% 4/21/27 (b) | 8,282,000 | 7,933,051 | |
| 160,556,289 | |||
| Personal Care Products - 0.0% | |||
| BellRing Brands, Inc. 7% 3/15/30 (b) | 270,000 | 273,745 | |
| Kenvue, Inc.: | |||
| 5% 3/22/30 (b) | 6,400,000 | 6,526,012 | |
| 5.05% 3/22/28 (b) | 6,400,000 | 6,536,972 | |
| Prestige Brands, Inc. 3.75% 4/1/31 (b) | 340,000 | 279,803 | |
| 13,616,532 | |||
| Tobacco - 0.2% | |||
| Altria Group, Inc.: | |||
| 2.35% 5/6/25 | 346,000 | 327,868 | |
| 2.45% 2/4/32 | 3,659,000 | 2,865,070 | |
| 3.4% 2/4/41 | 6,414,000 | 4,395,618 | |
| 4.25% 8/9/42 | 760,000 | 587,674 | |
| 4.8% 2/14/29 | 2,436,000 | 2,382,313 | |
| BAT Capital Corp.: | |||
| 2.125% 8/15/25 | GBP | 1,225,000 | 1,398,732 |
| 2.259% 3/25/28 | 7,192,000 | 6,179,626 | |
| 2.726% 3/25/31 | 9,590,000 | 7,649,372 | |
| 3.215% 9/6/26 | 7,027,000 | 6,571,051 | |
| 3.222% 8/15/24 | 4,418,000 | 4,288,165 | |
| 3.557% 8/15/27 | 4,982,000 | 4,580,558 | |
| 3.984% 9/25/50 | 3,114,000 | 2,049,613 | |
| 4.7% 4/2/27 | 3,434,000 | 3,350,189 | |
| 7.75% 10/19/32 | 5,978,000 | 6,541,329 | |
| BAT International Finance PLC: | |||
| 1.668% 3/25/26 | 4,276,000 | 3,853,560 | |
| 4.448% 3/16/28 | 4,764,000 | 4,520,657 | |
| Imperial Tobacco Finance PLC: | |||
| 3.125% 7/26/24 (b) | 2,862,000 | 2,762,595 | |
| 3.5% 7/26/26 (b) | 4,835,000 | 4,531,420 | |
| 4.25% 7/21/25 (b) | 2,935,000 | 2,827,672 | |
| 6.125% 7/27/27 (b) | 1,197,000 | 1,217,444 | |
| Philip Morris International, Inc.: | |||
| 4.375% 11/15/41 | 1,174,000 | 984,858 | |
| 5.125% 11/17/27 | 5,500,000 | 5,556,624 | |
| 5.125% 2/15/30 | 11,162,000 | 11,046,779 | |
| 5.625% 11/17/29 | 5,449,000 | 5,582,684 | |
| 5.75% 11/17/32 | 5,790,000 | 5,933,964 | |
| Reynolds American, Inc.: | |||
| 4.45% 6/12/25 | 328,000 | 320,887 | |
| 5.7% 8/15/35 | 171,000 | 159,990 | |
| 102,466,312 | |||
TOTAL CONSUMER STAPLES | 458,323,567 | ||
| ENERGY - 1.1% | |||
| Energy Equipment & Services - 0.0% | |||
| Baker Hughes Co.: | |||
| 2.061% 12/15/26 | 656,000 | 595,419 | |
| 4.486% 5/1/30 | 7,473,000 | 7,227,549 | |
| Jonah Energy Parent LLC 12% 11/5/25 (f)(g) | 105,530 | 103,420 | |
| Technip Energies NV 1.125% 5/28/28 | EUR | 1,365,000 | 1,255,879 |
| Valaris Ltd. 8.375% 4/30/30 (b) | 380,000 | 377,302 | |
| 9,559,569 | |||
| Oil, Gas & Consumable Fuels - 1.1% | |||
| Apache Corp.: | |||
| 5.1% 9/1/40 | 330,000 | 271,425 | |
| 5.25% 2/1/42 | 495,000 | 401,905 | |
| 5.35% 7/1/49 | 80,000 | 60,968 | |
| Boardwalk Pipelines LP 4.95% 12/15/24 | 2,304,000 | 2,278,937 | |
| Canadian Natural Resources Ltd.: | |||
| 2.95% 7/15/30 | 8,571,000 | 7,413,121 | |
| 3.9% 2/1/25 | 3,591,000 | 3,492,109 | |
| 5.85% 2/1/35 | 296,000 | 289,286 | |
| 6.25% 3/15/38 | 2,434,000 | 2,493,381 | |
| Cenovus Energy, Inc.: | |||
| 2.65% 1/15/32 | 768,000 | 622,801 | |
| 3.75% 2/15/52 | 2,379,000 | 1,642,512 | |
| 4.25% 4/15/27 | 7,315,000 | 7,053,482 | |
| 5.25% 6/15/37 | 1,750,000 | 1,627,180 | |
| 5.375% 7/15/25 | 5,690,000 | 5,651,388 | |
| 5.4% 6/15/47 | 2,496,000 | 2,236,984 | |
| 6.75% 11/15/39 | 5,532,000 | 5,781,134 | |
| Centennial Resource Production LLC 5.875% 7/1/29 (b) | 145,000 | 134,850 | |
| Cheniere Corpus Christi Holdings LLC 5.875% 3/31/25 | 3,563,000 | 3,566,544 | |
| Cheniere Energy Partners LP: | |||
| 3.25% 1/31/32 | 1,045,000 | 854,986 | |
| 4% 3/1/31 | 925,000 | 814,082 | |
| Cheniere Energy, Inc. 4.625% 10/15/28 | 595,000 | 558,376 | |
| CNX Midstream Partners LP 4.75% 4/15/30 (b) | 115,000 | 95,232 | |
| Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 852,000 | 837,691 | |
| ConocoPhillips Co.: | |||
| 6.5% 2/1/39 | 2,573,000 | 2,942,933 | |
| 6.95% 4/15/29 | 1,706,000 | 1,897,106 | |
| Continental Resources, Inc. 5.75% 1/15/31 (b) | 895,000 | 852,596 | |
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
| 5.625% 5/1/27 (b) | 1,653,000 | 1,558,861 | |
| 5.75% 4/1/25 | 2,038,000 | 1,998,911 | |
| 6% 2/1/29 (b) | 1,420,000 | 1,313,670 | |
| 7.375% 2/1/31 (b) | 275,000 | 269,926 | |
| CVR Energy, Inc.: | |||
| 5.25% 2/15/25 (b) | 790,000 | 751,748 | |
| 5.75% 2/15/28 (b) | 105,000 | 88,250 | |
| DCP Midstream Operating LP: | |||
| 5.125% 5/15/29 | 17,846,000 | 17,340,735 | |
| 5.375% 7/15/25 | 5,723,000 | 5,659,882 | |
| 5.6% 4/1/44 | 2,939,000 | 2,719,294 | |
| 5.625% 7/15/27 | 620,000 | 624,294 | |
| 6.45% 11/3/36 (b) | 210,000 | 211,670 | |
| 6.75% 9/15/37 (b) | 1,198,000 | 1,257,862 | |
| 8.125% 8/16/30 | 15,000 | 16,736 | |
| Eastern Gas Transmission & Storage, Inc.: | |||
| 3% 11/15/29 | 6,572,000 | 5,835,950 | |
| 3.9% 11/15/49 | 4,359,000 | 3,147,294 | |
| EG Global Finance PLC 6.75% 2/7/25 (b) | 530,000 | 509,367 | |
| Enbridge, Inc.: | |||
| 4.25% 12/1/26 | 3,200,000 | 3,111,702 | |
| 5.5% 12/1/46 | 2,122,000 | 1,988,639 | |
| Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (b) | 435,000 | 429,563 | |
| Energy Transfer LP: | |||
| 2.9% 5/15/25 | 2,069,000 | 1,965,727 | |
| 3.75% 5/15/30 | 10,278,000 | 9,308,927 | |
| 4% 10/1/27 | 2,525,000 | 2,386,946 | |
| 4.2% 9/15/23 | 734,000 | 730,204 | |
| 4.25% 4/1/24 | 7,146,000 | 7,042,065 | |
| 4.5% 4/15/24 | 2,806,000 | 2,778,248 | |
| 4.95% 6/15/28 | 8,476,000 | 8,280,794 | |
| 5% 5/15/50 | 42,639,000 | 34,879,190 | |
| 5.25% 4/15/29 | 2,564,000 | 2,531,411 | |
| 5.4% 10/1/47 | 3,324,000 | 2,857,610 | |
| 5.75% 2/15/33 | 2,491,000 | 2,497,778 | |
| 5.8% 6/15/38 | 2,595,000 | 2,473,970 | |
| 5.875% 1/15/24 | 2,081,000 | 2,081,466 | |
| 6% 6/15/48 | 2,491,000 | 2,293,024 | |
| 6.125% 12/15/45 | 650,000 | 605,715 | |
| 6.25% 4/15/49 | 1,761,000 | 1,675,928 | |
| EnLink Midstream LLC 5.625% 1/15/28 (b) | 105,000 | 101,150 | |
| EnLink Midstream Partners LP: | |||
| 5.05% 4/1/45 | 140,000 | 108,393 | |
| 5.45% 6/1/47 | 290,000 | 230,715 | |
| 5.6% 4/1/44 | 490,000 | 393,666 | |
| EQM Midstream Partners LP: | |||
| 4.75% 1/15/31 (b) | 550,000 | 471,999 | |
| 5.5% 7/15/28 | 440,000 | 412,445 | |
| 6.5% 7/1/27 (b) | 465,000 | 454,238 | |
| 6.5% 7/15/48 | 265,000 | 216,473 | |
| 7.5% 6/1/27 (b) | 515,000 | 518,171 | |
| EQT Corp.: | |||
| 3.9% 10/1/27 | 1,440,000 | 1,337,796 | |
| 5.7% 4/1/28 | 2,186,000 | 2,174,153 | |
| Equinor ASA 1.75% 1/22/26 | 380,000 | 353,010 | |
| Florida Gas Transmission Co. LLC 4.35% 7/15/25 (b) | 2,808,000 | 2,740,892 | |
| Global Partners LP/GLP Finance Corp. 7% 8/1/27 | 2,410,000 | 2,313,600 | |
| Hess Corp.: | |||
| 4.3% 4/1/27 | 22,164,000 | 21,468,607 | |
| 5.6% 2/15/41 | 65,976,000 | 62,151,483 | |
| 5.8% 4/1/47 | 11,931,000 | 11,432,975 | |
| 7.125% 3/15/33 | 1,403,000 | 1,530,421 | |
| 7.3% 8/15/31 | 3,686,000 | 4,044,627 | |
| 7.875% 10/1/29 | 8,241,000 | 9,177,457 | |
| Hess Midstream Partners LP: | |||
| 5.125% 6/15/28 (b) | 780,000 | 730,275 | |
| 5.5% 10/15/30 (b) | 115,000 | 104,212 | |
| 5.625% 2/15/26 (b) | 4,262,000 | 4,182,088 | |
| Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
| 6% 4/15/30 (b) | 520,000 | 468,745 | |
| 6.25% 11/1/28 (b) | 185,000 | 172,818 | |
| Holly Energy Partners LP/Holly Energy Finance Corp.: | |||
| 5% 2/1/28 (b) | 910,000 | 838,320 | |
| 6.375% 4/15/27 (b) | 215,000 | 212,254 | |
| Kinder Morgan Energy Partners LP 3.5% 9/1/23 | 1,042,000 | 1,036,312 | |
| Kinder Morgan, Inc. 3.6% 2/15/51 | 26,000,000 | 17,479,124 | |
| Magellan Midstream Partners LP 3.25% 6/1/30 | 6,352,000 | 5,550,640 | |
| MPLX LP: | |||
| 1.75% 3/1/26 | 7,504,000 | 6,841,298 | |
| 2.65% 8/15/30 | 7,473,000 | 6,256,051 | |
| 4% 2/15/25 | 172,000 | 167,606 | |
| 4% 3/15/28 | 3,724,000 | 3,536,816 | |
| 4.8% 2/15/29 | 1,376,000 | 1,339,235 | |
| 4.875% 12/1/24 | 237,000 | 234,247 | |
| 4.95% 9/1/32 | 16,311,000 | 15,634,718 | |
| 5.5% 2/15/49 | 4,129,000 | 3,680,959 | |
| 5.65% 3/1/53 | 8,756,000 | 7,988,402 | |
| Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (b) | 110,000 | 92,915 | |
| New Fortress Energy, Inc.: | |||
| 6.5% 9/30/26 (b) | 1,930,000 | 1,710,454 | |
| 6.75% 9/15/25 (b) | 1,300,000 | 1,196,752 | |
| Occidental Petroleum Corp.: | |||
| 2.9% 8/15/24 | 2,843,000 | 2,735,606 | |
| 3.5% 8/15/29 | 465,000 | 403,813 | |
| 4.2% 3/15/48 | 310,000 | 230,008 | |
| 4.3% 8/15/39 | 165,000 | 129,804 | |
| 4.4% 4/15/46 | 480,000 | 363,600 | |
| 4.4% 8/15/49 | 545,000 | 406,025 | |
| 5.55% 3/15/26 | 6,151,000 | 6,135,623 | |
| 6.125% 1/1/31 | 365,000 | 370,931 | |
| 6.2% 3/15/40 | 160,000 | 156,200 | |
| 6.45% 9/15/36 | 5,135,000 | 5,224,863 | |
| 6.6% 3/15/46 | 4,886,000 | 5,009,127 | |
| 7.5% 5/1/31 | 7,400,000 | 8,037,140 | |
| 7.875% 9/15/31 | 100,000 | 110,620 | |
| 8.875% 7/15/30 | 345,000 | 397,578 | |
| Ovintiv, Inc.: | |||
| 5.15% 11/15/41 | 4,009,000 | 3,372,228 | |
| 7.375% 11/1/31 | 648,000 | 691,527 | |
| 8.125% 9/15/30 | 8,544,000 | 9,356,885 | |
| Petroleos Mexicanos: | |||
| 4.5% 1/23/26 | 4,359,000 | 3,857,759 | |
| 5.95% 1/28/31 | 3,260,000 | 2,328,129 | |
| 6.35% 2/12/48 | 1,560,000 | 900,510 | |
| 6.49% 1/23/27 | 4,247,000 | 3,657,198 | |
| 6.5% 3/13/27 | 14,914,000 | 12,865,562 | |
| 6.7% 2/16/32 | 1,635,000 | 1,219,301 | |
| 6.75% 9/21/47 | 22,490,000 | 13,525,261 | |
| 6.84% 1/23/30 | 12,004,000 | 9,318,105 | |
| 6.95% 1/28/60 | 32,166,000 | 19,047,097 | |
| 7.69% 1/23/50 | 100,606,000 | 64,865,719 | |
| Phillips 66 Co.: | |||
| 0.9% 2/15/24 | 2,173,000 | 2,102,067 | |
| 3.85% 4/9/25 | 146,000 | 142,539 | |
| Plains All American Pipeline LP/PAA Finance Corp.: | |||
| 3.55% 12/15/29 | 1,968,000 | 1,741,082 | |
| 3.8% 9/15/30 | 1,055,000 | 937,514 | |
| 3.85% 10/15/23 | 4,017,000 | 3,980,013 | |
| 4.65% 10/15/25 | 3,649,000 | 3,587,337 | |
| Rockies Express Pipeline LLC: | |||
| 4.8% 5/15/30 (b) | 735,000 | 634,739 | |
| 4.95% 7/15/29 (b) | 276,000 | 247,644 | |
| 6.875% 4/15/40 (b) | 105,000 | 90,300 | |
| Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 14,626,000 | 13,829,317 | |
| Southeast Supply Header LLC 4.25% 6/15/24 (b) | 1,472,000 | 1,394,293 | |
| Spectra Energy Partners LP: | |||
| 3.375% 10/15/26 | 2,589,000 | 2,447,830 | |
| 4.5% 3/15/45 | 543,000 | 440,148 | |
| Suncor Energy, Inc. 6.5% 6/15/38 | 2,128,000 | 2,220,249 | |
| Sunoco LP/Sunoco Finance Corp.: | |||
| 4.5% 5/15/29 | 635,000 | 565,270 | |
| 5.875% 3/15/28 | 135,000 | 130,027 | |
| 6% 4/15/27 | 1,005,000 | 988,436 | |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
| 5.5% 1/15/28 (b) | 125,000 | 112,859 | |
| 6% 12/31/30 (b) | 655,000 | 569,018 | |
| 6% 9/1/31 (b) | 270,000 | 229,613 | |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. 5.5% 3/1/30 | 135,000 | 129,703 | |
| The Williams Companies, Inc.: | |||
| 2.6% 3/15/31 | 7,660,000 | 6,335,600 | |
| 3.5% 11/15/30 | 18,113,000 | 16,236,050 | |
| 4.3% 3/4/24 | 859,000 | 849,717 | |
| 4.55% 6/24/24 | 878,000 | 867,270 | |
| 4.65% 8/15/32 | 22,370,000 | 21,163,083 | |
| 5.1% 9/15/45 | 9,765,000 | 8,640,757 | |
| 5.3% 8/15/52 | 5,092,000 | 4,595,289 | |
| 5.4% 3/2/26 | 6,100,000 | 6,149,721 | |
| 5.75% 6/24/44 | 2,747,000 | 2,629,774 | |
| TransCanada PipeLines Ltd. 4.25% 5/15/28 | 6,103,000 | 5,855,252 | |
| Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30 | 279,000 | 248,600 | |
| Venture Global Calcasieu Pass LLC: | |||
| 3.875% 8/15/29 (b) | 340,000 | 295,810 | |
| 3.875% 11/1/33 (b) | 275,000 | 225,257 | |
| 4.125% 8/15/31 (b) | 325,000 | 280,176 | |
| 6.25% 1/15/30 (b) | 380,000 | 376,724 | |
| Venture Global LNG, Inc. 8.125% 6/1/28 (b) | 505,000 | 507,525 | |
| Western Gas Partners LP: | |||
| 3.95% 6/1/25 | 1,280,000 | 1,230,996 | |
| 4.3% 2/1/30 | 14,584,000 | 12,966,276 | |
| 4.65% 7/1/26 | 2,194,000 | 2,116,191 | |
| 4.75% 8/15/28 | 1,236,000 | 1,167,143 | |
| 6.15% 4/1/33 | 4,400,000 | 4,387,416 | |
| 696,541,722 | |||
TOTAL ENERGY | 706,101,291 | ||
| FINANCIALS - 5.8% | |||
| Banks - 3.1% | |||
| AIB Group PLC: | |||
| 2.25% 4/4/28 (Reg. S) (d) | EUR | 3,400,000 | 3,307,976 |
| 2.875% 5/30/31 (Reg. S) (d) | EUR | 700,000 | 679,297 |
| 4.263% 4/10/25 (b)(d) | 3,226,000 | 3,150,773 | |
| 4.625% 7/23/29 (Reg. S) (d) | EUR | 200,000 | 210,700 |
| 7.583% 10/14/26 (b)(d) | 6,258,000 | 6,407,630 | |
| Alpha Bank SA 4.25% 2/13/30 (Reg. S) (d) | EUR | 895,000 | 829,062 |
| Banco Santander SA 2.749% 12/3/30 | 10,800,000 | 8,456,002 | |
| Bank of America Corp.: | |||
| 3 month U.S. LIBOR + 0.640% 2.015% 2/13/26 (d)(h) | 5,605,000 | 5,256,156 | |
| 1.197% 10/24/26 (d) | 6,035,000 | 5,439,437 | |
| 1.319% 6/19/26 (d) | 1,966,000 | 1,803,376 | |
| 1.734% 7/22/27 (d) | 25,000,000 | 22,295,060 | |
| 1.898% 7/23/31 (d) | 6,975,000 | 5,549,146 | |
| 2.299% 7/21/32 (d) | 50,000,000 | 39,843,183 | |
| 2.496% 2/13/31 (d) | 6,724,000 | 5,634,192 | |
| 2.592% 4/29/31 (d) | 7,784,000 | 6,537,506 | |
| 2.972% 2/4/33 (d) | 38,682,000 | 32,262,113 | |
| 3.194% 7/23/30 (d) | 10,561,000 | 9,315,460 | |
| 3.384% 4/2/26 (d) | 3,052,000 | 2,936,528 | |
| 3.419% 12/20/28 (d) | 5,193,000 | 4,775,443 | |
| 3.5% 4/19/26 | 6,078,000 | 5,855,476 | |
| 3.705% 4/24/28 (d) | 3,914,000 | 3,679,107 | |
| 3.95% 4/21/25 | 39,384,000 | 38,363,545 | |
| 3.97% 3/5/29 (d) | 3,624,000 | 3,418,194 | |
| 3.974% 2/7/30 (d) | 2,345,000 | 2,175,408 | |
| 4.1% 7/24/23 | 1,426,000 | 1,421,744 | |
| 4.183% 11/25/27 | 6,909,000 | 6,622,887 | |
| 4.2% 8/26/24 | 11,290,000 | 11,104,899 | |
| 4.25% 10/22/26 | 40,217,000 | 38,903,591 | |
| 4.271% 7/23/29 (d) | 1,207,000 | 1,147,303 | |
| 4.45% 3/3/26 | 7,724,000 | 7,553,092 | |
| 4.571% 4/27/33 (d) | 8,718,000 | 8,189,268 | |
| 4.948% 7/22/28 (d) | 5,000,000 | 4,945,534 | |
| 5.015% 7/22/33 (d) | 35,614,000 | 34,811,305 | |
| 6.11% 1/29/37 | 1,340,000 | 1,402,640 | |
| Bank of Ireland Group PLC: | |||
| 1.375% 8/11/31 (Reg. S) (d) | EUR | 4,235,000 | 3,939,993 |
| 2.029% 9/30/27 (b)(d) | 2,500,000 | 2,172,329 | |
| 4.5% 11/25/23 (b) | 3,958,000 | 3,911,933 | |
| Bank of Montreal 1.85% 5/1/25 | 2,414,000 | 2,261,403 | |
| Bank of Nova Scotia 4.5% 12/16/25 | 6,348,000 | 6,183,445 | |
| Banque Federative du Credit Mutuel SA 4.524% 7/13/25 (b) | 2,937,000 | 2,871,394 | |
| Barclays PLC: | |||
| 1.007% 12/10/24 (d) | 1,359,000 | 1,316,791 | |
| 2.279% 11/24/27 (d) | 31,514,000 | 28,000,983 | |
| 2.852% 5/7/26 (d) | 18,341,000 | 17,234,671 | |
| 3.65% 3/16/25 | 2,431,000 | 2,334,527 | |
| 3.811% 3/10/42 (d) | 7,473,000 | 5,332,496 | |
| 3.932% 5/7/25 (d) | 3,114,000 | 3,047,259 | |
| 4.375% 1/12/26 | 4,468,000 | 4,315,219 | |
| 4.836% 5/9/28 | 6,102,000 | 5,645,870 | |
| 5.088% 6/20/30 (d) | 35,939,000 | 33,370,040 | |
| 5.2% 5/12/26 | 1,556,000 | 1,509,881 | |
| 5.262% 1/29/34 (Reg. S) (d) | EUR | 510,000 | 550,375 |
| 5.304% 8/9/26 (d) | 1,387,000 | 1,366,916 | |
| 5.501% 8/9/28 (d) | 3,000,000 | 2,954,909 | |
| 5.746% 8/9/33 (d) | 2,657,000 | 2,567,440 | |
| 6.224% 5/9/34 (d) | 5,270,000 | 5,320,567 | |
| 7.437% 11/2/33 (d) | 7,898,000 | 8,609,681 | |
| 8.407% 11/14/32 (Reg. S) (d) | GBP | 750,000 | 946,929 |
| BNP Paribas SA: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 1.323% 1/13/27 (b)(d)(h) | 7,967,000 | 7,107,137 | |
| 1.904% 9/30/28 (b)(d) | 7,317,000 | 6,279,302 | |
| 2.159% 9/15/29 (b)(d) | 7,271,000 | 6,109,709 | |
| 2.219% 6/9/26 (b)(d) | 17,115,000 | 15,884,858 | |
| 2.5% 3/31/32 (Reg. S) (d) | EUR | 2,500,000 | 2,398,140 |
| 2.591% 1/20/28 (b)(d) | 2,740,000 | 2,465,984 | |
| 2.824% 1/26/41 (b) | 5,791,000 | 3,809,328 | |
| 4.125% 5/24/33 (Reg. S) | EUR | 1,900,000 | 2,039,830 |
| BPCE SA: | |||
| 1.5% 1/13/42 (Reg. S) (d) | EUR | 2,200,000 | 1,982,862 |
| 2.277% 1/20/32 (b)(d) | 7,519,000 | 5,825,525 | |
| 3.116% 10/19/32 (b)(d) | 6,103,000 | 4,718,409 | |
| 4.875% 4/1/26 (b) | 7,383,000 | 7,142,646 | |
| Canadian Imperial Bank of Commerce: | |||
| 3.45% 4/7/27 | 16,220,000 | 15,329,098 | |
| 3.6% 4/7/32 | 16,310,000 | 14,675,841 | |
| Capital One NA 2.28% 1/28/26 (d) | 1,962,000 | 1,832,918 | |
| Citigroup, Inc.: | |||
| 1.122% 1/28/27 (d) | 2,000,000 | 1,788,112 | |
| 2.666% 1/29/31 (d) | 5,106,000 | 4,341,706 | |
| 3.106% 4/8/26 (d) | 10,649,000 | 10,208,071 | |
| 3.785% 3/17/33 (d) | 6,227,000 | 5,528,970 | |
| 3.98% 3/20/30 (d) | 7,473,000 | 6,928,546 | |
| 4.075% 4/23/29 (d) | 4,606,000 | 4,352,080 | |
| 4.125% 7/25/28 | 6,909,000 | 6,485,527 | |
| 4.3% 11/20/26 | 1,766,000 | 1,704,098 | |
| 4.4% 6/10/25 | 20,170,000 | 19,697,417 | |
| 4.412% 3/31/31 (d) | 40,428,000 | 38,237,638 | |
| 4.45% 9/29/27 | 21,445,000 | 20,605,783 | |
| 4.6% 3/9/26 | 19,167,000 | 18,700,673 | |
| 4.91% 5/24/33 (d) | 3,274,000 | 3,182,991 | |
| 5.3% 5/6/44 | 9,501,000 | 8,690,543 | |
| 5.5% 9/13/25 | 7,738,000 | 7,736,261 | |
| 5.875% 7/1/24 (Reg. S) | GBP | 1,100,000 | 1,357,809 |
| 6.174% 5/25/34 (d) | 17,301,000 | 17,545,774 | |
| 8.125% 7/15/39 | 1,076,000 | 1,366,722 | |
| Citizens Financial Group, Inc. 2.638% 9/30/32 | 11,627,000 | 7,974,778 | |
| Commerzbank AG 8.625% 2/28/33 (Reg. S) (d) | GBP | 200,000 | 244,370 |
| Commonwealth Bank of Australia: | |||
| 2.688% 3/11/31 (b) | 3,046,000 | 2,400,386 | |
| 3.61% 9/12/34 (b)(d) | 3,723,000 | 3,165,326 | |
| 3.784% 3/14/32 (b) | 16,472,000 | 13,777,352 | |
| Credit Agricole SA: | |||
| 1.25% 10/2/24 (Reg. S) | GBP | 500,000 | 585,764 |
| 2.811% 1/11/41 (b) | 4,167,000 | 2,731,766 | |
| 4.875% 10/23/29 (Reg. S) | GBP | 400,000 | 475,696 |
| Danske Bank A/S: | |||
| 2.25% 1/14/28 (Reg. S) (d) | GBP | 1,760,000 | 1,860,945 |
| 3.875% 9/12/23 (b) | 1,035,000 | 1,027,537 | |
| 4.625% 4/13/27 (Reg. S) (d) | GBP | 500,000 | 598,733 |
| DNB Bank ASA: | |||
| 1.535% 5/25/27 (b)(d) | 51,990,000 | 46,118,042 | |
| 1.605% 3/30/28 (b)(d) | 3,208,000 | 2,789,917 | |
| Fifth Third Bancorp 8.25% 3/1/38 | 2,155,000 | 2,429,933 | |
| First Citizens Bank & Trust Co.: | |||
| 3.929% 6/19/24 (d) | 2,160,000 | 2,134,548 | |
| 6.125% 3/9/28 | 40,920,000 | 40,621,046 | |
| HAT Holdings I LLC/HAT Holdings II LLC 3.375% 6/15/26 (b) | 350,000 | 306,250 | |
| HSBC Holdings PLC: | |||
| 0.976% 5/24/25 (d) | 862,000 | 818,896 | |
| 1.645% 4/18/26 (d) | 4,312,000 | 3,979,679 | |
| 2.251% 11/22/27 (d) | 38,869,000 | 34,569,406 | |
| 2.357% 8/18/31 (d) | 15,444,000 | 12,427,807 | |
| 2.848% 6/4/31 (d) | 6,103,000 | 5,098,162 | |
| 2.999% 3/10/26 (d) | 2,759,000 | 2,620,045 | |
| 4.041% 3/13/28 (d) | 3,739,000 | 3,527,892 | |
| 4.25% 3/14/24 | 1,433,000 | 1,410,167 | |
| 4.292% 9/12/26 (d) | 1,724,000 | 1,666,661 | |
| 4.762% 3/29/33 (d) | 7,815,000 | 7,073,411 | |
| 4.787% 3/10/32 (Reg. S) (d) | EUR | 1,270,000 | 1,371,822 |
| 4.856% 5/23/33 (Reg. S) (d) | EUR | 1,600,000 | 1,731,105 |
| 4.95% 3/31/30 | 2,810,000 | 2,746,172 | |
| 5.21% 8/11/28 (d) | 4,064,000 | 4,005,189 | |
| 5.25% 3/14/44 | 1,039,000 | 922,718 | |
| 5.402% 8/11/33 (d) | 5,345,000 | 5,230,897 | |
| 7.39% 11/3/28 (d) | 900,000 | 961,406 | |
| 8.201% 11/16/34 (Reg. S) (d) | GBP | 1,000,000 | 1,288,732 |
| Huntington Bancshares, Inc.: | |||
| 2.487% 8/15/36 (d) | 6,200,000 | 4,359,192 | |
| 4.443% 8/4/28 (d) | 6,438,000 | 5,982,140 | |
| Huntington National Bank 5.699% 11/18/25 (d) | 3,900,000 | 3,699,150 | |
| ING Groep NV: | |||
| 1.726% 4/1/27 (d) | 1,250,000 | 1,120,555 | |
| 4.017% 3/28/28 (d) | 9,341,000 | 8,848,219 | |
| 4.252% 3/28/33 (d) | 6,227,000 | 5,700,265 | |
| 4.75% 5/23/34 (Reg. S) (d) | EUR | 2,600,000 | 2,799,650 |
| Intesa Sanpaolo SpA: | |||
| 4.198% 6/1/32 (b)(d) | 17,320,000 | 13,104,519 | |
| 5.017% 6/26/24 (b) | 10,324,000 | 10,042,249 | |
| 5.71% 1/15/26 (b) | 94,108,000 | 89,582,127 | |
| JPMorgan Chase & Co.: | |||
| 1.045% 11/19/26 (d) | 2,014,000 | 1,813,553 | |
| 1.47% 9/22/27 (d) | 3,410,000 | 3,022,081 | |
| 2.069% 6/1/29 (d) | 7,286,000 | 6,304,313 | |
| 2.083% 4/22/26 (d) | 2,448,000 | 2,301,683 | |
| 2.522% 4/22/31 (d) | 4,724,000 | 4,011,328 | |
| 2.58% 4/22/32 (d) | 1,300,000 | 1,082,295 | |
| 2.739% 10/15/30 (d) | 9,341,000 | 8,093,665 | |
| 2.947% 2/24/28 (d) | 6,239,000 | 5,774,162 | |
| 2.956% 5/13/31 (d) | 11,536,000 | 9,855,318 | |
| 2.963% 1/25/33 (d) | 9,341,000 | 7,906,005 | |
| 3.797% 7/23/24 (d) | 1,669,000 | 1,664,168 | |
| 3.875% 9/10/24 | 1,782,000 | 1,747,255 | |
| 4.125% 12/15/26 | 17,128,000 | 16,771,229 | |
| 4.25% 10/1/27 | 3,379,000 | 3,296,967 | |
| 4.323% 4/26/28 (d) | 9,341,000 | 9,092,184 | |
| 4.586% 4/26/33 (d) | 50,039,000 | 47,986,844 | |
| 4.912% 7/25/33 (d) | 112,454,000 | 110,586,430 | |
| 5.717% 9/14/33 (d) | 65,636,000 | 66,421,402 | |
| Jyske Bank A/S 5% 10/26/28 (d) | EUR | 600,000 | 641,883 |
| KBC Group NV 5.796% 1/19/29 (b)(d) | 6,314,000 | 6,362,365 | |
| Lloyds Bank Corporate Markets PLC: | |||
| 1.5% 6/23/23 (Reg. S) | GBP | 470,000 | 583,218 |
| 1.75% 7/11/24 (Reg. S) | GBP | 500,000 | 594,208 |
| Lloyds Banking Group PLC: | |||
| 1.985% 12/15/31 (d) | GBP | 1,195,000 | 1,254,323 |
| 2.438% 2/5/26 (d) | 575,000 | 543,095 | |
| 3.87% 7/9/25 (d) | 3,425,000 | 3,342,048 | |
| 4.375% 3/22/28 | 4,320,000 | 4,159,513 | |
| 4.5% 1/11/29 (Reg. S) (d) | EUR | 630,000 | 675,507 |
| 4.976% 8/11/33 (d) | 6,517,000 | 6,166,664 | |
| 7.953% 11/15/33 (d) | 6,196,000 | 6,770,002 | |
| Mitsubishi UFJ Financial Group, Inc.: | |||
| 1.412% 7/17/25 | 2,000,000 | 1,833,176 | |
| 1.538% 7/20/27 (d) | 3,276,000 | 2,899,769 | |
| 1.64% 10/13/27 (d) | 4,211,000 | 3,712,834 | |
| 2.193% 2/25/25 | 2,462,000 | 2,324,068 | |
| 4.05% 9/11/28 | 1,724,000 | 1,655,279 | |
| 4.08% 4/19/28 (d) | 9,123,000 | 8,710,065 | |
| 5.017% 7/20/28 (d) | 4,690,000 | 4,635,508 | |
| Mizuho Financial Group, Inc.: | |||
| 1.234% 5/22/27 (d) | 5,448,000 | 4,805,686 | |
| 1.554% 7/9/27 (d) | 2,200,000 | 1,945,129 | |
| 2.564% 9/13/31 | 10,586,000 | 8,360,579 | |
| 4.254% 9/11/29 (d) | 1,035,000 | 979,393 | |
| NatWest Group PLC: | |||
| 1.642% 6/14/27 (d) | 1,207,000 | 1,068,385 | |
| 3.073% 5/22/28 (d) | 9,914,000 | 9,009,589 | |
| 3.619% 3/29/29 (Reg. S) (d) | GBP | 1,600,000 | 1,756,704 |
| 3.622% 8/14/30 (Reg. S) (d) | GBP | 3,400,000 | 3,937,599 |
| 4.519% 6/25/24 (d) | 2,372,000 | 2,367,697 | |
| 4.8% 4/5/26 | 19,815,000 | 19,531,800 | |
| 5.125% 5/28/24 | 35,958,000 | 35,431,493 | |
| 5.847% 3/2/27 (d) | 6,200,000 | 6,216,875 | |
| 7.416% 6/6/33 (Reg. S) (d) | GBP | 850,000 | 1,050,569 |
| Nordea Bank ABP 4.125% 5/5/28 (Reg. S) | EUR | 1,700,000 | 1,819,663 |
| PNC Financial Services Group, Inc. 5.068% 1/24/34 (d) | 15,132,000 | 14,609,803 | |
| Rabobank Nederland: | |||
| 1.98% 12/15/27 (b)(d) | 3,614,000 | 3,185,023 | |
| 3.649% 4/6/28 (b)(d) | 6,943,000 | 6,476,095 | |
| 3.75% 7/21/26 | 4,206,000 | 3,949,322 | |
| 4% 1/10/30 (Reg. S) | EUR | 800,000 | 848,400 |
| 4.375% 8/4/25 | 4,789,000 | 4,663,386 | |
| Regions Financial Corp. 2.25% 5/18/25 | 1,067,000 | 984,946 | |
| Royal Bank of Canada 4.65% 1/27/26 | 661,000 | 650,260 | |
| Santander Holdings U.S.A., Inc.: | |||
| 2.49% 1/6/28 (d) | 7,024,000 | 6,138,105 | |
| 5.807% 9/9/26 (d) | 3,713,000 | 3,664,098 | |
| 6.499% 3/9/29 (d) | 2,743,000 | 2,780,844 | |
| Societe Generale: | |||
| 1.038% 6/18/25 (b)(d) | 75,000,000 | 70,630,589 | |
| 1.488% 12/14/26 (b)(d) | 21,416,000 | 18,872,191 | |
| 1.792% 6/9/27 (b)(d) | 2,160,000 | 1,886,468 | |
| 2.625% 10/16/24 (b) | 436,000 | 414,183 | |
| 3.625% 3/1/41 (b) | 7,784,000 | 4,882,367 | |
| 4.25% 4/14/25 (b) | 9,840,000 | 9,418,447 | |
| 4.677% 6/15/27 (b) | 4,831,000 | 4,690,481 | |
| 4.75% 11/24/25 (b) | 8,022,000 | 7,619,640 | |
| 6.221% 6/15/33 (b)(d) | 8,407,000 | 7,827,608 | |
| 6.446% 1/10/29 (b)(d) | 6,850,000 | 6,906,196 | |
| 6.691% 1/10/34 (b)(d) | 550,000 | 563,408 | |
| 7.367% 1/10/53 (b) | 3,114,000 | 2,987,595 | |
| Standard Chartered PLC 3.785% 5/21/25 (b)(d) | 4,320,000 | 4,216,083 | |
| Sumitomo Mitsui Financial Group, Inc. 1.402% 9/17/26 | 3,035,000 | 2,682,341 | |
| Synchrony Bank 5.625% 8/23/27 | 2,097,000 | 1,957,825 | |
| The Toronto-Dominion Bank 2.8% 3/10/27 | 2,626,000 | 2,415,435 | |
| Truist Financial Corp.: | |||
| 4.123% 6/6/28 (d) | 2,000,000 | 1,891,733 | |
| 4.26% 7/28/26 (d) | 3,031,000 | 2,913,889 | |
| 5.122% 1/26/34 (d) | 4,235,000 | 4,045,608 | |
| UniCredit SpA: | |||
| 1.982% 6/3/27 (b)(d) | 6,165,000 | 5,453,218 | |
| 2.731% 1/15/32 (Reg. S) (d) | EUR | 3,365,000 | 3,147,818 |
| Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (d) | GBP | 1,075,000 | 1,220,571 |
| Wells Fargo & Co.: | |||
| 2.125% 12/20/23 (Reg. S) | GBP | 475,000 | 579,384 |
| 2.164% 2/11/26 (d) | 2,935,000 | 2,771,455 | |
| 2.188% 4/30/26 (d) | 10,957,000 | 10,307,439 | |
| 2.406% 10/30/25 (d) | 7,739,000 | 7,394,177 | |
| 2.879% 10/30/30 (d) | 2,200,000 | 1,903,603 | |
| 3.068% 4/30/41 (d) | 7,784,000 | 5,654,896 | |
| 3.526% 3/24/28 (d) | 25,667,000 | 24,056,878 | |
| 4.3% 7/22/27 | 28,701,000 | 27,658,736 | |
| 4.478% 4/4/31 (d) | 19,300,000 | 18,367,797 | |
| 4.897% 7/25/33 (d) | 106,510,000 | 102,744,101 | |
| Wells Fargo Bank NA 5.25% 8/1/23 (Reg. S) | GBP | 450,000 | 558,856 |
| Westpac Banking Corp.: | |||
| U.S. TREASURY 1 YEAR INDEX + 2.680% 5.405% 8/10/33 (d)(h) | 12,205,000 | 11,560,221 | |
| 4.11% 7/24/34 (d) | 5,791,000 | 5,121,359 | |
| Zions Bancorp NA 3.25% 10/29/29 | 5,124,000 | 3,652,700 | |
| 2,021,840,160 | |||
| Capital Markets - 1.0% | |||
| Affiliated Managers Group, Inc. 4.25% 2/15/24 | 1,396,000 | 1,379,317 | |
| Ares Capital Corp.: | |||
| 3.25% 7/15/25 | 42,000,000 | 38,845,149 | |
| 3.875% 1/15/26 | 22,188,000 | 20,594,110 | |
| 4.2% 6/10/24 | 15,463,000 | 15,078,775 | |
| Blackstone Holdings Finance Co. LLC: | |||
| 2.8% 9/30/50 (b) | 1,245,000 | 703,896 | |
| 3.5% 9/10/49 (b) | 4,614,000 | 3,036,813 | |
| Coinbase Global, Inc. 3.625% 10/1/31 (b) | 695,000 | 404,821 | |
| Credit Suisse Group AG: | |||
| 1.305% 2/2/27 (b)(d) | 3,100,000 | 2,676,850 | |
| 2.125% 10/13/26 (Reg. S) (d) | EUR | 2,500,000 | 2,473,729 |
| 2.125% 11/15/29 (Reg. S) (d) | GBP | 1,300,000 | 1,272,889 |
| 2.593% 9/11/25 (b)(d) | 17,956,000 | 16,899,469 | |
| 3.091% 5/14/32 (b)(d) | 5,293,000 | 4,254,857 | |
| 3.75% 3/26/25 | 9,717,000 | 9,124,263 | |
| 4.194% 4/1/31 (b)(d) | 44,614,000 | 39,210,798 | |
| 4.207% 6/12/24 (b)(d) | 4,655,000 | 4,593,787 | |
| 4.282% 1/9/28 (b) | 2,250,000 | 2,056,838 | |
| 4.55% 4/17/26 | 7,884,000 | 7,410,960 | |
| 6.373% 7/15/26 (b)(d) | 2,345,000 | 2,307,926 | |
| 6.537% 8/12/33 (b)(d) | 7,161,000 | 7,308,302 | |
| 9.016% 11/15/33 (b)(d) | 2,086,000 | 2,474,163 | |
| Deutsche Bank AG: | |||
| 3.25% 5/24/28 (Reg. S) (d) | EUR | 1,000,000 | 986,691 |
| 4% 6/24/32 (Reg. S) (d) | EUR | 2,300,000 | 2,180,363 |
| 4.5% 4/1/25 | 45,198,000 | 42,192,161 | |
| 6.125% 12/12/30 (Reg. S) (d) | GBP | 1,900,000 | 2,223,146 |
| Deutsche Bank AG New York Branch: | |||
| 0.898% 5/28/24 | 930,000 | 881,837 | |
| 1.447% 4/1/25 (d) | 2,036,000 | 1,918,038 | |
| 2.129% 11/24/26 (d) | 11,245,000 | 9,975,119 | |
| 2.222% 9/18/24 (d) | 2,318,000 | 2,273,341 | |
| 2.311% 11/16/27 (d) | 27,513,000 | 23,672,128 | |
| 3.035% 5/28/32 (d) | 4,028,000 | 3,195,445 | |
| 3.729% 1/14/32 (d) | 10,000,000 | 7,492,970 | |
| 4.1% 1/13/26 | 8,332,000 | 7,765,434 | |
| 6.72% 1/18/29 (d) | 2,294,000 | 2,303,168 | |
| Goldman Sachs Group, Inc.: | |||
| 2.383% 7/21/32 (d) | 18,425,000 | 14,835,277 | |
| 3.102% 2/24/33 (d) | 40,000,000 | 33,919,466 | |
| 4.25% 10/21/25 | 12,215,000 | 11,900,531 | |
| 4.482% 8/23/28 (d) | 9,365,000 | 9,098,371 | |
| 6.75% 10/1/37 | 59,592,000 | 63,599,669 | |
| Hightower Holding LLC 6.75% 4/15/29 (b) | 835,000 | 719,653 | |
| Intercontinental Exchange, Inc. 4.35% 6/15/29 | 3,724,000 | 3,672,423 | |
| Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b) | 155,000 | 132,157 | |
| LPL Holdings, Inc. 4% 3/15/29 (b) | 1,070,000 | 939,559 | |
| Moody's Corp.: | |||
| 3.25% 1/15/28 | 4,414,000 | 4,154,548 | |
| 3.75% 3/24/25 | 1,371,000 | 1,332,969 | |
| Morgan Stanley: | |||
| 0.79% 5/30/25 (d) | 862,000 | 816,983 | |
| 1.794% 2/13/32 (d) | 7,317,000 | 5,689,599 | |
| 2.188% 4/28/26 (d) | 9,226,000 | 8,710,395 | |
| 2.239% 7/21/32 (d) | 4,900,000 | 3,908,978 | |
| 2.475% 1/21/28 (d) | 5,000,000 | 4,538,975 | |
| 2.699% 1/22/31 (d) | 6,227,000 | 5,322,724 | |
| 3.125% 7/27/26 | 14,775,000 | 13,935,017 | |
| 3.622% 4/1/31 (d) | 17,370,000 | 15,700,042 | |
| 3.625% 1/20/27 | 16,594,000 | 15,900,758 | |
| 3.7% 10/23/24 | 4,754,000 | 4,647,525 | |
| 3.875% 4/29/24 | 4,377,000 | 4,316,092 | |
| 3.875% 1/27/26 | 1,586,000 | 1,543,978 | |
| 4.3% 1/27/45 | 530,000 | 459,087 | |
| 4.656% 3/2/29 (d) | EUR | 700,000 | 760,626 |
| 4.889% 7/20/33 (d) | 49,499,000 | 47,780,707 | |
| 5% 11/24/25 | 21,351,000 | 21,300,393 | |
| 6.342% 10/18/33 (d) | 14,945,000 | 16,004,603 | |
| MSCI, Inc.: | |||
| 3.25% 8/15/33 (b) | 215,000 | 172,199 | |
| 3.875% 2/15/31 (b) | 595,000 | 512,180 | |
| Peachtree Corners Funding Trust 3.976% 2/15/25 (b) | 4,211,000 | 4,080,098 | |
| S&P Global, Inc.: | |||
| 2.45% 3/1/27 | 2,414,000 | 2,240,581 | |
| 3.9% 3/1/62 | 2,414,000 | 1,944,960 | |
| State Street Corp. 2.901% 3/30/26 (d) | 1,245,000 | 1,189,076 | |
| UBS Group AG: | |||
| 1.008% 7/30/24 (b)(d) | 1,434,000 | 1,420,155 | |
| 1.494% 8/10/27 (b)(d) | 11,792,000 | 10,166,129 | |
| 3.126% 8/13/30 (b)(d) | 5,359,000 | 4,588,547 | |
| 4.75% 3/17/32 (Reg. S) (d) | EUR | 1,050,000 | 1,118,022 |
| 4.988% 8/5/33 (b)(d) | 10,462,000 | 9,849,764 | |
| 4.988% 8/5/33 (Reg. S) (d) | 300,000 | 282,444 | |
| 642,372,813 | |||
| Consumer Finance - 0.9% | |||
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
| 1.65% 10/29/24 | 50,502,000 | 47,412,905 | |
| 1.75% 1/30/26 | 20,487,000 | 18,346,583 | |
| 2.45% 10/29/26 | 14,854,000 | 13,245,406 | |
| 2.875% 8/14/24 | 8,576,000 | 8,238,199 | |
| 3% 10/29/28 | 16,306,000 | 14,137,847 | |
| 3.3% 1/30/32 | 10,939,000 | 8,890,325 | |
| 3.4% 10/29/33 | 2,691,000 | 2,141,283 | |
| 3.85% 10/29/41 | 4,396,000 | 3,298,705 | |
| 4.45% 4/3/26 | 4,254,000 | 4,077,549 | |
| 4.875% 1/16/24 | 6,850,000 | 6,790,582 | |
| 5.75% 6/6/28 | 6,700,000 | 6,643,380 | |
| 6.5% 7/15/25 | 7,188,000 | 7,240,895 | |
| Ally Financial, Inc.: | |||
| 1.45% 10/2/23 | 4,230,000 | 4,162,332 | |
| 2.2% 11/2/28 | 8,669,000 | 6,913,086 | |
| 3.05% 6/5/23 | 21,882,000 | 21,868,645 | |
| 3.875% 5/21/24 | 10,120,000 | 9,793,872 | |
| 4.625% 3/30/25 | 4,630,000 | 4,455,895 | |
| 4.75% 6/9/27 | 3,759,000 | 3,508,848 | |
| 5.125% 9/30/24 | 6,914,000 | 6,752,172 | |
| 5.75% 11/20/25 | 5,507,000 | 5,348,214 | |
| 5.8% 5/1/25 | 10,661,000 | 10,536,844 | |
| 7.1% 11/15/27 | 17,330,000 | 17,704,957 | |
| 8% 11/1/31 | 17,833,000 | 18,594,068 | |
| Capital One Financial Corp.: | |||
| 1.878% 11/2/27 (d) | 5,931,000 | 5,120,367 | |
| 2.359% 7/29/32 (d) | 17,080,000 | 12,164,807 | |
| 2.636% 3/3/26 (d) | 13,528,000 | 12,669,672 | |
| 3.2% 2/5/25 | 1,207,000 | 1,150,300 | |
| 3.273% 3/1/30 (d) | 12,200,000 | 10,454,488 | |
| 3.65% 5/11/27 | 21,700,000 | 20,347,264 | |
| 3.8% 1/31/28 | 10,723,000 | 9,931,897 | |
| 3.9% 1/29/24 | 1,545,000 | 1,526,048 | |
| 4.927% 5/10/28 (d) | 6,900,000 | 6,626,023 | |
| 4.985% 7/24/26 (d) | 17,135,000 | 16,763,342 | |
| 5.247% 7/26/30 (d) | 19,853,000 | 18,806,611 | |
| 5.268% 5/10/33 (d) | 11,209,000 | 10,693,340 | |
| 5.468% 2/1/29 (d) | 2,066,000 | 2,006,557 | |
| 5.817% 2/1/34 (d) | 3,589,000 | 3,484,185 | |
| Discover Financial Services: | |||
| 3.95% 11/6/24 | 1,874,000 | 1,810,475 | |
| 4.1% 2/9/27 | 13,375,000 | 12,464,894 | |
| 4.5% 1/30/26 | 7,399,000 | 7,170,921 | |
| 6.7% 11/29/32 | 6,410,000 | 6,640,238 | |
| Ford Motor Credit Co. LLC: | |||
| 2.3% 2/10/25 | 1,654,000 | 1,543,718 | |
| 2.7% 8/10/26 | 5,665,000 | 5,013,573 | |
| 2.9% 2/10/29 | 275,000 | 223,720 | |
| 3.375% 11/13/25 | 9,760,000 | 9,002,110 | |
| 3.625% 6/17/31 | 5,000,000 | 4,043,699 | |
| 4% 11/13/30 | 17,230,000 | 14,478,205 | |
| 4.063% 11/1/24 | 51,621,000 | 49,891,103 | |
| 4.125% 8/17/27 | 19,335,000 | 17,465,878 | |
| 4.687% 6/9/25 | 430,000 | 413,368 | |
| 4.95% 5/28/27 | 20,213,000 | 18,919,301 | |
| 5.113% 5/3/29 | 1,320,000 | 1,208,492 | |
| 5.125% 6/16/25 | 320,000 | 310,243 | |
| 5.584% 3/18/24 | 8,520,000 | 8,467,204 | |
| 6.86% 6/5/26 | GBP | 1,150,000 | 1,412,180 |
| 6.95% 3/6/26 | 195,000 | 195,411 | |
| OneMain Finance Corp.: | |||
| 3.5% 1/15/27 | 2,190,000 | 1,820,635 | |
| 3.875% 9/15/28 | 1,350,000 | 1,061,438 | |
| Synchrony Financial: | |||
| 3.95% 12/1/27 | 8,239,000 | 7,114,547 | |
| 4.25% 8/15/24 | 10,059,000 | 9,548,363 | |
| 4.375% 3/19/24 | 11,326,000 | 10,970,477 | |
| 5.15% 3/19/29 | 18,424,000 | 16,316,473 | |
| 589,354,159 | |||
| Financial Services - 0.4% | |||
| AGPS BondCo PLC: | |||
| 4.625% 1/14/26 (Reg. S) (d) | EUR | 500,000 | 224,469 |
| 5% 4/27/27 (Reg. S) | EUR | 5,500,000 | 2,175,212 |
| Altus Midstream LP 5.875% 6/15/30 (b) | 245,000 | 232,138 | |
| Aon Corp. / Aon Global Holdings PLC 2.6% 12/2/31 | 2,057,000 | 1,704,632 | |
| Athene Global Funding: | |||
| 0.95% 1/8/24 (b) | 2,330,000 | 2,247,003 | |
| 1.45% 1/8/26 (b) | 11,178,000 | 9,856,245 | |
| 1.73% 10/2/26 (b) | 4,975,000 | 4,283,592 | |
| 2.5% 3/24/28 (b) | 6,975,000 | 5,849,986 | |
| 2.646% 10/4/31 (b) | 3,414,000 | 2,592,845 | |
| Blackstone Private Credit Fund: | |||
| 4.7% 3/24/25 | 31,043,000 | 29,956,362 | |
| 4.875% 4/14/26 | GBP | 2,200,000 | 2,458,486 |
| 7.05% 9/29/25 | 20,620,000 | 20,558,480 | |
| Block, Inc. 2.75% 6/1/26 | 265,000 | 238,471 | |
| Brixmor Operating Partnership LP: | |||
| 2.25% 4/1/28 | 2,355,000 | 1,991,630 | |
| 3.85% 2/1/25 | 1,010,000 | 970,479 | |
| 4.05% 7/1/30 | 10,487,000 | 9,456,197 | |
| 4.125% 6/15/26 | 5,827,000 | 5,492,198 | |
| 4.125% 5/15/29 | 20,383,000 | 18,469,819 | |
| Corebridge Financial, Inc.: | |||
| 3.65% 4/5/27 | 1,888,000 | 1,766,532 | |
| 3.85% 4/5/29 | 8,901,000 | 8,024,957 | |
| 3.9% 4/5/32 | 10,561,000 | 9,159,562 | |
| 4.35% 4/5/42 | 2,247,000 | 1,796,961 | |
| 4.4% 4/5/52 | 6,648,000 | 5,059,614 | |
| Emerald Debt Merger Sub LLC 6.625% 12/15/30 (b) | 595,000 | 590,240 | |
| Equitable Holdings, Inc.: | |||
| 4.35% 4/20/28 | 9,527,000 | 9,040,231 | |
| 5% 4/20/48 | 1,855,000 | 1,562,067 | |
| Fiserv, Inc. 3.5% 7/1/29 | 2,350,000 | 2,152,066 | |
| GGAM Finance Ltd. 7.75% 5/15/26 (b)(i) | 635,000 | 630,079 | |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
| 4.75% 9/15/24 | 740,000 | 692,443 | |
| 5.25% 5/15/27 | 1,155,000 | 949,988 | |
| 6.25% 5/15/26 | 2,206,000 | 1,931,412 | |
| Jackson Financial, Inc.: | |||
| 3.125% 11/23/31 | 11,346,000 | 8,796,686 | |
| 4% 11/23/51 | 3,736,000 | 2,447,743 | |
| 5.17% 6/8/27 | 10,297,000 | 9,846,217 | |
| 5.67% 6/8/32 | 22,129,000 | 21,100,926 | |
| Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S) | EUR | 2,050,000 | 1,716,578 |
| Nationwide Building Society 6.178% 12/7/27 (Reg. S) (d) | GBP | 700,000 | 862,958 |
| Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 7,300,000 | 7,220,929 | |
| Pine Street Trust I 4.572% 2/15/29 (b) | 7,749,000 | 7,229,499 | |
| Pine Street Trust II 5.568% 2/15/49 (b) | 7,700,000 | 6,674,872 | |
| Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. 3.625% 3/1/29 (b) | 655,000 | 540,153 | |
| Rexford Industrial Realty LP 2.15% 9/1/31 | 2,886,000 | 2,263,219 | |
| The Western Union Co.: | |||
| 2.85% 1/10/25 | 433,000 | 413,981 | |
| 4.25% 6/9/23 | 1,897,000 | 1,896,259 | |
| VMED O2 UK Financing I PLC 4.25% 1/31/31 (b) | 1,805,000 | 1,453,689 | |
| Voya Financial, Inc.: | |||
| 4.7% 1/23/48 (d) | 3,132,000 | 2,560,890 | |
| 5.7% 7/15/43 | 1,458,000 | 1,388,927 | |
| 238,527,922 | |||
| Insurance - 0.4% | |||
| AFLAC, Inc. 3.6% 4/1/30 | 387,000 | 357,524 | |
| AIA Group Ltd.: | |||
| 0.88% 9/9/33 (Reg. S) (d) | EUR | 705,000 | 597,291 |
| 3.2% 9/16/40 (b) | 1,085,000 | 814,523 | |
| 3.375% 4/7/30 (b) | 2,900,000 | 2,665,984 | |
| 3.6% 4/9/29 (b) | 2,180,000 | 2,050,051 | |
| 3.9% 4/6/28 (b) | 5,555,000 | 5,371,251 | |
| Alliant Holdings Intermediate LLC 4.25% 10/15/27 (b) | 820,000 | 737,601 | |
| American International Group, Inc.: | |||
| 2.5% 6/30/25 | 1,288,000 | 1,220,790 | |
| 5.75% 4/1/48 (d) | 3,579,000 | 3,437,630 | |
| AmFam Holdings, Inc. 2.805% 3/11/31 (b) | 5,464,000 | 4,106,960 | |
| Aon Corp. 6.25% 9/30/40 | 142,000 | 149,977 | |
| Aon PLC 3.875% 12/15/25 | 2,143,000 | 2,076,631 | |
| Assurant, Inc. 2.65% 1/15/32 | 7,753,000 | 5,873,188 | |
| Athene Holding Ltd.: | |||
| 3.45% 5/15/52 | 6,850,000 | 4,123,818 | |
| 3.95% 5/25/51 | 1,604,000 | 1,052,891 | |
| 6.65% 2/1/33 | 5,044,000 | 5,075,870 | |
| Brown & Brown, Inc. 2.375% 3/15/31 | 3,550,000 | 2,858,186 | |
| Credit Agricole Assurances SA 4.75% 9/27/48 (d) | EUR | 2,200,000 | 2,240,854 |
| Demeter Investments BV 5.625% 8/15/52 (Reg. S) (d) | 5,775,000 | 5,414,063 | |
| Empower Finance 2020 LP: | |||
| 1.357% 9/17/27 (b) | 1,474,000 | 1,267,945 | |
| 3.075% 9/17/51 (b) | 3,522,000 | 2,246,112 | |
| Equitable Financial Life Global Funding: | |||
| 1.3% 7/12/26 (b) | 1,724,000 | 1,515,988 | |
| 1.4% 8/27/27 (b) | 1,724,000 | 1,462,582 | |
| 1.7% 11/12/26 (b) | 4,197,000 | 3,692,461 | |
| Fairfax Financial Holdings Ltd.: | |||
| 3.375% 3/3/31 | 3,434,000 | 2,905,440 | |
| 5.625% 8/16/32 | 13,389,000 | 13,105,674 | |
| Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (d) | EUR | 800,000 | 743,441 |
| Five Corners Funding Trust II 2.85% 5/15/30 (b) | 21,030,000 | 17,950,926 | |
| Hartford Financial Services Group, Inc. 4.3% 4/15/43 | 679,000 | 550,987 | |
| Intact Financial Corp. 5.459% 9/22/32 (b) | 7,368,000 | 7,383,416 | |
| Liberty Mutual Group, Inc.: | |||
| 3.95% 5/15/60 (b) | 12,820,000 | 8,748,200 | |
| 5.5% 6/15/52 (b) | 5,885,000 | 5,470,377 | |
| Lincoln National Corp. 3.4% 1/15/31 | 14,811,000 | 12,227,202 | |
| Marsh & McLennan Companies, Inc. 3.875% 3/15/24 | 835,000 | 824,078 | |
| Massachusetts Mutual Life Insurance Co.: | |||
| 3.2% 12/1/61 (b) | 6,056,000 | 3,905,092 | |
| 3.729% 10/15/70 (b) | 1,622,000 | 1,092,945 | |
| Pacific LifeCorp: | |||
| 3.35% 9/15/50 (b) | 7,037,000 | 4,845,615 | |
| 5.125% 1/30/43 (b) | 3,343,000 | 3,088,683 | |
| Pricoa Global Funding I: | |||
| 5.375% 5/15/45 (d) | 3,148,000 | 2,997,840 | |
| 5.625% 6/15/43 (d) | 2,796,000 | 2,794,602 | |
| Principal Financial Group, Inc. 3.7% 5/15/29 | 1,714,000 | 1,588,648 | |
| Prudential Financial, Inc.: | |||
| 3.935% 12/7/49 | 843,000 | 658,866 | |
| 6% 9/1/52 (d) | 31,987,000 | 31,225,709 | |
| Prudential Funding Asia PLC 2.95% 11/3/33 (Reg. S) (d) | 3,700,000 | 3,148,700 | |
| QBE Insurance Group Ltd.: | |||
| 2.5% 9/13/38 (Reg. S) (d) | GBP | 1,705,000 | 1,646,749 |
| 6.75% 12/2/44 (Reg. S) (d) | 3,605,000 | 3,559,938 | |
| Reliance Standard Life Global Funding II 2.75% 5/7/25 (b) | 5,591,000 | 5,250,227 | |
| Ryan Specialty Group LLC 4.375% 2/1/30 (b) | 400,000 | 354,717 | |
| Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(d) | 3,000,000 | 2,865,000 | |
| Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) | 1,484,000 | 1,349,867 | |
| Unum Group: | |||
| 4% 6/15/29 | 6,130,000 | 5,756,210 | |
| 4.125% 6/15/51 | 5,274,000 | 3,713,245 | |
| 5.75% 8/15/42 | 3,718,000 | 3,404,838 | |
| Willis Group North America, Inc.: | |||
| 4.5% 9/15/28 | 1,897,000 | 1,807,983 | |
| 5.35% 5/15/33 | 13,900,000 | 13,670,412 | |
| Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (d) | 1,650,000 | 1,306,559 | |
| 230,352,357 | |||
TOTAL FINANCIALS | 3,722,447,411 | ||
| HEALTH CARE - 0.8% | |||
| Biotechnology - 0.2% | |||
| AbbVie, Inc.: | |||
| 3.2% 11/21/29 | 8,014,000 | 7,273,838 | |
| 4.05% 11/21/39 | 3,114,000 | 2,670,696 | |
| 4.55% 3/15/35 | 3,061,000 | 2,917,765 | |
| Amgen, Inc.: | |||
| 4.663% 6/15/51 | 3,736,000 | 3,290,029 | |
| 5.15% 3/2/28 | 14,341,000 | 14,459,613 | |
| 5.25% 3/2/30 | 14,505,000 | 14,617,585 | |
| 5.25% 3/2/33 | 16,305,000 | 16,362,596 | |
| 5.6% 3/2/43 | 14,041,000 | 13,907,077 | |
| 5.65% 3/2/53 | 7,733,000 | 7,735,898 | |
| 5.75% 3/2/63 | 14,093,000 | 14,006,894 | |
| Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) | 427,000 | 234,686 | |
| Grifols Escrow Issuer SA 4.75% 10/15/28 (b) | 200,000 | 169,190 | |
| Regeneron Pharmaceuticals, Inc.: | |||
| 1.75% 9/15/30 | 3,674,000 | 2,960,733 | |
| 2.8% 9/15/50 | 2,491,000 | 1,588,055 | |
| 102,194,655 | |||
| Health Care Equipment & Supplies - 0.0% | |||
| Alcon Finance Corp. 2.75% 9/23/26 (b) | 1,414,000 | 1,313,469 | |
| Avantor Funding, Inc. 4.625% 7/15/28 (b) | 915,000 | 846,346 | |
| Hologic, Inc.: | |||
| 3.25% 2/15/29 (b) | 545,000 | 475,967 | |
| 4.625% 2/1/28 (b) | 65,000 | 61,581 | |
| Teleflex, Inc. 4.25% 6/1/28 (b) | 145,000 | 133,344 | |
| Werfenlife SA 4.625% 6/6/28 (Reg. S) (i) | EUR | 700,000 | 749,839 |
| 3,580,546 | |||
| Health Care Providers & Services - 0.4% | |||
| 180 Medical, Inc. 3.875% 10/15/29 (b) | 920,000 | 804,597 | |
| Centene Corp.: | |||
| 2.45% 7/15/28 | 12,813,000 | 11,009,698 | |
| 2.5% 3/1/31 | 945,000 | 756,142 | |
| 2.625% 8/1/31 | 15,841,000 | 12,667,884 | |
| 3% 10/15/30 | 9,668,000 | 8,065,606 | |
| 3.375% 2/15/30 | 7,725,000 | 6,660,572 | |
| 4.25% 12/15/27 | 10,445,000 | 9,816,002 | |
| 4.625% 12/15/29 | 12,457,000 | 11,552,622 | |
| Cigna Group: | |||
| 3.4% 3/1/27 | 3,552,000 | 3,377,664 | |
| 3.4% 3/15/50 | 4,359,000 | 3,105,263 | |
| 3.4% 3/15/51 | 4,359,000 | 3,122,722 | |
| 4.125% 11/15/25 | 522,000 | 511,152 | |
| 4.375% 10/15/28 | 11,160,000 | 10,878,249 | |
| 4.8% 8/15/38 | 2,697,000 | 2,533,711 | |
| 4.9% 12/15/48 | 517,000 | 470,391 | |
| Community Health Systems, Inc.: | |||
| 4.75% 2/15/31 (b) | 1,280,000 | 919,715 | |
| 6.875% 4/15/29 (b) | 335,000 | 188,391 | |
| CVS Health Corp.: | |||
| 4.78% 3/25/38 | 2,165,000 | 2,002,390 | |
| 5% 1/30/29 | 5,700,000 | 5,703,616 | |
| 5.125% 2/21/30 | 14,148,000 | 14,102,988 | |
| 5.25% 1/30/31 | 5,087,000 | 5,106,299 | |
| 5.3% 6/1/33 | 8,500,000 | 8,517,543 | |
| DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (b) | 305,000 | 261,216 | |
| Elevance Health, Inc.: | |||
| 2.25% 5/15/30 | 5,433,000 | 4,588,004 | |
| 3.35% 12/1/24 | 1,379,000 | 1,339,771 | |
| HCA Holdings, Inc.: | |||
| 3.125% 3/15/27 (b) | 4,517,000 | 4,179,884 | |
| 3.375% 3/15/29 (b) | 2,198,000 | 1,972,727 | |
| 3.5% 9/1/30 | 12,405,000 | 10,968,096 | |
| 3.625% 3/15/32 (b) | 10,363,000 | 9,032,145 | |
| 4.625% 3/15/52 (b) | 3,307,000 | 2,663,327 | |
| 5.125% 6/15/39 | 1,878,000 | 1,718,622 | |
| 5.25% 6/15/49 | 2,069,000 | 1,825,024 | |
| 5.625% 9/1/28 | 9,085,000 | 9,153,207 | |
| 5.875% 2/1/29 | 9,796,000 | 9,954,779 | |
| HealthEquity, Inc. 4.5% 10/1/29 (b) | 110,000 | 97,677 | |
| Humana, Inc.: | |||
| 1.35% 2/3/27 | 2,069,000 | 1,815,873 | |
| 3.7% 3/23/29 | 7,365,000 | 6,829,104 | |
| 3.95% 3/15/27 | 2,000,000 | 1,928,955 | |
| Molina Healthcare, Inc. 3.875% 11/15/30 (b) | 850,000 | 727,160 | |
| Owens & Minor, Inc. 4.5% 3/31/29 (b) | 160,000 | 131,200 | |
| Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b) | 410,000 | 377,200 | |
| Prime Healthcare Foundation, Inc. 7% 12/1/27 | 2,736,000 | 2,719,849 | |
| Quest Diagnostics, Inc. 2.95% 6/30/30 | 6,227,000 | 5,500,513 | |
| RP Escrow Issuer LLC 5.25% 12/15/25 (b) | 785,000 | 524,145 | |
| Sabra Health Care LP: | |||
| 3.2% 12/1/31 | 26,025,000 | 19,237,552 | |
| 3.9% 10/15/29 | 7,857,000 | 6,475,343 | |
| Surgery Center Holdings, Inc. 6.75% 7/1/25 (b) | 258,000 | 256,325 | |
| Tenet Healthcare Corp.: | |||
| 4.625% 6/15/28 | 2,765,000 | 2,571,415 | |
| 4.875% 1/1/26 | 385,000 | 372,418 | |
| 5.125% 11/1/27 | 1,000,000 | 955,566 | |
| 6.125% 6/15/30 (b) | 425,000 | 410,754 | |
| Toledo Hospital 5.325% 11/15/28 | 2,395,000 | 1,988,952 | |
| UnitedHealth Group, Inc.: | |||
| 3.95% 10/15/42 | 74,000 | 62,929 | |
| 4.25% 3/15/43 | 1,397,000 | 1,253,928 | |
| 4.625% 7/15/35 | 418,000 | 410,074 | |
| 4.75% 7/15/45 | 1,023,000 | 964,446 | |
| Universal Health Services, Inc.: | |||
| 2.65% 10/15/30 | 9,393,000 | 7,609,526 | |
| 2.65% 1/15/32 | 9,523,000 | 7,508,634 | |
| 250,259,557 | |||
| Health Care Technology - 0.0% | |||
| IQVIA, Inc.: | |||
| 5% 5/15/27 (b) | 630,000 | 605,849 | |
| 6.5% 5/15/30 (b) | 510,000 | 518,624 | |
| 1,124,473 | |||
| Life Sciences Tools & Services - 0.0% | |||
| Charles River Laboratories International, Inc.: | |||
| 3.75% 3/15/29 (b) | 180,000 | 157,986 | |
| 4.25% 5/1/28 (b) | 70,000 | 63,599 | |
| 221,585 | |||
| Pharmaceuticals - 0.2% | |||
| AstraZeneca PLC 6.45% 9/15/37 | 3,092,000 | 3,564,813 | |
| Bayer AG 4.625% 5/26/33 (Reg. S) | EUR | 850,000 | 927,845 |
| Bayer U.S. Finance II LLC: | |||
| 3.375% 7/15/24 (b) | 4,359,000 | 4,252,463 | |
| 4.25% 12/15/25 (b) | 58,851,000 | 57,139,015 | |
| 4.375% 12/15/28 (b) | 5,293,000 | 5,094,517 | |
| 4.875% 6/25/48 (b) | 5,321,000 | 4,622,165 | |
| Elanco Animal Health, Inc.: | |||
| 6.022% 8/28/23 | 3,799,000 | 3,770,508 | |
| 6.65% 8/28/28 (d) | 8,545,000 | 8,176,796 | |
| Jazz Securities DAC 4.375% 1/15/29 (b) | 225,000 | 201,596 | |
| Mylan NV 4.55% 4/15/28 | 8,389,000 | 7,929,681 | |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
| 4.125% 4/30/28 (b) | 1,105,000 | 983,717 | |
| 5.125% 4/30/31 (b) | 530,000 | 449,733 | |
| Perrigo Finance PLC 4.4% 6/15/30 | 6,476,000 | 5,631,816 | |
| Pfizer Investment Enterprises: | |||
| 4.75% 5/19/33 | 14,040,000 | 14,096,307 | |
| 5.3% 5/19/53 | 10,813,000 | 11,131,702 | |
| Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 2,065,000 | 1,963,285 | |
| Viatris, Inc.: | |||
| 1.65% 6/22/25 | 1,926,000 | 1,772,907 | |
| 2.7% 6/22/30 | 19,123,000 | 15,367,678 | |
| 3.85% 6/22/40 | 3,928,000 | 2,641,442 | |
| 4% 6/22/50 | 13,167,000 | 8,458,836 | |
| 158,176,822 | |||
TOTAL HEALTH CARE | 515,557,638 | ||
| INDUSTRIALS - 0.5% | |||
| Aerospace & Defense - 0.2% | |||
| BAE Systems Holdings, Inc. 3.8% 10/7/24 (b) | 746,000 | 729,609 | |
| BAE Systems PLC: | |||
| 3% 9/15/50 (b) | 4,330,000 | 2,890,820 | |
| 3.4% 4/15/30 (b) | 8,797,000 | 7,986,959 | |
| BWX Technologies, Inc. 4.125% 6/30/28 (b) | 480,000 | 433,817 | |
| Howmet Aerospace, Inc.: | |||
| 5.95% 2/1/37 | 425,000 | 425,155 | |
| 6.75% 1/15/28 | 365,000 | 381,313 | |
| Moog, Inc. 4.25% 12/15/27 (b) | 980,000 | 913,806 | |
| Northrop Grumman Corp.: | |||
| 2.93% 1/15/25 | 31,000 | 29,894 | |
| 4.03% 10/15/47 | 3,355,000 | 2,806,853 | |
| Rolls-Royce PLC: | |||
| 3.375% 6/18/26 | GBP | 1,940,000 | 2,164,697 |
| 5.75% 10/15/27 (b) | 615,000 | 598,503 | |
| The Boeing Co.: | |||
| 2.7% 2/1/27 | 1,724,000 | 1,583,118 | |
| 2.75% 2/1/26 | 2,071,000 | 1,939,636 | |
| 3.25% 2/1/28 | 4,359,000 | 4,016,744 | |
| 5.04% 5/1/27 | 25,745,000 | 25,559,144 | |
| 5.15% 5/1/30 | 19,693,000 | 19,531,440 | |
| 5.805% 5/1/50 | 14,165,000 | 13,867,542 | |
| 5.93% 5/1/60 | 6,070,000 | 5,916,549 | |
| TransDigm, Inc.: | |||
| 6.25% 3/15/26 (b) | 2,552,000 | 2,534,528 | |
| 7.5% 3/15/27 | 95,000 | 94,734 | |
| 94,404,861 | |||
| Air Freight & Logistics - 0.0% | |||
| Rand Parent LLC 8.5% 2/15/30 (b) | 525,000 | 453,206 | |
| Building Products - 0.0% | |||
| Advanced Drain Systems, Inc. 5% 9/30/27 (b) | 1,565,000 | 1,475,558 | |
| Builders FirstSource, Inc. 4.25% 2/1/32 (b) | 865,000 | 743,156 | |
| Carlisle Companies, Inc. 2.75% 3/1/30 | 6,227,000 | 5,286,544 | |
| Carrier Global Corp.: | |||
| 2.493% 2/15/27 | 518,000 | 474,952 | |
| 2.7% 2/15/31 | 6,352,000 | 5,371,104 | |
| Standard Industries, Inc./New Jersey 4.375% 7/15/30 (b) | 715,000 | 603,722 | |
| 13,955,036 | |||
| Commercial Services & Supplies - 0.0% | |||
| ADT Corp.: | |||
| 4.125% 8/1/29 (b) | 270,000 | 235,575 | |
| 4.875% 7/15/32 (b) | 670,000 | 570,740 | |
| Clean Harbors, Inc. 6.375% 2/1/31 (b) | 110,000 | 110,215 | |
| Madison IAQ LLC 4.125% 6/30/28 (b) | 1,245,000 | 1,075,756 | |
| Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b) | 500,000 | 457,500 | |
| Prime Securities Services Borrower LLC/Prime Finance, Inc. 3.375% 8/31/27 (b) | 1,230,000 | 1,079,598 | |
| Stericycle, Inc. 3.875% 1/15/29 (b) | 450,000 | 396,873 | |
| The GEO Group, Inc. 9.5% 12/31/28 (b) | 305,000 | 298,138 | |
| 4,224,395 | |||
| Construction & Engineering - 0.0% | |||
| AECOM 5.125% 3/15/27 | 1,077,000 | 1,039,305 | |
| Electrical Equipment - 0.0% | |||
| Hubbell, Inc. 3.5% 2/15/28 | 3,355,000 | 3,145,149 | |
| Sensata Technologies BV 4% 4/15/29 (b) | 275,000 | 244,951 | |
| Vertiv Group Corp. 4.125% 11/15/28 (b) | 675,000 | 603,702 | |
| 3,993,802 | |||
| Ground Transportation - 0.0% | |||
| Alpha Trains Finance SA 2.064% 6/30/30 | EUR | 1,740,000 | 1,746,128 |
| Burlington Northern Santa Fe LLC: | |||
| 4.15% 4/1/45 | 564,000 | 486,418 | |
| 4.4% 3/15/42 | 1,397,000 | 1,255,436 | |
| Canadian Pacific Railway Co. 3.1% 12/2/51 | 2,312,000 | 1,601,426 | |
| CSX Corp.: | |||
| 3.8% 4/15/50 | 78,000 | 61,142 | |
| 4.3% 3/1/48 | 5,524,000 | 4,724,384 | |
| Uber Technologies, Inc. 4.5% 8/15/29 (b) | 415,000 | 378,554 | |
| Union Pacific Corp. 3.25% 2/5/50 | 3,425,000 | 2,521,591 | |
| XPO, Inc.: | |||
| 6.25% 5/1/25 (b) | 771,000 | 762,217 | |
| 6.25% 6/1/28 (b) | 380,000 | 373,982 | |
| 13,911,278 | |||
| Industrial Conglomerates - 0.0% | |||
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.25% 2/1/27 (b) | 500,000 | 423,633 | |
| Machinery - 0.0% | |||
| Daimler Trucks Finance North America LLC 2% 12/14/26 (b) | 3,978,000 | 3,577,164 | |
| Ingersoll-Rand Luxembourg Finance SA 4.65% 11/1/44 | 314,000 | 276,206 | |
| Otis Worldwide Corp. 2.056% 4/5/25 | 1,790,000 | 1,690,624 | |
| Vertical U.S. Newco, Inc. 5.25% 7/15/27 (b) | 1,065,000 | 980,521 | |
| Westinghouse Air Brake Tech Co. 3.2% 6/15/25 | 3,995,000 | 3,789,964 | |
| 10,314,479 | |||
| Marine Transportation - 0.0% | |||
| Seaspan Corp. 5.5% 8/1/29 (b) | 270,000 | 212,301 | |
| Passenger Airlines - 0.1% | |||
| American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29 | 2,813,295 | 2,412,405 | |
| American Airlines, Inc.: | |||
| 3.75% 4/15/27 | 1,707,145 | 1,574,278 | |
| 7.25% 2/15/28 (b) | 195,000 | 190,811 | |
| British Airways 2021-1 Class A Pass Through Trust equipment trust certificate 2.9% 9/15/36 (b) | 1,380,525 | 1,165,597 | |
| Delta Air Lines, Inc. 2.9% 10/28/24 | 1,897,000 | 1,830,242 | |
| Southwest Airlines Co.: | |||
| 5.125% 6/15/27 | 4,515,000 | 4,493,875 | |
| 5.25% 5/4/25 | 7,846,000 | 7,806,763 | |
| United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 1,920,420 | 1,733,162 | |
| United Airlines, Inc.: | |||
| equipment trust certificate 4.6% 9/1/27 | 1,905,626 | 1,799,861 | |
| 4.375% 4/15/26 (b) | 1,740,000 | 1,646,225 | |
| 24,653,219 | |||
| Professional Services - 0.0% | |||
| ASGN, Inc. 4.625% 5/15/28 (b) | 1,125,000 | 1,013,693 | |
| Booz Allen Hamilton, Inc.: | |||
| 3.875% 9/1/28 (b) | 827,000 | 741,124 | |
| 4% 7/1/29 (b) | 105,000 | 92,660 | |
| TriNet Group, Inc. 3.5% 3/1/29 (b) | 405,000 | 346,938 | |
| 2,194,415 | |||
| Trading Companies & Distributors - 0.1% | |||
| Air Lease Corp.: | |||
| 0.7% 2/15/24 | 11,690,000 | 11,271,746 | |
| 0.8% 8/18/24 | 1,422,000 | 1,334,889 | |
| 2.2% 1/15/27 | 3,428,000 | 3,026,614 | |
| 2.875% 1/15/26 | 4,359,000 | 4,052,885 | |
| 2.875% 1/15/32 | 9,528,000 | 7,652,082 | |
| 3% 9/15/23 | 583,000 | 578,638 | |
| 3.375% 7/1/25 | 11,630,000 | 11,030,290 | |
| 3.75% 6/1/26 | 5,000,000 | 4,729,978 | |
| 4.25% 2/1/24 | 8,199,000 | 8,100,405 | |
| 4.25% 9/15/24 | 2,331,000 | 2,278,744 | |
| 5.3% 2/1/28 | 7,037,000 | 6,953,648 | |
| Travis Perkins PLC 3.75% 2/17/26 (Reg. S) | GBP | 1,100,000 | 1,238,694 |
| 62,248,613 | |||
| Transportation Infrastructure - 0.1% | |||
| Avolon Holdings Funding Ltd.: | |||
| 2.875% 2/15/25 (b) | 17,687,000 | 16,497,782 | |
| 3.25% 2/15/27 (b) | 11,688,000 | 10,253,752 | |
| 3.95% 7/1/24 (b) | 3,894,000 | 3,766,451 | |
| 4.25% 4/15/26 (b) | 874,000 | 809,228 | |
| 4.375% 5/1/26 (b) | 8,375,000 | 7,734,266 | |
| 5.25% 5/15/24 (b) | 4,186,000 | 4,120,873 | |
| 5.5% 1/15/26 (b) | 1,754,000 | 1,688,314 | |
| 6.375% 5/4/28 (b) | 26,845,000 | 26,221,057 | |
| Heathrow Funding Ltd.: | |||
| 2.625% 3/16/28 (Reg. S) | GBP | 1,260,000 | 1,298,544 |
| 7.125% 2/14/24 | GBP | 100,000 | 124,991 |
| Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S) | EUR | 700,000 | 613,893 |
| 73,129,151 | |||
TOTAL INDUSTRIALS | 305,157,694 | ||
| INFORMATION TECHNOLOGY - 0.3% | |||
| Communications Equipment - 0.0% | |||
| Viavi Solutions, Inc. 3.75% 10/1/29 (b) | 545,000 | 458,995 | |
| Electronic Equipment, Instruments & Components - 0.0% | |||
| Coherent Corp. 5% 12/15/29 (b) | 1,215,000 | 1,080,487 | |
| Dell International LLC/EMC Corp.: | |||
| 3.375% 12/15/41 (b) | 3,736,000 | 2,581,218 | |
| 3.45% 12/15/51 (b) | 4,982,000 | 3,211,453 | |
| 5.3% 10/1/29 | 6,227,000 | 6,203,192 | |
| 5.85% 7/15/25 | 302,000 | 305,963 | |
| 6.02% 6/15/26 | 4,057,000 | 4,152,553 | |
| Sensata Technologies, Inc. 3.75% 2/15/31 (b) | 1,410,000 | 1,195,281 | |
| TTM Technologies, Inc. 4% 3/1/29 (b) | 315,000 | 266,805 | |
| Vontier Corp.: | |||
| 2.4% 4/1/28 | 7,691,000 | 6,446,289 | |
| 2.95% 4/1/31 | 8,630,000 | 6,799,318 | |
| 32,242,559 | |||
| IT Services - 0.0% | |||
| CDW LLC/CDW Finance Corp. 2.67% 12/1/26 | 5,350,000 | 4,786,527 | |
| Gartner, Inc.: | |||
| 3.625% 6/15/29 (b) | 155,000 | 137,721 | |
| 3.75% 10/1/30 (b) | 255,000 | 223,647 | |
| 4.5% 7/1/28 (b) | 395,000 | 371,864 | |
| Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b) | 900,000 | 778,468 | |
| Twilio, Inc. 3.875% 3/15/31 | 200,000 | 168,924 | |
| 6,467,151 | |||
| Semiconductors & Semiconductor Equipment - 0.2% | |||
| Broadcom, Inc.: | |||
| 1.95% 2/15/28 (b) | 5,128,000 | 4,457,671 | |
| 2.45% 2/15/31 (b) | 24,696,000 | 19,941,048 | |
| 2.6% 2/15/33 (b) | 23,971,000 | 18,641,101 | |
| 3.137% 11/15/35 (b) | 6,850,000 | 5,222,353 | |
| 3.5% 2/15/41 (b) | 23,037,000 | 17,050,032 | |
| 3.75% 2/15/51 (b) | 10,977,000 | 7,920,396 | |
| Entegris, Inc. 4.375% 4/15/28 (b) | 755,000 | 693,875 | |
| Marvell Technology, Inc. 2.45% 4/15/28 | 4,982,000 | 4,347,151 | |
| Microchip Technology, Inc.: | |||
| 0.972% 2/15/24 | 4,359,000 | 4,209,178 | |
| 0.983% 9/1/24 | 2,604,000 | 2,452,895 | |
| Micron Technology, Inc.: | |||
| 2.703% 4/15/32 | 2,039,000 | 1,608,760 | |
| 3.366% 11/1/41 | 2,223,000 | 1,520,318 | |
| 3.477% 11/1/51 | 2,229,000 | 1,429,833 | |
| 4.185% 2/15/27 | 13,091,000 | 12,612,755 | |
| onsemi 3.875% 9/1/28 (b) | 300,000 | 270,909 | |
| Qorvo, Inc. 4.375% 10/15/29 | 705,000 | 630,242 | |
| 103,008,517 | |||
| Software - 0.1% | |||
| Central Parent, Inc./Central Merger Sub, Inc. 7.25% 6/15/29 (b) | 325,000 | 318,054 | |
| Cloud Software Group, Inc. 9% 9/30/29 (b) | 320,000 | 272,000 | |
| Crowdstrike Holdings, Inc. 3% 2/15/29 | 295,000 | 257,117 | |
| Fair Isaac Corp.: | |||
| 4% 6/15/28 (b) | 330,000 | 303,583 | |
| 5.25% 5/15/26 (b) | 793,000 | 780,114 | |
| Open Text Corp.: | |||
| 3.875% 2/15/28 (b) | 420,000 | 367,617 | |
| 3.875% 12/1/29 (b) | 1,715,000 | 1,428,368 | |
| Oracle Corp.: | |||
| 1.65% 3/25/26 | 1,077,000 | 983,656 | |
| 2.5% 4/1/25 | 4,359,000 | 4,155,604 | |
| 2.8% 4/1/27 | 11,367,000 | 10,495,865 | |
| 2.875% 3/25/31 | 7,473,000 | 6,353,556 | |
| 2.95% 4/1/30 | 8,300,000 | 7,262,224 | |
| 3.85% 4/1/60 | 8,300,000 | 5,596,441 | |
| 3.95% 3/25/51 | 5,299,000 | 3,886,338 | |
| 4.375% 5/15/55 | 2,320,000 | 1,793,385 | |
| 5.375% 7/15/40 | 135,000 | 128,651 | |
| Roper Technologies, Inc.: | |||
| 1.4% 9/15/27 | 1,724,000 | 1,494,430 | |
| 1.75% 2/15/31 | 3,736,000 | 2,955,382 | |
| 2% 6/30/30 | 4,476,000 | 3,671,063 | |
| 2.95% 9/15/29 | 2,830,000 | 2,518,020 | |
| VMware, Inc.: | |||
| 1% 8/15/24 | 2,107,000 | 1,989,668 | |
| 1.4% 8/15/26 | 925,000 | 819,098 | |
| 57,830,234 | |||
| Technology Hardware, Storage & Peripherals - 0.0% | |||
| Apple, Inc. 3.85% 8/4/46 | 2,820,000 | 2,469,397 | |
| Seagate HDD Cayman 8.25% 12/15/29 (b) | 240,000 | 245,407 | |
| 2,714,804 | |||
TOTAL INFORMATION TECHNOLOGY | 202,722,260 | ||
| MATERIALS - 0.1% | |||
| Chemicals - 0.1% | |||
| Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b) | 585,000 | 552,801 | |
| Celanese U.S. Holdings LLC: | |||
| 6.165% 7/15/27 | 11,832,000 | 11,912,856 | |
| 6.33% 7/15/29 | 3,736,000 | 3,758,061 | |
| INEOS Finance PLC 6.75% 5/15/28 (b) | 510,000 | 502,350 | |
| International Flavors & Fragrances, Inc.: | |||
| 1.23% 10/1/25 (b) | 345,000 | 307,693 | |
| 1.832% 10/15/27 (b) | 6,986,000 | 5,905,429 | |
| 2.3% 11/1/30 (b) | 5,293,000 | 4,202,179 | |
| LSB Industries, Inc. 6.25% 10/15/28 (b) | 560,000 | 506,800 | |
| LYB International Finance III LLC: | |||
| 1.25% 10/1/25 | 1,661,000 | 1,511,050 | |
| 2.25% 10/1/30 | 3,241,000 | 2,644,819 | |
| Methanex Corp.: | |||
| 5.125% 10/15/27 | 765,000 | 712,271 | |
| 5.25% 12/15/29 | 90,000 | 81,901 | |
| 5.65% 12/1/44 | 581,000 | 462,252 | |
| NOVA Chemicals Corp.: | |||
| 5% 5/1/25 (b) | 1,030,000 | 1,007,412 | |
| 5.25% 6/1/27 (b) | 949,000 | 856,498 | |
| Nufarm Australia Ltd. 5% 1/27/30 (b) | 675,000 | 607,540 | |
| Nutrien Ltd. 4.9% 3/27/28 | 5,490,000 | 5,442,128 | |
| Olin Corp.: | |||
| 5% 2/1/30 | 1,715,000 | 1,562,189 | |
| 5.125% 9/15/27 | 975,000 | 923,183 | |
| 5.625% 8/1/29 | 465,000 | 445,447 | |
| Olympus Water U.S. Holding Corp. 9.75% 11/15/28 (b) | 255,000 | 253,088 | |
| SPCM SA 3.125% 3/15/27 (b) | 285,000 | 260,906 | |
| The Chemours Co. LLC: | |||
| 5.375% 5/15/27 | 1,115,000 | 1,026,602 | |
| 5.75% 11/15/28 (b) | 275,000 | 242,086 | |
| The Dow Chemical Co. 4.55% 11/30/25 | 85,000 | 83,675 | |
| The Mosaic Co. 4.25% 11/15/23 | 1,757,000 | 1,745,086 | |
| W.R. Grace Holding LLC: | |||
| 4.875% 6/15/27 (b) | 305,000 | 282,872 | |
| 7.375% 3/1/31 (b) | 95,000 | 93,100 | |
| 47,892,274 | |||
| Construction Materials - 0.0% | |||
| CRH America Finance, Inc. 3.95% 4/4/28 (b) | 4,931,000 | 4,690,935 | |
| Containers & Packaging - 0.0% | |||
| Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC 6% 6/15/27 (b) | 340,000 | 333,915 | |
| Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (b) | 25,000 | 23,350 | |
| Avery Dennison Corp. 4.875% 12/6/28 | 3,613,000 | 3,571,267 | |
| Ball Corp.: | |||
| 2.875% 8/15/30 | 765,000 | 633,520 | |
| 3.125% 9/15/31 | 955,000 | 786,942 | |
| 6% 6/15/29 | 395,000 | 395,774 | |
| BWAY Holding Co. 7.875% 8/15/26 (b) | 485,000 | 480,693 | |
| Graphic Packaging International, Inc. 3.75% 2/1/30 (b) | 715,000 | 628,371 | |
| OI European Group BV 4.75% 2/15/30 (b) | 280,000 | 252,028 | |
| Owens-Brockway Glass Container, Inc. 7.25% 5/15/31 (b) | 385,000 | 391,738 | |
| Sealed Air Corp. 6.875% 7/15/33 (b) | 505,000 | 515,100 | |
| Sealed Air Corp./Sealed Air Cor 6.125% 2/1/28 (b) | 270,000 | 267,523 | |
| Trivium Packaging Finance BV 5.5% 8/15/26 (b) | 485,000 | 460,804 | |
| 8,741,025 | |||
| Metals & Mining - 0.0% | |||
| Anglo American Capital PLC 3.875% 3/16/29 (b) | 6,227,000 | 5,673,575 | |
| Cleveland-Cliffs, Inc.: | |||
| 4.875% 3/1/31 (b) | 680,000 | 581,083 | |
| 6.75% 4/15/30 (b) | 510,000 | 481,696 | |
| Commercial Metals Co. 3.875% 2/15/31 | 565,000 | 475,075 | |
| FMG Resources Pty Ltd. 4.5% 9/15/27 (b) | 10,000 | 9,469 | |
| HudBay Minerals, Inc. 4.5% 4/1/26 (b) | 135,000 | 123,713 | |
| Kaiser Aluminum Corp. 4.625% 3/1/28 (b) | 1,005,000 | 878,360 | |
| Mineral Resources Ltd. 8% 11/1/27 (b) | 360,000 | 361,048 | |
| Novelis Corp. 3.875% 8/15/31 (b) | 270,000 | 221,715 | |
| PMHC II, Inc. 9% 2/15/30 (b) | 425,000 | 315,769 | |
| Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (b) | 75,000 | 66,375 | |
| 9,187,878 | |||
| Paper & Forest Products - 0.0% | |||
| Glatfelter Corp. 4.75% 11/15/29 (b) | 220,000 | 139,646 | |
TOTAL MATERIALS | 70,651,758 | ||
| REAL ESTATE - 0.8% | |||
| Equity Real Estate Investment Trusts (REITs) - 0.7% | |||
| Agree LP 4.8% 10/1/32 | 6,806,000 | 6,356,294 | |
| Alexandria Real Estate Equities, Inc.: | |||
| 1.875% 2/1/33 | 10,119,000 | 7,425,422 | |
| 2% 5/18/32 | 8,258,000 | 6,266,785 | |
| 4.7% 7/1/30 | 860,000 | 820,738 | |
| 4.9% 12/15/30 | 7,224,000 | 6,988,579 | |
| American Homes 4 Rent LP: | |||
| 2.375% 7/15/31 | 1,694,000 | 1,344,337 | |
| 3.375% 7/15/51 | 2,619,000 | 1,677,039 | |
| 3.625% 4/15/32 | 9,743,000 | 8,422,390 | |
| 4.3% 4/15/52 | 6,297,000 | 4,755,144 | |
| American Tower Corp.: | |||
| 2.1% 6/15/30 | 3,550,000 | 2,887,061 | |
| 2.4% 3/15/25 | 5,032,000 | 4,771,562 | |
| Boston Properties, Inc.: | |||
| 3.2% 1/15/25 | 1,035,000 | 979,547 | |
| 4.5% 12/1/28 | 4,766,000 | 4,263,295 | |
| Camden Property Trust 3.15% 7/1/29 | 3,914,000 | 3,486,465 | |
| Corporate Office Properties LP: | |||
| 2% 1/15/29 | 7,631,000 | 5,850,001 | |
| 2.25% 3/15/26 | 3,486,000 | 3,084,380 | |
| 2.75% 4/15/31 | 5,927,000 | 4,419,125 | |
| 2.9% 12/1/33 | 8,223,000 | 5,707,627 | |
| Crown Castle International Corp. 3.3% 7/1/30 | 8,718,000 | 7,701,872 | |
| Federal Realty Investment Trust 3.95% 1/15/24 | 2,414,000 | 2,387,541 | |
| Healthcare Trust of America Holdings LP: | |||
| 3.1% 2/15/30 | 1,868,000 | 1,596,528 | |
| 3.5% 8/1/26 | 1,945,000 | 1,799,793 | |
| Hudson Pacific Properties LP: | |||
| 3.95% 11/1/27 | 2,573,000 | 1,885,909 | |
| 4.65% 4/1/29 | 12,862,000 | 9,166,793 | |
| 5.95% 2/15/28 | 17,949,000 | 14,191,639 | |
| Invitation Homes Operating Partnership LP: | |||
| 2% 8/15/31 | 2,893,000 | 2,204,551 | |
| 4.15% 4/15/32 | 13,560,000 | 12,170,802 | |
| Iron Mountain, Inc. 4.875% 9/15/29 (b) | 615,000 | 548,482 | |
| Kimco Realty Op LLC 2.25% 12/1/31 | 15,265,000 | 11,804,078 | |
| Kite Realty Group Trust: | |||
| 4% 3/15/25 | 11,758,000 | 11,132,203 | |
| 4.75% 9/15/30 | 20,325,000 | 18,270,962 | |
| LXP Industrial Trust (REIT): | |||
| 2.7% 9/15/30 | 1,445,000 | 1,158,662 | |
| 4.4% 6/15/24 | 1,498,000 | 1,463,516 | |
| MPT Operating Partnership LP/MPT Finance Corp.: | |||
| 3.5% 3/15/31 | 12,722,000 | 8,586,143 | |
| 5% 10/15/27 | 665,000 | 546,067 | |
| 5.25% 8/1/26 | 2,855,000 | 2,523,419 | |
| Omega Healthcare Investors, Inc.: | |||
| 3.25% 4/15/33 | 14,205,000 | 10,503,376 | |
| 3.375% 2/1/31 | 13,114,000 | 10,348,208 | |
| 3.625% 10/1/29 | 8,376,000 | 6,852,605 | |
| 4.375% 8/1/23 | 2,087,000 | 2,073,560 | |
| 4.5% 1/15/25 | 2,396,000 | 2,302,009 | |
| 4.5% 4/1/27 | 5,129,000 | 4,769,473 | |
| 4.75% 1/15/28 | 14,408,000 | 13,208,677 | |
| 4.95% 4/1/24 | 1,263,000 | 1,243,222 | |
| 5.25% 1/15/26 | 6,569,000 | 6,384,993 | |
| Piedmont Operating Partnership LP 2.75% 4/1/32 | 3,748,000 | 2,558,575 | |
| Realty Income Corp.: | |||
| 2.2% 6/15/28 | 1,380,000 | 1,206,477 | |
| 2.85% 12/15/32 | 1,998,000 | 1,637,764 | |
| 3.25% 1/15/31 | 1,828,000 | 1,599,486 | |
| 3.4% 1/15/28 | 2,874,000 | 2,675,676 | |
| Retail Opportunity Investments Partnership LP: | |||
| 4% 12/15/24 | 641,000 | 616,186 | |
| 5% 12/15/23 | 494,000 | 488,746 | |
| SBA Communications Corp.: | |||
| 3.125% 2/1/29 | 1,195,000 | 1,006,593 | |
| 3.875% 2/15/27 | 515,000 | 474,680 | |
| Service Properties Trust: | |||
| 3.95% 1/15/28 | 40,000 | 30,566 | |
| 5.5% 12/15/27 | 230,000 | 199,956 | |
| Simon Property Group LP: | |||
| 2.45% 9/13/29 | 7,705,000 | 6,562,496 | |
| 3.375% 12/1/27 | 6,125,000 | 5,696,747 | |
| SITE Centers Corp.: | |||
| 3.625% 2/1/25 | 2,000,000 | 1,884,113 | |
| 4.25% 2/1/26 | 3,528,000 | 3,333,402 | |
| Spirit Realty LP 2.1% 3/15/28 | 4,695,000 | 3,946,925 | |
| Store Capital Corp.: | |||
| 2.7% 12/1/31 | 8,095,000 | 5,564,644 | |
| 2.75% 11/18/30 | 4,066,000 | 2,946,565 | |
| 4.625% 3/15/29 | 2,374,000 | 2,045,763 | |
| Sun Communities Operating LP: | |||
| 2.3% 11/1/28 | 4,282,000 | 3,626,489 | |
| 2.7% 7/15/31 | 9,688,000 | 7,643,816 | |
| 4.2% 4/15/32 | 9,341,000 | 8,152,180 | |
| 5.7% 1/15/33 | 7,726,000 | 7,513,436 | |
| UDR, Inc. 2.1% 8/1/32 | 4,480,000 | 3,428,983 | |
| Ventas Realty LP: | |||
| 2.5% 9/1/31 | 25,590,000 | 20,268,235 | |
| 2.65% 1/15/25 | 1,375,000 | 1,295,866 | |
| 3% 1/15/30 | 16,847,000 | 14,496,243 | |
| 3.5% 4/15/24 | 820,000 | 801,422 | |
| 4% 3/1/28 | 2,553,000 | 2,382,197 | |
| 4.125% 1/15/26 | 999,000 | 959,043 | |
| 4.4% 1/15/29 | 6,227,000 | 5,870,343 | |
| 4.75% 11/15/30 | 16,500,000 | 15,659,470 | |
| VICI Properties LP: | |||
| 4.375% 5/15/25 | 2,145,000 | 2,070,283 | |
| 4.75% 2/15/28 | 14,680,000 | 13,970,956 | |
| 4.95% 2/15/30 | 21,594,000 | 20,088,700 | |
| 5.125% 5/15/32 | 7,487,000 | 6,990,181 | |
| VICI Properties LP / VICI Note Co.: | |||
| 4.25% 12/1/26 (b) | 1,640,000 | 1,538,419 | |
| 4.5% 9/1/26 (b) | 1,508,000 | 1,429,267 | |
| 4.625% 6/15/25 (b) | 150,000 | 144,764 | |
| Vornado Realty LP: | |||
| 2.15% 6/1/26 | 4,402,000 | 3,614,007 | |
| 3.4% 6/1/31 | 14,755,000 | 10,213,385 | |
| Welltower OP LLC 3.625% 3/15/24 | 880,000 | 862,675 | |
| WP Carey, Inc.: | |||
| 2.4% 2/1/31 | 3,511,000 | 2,810,857 | |
| 3.85% 7/15/29 | 1,991,000 | 1,805,916 | |
| 4% 2/1/25 | 8,374,000 | 8,141,507 | |
| 4.6% 4/1/24 | 7,111,000 | 6,986,138 | |
| 463,571,012 | |||
| Real Estate Management & Development - 0.1% | |||
| ACCENTRO Real Estate AG 5.3596% 2/13/26 (Reg. S) (e) | EUR | 1,314,000 | 842,721 |
| Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (d) | EUR | 650,000 | 690,933 |
| Blackstone Property Partners Europe LP: | |||
| 1% 5/4/28 (Reg. S) | EUR | 4,220,000 | 3,394,923 |
| 2.625% 10/20/28 (Reg. S) | GBP | 650,000 | 604,786 |
| Brandywine Operating Partnership LP: | |||
| 3.95% 11/15/27 | 4,382,000 | 3,232,847 | |
| 4.1% 10/1/24 | 5,769,000 | 5,393,031 | |
| 4.55% 10/1/29 | 3,023,000 | 2,109,474 | |
| 7.55% 3/15/28 | 19,371,000 | 16,494,034 | |
| CBRE Group, Inc.: | |||
| 2.5% 4/1/31 | 10,225,000 | 8,278,227 | |
| 4.875% 3/1/26 | 7,844,000 | 7,702,641 | |
| GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S) | EUR | 1,390,000 | 1,153,608 |
| Heimstaden AB 4.375% 3/6/27 (Reg. S) | EUR | 1,400,000 | 957,734 |
| Howard Hughes Corp. 4.375% 2/1/31 (b) | 1,325,000 | 1,043,589 | |
| Kennedy-Wilson, Inc. 4.75% 2/1/30 | 540,000 | 407,025 | |
| Mid-America Apartments LP 4% 11/15/25 | 828,000 | 809,431 | |
| Samhallsbyggnadsbolaget I Norden AB: | |||
| 1% 8/12/27 (Reg. S) | EUR | 650,000 | 464,002 |
| 1.75% 1/14/25 (Reg. S) | EUR | 652,000 | 555,169 |
| Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S) | EUR | 700,000 | 586,687 |
| Tanger Properties LP: | |||
| 2.75% 9/1/31 | 14,949,000 | 10,742,331 | |
| 3.125% 9/1/26 | 2,628,000 | 2,333,063 | |
| 3.875% 7/15/27 | 11,191,000 | 10,126,372 | |
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.75% 1/15/28 (b) | 525,000 | 509,250 | |
| Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S) | EUR | 1,300,000 | 1,175,980 |
| 79,607,858 | |||
TOTAL REAL ESTATE | 543,178,870 | ||
| UTILITIES - 0.7% | |||
| Electric Utilities - 0.4% | |||
| Alabama Power Co. 3.05% 3/15/32 | 18,116,000 | 15,848,488 | |
| American Transmission Systems, Inc. 2.65% 1/15/32 (b) | 5,846,000 | 4,849,827 | |
| AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (d) | EUR | 1,360,000 | 1,220,021 |
| Clearway Energy Operating LLC: | |||
| 3.75% 2/15/31 (b) | 925,000 | 775,925 | |
| 4.75% 3/15/28 (b) | 140,000 | 130,302 | |
| Cleco Corporate Holdings LLC: | |||
| 3.375% 9/15/29 | 11,796,000 | 10,191,029 | |
| 3.743% 5/1/26 | 19,755,000 | 18,710,221 | |
| Cleveland Electric Illuminating Co.: | |||
| 3.5% 4/1/28 (b) | 5,498,000 | 5,132,529 | |
| 5.95% 12/15/36 | 2,055,000 | 2,069,287 | |
| DPL, Inc. 4.35% 4/15/29 | 7,785,000 | 6,891,631 | |
| Duke Energy Corp.: | |||
| 2.45% 6/1/30 | 790,000 | 662,403 | |
| 2.55% 6/15/31 | 4,359,000 | 3,606,992 | |
| 3.85% 6/15/34 | EUR | 1,450,000 | 1,425,717 |
| 4.3% 3/15/28 | 2,316,000 | 2,239,635 | |
| 4.5% 8/15/32 | 12,535,000 | 11,848,742 | |
| 5% 8/15/52 | 12,535,000 | 11,186,505 | |
| Duke Energy Industries, Inc. 4.9% 7/15/43 | 1,678,000 | 1,581,475 | |
| Duquesne Light Holdings, Inc.: | |||
| 2.532% 10/1/30 (b) | 3,055,000 | 2,446,756 | |
| 2.775% 1/7/32 (b) | 11,501,000 | 9,043,210 | |
| 3.616% 8/1/27 (b) | 2,736,000 | 2,474,040 | |
| Edison International 3.55% 11/15/24 | 2,647,000 | 2,567,573 | |
| Electricite de France SA 5.5% 1/25/35 (Reg. S) | GBP | 1,500,000 | 1,680,366 |
| Enel SpA 3.375% (Reg. S) (d)(j) | EUR | 805,000 | 791,466 |
| Exelon Corp.: | |||
| 2.75% 3/15/27 | 3,860,000 | 3,566,367 | |
| 3.35% 3/15/32 | 20,066,000 | 17,495,266 | |
| 4.05% 4/15/30 | 4,724,000 | 4,430,645 | |
| 4.1% 3/15/52 | 3,609,000 | 2,852,092 | |
| FirstEnergy Corp.: | |||
| 1.6% 1/15/26 | 199,000 | 181,709 | |
| 2.05% 3/1/25 | 2,486,000 | 2,331,162 | |
| 2.25% 9/1/30 | 6,686,000 | 5,432,375 | |
| 2.65% 3/1/30 | 2,970,000 | 2,520,788 | |
| Georgia Power Co. 4.65% 5/16/28 | 5,500,000 | 5,440,301 | |
| Iberdrola Finanzas SAU 7.375% 1/29/24 | GBP | 450,000 | 565,455 |
| IPALCO Enterprises, Inc.: | |||
| 3.7% 9/1/24 | 2,654,000 | 2,566,619 | |
| 4.25% 5/1/30 | 8,967,000 | 8,115,992 | |
| Metropolitan Edison Co. 5.2% 4/1/28 (b) | 6,490,000 | 6,539,278 | |
| NextEra Energy Partners LP 4.25% 9/15/24 (b) | 56,000 | 53,690 | |
| NGG Finance PLC 2.125% 9/5/82 (Reg. S) (d) | EUR | 2,060,000 | 1,875,924 |
| NRG Energy, Inc.: | |||
| 3.625% 2/15/31 (b) | 1,785,000 | 1,406,632 | |
| 5.25% 6/15/29 (b) | 484,000 | 436,431 | |
| 5.75% 1/15/28 | 581,000 | 552,513 | |
| 6.625% 1/15/27 | 57,000 | 56,856 | |
| NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) | 556,912 | 551,343 | |
| Pacific Gas & Electric Co. 3.25% 2/16/24 | 4,138,000 | 4,054,101 | |
| PG&E Corp.: | |||
| 5% 7/1/28 | 4,480,000 | 4,132,484 | |
| 5.25% 7/1/30 | 1,155,000 | 1,043,744 | |
| Southern Co.: | |||
| 1.875% 9/15/81 (d) | EUR | 2,800,000 | 2,335,639 |
| 3.7% 4/30/30 | 9,229,000 | 8,494,132 | |
| 4.4% 7/1/46 | 8,095,000 | 6,753,803 | |
| 5.113% 8/1/27 (e) | 13,244,000 | 13,214,286 | |
| Tampa Electric Co. 6.55% 5/15/36 | 280,000 | 298,757 | |
| Virginia Electric & Power Co.: | |||
| 2.3% 11/15/31 | 2,300,000 | 1,879,968 | |
| 2.4% 3/30/32 | 1,724,000 | 1,418,020 | |
| 3.75% 5/15/27 | 2,000,000 | 1,936,881 | |
| Vistra Operations Co. LLC: | |||
| 5% 7/31/27 (b) | 3,190,000 | 2,997,864 | |
| 5.5% 9/1/26 (b) | 3,498,000 | 3,398,682 | |
| 5.625% 2/15/27 (b) | 665,000 | 639,603 | |
| Western Power Distribution PLC 3.625% 11/6/23 (Reg. S) | GBP | 460,000 | 567,456 |
| Xcel Energy, Inc.: | |||
| 3.5% 12/1/49 | 4,570,000 | 3,325,186 | |
| 4.8% 9/15/41 | 311,000 | 276,994 | |
| 241,113,178 | |||
| Gas Utilities - 0.0% | |||
| Boston Gas Co. 4.487% 2/15/42 (b) | 1,118,000 | 934,071 | |
| Nakilat, Inc. 6.067% 12/31/33 (b) | 1,081,766 | 1,127,943 | |
| ONE Gas, Inc. 2% 5/15/30 | 3,243,000 | 2,706,234 | |
| Southern Co. Gas Capital Corp. 3.15% 9/30/51 | 3,046,000 | 2,029,352 | |
| Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (b) | 185,000 | 161,955 | |
| 6,959,555 | |||
| Independent Power and Renewable Electricity Producers - 0.1% | |||
| Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (b) | 6,227,000 | 5,571,177 | |
| Emera U.S. Finance LP: | |||
| 2.639% 6/15/31 | 7,893,000 | 6,326,205 | |
| 3.55% 6/15/26 | 9,123,000 | 8,634,714 | |
| 4.75% 6/15/46 | 5,449,000 | 4,337,957 | |
| RWE AG 2.75% 5/24/30 (Reg. S) | EUR | 204,000 | 201,960 |
| TerraForm Power Operating LLC: | |||
| 4.75% 1/15/30 (b) | 75,000 | 67,331 | |
| 5% 1/31/28 (b) | 656,000 | 615,000 | |
| The AES Corp.: | |||
| 1.375% 1/15/26 | 6,788,000 | 6,053,782 | |
| 2.45% 1/15/31 | 19,403,000 | 15,530,395 | |
| 3.3% 7/15/25 (b) | 20,507,000 | 19,434,484 | |
| 3.95% 7/15/30 (b) | 21,858,000 | 19,524,516 | |
| TransAlta Corp. 6.5% 3/15/40 | 405,000 | 376,650 | |
| 86,674,171 | |||
| Multi-Utilities - 0.2% | |||
| Berkshire Hathaway Energy Co.: | |||
| 2.85% 5/15/51 | 4,048,000 | 2,655,882 | |
| 3.25% 4/15/28 | 2,069,000 | 1,956,007 | |
| 3.7% 7/15/30 | 161,000 | 151,651 | |
| 4.05% 4/15/25 | 1,897,000 | 1,866,530 | |
| Consolidated Edison Co. of New York, Inc. 5.2% 3/1/33 | 8,097,000 | 8,221,168 | |
| Dominion Energy, Inc. 3.071% 8/15/24 (d) | 5,508,000 | 5,329,385 | |
| NiSource, Inc.: | |||
| 0.95% 8/15/25 | 2,487,000 | 2,268,559 | |
| 1.7% 2/15/31 | 3,114,000 | 2,440,727 | |
| 2.95% 9/1/29 | 15,395,000 | 13,562,956 | |
| 3.49% 5/15/27 | 16,136,000 | 15,290,983 | |
| 3.6% 5/1/30 | 21,588,000 | 19,656,715 | |
| 4.375% 5/15/47 | 3,114,000 | 2,618,343 | |
| 4.8% 2/15/44 | 4,982,000 | 4,485,836 | |
| 5% 6/15/52 | 2,180,000 | 1,996,511 | |
| 5.25% 3/30/28 | 4,400,000 | 4,432,690 | |
| 5.25% 2/15/43 | 132,000 | 126,458 | |
| 5.95% 6/15/41 | 2,375,000 | 2,427,974 | |
| Puget Energy, Inc.: | |||
| 2.379% 6/15/28 | 6,588,000 | 5,755,355 | |
| 3.65% 5/15/25 | 2,677,000 | 2,579,324 | |
| 4.1% 6/15/30 | 7,982,000 | 7,354,229 | |
| 4.224% 3/15/32 | 27,701,000 | 25,203,292 | |
| Sempra Energy 6% 10/15/39 | 2,744,000 | 2,797,598 | |
| WEC Energy Group, Inc.: | |||
| 3 month U.S. LIBOR + 2.610% 7.4332% 5/15/67 (d)(h) | 3,075,000 | 2,506,056 | |
| 2.2% 12/15/28 | 3,114,000 | 2,704,951 | |
| 138,389,180 | |||
| Water Utilities - 0.0% | |||
| Severn Trent Utilities Finance PLC: | |||
| 4.625% 11/30/34 (Reg. S) | GBP | 380,000 | 431,849 |
| 6.125% 2/26/24 | GBP | 245,000 | 305,560 |
| Thames Water Utility Finance PLC 1.875% 1/24/24 (Reg. S) | GBP | 480,000 | 582,170 |
| 1,319,579 | |||
TOTAL UTILITIES | 474,455,663 | ||
| TOTAL NONCONVERTIBLE BONDS (Cost $8,819,783,709) | 8,232,095,418 | ||
| U.S. Treasury Obligations - 12.6% | |||
Principal Amount (a) | Value ($) | ||
| U.S. Treasury Bonds: | |||
| 1.75% 8/15/41 | 13,264,000 | 9,355,783 | |
| 1.875% 2/15/41 | 12,454,500 | 9,075,730 | |
| 2% 11/15/41 | 19,304,500 | 14,185,791 | |
| 2.25% 2/15/52 | 85,500,000 | 61,666,875 | |
| 2.375% 5/15/51 | 634,826,000 | 471,730,275 | |
| 2.875% 5/15/52 | 409,400,000 | 339,002,393 | |
| 3.625% 2/15/53 | 461,920,700 | 443,660,397 | |
| 3.625% 5/15/53 | 120,360,000 | 115,808,888 | |
| 4% 11/15/42 | 1,645,000 | 1,646,028 | |
| U.S. Treasury Notes: | |||
| 0.25% 7/31/25 (k) | 75,607,200 | 69,304,631 | |
| 0.5% 5/31/27 | 520,000,000 | 455,000,000 | |
| 1.25% 4/30/28 | 250,000,000 | 221,533,203 | |
| 1.25% 5/31/28 | 74,500,000 | 65,920,859 | |
| 1.25% 6/30/28 | 75,000,000 | 66,234,375 | |
| 1.5% 2/29/24 (k) | 10,200,000 | 9,918,305 | |
| 1.625% 9/30/26 | 56,762,300 | 52,620,426 | |
| 1.875% 2/28/27 | 227,000,000 | 210,817,383 | |
| 1.875% 2/28/29 | 150,000,000 | 135,375,000 | |
| 2.125% 5/15/25 | 11,411,100 | 10,917,213 | |
| 2.375% 3/31/29 | 30,324,000 | 28,117,218 | |
| 2.625% 7/31/29 | 43,213,500 | 40,548,105 | |
| 2.75% 8/15/32 | 700,895,100 | 651,750,305 | |
| 2.875% 5/15/32 | 963,805,000 | 906,692,026 | |
| 3.125% 11/15/28 | 114,671,600 | 110,926,856 | |
| 3.125% 8/31/29 | 37,590,000 | 36,280,223 | |
| 3.25% 6/30/29 | 26,556,300 | 25,815,628 | |
| 3.375% 5/15/33 | 4,920,000 | 4,814,681 | |
| 3.5% 9/15/25 | 31,222,900 | 30,700,892 | |
| 3.5% 1/31/28 | 32,815,100 | 32,369,020 | |
| 3.5% 4/30/28 | 10,600,000 | 10,463,372 | |
| 3.5% 1/31/30 | 477,918,900 | 471,384,850 | |
| 3.5% 4/30/30 | 143,600,000 | 141,782,563 | |
| 3.5% 2/15/33 | 425,960,300 | 420,902,021 | |
| 3.625% 5/15/26 | 60,130,000 | 59,434,621 | |
| 3.625% 3/31/28 | 59,200,000 | 58,746,750 | |
| 3.625% 3/31/30 | 122,852,000 | 122,218,544 | |
| 3.75% 4/15/26 | 95,002,500 | 94,171,228 | |
| 3.75% 5/31/30 | 13,100,000 | 13,140,938 | |
| 3.875% 1/15/26 | 48,848,600 | 48,507,041 | |
| 3.875% 11/30/27 | 275,800,000 | 276,241,710 | |
| 3.875% 12/31/27 | 248,781,800 | 249,189,902 | |
| 3.875% 12/31/29 | 237,407,700 | 239,253,175 | |
| 4% 12/15/25 | 31,600,900 | 31,473,756 | |
| 4% 2/15/26 | 42,696,200 | 42,556,103 | |
| 4% 10/31/29 | 44,410,300 | 45,031,351 | |
| 4% 2/28/30 | 461,900,000 | 469,279,573 | |
| 4.125% 11/15/32 | 491,585,100 | 509,789,111 | |
| 4.25% 10/15/25 | 43,425,700 | 43,418,915 | |
| 4.375% 10/31/24 | 69,400,000 | 68,955,406 | |
| 4.625% 3/15/26 | 93,650,000 | 94,981,586 | |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $8,609,389,535) | 8,142,711,025 | ||
| U.S. Government Agency - Mortgage Securities - 21.2% | |||
Principal Amount (a) | Value ($) | ||
| Fannie Mae - 7.6% | |||
| 12 month U.S. LIBOR + 1.440% 3.945% 4/1/37 (d)(h) | 6,644 | 6,675 | |
| 12 month U.S. LIBOR + 1.460% 3.848% 1/1/35 (d)(h) | 6,620 | 6,656 | |
| 12 month U.S. LIBOR + 1.480% 3.796% 7/1/34 (d)(h) | 719 | 730 | |
| 12 month U.S. LIBOR + 1.530% 3.94% 3/1/36 (d)(h) | 1,539 | 1,549 | |
| 12 month U.S. LIBOR + 1.550% 3.803% 6/1/36 (d)(h) | 6,508 | 6,652 | |
| 12 month U.S. LIBOR + 1.560% 4.065% 3/1/37 (d)(h) | 5,830 | 5,876 | |
| 12 month U.S. LIBOR + 1.620% 3.918% 5/1/35 (d)(h) | 10,551 | 10,718 | |
| 12 month U.S. LIBOR + 1.620% 3.95% 3/1/33 (d)(h) | 5,349 | 5,391 | |
| 12 month U.S. LIBOR + 1.630% 3.815% 9/1/36 (d)(h) | 2,872 | 2,917 | |
| 12 month U.S. LIBOR + 1.630% 4.127% 11/1/36 (d)(h) | 3,018 | 3,063 | |
| 12 month U.S. LIBOR + 1.640% 3.895% 6/1/47 (d)(h) | 8,054 | 8,211 | |
| 12 month U.S. LIBOR + 1.640% 5.18% 5/1/36 (d)(h) | 2,227 | 2,275 | |
| 12 month U.S. LIBOR + 1.680% 3.982% 7/1/43 (d)(h) | 93,493 | 95,282 | |
| 12 month U.S. LIBOR + 1.700% 4.1% 6/1/42 (d)(h) | 11,382 | 11,656 | |
| 12 month U.S. LIBOR + 1.710% 3.857% 8/1/35 (d)(h) | 3,274 | 3,337 | |
| 12 month U.S. LIBOR + 1.730% 4.021% 3/1/40 (d)(h) | 11,988 | 12,170 | |
| 12 month U.S. LIBOR + 1.730% 4.294% 5/1/36 (d)(h) | 9,024 | 9,231 | |
| 12 month U.S. LIBOR + 1.750% 4% 8/1/41 (d)(h) | 17,586 | 18,009 | |
| 12 month U.S. LIBOR + 1.750% 4.051% 7/1/35 (d)(h) | 3,479 | 3,517 | |
| 12 month U.S. LIBOR + 1.800% 4.048% 12/1/40 (d)(h) | 359,830 | 367,472 | |
| 12 month U.S. LIBOR + 1.800% 4.05% 7/1/41 (d)(h) | 4,564 | 4,684 | |
| 12 month U.S. LIBOR + 1.800% 4.055% 1/1/42 (d)(h) | 26,442 | 26,841 | |
| 12 month U.S. LIBOR + 1.810% 4.05% 7/1/41 (d)(h) | 7,088 | 7,298 | |
| 12 month U.S. LIBOR + 1.810% 4.06% 12/1/39 (d)(h) | 9,020 | 9,155 | |
| 12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (d)(h) | 3,699 | 3,787 | |
| 12 month U.S. LIBOR + 1.810% 4.304% 2/1/42 (d)(h) | 15,647 | 15,882 | |
| 12 month U.S. LIBOR + 1.820% 4.294% 2/1/35 (d)(h) | 14,499 | 14,645 | |
| 12 month U.S. LIBOR + 1.830% 4.08% 10/1/41 (d)(h) | 2,977 | 2,933 | |
| 12 month U.S. LIBOR + 1.950% 3.771% 7/1/37 (d)(h) | 16,497 | 17,008 | |
| 6 month U.S. LIBOR + 1.500% 3.727% 1/1/35 (d)(h) | 11,743 | 11,800 | |
| 6 month U.S. LIBOR + 1.530% 3.785% 12/1/34 (d)(h) | 1,838 | 1,842 | |
| 6 month U.S. LIBOR + 1.530% 3.844% 3/1/35 (d)(h) | 2,693 | 2,699 | |
| 6 month U.S. LIBOR + 1.550% 5.984% 10/1/33 (d)(h) | 995 | 1,014 | |
| 6 month U.S. LIBOR + 1.560% 5.603% 7/1/35 (d)(h) | 980 | 997 | |
| 6 month U.S. LIBOR + 1.740% 3.865% 12/1/34 (d)(h) | 320 | 324 | |
| 6 month U.S. LIBOR + 1.960% 4.434% 9/1/35 (d)(h) | 2,310 | 2,340 | |
| U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (d)(h) | 3,525 | 3,575 | |
| U.S. TREASURY 1 YEAR INDEX + 2.270% 4.395% 6/1/36 (d)(h) | 9,893 | 10,119 | |
| U.S. TREASURY 1 YEAR INDEX + 2.280% 4.405% 10/1/33 (d)(h) | 6,413 | 6,558 | |
| U.S. TREASURY 1 YEAR INDEX + 2.460% 4.431% 7/1/34 (d)(h) | 11,365 | 11,658 | |
| 1% 12/1/36 | 90,188,281 | 74,344,067 | |
| 1.5% 11/1/35 to 8/1/51 (l) | 225,721,401 | 186,522,033 | |
| 2% 2/1/28 to 4/1/52 | 1,180,384,967 | 1,010,496,131 | |
| 2.5% 1/1/28 to 9/1/52 (l) | 1,337,713,748 | 1,174,944,227 | |
| 3% 12/1/28 to 8/1/52 (k) | 777,182,732 | 700,311,841 | |
| 3.25% 12/1/41 | 5,793 | 5,410 | |
| 3.4% 7/1/42 to 9/1/42 | 108,681 | 101,796 | |
| 3.5% 10/1/33 to 5/1/52 (k)(m) | 573,629,116 | 531,250,958 | |
| 3.65% 5/1/42 to 8/1/42 | 34,073 | 32,125 | |
| 3.9% 4/1/42 | 9,337 | 8,923 | |
| 4% 3/1/36 to 9/1/52 | 453,046,487 | 433,540,384 | |
| 4.25% 11/1/41 | 18,473 | 17,944 | |
| 4.5% to 4.5% 6/1/24 to 12/1/52 (k) | 349,502,724 | 341,996,729 | |
| 5% 6/1/23 to 12/1/52 | 240,272,772 | 238,757,895 | |
| 5.274% 8/1/41 (d) | 249,025 | 251,161 | |
| 5.5% 12/1/23 to 2/1/53 | 125,356,730 | 125,443,508 | |
| 5.5% 5/1/53 | 23,111,667 | 23,218,356 | |
| 6% to 6% 9/1/29 to 12/1/52 | 59,974,381 | 60,742,731 | |
| 6.5% 12/1/23 to 5/1/38 | 360,459 | 373,426 | |
| 6.682% 2/1/39 (d) | 124,045 | 126,908 | |
| 7% to 7% 9/1/23 to 7/1/37 | 92,742 | 96,046 | |
| 7.5% to 7.5% 8/1/23 to 9/1/32 | 57,064 | 59,281 | |
| 8% 3/1/37 | 2,905 | 3,190 | |
| 9% 10/1/30 | 3,244 | 3,491 | |
TOTAL FANNIE MAE | 4,903,385,107 | ||
| Freddie Mac - 4.5% | |||
| 12 month U.S. LIBOR + 1.320% 3.575% 1/1/36 (d)(h) | 3,884 | 3,860 | |
| 12 month U.S. LIBOR + 1.370% 3.634% 3/1/36 (d)(h) | 20,548 | 20,540 | |
| 12 month U.S. LIBOR + 1.500% 3.824% 3/1/36 (d)(h) | 16,011 | 16,040 | |
| 12 month U.S. LIBOR + 1.750% 4% 12/1/40 (d)(h) | 139,892 | 141,217 | |
| 12 month U.S. LIBOR + 1.750% 4% 7/1/41 (d)(h) | 31,847 | 32,524 | |
| 12 month U.S. LIBOR + 1.750% 4% 9/1/41 (d)(h) | 60,207 | 61,169 | |
| 12 month U.S. LIBOR + 1.860% 5.239% 4/1/36 (d)(h) | 8,138 | 8,298 | |
| 12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (d)(h) | 5,553 | 5,647 | |
| 12 month U.S. LIBOR + 1.880% 5.255% 4/1/41 (d)(h) | 1,436 | 1,467 | |
| 12 month U.S. LIBOR + 1.900% 4.179% 10/1/42 (d)(h) | 21,185 | 21,528 | |
| 12 month U.S. LIBOR + 1.910% 3.95% 6/1/41 (d)(h) | 11,696 | 12,007 | |
| 12 month U.S. LIBOR + 1.910% 4.055% 5/1/41 (d)(h) | 11,799 | 12,102 | |
| 12 month U.S. LIBOR + 1.910% 4.16% 6/1/41 (d)(h) | 3,663 | 3,762 | |
| 12 month U.S. LIBOR + 1.910% 4.563% 5/1/41 (d)(h) | 11,286 | 11,521 | |
| 12 month U.S. LIBOR + 1.960% 3.711% 6/1/33 (d)(h) | 4,723 | 4,814 | |
| 12 month U.S. LIBOR + 2.020% 4.93% 4/1/38 (d)(h) | 7,069 | 7,192 | |
| 12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (d)(h) | 148 | 149 | |
| 12 month U.S. LIBOR + 2.040% 4.256% 7/1/36 (d)(h) | 10,095 | 10,354 | |
| 12 month U.S. LIBOR + 2.200% 4.45% 12/1/36 (d)(h) | 18,287 | 18,641 | |
| 6 month U.S. LIBOR + 1.120% 3.424% 8/1/37 (d)(h) | 7,752 | 7,657 | |
| 6 month U.S. LIBOR + 1.880% 4.369% 10/1/36 (d)(h) | 20,014 | 20,112 | |
| 6 month U.S. LIBOR + 1.990% 4.435% 10/1/35 (d)(h) | 9,704 | 9,775 | |
| 6 month U.S. LIBOR + 2.020% 5.51% 6/1/37 (d)(h) | 15,353 | 15,744 | |
| 6 month U.S. LIBOR + 2.680% 6.988% 10/1/35 (d)(h) | 6,202 | 6,382 | |
| U.S. TREASURY 1 YEAR INDEX + 2.030% 3.907% 6/1/33 (d)(h) | 14,303 | 14,475 | |
| U.S. TREASURY 1 YEAR INDEX + 2.260% 3.809% 6/1/33 (d)(h) | 29,520 | 30,000 | |
| U.S. TREASURY 1 YEAR INDEX + 2.430% 4.39% 3/1/35 (d)(h) | 49,860 | 50,934 | |
| 1.5% 8/1/35 to 6/1/51 | 434,783,134 | 343,159,652 | |
| 2% 6/1/35 to 4/1/52 (l) | 727,507,472 | 613,988,210 | |
| 2.5% 1/1/28 to 4/1/52 (l) | 731,685,490 | 639,170,762 | |
| 3% 6/1/31 to 4/1/52 | 338,058,292 | 303,495,984 | |
| 3.5% 3/1/32 to 10/1/52 (k)(m) | 289,792,620 | 269,100,512 | |
| 4% 5/1/33 to 2/1/53 (k) | 193,396,235 | 185,000,840 | |
| 4% 4/1/48 | 8,664 | 8,330 | |
| 4.5% 6/1/25 to 10/1/52 | 174,538,971 | 169,427,482 | |
| 5% 7/1/33 to 1/1/53 | 142,312,878 | 141,522,972 | |
| 5.5% 3/1/34 to 4/1/53 | 182,996,753 | 184,381,015 | |
| 5.5% 5/1/53 | 20,935,669 | 21,032,314 | |
| 6% 3/1/24 to 11/1/52 | 1,798,744 | 1,824,183 | |
| 6.5% 1/1/24 to 1/1/53 | 32,016,280 | 32,861,911 | |
| 7% 3/1/26 to 9/1/36 | 109,425 | 114,357 | |
| 7.5% 1/1/27 to 7/1/34 | 32,114 | 33,967 | |
| 8% 7/1/24 to 4/1/32 | 2,126 | 2,242 | |
| 8.5% 1/1/25 to 1/1/28 | 1,175 | 1,209 | |
TOTAL FREDDIE MAC | 2,905,673,853 | ||
| Ginnie Mae - 4.7% | |||
| 3.5% 9/20/40 to 12/20/49 | 70,619,530 | 66,367,032 | |
| 4% 7/20/33 to 5/20/49 | 68,834,025 | 66,604,370 | |
| 4.5% 6/20/33 to 9/20/46 | 7,153,511 | 7,106,754 | |
| 5.5% 8/15/33 to 9/15/39 | 198,472 | 204,385 | |
| 6% to 6% 10/15/30 to 5/15/40 | 276,956 | 288,561 | |
| 7% to 7% 12/15/23 to 11/15/32 | 316,995 | 328,766 | |
| 7.5% to 7.5% 8/15/23 to 9/15/31 | 19,977 | 20,449 | |
| 8% 12/15/23 to 11/15/29 | 4,160 | 4,245 | |
| 8.5% to 8.5% 11/15/27 to 1/15/31 | 2,695 | 2,832 | |
| 2% 9/20/50 to 4/20/51 | 301,171,933 | 256,269,898 | |
| 2% 6/1/53 (i) | 1,700,000 | 1,441,545 | |
| 2% 6/1/53 (i) | 28,600,000 | 24,251,879 | |
| 2% 6/1/53 (i) | 5,300,000 | 4,494,229 | |
| 2% 6/1/53 (i) | 17,900,000 | 15,178,624 | |
| 2% 6/1/53 (i) | 17,900,000 | 15,178,624 | |
| 2% 6/1/53 (i) | 182,950,000 | 155,135,709 | |
| 2% 6/1/53 (i) | 30,650,000 | 25,990,213 | |
| 2% 6/1/53 (i) | 166,750,000 | 141,398,631 | |
| 2% 6/1/53 (i) | 26,900,000 | 22,810,334 | |
| 2% 6/1/53 (i) | 9,550,000 | 8,098,092 | |
| 2% 6/1/53 (i) | 59,050,000 | 50,072,499 | |
| 2% 7/1/53 (i) | 19,800,000 | 16,806,777 | |
| 2% 7/1/53 (i) | 126,450,000 | 107,334,187 | |
| 2% 7/1/53 (i) | 168,050,000 | 142,645,394 | |
| 2% 7/1/53 (i) | 26,300,000 | 22,324,153 | |
| 2% 7/1/53 (i) | 6,500,000 | 5,517,376 | |
| 2% 7/1/53 (i) | 41,550,000 | 35,268,766 | |
| 2.5% 11/20/47 to 12/20/51 | 55,928,689 | 48,905,877 | |
| 2.5% 6/1/53 (i) | 49,150,000 | 42,922,302 | |
| 2.5% 6/1/53 (i) | 2,150,000 | 1,877,578 | |
| 2.5% 6/1/53 (i) | 45,450,000 | 39,691,121 | |
| 2.5% 6/1/53 (i) | 14,000,000 | 12,226,088 | |
| 2.5% 6/1/53 (i) | 31,300,000 | 27,334,040 | |
| 2.5% 6/1/53 (i) | 185,100,000 | 161,646,349 | |
| 2.5% 6/1/53 (i) | 26,050,000 | 22,749,257 | |
| 2.5% 6/1/53 (i) | 152,400,000 | 133,089,701 | |
| 2.5% 7/1/53 (i) | 22,350,000 | 19,535,536 | |
| 2.5% 7/1/53 (i) | 131,450,000 | 114,896,922 | |
| 3% 5/15/42 to 2/20/50 | 8,664,588 | 7,845,605 | |
| 3% 6/1/53 (i) | 20,900,000 | 18,794,967 | |
| 3% 6/1/53 (i) | 145,300,000 | 130,665,486 | |
| 3% 6/1/53 (i) | 50,550,000 | 45,458,639 | |
| 3% 6/1/53 (i) | 2,125,000 | 1,910,971 | |
| 3% 6/1/53 (i) | 9,450,000 | 8,498,203 | |
| 3% 6/1/53 (i) | 3,550,000 | 3,192,446 | |
| 3% 6/1/53 (i) | 46,700,000 | 41,996,409 | |
| 3% 6/1/53 (i) | 28,300,000 | 25,449,644 | |
| 3% 6/1/53 (i) | 17,800,000 | 16,007,196 | |
| 3% 6/1/53 (i) | 13,900,000 | 12,500,002 | |
| 3% 6/1/53 (i) | 96,900,000 | 87,140,300 | |
| 3% 7/1/53 (i) | 146,500,000 | 131,847,627 | |
| 3% 7/1/53 (i) | 21,050,000 | 18,944,659 | |
| 3.5% 6/1/53 (i) | 10,950,000 | 10,148,070 | |
| 3.5% 6/1/53 (i) | 109,850,000 | 101,805,069 | |
| 3.5% 6/1/53 (i) | 7,750,000 | 7,182,424 | |
| 3.5% 6/1/53 (i) | 77,650,000 | 71,963,256 | |
| 3.5% 7/1/53 (i) | 6,900,000 | 6,399,257 | |
| 3.5% 7/1/53 (i) | 81,550,000 | 75,631,794 | |
| 4% 6/1/53 (i) | 7,950,000 | 7,554,532 | |
| 4% 6/1/53 (i) | 54,150,000 | 51,456,341 | |
| 4.5% 6/1/53 (i) | 109,700,000 | 106,531,952 | |
| 4.5% 6/1/53 (i) | 4,100,000 | 3,981,595 | |
| 5% 4/15/33 to 6/20/48 | 9,217,377 | 9,284,412 | |
| 5% 6/1/53 (i) | 7,900,000 | 7,793,792 | |
| 5% 6/1/53 (i) | 52,700,000 | 51,991,496 | |
| 5.5% 6/1/53 (i) | 3,750,000 | 3,745,872 | |
| 5.5% 6/1/53 (i) | 1,850,000 | 1,847,964 | |
| 5.5% 6/1/53 (i) | 69,150,000 | 69,073,887 | |
| 5.5% 6/1/53 (i) | 4,900,000 | 4,894,607 | |
| 5.5% 6/1/53 (i) | 33,850,000 | 33,812,741 | |
| 5.5% 6/1/53 (i) | 32,400,000 | 32,364,337 | |
| 6.5% 3/20/31 to 6/15/37 | 43,095 | 45,045 | |
TOTAL GINNIE MAE | 3,023,779,692 | ||
| Uniform Mortgage Backed Securities - 4.4% | |||
| 1.5% 6/1/38 (i) | 7,500,000 | 6,554,003 | |
| 1.5% 6/1/38 (i) | 5,600,000 | 4,893,656 | |
| 1.5% 6/1/38 (i) | 28,950,000 | 25,298,453 | |
| 1.5% 6/1/38 (i) | 21,700,000 | 18,962,916 | |
| 1.5% 6/1/38 (i) | 6,800,000 | 5,942,296 | |
| 1.5% 6/1/38 (i) | 26,325,000 | 23,004,551 | |
| 1.5% 6/1/53 (i) | 30,000,000 | 23,392,314 | |
| 1.5% 6/1/53 (i) | 300,000 | 233,923 | |
| 2% 6/1/38 (i) | 10,900,000 | 9,760,056 | |
| 2% 6/1/38 (i) | 54,950,000 | 49,203,219 | |
| 2% 6/1/38 (i) | 4,100,000 | 3,671,214 | |
| 2% 6/1/38 (i) | 52,300,000 | 46,830,361 | |
| 2% 6/1/38 (i) | 23,650,000 | 21,176,636 | |
| 2% 6/1/53 (i) | 235,000,000 | 193,223,251 | |
| 2% 6/1/53 (i) | 83,700,000 | 68,820,366 | |
| 2% 6/1/53 (i) | 117,400,000 | 96,529,403 | |
| 2% 6/1/53 (i) | 176,525,000 | 145,143,551 | |
| 2% 6/1/53 (i) | 5,300,000 | 4,357,801 | |
| 2% 6/1/53 (i) | 17,900,000 | 14,717,856 | |
| 2% 6/1/53 (i) | 17,900,000 | 14,717,856 | |
| 2% 6/1/53 (i) | 20,950,000 | 17,225,647 | |
| 2% 6/1/53 (i) | 212,000,000 | 174,312,039 | |
| 2% 6/1/53 (i) | 18,600,000 | 15,293,415 | |
| 2% 6/1/53 (i) | 8,600,000 | 7,071,149 | |
| 2% 6/1/53 (i) | 110,250,000 | 90,650,483 | |
| 2% 6/1/53 (i) | 4,300,000 | 3,535,574 | |
| 2% 6/1/53 (i) | 55,100,000 | 45,304,686 | |
| 2% 7/1/53 (i) | 171,650,000 | 141,343,047 | |
| 2% 7/1/53 (i) | 171,650,000 | 141,343,047 | |
| 2% 7/1/53 (i) | 3,650,000 | 3,005,547 | |
| 2% 7/1/53 (i) | 99,100,000 | 81,602,656 | |
| 2.5% 6/1/38 (i) | 3,500,000 | 3,217,813 | |
| 2.5% 6/1/38 (i) | 23,525,000 | 21,628,297 | |
| 2.5% 6/1/53 (i) | 6,550,000 | 5,594,365 | |
| 2.5% 6/1/53 (i) | 43,600,000 | 37,238,830 | |
| 2.5% 6/1/53 (i) | 6,550,000 | 5,594,365 | |
| 2.5% 6/1/53 (i) | 25,000 | 21,353 | |
| 2.5% 6/1/53 (i) | 137,400,000 | 117,353,560 | |
| 2.5% 6/1/53 (i) | 19,000,000 | 16,227,930 | |
| 2.5% 6/1/53 (i) | 43,650,000 | 37,281,535 | |
| 2.5% 7/1/53 (i) | 4,850,000 | 4,151,391 | |
| 2.5% 7/1/53 (i) | 80,950,000 | 69,289,719 | |
| 3% 6/1/53 (i) | 5,400,000 | 4,784,484 | |
| 3% 6/1/53 (i) | 48,350,000 | 42,838,854 | |
| 3% 6/1/53 (i) | 1,950,000 | 1,727,730 | |
| 3% 6/1/53 (i) | 17,500,000 | 15,505,273 | |
| 3% 6/1/53 (i) | 69,000,000 | 61,135,076 | |
| 3% 6/1/53 (i) | 7,700,000 | 6,822,320 | |
| 3.5% 6/1/53 (i) | 4,600,000 | 4,220,141 | |
| 3.5% 6/1/53 (i) | 20,800,000 | 19,082,376 | |
| 4% 6/1/53 (i) | 14,850,000 | 14,028,609 | |
| 4% 6/1/53 (i) | 4,850,000 | 4,581,734 | |
| 4% 6/1/53 (i) | 9,300,000 | 8,785,594 | |
| 4% 6/1/53 (i) | 6,650,000 | 6,282,172 | |
| 4% 6/1/53 (i) | 3,050,000 | 2,881,297 | |
| 4% 6/1/53 (i) | 2,175,000 | 2,054,695 | |
| 4.5% 6/1/53 (i) | 14,075,000 | 13,618,662 | |
| 4.5% 6/1/53 (i) | 25,075,000 | 24,262,021 | |
| 5% 6/1/38 (i) | 1,800,000 | 1,795,430 | |
| 5% 6/1/38 (i) | 16,300,000 | 16,258,613 | |
| 5% 6/1/38 (i) | 3,600,000 | 3,590,859 | |
| 5% 6/1/38 (i) | 32,350,000 | 32,267,860 | |
| 5% 6/1/38 (i) | 4,500,000 | 4,488,574 | |
| 5% 6/1/38 (i) | 40,450,000 | 40,347,293 | |
| 5% 6/1/38 (i) | 2,700,000 | 2,693,144 | |
| 5% 6/1/38 (i) | 24,250,000 | 24,188,427 | |
| 5% 6/1/38 (i) | 1,425,000 | 1,421,382 | |
| 5% 6/1/38 (i) | 12,950,000 | 12,917,119 | |
| 5% 6/1/38 (i) | 1,275,000 | 1,271,763 | |
| 5% 6/1/38 (i) | 11,500,000 | 11,470,800 | |
| 5% 6/1/53 (i) | 8,100,000 | 7,977,551 | |
| 5% 6/1/53 (i) | 70,000,000 | 68,941,796 | |
| 5.5% 6/1/53 (i) | 12,300,000 | 12,291,832 | |
| 5.5% 6/1/53 (i) | 43,100,000 | 43,071,377 | |
| 5.5% 6/1/53 (i) | 7,550,000 | 7,544,986 | |
| 5.5% 6/1/53 (i) | 26,450,000 | 26,432,435 | |
| 5.5% 6/1/53 (i) | 88,800,000 | 88,741,028 | |
| 5.5% 6/1/53 (i) | 116,300,000 | 116,222,765 | |
| 5.5% 6/1/53 (i) | 40,300,000 | 40,273,237 | |
| 5.5% 6/1/53 (i) | 11,350,000 | 11,342,462 | |
| 5.5% 6/1/53 (i) | 61,000,000 | 60,959,490 | |
| 5.5% 6/1/53 (i) | 2,150,000 | 2,148,572 | |
| 5.5% 7/1/53 (i) | 17,400,000 | 17,386,405 | |
| 5.5% 7/1/53 (i) | 86,500,000 | 86,432,418 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 2,789,808,786 | ||
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $14,284,905,372) | 13,622,647,438 | ||
| Asset-Backed Securities - 2.3% | |||
Principal Amount (a) | Value ($) | ||
| AASET Trust: | |||
| Series 2018-1A Class A, 3.844% 1/16/38 (b)(g) | 6,803,011 | 4,320,255 | |
| Series 2019-1 Class A, 3.844% 5/15/39 (b) | 2,820,611 | 2,030,918 | |
| Series 2019-2: | |||
Class A, 3.376% 10/16/39 (b) | 7,457,769 | 5,887,327 | |
Class B, 4.458% 10/16/39 (b) | 1,488,945 | 524,228 | |
| Series 2021-1A Class A, 2.95% 11/16/41 (b) | 9,850,808 | 8,876,071 | |
| Series 2021-2A Class A, 2.798% 1/15/47 (b) | 19,622,760 | 16,787,272 | |
| Aimco: | |||
| Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 6.3327% 7/22/32 (b)(d)(h) | 3,942,574 | 3,877,289 | |
| Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 6.3603% 1/15/32 (b)(d)(h) | 11,580,122 | 11,420,467 | |
| AIMCO CLO Ltd.: | |||
| Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 6.3903% 10/17/34 (b)(d)(h) | 7,980,000 | 7,800,634 | |
| Series 2022-12A Class AR, CME Term SOFR 3 Month Index + 1.170% 6.1563% 1/17/32 (b)(d)(h) | 4,031,543 | 3,965,083 | |
| Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.5485% 7/20/35 (b)(d)(h) | 12,690,000 | 12,478,267 | |
| Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 6.3904% 7/20/34 (b)(d)(h) | 8,250,000 | 8,022,251 | |
| Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
| Class A, 3.351% 1/16/40 (b) | 2,671,929 | 2,245,253 | |
| Class B, 4.335% 1/16/40 (b) | 435,156 | 218,251 | |
| Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 6.5803% 10/15/32 (b)(d)(h) | 8,066,000 | 7,964,030 | |
| Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 6.3227% 4/22/31 (b)(d)(h) | 2,862,530 | 2,819,294 | |
| Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 6.3903% 7/15/34 (b)(d)(h) | 10,540,000 | 10,326,660 | |
| Ares LVIII CLO LLC Series 2022-58A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.3163% 1/15/35 (b)(d)(h) | 18,170,000 | 17,640,417 | |
| Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, 3 month U.S. LIBOR + 1.070% 6.3303% 4/15/34 (b)(d)(h) | 24,780,000 | 24,166,522 | |
| Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 6.5103% 4/17/33 (b)(d)(h) | 26,092,000 | 25,676,302 | |
| Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 10/15/36 (b)(d)(h) | 7,970,000 | 7,767,801 | |
| Bank of America Credit Card Master Trust Series 2022-A2, Class A2, 5% 4/15/28 | 3,900,000 | 3,920,046 | |
| Barings CLO Ltd. Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 6.4704% 1/20/32 (b)(d)(h) | 9,470,000 | 9,349,551 | |
| Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1 month U.S. LIBOR + 1.120% 6.263% 2/25/35 (d)(h) | 137,429 | 135,096 | |
| Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME Term SOFR 3 Month Index + 1.300% 6.2863% 1/17/35 (b)(d)(h) | 15,590,000 | 15,268,191 | |
| BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 6.3903% 1/15/35 (b)(d)(h) | 11,380,000 | 11,095,739 | |
| Blackbird Capital Aircraft: | |||
| Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 7,062,120 | 6,480,060 | |
Class AA, 2.487% 12/16/41 (b)(d) | 396,099 | 379,281 | |
| Series 2021-1A Class A, 2.443% 7/15/46 (b) | 23,690,669 | 20,777,664 | |
| Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 6.2503% 4/15/29 (b)(d)(h) | 9,776,978 | 9,666,880 | |
| Capital One Multi-Asset Execution Trust Series 2023-A1 Class A, 4.42% 5/15/28 | 27,600,000 | 27,363,297 | |
| Carmax Auto Owner Trust Series 2023 2 Class A2A, 5.5% 6/15/26 | 3,900,000 | 3,883,810 | |
| Castlelake Aircraft Securitization Trust: | |||
| Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (b) | 10,891,125 | 9,679,052 | |
Class B, 5.095% 4/15/39 (b) | 3,098,041 | 2,242,145 | |
| Series 2021-1R Class A, 2.741% 8/15/41 (b) | 20,245,861 | 18,268,022 | |
| Castlelake Aircraft Structured Trust: | |||
| Series 2018-1 Class A, 4.125% 6/15/43 (b) | 2,294,571 | 2,072,527 | |
| Series 2021-1A: | |||
Class A, 3.474% 1/15/46 (b) | 5,599,162 | 5,137,231 | |
Class B, 6.656% 1/15/46 (b) | 2,756,103 | 2,251,736 | |
| Cedar Funding Ltd.: | |||
| Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 6.3504% 10/20/32 (b)(d)(h) | 9,231,000 | 9,057,263 | |
| Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 6.3603% 7/15/33 (b)(d)(h) | 3,354,274 | 3,298,882 | |
| Series 2022-15A Class A, CME Term SOFR 3 Month Index + 1.320% 6.3685% 4/20/35 (b)(d)(h) | 14,430,000 | 14,047,764 | |
| Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 6.3851% 10/25/34 (b)(d)(h) | 6,880,000 | 6,710,181 | |
| Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 6.2616% 7/27/30 (b)(d)(h) | 4,871,043 | 4,814,982 | |
| Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 6.4204% 10/20/34 (b)(d)(h) | 11,410,000 | 11,045,040 | |
| CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | 13,164,390 | 12,601,158 | |
| Chase Issuance Trust Series 2022-A1 Class A, 3.97% 9/15/27 | 3,763,000 | 3,692,952 | |
| Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 6.488% 10/25/37 (b)(d)(h) | 23,129 | 23,042 | |
| Citibank Credit Card Issuance Trust Series 2018-A7 Class A7, 3.96% 10/13/30 | 9,000,000 | 8,715,428 | |
| CNH Equipment Trust Series 2023 A Class A2, 5.34% 9/15/26 | 14,462,000 | 14,407,172 | |
| Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 6.4504% 4/20/34 (b)(d)(h) | 9,400,000 | 9,130,239 | |
| Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.700% 6.7706% 7/24/34 (b)(d)(h) | 16,510,000 | 16,254,673 | |
| Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 6.5604% 1/20/34 (b)(d)(h) | 12,220,000 | 11,986,708 | |
| DB Master Finance LLC: | |||
| Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | 25,772,948 | 23,845,440 | |
| Series 2019-1A: | |||
Class A23, 4.352% 5/20/49 (b) | 8,186,063 | 7,583,585 | |
Class A2II, 4.021% 5/20/49 (b) | 727,650 | 684,949 | |
| Series 2021-1A: | |||
Class A23, 2.791% 11/20/51 (b) | 11,820,000 | 9,417,987 | |
Class A2I, 2.045% 11/20/51 (b) | 4,042,440 | 3,550,608 | |
| Discover Card Execution Note Trust Series 2022-A4, Class A, 5.03% 10/15/27 | 3,900,000 | 3,918,006 | |
| Dominos Pizza Master Issuer LLC: | |||
| Series 2016-1A Class A2II, 4.474% 10/25/45 (b) | 5,708,175 | 5,484,363 | |
| Series 2017-1A Class A23, 4.118% 7/25/47 (b) | 5,021,750 | 4,702,196 | |
| Series 2018-1A Class A2I, 4.116% 7/25/48 (b) | 2,572,770 | 2,456,663 | |
| Series 2019-1A Class A2, 3.668% 10/25/49 (b) | 28,982,430 | 25,594,703 | |
| Series 2021-1A: | |||
Class A2I, 2.662% 4/25/51 (b) | 7,026,600 | 6,044,527 | |
Class A2II, 3.151% 4/25/51 (b) | 6,712,020 | 5,590,871 | |
| Dryden 98 CLO Ltd. Series 2022-98A Class A, CME Term SOFR 3 Month Index + 1.300% 6.3485% 4/20/35 (b)(d)(h) | 9,710,000 | 9,418,632 | |
| Dryden CLO, Ltd.: | |||
| Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 6.4004% 10/20/34 (b)(d)(h) | 7,990,000 | 7,814,532 | |
| Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 6.4817% 1/18/32 (b)(d)(h) | 7,360,000 | 7,264,982 | |
| Dryden Senior Loan Fund: | |||
| Series 2018-70A Class A1, 3 month U.S. LIBOR + 1.170% 6.4303% 1/16/32 (b)(d)(h) | 2,909,000 | 2,878,970 | |
| Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 6.4403% 4/17/33 (b)(d)(h) | 7,000,000 | 6,880,195 | |
| Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 10/15/35 (b)(d)(h) | 10,090,000 | 9,837,811 | |
| Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 6.5091% 2/20/35 (b)(d)(h) | 6,930,000 | 6,753,022 | |
| Eaton Vance CLO, Ltd.: | |||
| Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 6.3603% 4/15/31 (b)(d)(h) | 7,430,806 | 7,316,647 | |
| Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 1/15/35 (b)(d)(h) | 11,970,000 | 11,716,200 | |
| Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 6.5103% 1/15/34 (b)(d)(h) | 2,000,000 | 1,964,870 | |
| Flatiron CLO Ltd. Series 2021-1A: | |||
| Class A1, 3 month U.S. LIBOR + 1.110% 6.375% 7/19/34 (b)(d)(h) | 7,180,000 | 7,032,731 | |
| Class AR, 3 month U.S. LIBOR + 1.080% 6.3983% 11/16/34 (b)(d)(h) | 11,500,000 | 11,287,181 | |
| Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 6.6791% 11/20/33 (b)(d)(h) | 12,800,000 | 12,623,590 | |
| Ford Credit Auto Owner Trust: | |||
| Series 2018-2 Class B, 3.61% 1/15/30 (b) | 1,500,000 | 1,494,642 | |
| Series 2020-2 Class A, 1.06% 4/15/33 (b) | 5,000,000 | 4,554,228 | |
| Series 2021-1 Class A, 1.37% 10/17/33 (b) | 5,000,000 | 4,525,691 | |
| Ford Credit Floorplan Master Owner Trust: | |||
| Series 2019-2 Class A, 3.06% 4/15/26 | 8,253,000 | 8,050,140 | |
| Series 2019-4 Class A, 2.44% 9/15/26 | 1,300,000 | 1,248,641 | |
| Series 2023-1 Class A1, 4.92% 5/15/28 (b) | 44,930,000 | 44,690,833 | |
| Gm Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25 | 7,940,000 | 7,923,813 | |
| GM Financial Consumer Automobile Re Series 2023 2 Class A3, 4.47% 2/16/28 | 18,533,000 | 18,371,398 | |
| GM Financial Consumer Automobile Receivables Trust Series 2022-2 Class A3, 3.1% 2/16/27 | 54,500,000 | 52,777,489 | |
| Gm Financial Revolving Receiva: | |||
| Series 2021-1 Class A, 1.17% 6/12/34 (b) | 5,000,000 | 4,429,553 | |
| Series 2023-1 Class A, 5.12% 4/11/35 (b) | 6,600,000 | 6,635,999 | |
| GMF Floorplan Owner Revolving Trust Series 2020-1 Class A, 0.68% 8/15/25 (b) | 954,000 | 944,636 | |
| Honda Auto Receivables Series 2023-2 Class A3, 4.93% 11/15/27 | 12,903,000 | 12,920,205 | |
| Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 13,416,850 | 11,571,980 | |
| Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 8,812,906 | 7,534,999 | |
| Hyundai Auto Lease Securitizat Series 2023-B Class A2A, 5.47% 9/15/25 (b) | 18,719,000 | 18,713,596 | |
| Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 6.4027% 10/22/34 (b)(d)(h) | 9,130,000 | 8,918,650 | |
| KKR CLO Ltd. Series 2022-41A Class A1, CME Term SOFR 3 Month Index + 1.330% 6.3163% 4/15/35 (b)(d)(h) | 19,170,000 | 18,568,963 | |
| Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 6.4703% 1/15/33 (b)(d)(h) | 4,500,000 | 4,443,912 | |
| Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 6.1927% 1/22/28 (b)(d)(h) | 2,172,069 | 2,153,218 | |
| Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, CME Term SOFR 3 Month Index + 1.400% 6.4295% 4/19/34 (b)(d)(h) | 9,810,000 | 9,652,236 | |
| Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.100% 6.3727% 1/22/35 (b)(d)(h) | 16,291,000 | 15,853,277 | |
| Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 6.3803% 7/15/34 (b)(d)(h) | 7,360,000 | 7,227,307 | |
| Madison Park Funding XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 0.970% 6.2616% 7/27/31 (b)(d)(h) | 2,425,021 | 2,398,237 | |
| Madison Park Funding XXVI Ltd. Series 2017-26A Class AR, 3 month U.S. LIBOR + 1.200% 6.4991% 7/29/30 (b)(d)(h) | 1,825,828 | 1,808,601 | |
| Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 6.2727% 1/22/31 (b)(d)(h) | 4,173,273 | 4,115,511 | |
| Magnetite CLO LTD Series 2023-36A Class A, CME Term SOFR 3 Month Index + 1.800% 0% 4/22/36 (b)(d)(h)(i) | 10,440,000 | 10,434,655 | |
| Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 6.3904% 10/20/34 (b)(d)(h) | 3,092,000 | 3,023,252 | |
| Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 6.3851% 1/25/35 (b)(d)(h) | 9,420,000 | 9,191,443 | |
| Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 6.2503% 1/15/34 (b)(d)(h) | 8,400,000 | 8,264,088 | |
| MAPS Trust Series 2021-1A Class A, 2.521% 6/15/46 (b) | 30,252,929 | 26,234,974 | |
| Marlette Funding Trust: | |||
| Series 2021-3A Class A, 0.65% 12/15/31 (b) | 893,015 | 890,253 | |
| Series 2022-1A Class A, 1.36% 4/15/32 (b) | 2,780,836 | 2,757,226 | |
| Mercedes-Benz Auto Receivables Series 2023-1 Class A4, 4.31% 4/16/29 | 4,500,000 | 4,443,415 | |
| Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 130,770 | 126,326 | |
| Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 6.3204% 10/20/30 (b)(d)(h) | 13,199,388 | 13,051,238 | |
| MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (b) | 466,958 | 460,464 | |
| Morgan Stanley ABS Capital I Trust Series 2004-HE7 Class B3, 1 month U.S. LIBOR + 5.250% 10.388% 8/25/34 (d)(g)(h) | 53,136 | 75,001 | |
| Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 6.2603% 7/17/32 (b)(d)(h) | 3,241,511 | 3,175,092 | |
| Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 6.1791% 5/20/29 (b)(d)(h) | 1,778,714 | 1,760,477 | |
| Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME Term SOFR 3 Month Index + 1.050% 6.0363% 4/15/30 (b)(d)(h) | 4,477,307 | 4,412,982 | |
| Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 6.383% 1/25/36 (d)(h) | 60,726 | 59,390 | |
| Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 6.3804% 10/20/34 (b)(d)(h) | 14,148,000 | 13,865,846 | |
| Planet Fitness Master Issuer LLC: | |||
| Series 2018-1A Class A2II, 4.666% 9/5/48 (b) | 6,164,525 | 5,916,526 | |
| Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 38,771,595 | 33,163,361 | |
| Series 2022-1A: | |||
Class A2I, 3.251% 12/5/51 (b) | 9,622,800 | 8,637,560 | |
Class A2II, 4.008% 12/5/51 (b) | 9,622,800 | 7,965,225 | |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) | 5,818,975 | 4,887,997 | |
| Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(d) | 1,718,896 | 1,571,009 | |
| Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 6.3704% 4/20/34 (b)(d)(h) | 12,190,000 | 11,960,609 | |
| RR 7 Ltd. Series 2022-7A Class A1AB, CME Term SOFR 3 Month Index + 1.340% 6.3263% 1/15/37 (b)(d)(h) | 15,740,000 | 15,377,870 | |
| Santander Drive Auto Receivables Trust Series 2022-5 Class A3, 4.11% 8/17/26 | 2,555,000 | 2,524,389 | |
| Sapphire Aviation Finance Series 2020-1A: | |||
| Class A, 3.228% 3/15/40 (b) | 18,379,754 | 15,468,585 | |
| Class B, 4.335% 3/15/40 (b)(g) | 853,777 | 599,783 | |
| SBA Tower Trust: | |||
| Series 2019, 2.836% 1/15/50 (b) | 9,702,000 | 9,210,959 | |
| 1.631% 5/15/51 (b) | 5,173,000 | 4,511,281 | |
| 1.884% 7/15/50 (b) | 4,645,000 | 4,195,026 | |
| 2.328% 7/15/52 (b) | 3,269,000 | 2,821,960 | |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (b) | 10,894,583 | 9,241,306 | |
| Stratus CLO, Ltd. Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.750% 6.7985% 7/20/30 (b)(d)(h) | 3,329,539 | 3,316,285 | |
| SYMP Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.3906% 4/23/35 (b)(d)(h) | 15,900,000 | 15,537,528 | |
| Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, 3 month U.S. LIBOR + 0.960% 6.2203% 4/16/31 (b)(d)(h) | 6,280,000 | 6,189,901 | |
| Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 6.3203% 7/15/32 (b)(d)(h) | 4,245,997 | 4,160,899 | |
| Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 6.2803% 1/15/34 (b)(d)(h) | 3,464,968 | 3,413,652 | |
| Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 6.3304% 4/20/33 (b)(d)(h) | 14,285,000 | 14,011,142 | |
| TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 6.2904% 11/18/30 (b)(d)(h) | 2,673,036 | 2,648,450 | |
| TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 6.1903% 7/15/30 (b)(d)(h) | 3,598,964 | 3,553,973 | |
| Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 5.998% 9/25/34 (d)(h) | 45,367 | 43,197 | |
| Thunderbolt Aircraft Lease Ltd.: | |||
| Series 2017-A Class A, 4.212% 5/17/32 (b) | 1,286,096 | 1,157,609 | |
| Series 2018-A Class A, 4.147% 9/15/38 (b)(d) | 7,415,310 | 6,340,238 | |
| Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 24,519,179 | 20,474,005 | |
| Toyota Auto Receivables Owner Trust: | |||
| Series 2022-C Class A3, 3.76% 4/15/27 | 37,350,000 | 36,537,608 | |
| Series 2023-A Class A4, 4.42% 8/15/28 | 4,000,000 | 3,963,259 | |
| Toyota Lease Owner Trust Series 2023 A: | |||
| Class A2, 5.3% 8/20/25 (b) | 17,128,000 | 17,023,875 | |
| Class A3, 4.93% 4/20/26 (b) | 14,238,000 | 14,180,305 | |
| Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 5.7789% 4/6/42 (b)(d)(g)(h) | 1,380,000 | 1,007,844 | |
| Upstart Securitization Trust: | |||
| Series 2021-2 Class A, 0.91% 6/20/31 (b) | 851,692 | 847,309 | |
| Series 2021-3 Class A, 0.83% 7/20/31 (b) | 3,950,122 | 3,901,719 | |
| Series 2021-4 Class A, 0.84% 9/20/31 (b) | 8,005,702 | 7,833,501 | |
| Series 2021-5 Class A, 1.31% 11/20/31 (b) | 7,361,321 | 7,178,209 | |
| 3.12% 3/20/32 (b) | 11,589,417 | 11,330,453 | |
| Valley Stream Park Clo Ltd. / Vy Series 2022-1A Class A, CME Term SOFR 3 Month Index + 2.400% 7.4485% 10/20/34 (b)(d)(h) | 19,850,000 | 19,889,025 | |
| VCAT Asset Securitization, LLC: | |||
| Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (b) | 284,344 | 271,240 | |
| Series 2021-NPL2 Class A1, 2.115% 3/27/51 (b) | 1,485,723 | 1,407,592 | |
| Series 2021-NPL3 Class A1, 1.743% 5/25/51 (b)(d) | 2,115,525 | 1,950,209 | |
| Verizon Master Trust: | |||
| Series 2021-1: | |||
Class A, 0.5% 5/20/27 | 21,504,000 | 20,443,483 | |
Class B, 0.69% 5/20/27 | 3,172,000 | 3,008,572 | |
| Series 2023 2 Class A, 4.89% 4/13/28 | 15,800,000 | 15,743,829 | |
| Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 6.2103% 4/17/30 (b)(d)(h) | 2,780,247 | 2,744,203 | |
| Voya CLO Ltd./Voya CLO LLC: | |||
| Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 6.425% 7/19/34 (b)(d)(h) | 7,780,000 | 7,611,773 | |
| Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 6.4004% 10/20/34 (b)(d)(h) | 13,570,000 | 13,264,214 | |
| Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 6.4103% 7/16/34 (b)(d)(h) | 7,590,000 | 7,427,680 | |
| World Omni Auto Receivables Trust Series 2023 B: | |||
| Class A2A, 5.25% 11/16/26 | 8,208,000 | 8,167,612 | |
| Class A3, 4.66% 5/15/28 | 15,076,000 | 15,009,749 | |
| World Omni Automobile Lease Series 2023-A Class A2A, 5.47% 11/17/25 | 15,338,000 | 15,332,715 | |
| TOTAL ASSET-BACKED SECURITIES (Cost $1,549,192,086) | 1,498,963,845 | ||
| Collateralized Mortgage Obligations - 1.0% | |||
Principal Amount (a) | Value ($) | ||
| Private Sponsor - 0.6% | |||
| Ajax Mortgage Loan Trust sequential payer: | |||
| Series 2021-B Class A, 2.239% 6/25/66 (b)(d) | 855,341 | 802,008 | |
| Series 2021-C Class A, 2.115% 1/25/61 (b) | 3,431,967 | 3,229,731 | |
| Series 2021-E Class A1, 1.74% 12/25/60 (b) | 14,205,547 | 11,774,132 | |
| Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b) | 2,119,050 | 1,802,173 | |
| Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b) | 15,218,378 | 13,591,596 | |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(d) | 3,288,321 | 3,139,666 | |
| BRAVO Residential Funding Trust sequential payer: | |||
| Series 2020-RPL2 Class A1, 2% 5/25/59 (b) | 952,752 | 849,624 | |
| Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b) | 17,698,235 | 14,700,292 | |
| BVEBO sequential payer Series 2022-3 Class A, 3.242% 5/29/52 (b) | 12,883,598 | 12,421,397 | |
| Cascade Funding Mortgage Trust: | |||
| Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(d) | 7,180,111 | 6,763,806 | |
| Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 4,023,569 | 3,877,563 | |
| Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 4,085,940 | 3,855,179 | |
| Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | 9,363,070 | 8,760,400 | |
| CFMT Series 2022-HB10 Class A, 3.25% 11/25/35 (b) | 5,459,896 | 5,226,489 | |
| Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b) | 6,094,072 | 5,910,741 | |
| CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b) | 48,279,777 | 47,196,524 | |
| Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(d) | 12,136 | 11,853 | |
| CSAIL Commercial Mortgage Trust Series 2015-C2 Class ASB, 3.2241% 6/15/57 | 1,011,698 | 983,683 | |
| CSMC: | |||
| floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 4.4303% 5/27/37 (b)(d)(h) | 29,362 | 28,126 | |
| Series 2014-3R: | |||
Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (b)(d)(g)(h) | 556,406 | 56 | |
Class AA1, 1 month U.S. LIBOR + 0.280% 4.4303% 5/27/37 (b)(d)(h) | 515,770 | 475,551 | |
| Csmc 2021-Rpl9 Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b) | 3,405,703 | 3,169,052 | |
| CSMC Trust sequential payer: | |||
| Series 2020-RPL3 Class A1, 2.691% 3/25/60 (b)(d) | 1,628,800 | 1,578,478 | |
| Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | 271,370 | 230,837 | |
| Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(d) | 26,713,753 | 25,175,909 | |
| GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b) | 1,133,033 | 993,255 | |
| Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(d) | 2,428,855 | 2,260,149 | |
| MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (b) | 52,869,916 | 48,153,973 | |
| New Residential Mortgage Loan Trust: | |||
| Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 424,784 | 386,497 | |
| Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | 3,979,012 | 3,670,277 | |
| New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | 10,098,881 | 9,183,351 | |
| NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b) | 17,719,789 | 15,738,148 | |
| Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b) | 56,831 | 50,898 | |
| Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (b)(d) | 7,879,081 | 7,609,791 | |
| Preston Ridge Partners Mortgage Trust: | |||
| sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(d) | 2,061,477 | 1,861,166 | |
| Series 2021-2 Class A1, 2.115% 3/25/26 (b) | 14,793,659 | 13,873,841 | |
| Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | 4,163,435 | 3,566,945 | |
| Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(d) | 5,787,952 | 5,013,956 | |
| PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (b) | 1,625,617 | 1,529,322 | |
| RMF Buyout Issuance Trust: | |||
| sequential payer: | |||
Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) | 10,624,803 | 10,152,360 | |
Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | 6,437,213 | 6,188,921 | |
| Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b) | 3,795,485 | 3,507,358 | |
| Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 6.0669% 7/20/34 (d)(h) | 1,811 | 1,583 | |
| Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 5.778% 9/25/43 (d)(h) | 57,576 | 53,323 | |
| Towd Point Mortgage Trust: | |||
| sequential payer: | |||
Series 2021-1 Class A1, 2.25% 11/25/61 (b)(d) | 34,100,692 | 30,121,882 | |
Series 2022-K147 Class A2, 3.75% 7/25/62 (b) | 50,509,783 | 46,644,214 | |
| Series 2020-1 Class A1, 2.71% 1/25/60 (b) | 940,451 | 861,885 | |
| Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 4.4038% 9/25/33 (d) | 6,335 | 6,044 | |
TOTAL PRIVATE SPONSOR | 386,984,005 | ||
| U.S. Government Agency - 0.4% | |||
| Fannie Mae: | |||
| floater: | |||
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 5.938% 2/25/32 (d)(h) | 2,032 | 2,032 | |
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 6.1113% 3/18/32 (d)(h) | 3,785 | 3,805 | |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 6.138% 4/25/32 (d)(h) | 4,253 | 4,275 | |
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 6.138% 10/25/32 (d)(h) | 5,236 | 5,264 | |
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 5.888% 1/25/32 (d)(h) | 1,945 | 1,942 | |
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 2.962% 12/25/33 (d)(n)(o) | 79,719 | 12,156 | |
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 1.542% 11/25/36 (d)(n)(o) | 53,252 | 5,181 | |
Series 2012-154 Class F, 1 month U.S. LIBOR + 0.300% 5.438% 1/25/43 (d)(h) | 502,390 | 489,116 | |
Series 2017-36 Class FB, 1 month U.S. LIBOR + 0.350% 5.488% 5/25/47 (d)(h) | 1,000,483 | 969,182 | |
Series 2018-32 Class FB, 1 month U.S. LIBOR + 0.300% 5.438% 5/25/48 (d)(h) | 575,279 | 555,358 | |
Series 2018-38 Class FG, 1 month U.S. LIBOR + 0.300% 5.438% 6/25/48 (d)(h) | 1,335,542 | 1,287,421 | |
Series 2019-23 Class FC, 1 month U.S. LIBOR + 0.450% 5.588% 5/25/49 (d)(h) | 8,805,581 | 8,608,829 | |
| planned amortization class: | |||
Series 1993-207 Class H, 6.5% 11/25/23 | 1,555 | 1,551 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 935 | 933 | |
Series 1999-17 Class PG, 6% 4/25/29 | 27,299 | 27,512 | |
Series 1999-32 Class PL, 6% 7/25/29 | 32,648 | 32,963 | |
Series 1999-33 Class PK, 6% 7/25/29 | 24,041 | 24,274 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 3,791 | 3,911 | |
Series 2005-102 Class CO 11/25/35 (p) | 12,523 | 10,663 | |
Series 2005-39 Class TE, 5% 5/25/35 | 13,271 | 13,388 | |
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 4.1912% 8/25/35 (d)(o) | 3,218 | 3,319 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 37,519 | 38,305 | |
Series 2006-12 Class BO 10/25/35 (p) | 56,805 | 48,931 | |
Series 2006-15 Class OP 3/25/36 (p) | 72,871 | 61,505 | |
Series 2006-37 Class OW 5/25/36 (p) | 7,287 | 5,749 | |
Series 2006-45 Class OP 6/25/36 (p) | 22,627 | 18,031 | |
Series 2006-62 Class KP 4/25/36 (p) | 34,731 | 28,473 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 102,595 | 93,101 | |
Class GA, 1.75% 6/25/42 | 111,509 | 100,337 | |
| sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 3,852 | 3,909 | |
Series 1999-25 Class Z, 6% 6/25/29 | 19,981 | 20,030 | |
Series 2001-20 Class Z, 6% 5/25/31 | 30,073 | 30,465 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 13,771 | 13,943 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 10,627 | 10,986 | |
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 2.412% 11/25/32 (d)(n)(o) | 21,416 | 622 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (n) | 25,897 | 711 | |
Series 2020-80 Class BA, 1.5% 3/25/45 | 13,755,680 | 11,992,107 | |
Series 2022-1 Class KA, 3% 5/25/48 | 6,635,533 | 6,041,488 | |
Series 2022-3 Class N, 2% 10/25/47 | 79,175,051 | 68,542,015 | |
Series 2022-30 Class E, 4.5% 7/25/48 | 18,830,111 | 18,173,298 | |
Series 2022-49 Class TC, 4% 12/25/48 | 6,105,451 | 5,934,034 | |
Series 2022-7 Class A, 3% 5/25/48 | 9,440,924 | 8,596,840 | |
| Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 1.502% 12/25/36 (d)(n)(o) | 39,798 | 4,115 | |
| Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 1.302% 5/25/37 (d)(n)(o) | 21,314 | 2,568 | |
| Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 5.2667% 9/25/23 (d)(o) | 67 | 67 | |
| Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 2.962% 3/25/33 (d)(n)(o) | 6,224 | 753 | |
| Series 2005-72 Class ZC, 5.5% 8/25/35 | 293,463 | 297,862 | |
| Series 2005-79 Class ZC, 5.9% 9/25/35 | 180,994 | 184,196 | |
| Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 9.792% 6/25/37 (d)(o) | 22,962 | 29,135 | |
| Series 2007-66: | |||
Class SA, 39.600% - 1 month U.S. LIBOR 8.772% 7/25/37 (d)(o) | 24,125 | 30,732 | |
Class SB, 39.600% - 1 month U.S. LIBOR 8.772% 7/25/37 (d)(o) | 6,715 | 7,596 | |
| Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 1.212% 3/25/38 (d)(n)(o) | 134,189 | 13,671 | |
| Series 2010-135: | |||
Class LS, 6.050% - 1 month U.S. LIBOR 0.912% 12/25/40 (d)(n)(o) | 135,755 | 9,161 | |
Class ZA, 4.5% 12/25/40 | 60,109 | 61,418 | |
| Series 2010-139 Class NI, 4.5% 2/25/40 (n) | 25,155 | 395 | |
| Series 2010-150 Class ZC, 4.75% 1/25/41 | 631,845 | 634,431 | |
| Series 2010-95 Class ZC, 5% 9/25/40 | 1,410,545 | 1,420,220 | |
| Series 2011-39 Class ZA, 6% 11/25/32 | 85,331 | 87,386 | |
| Series 2011-4 Class PZ, 5% 2/25/41 | 196,538 | 193,037 | |
| Series 2011-67 Class AI, 4% 7/25/26 (n) | 8,284 | 201 | |
| Series 2011-83 Class DI, 6% 9/25/26 (n) | 33 | 0 | |
| Series 2012-100 Class WI, 3% 9/25/27 (n) | 262,673 | 10,618 | |
| Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 1.512% 12/25/30 (d)(n)(o) | 18,298 | 51 | |
| Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 1.412% 6/25/41 (d)(n)(o) | 25,613 | 211 | |
| Series 2013-133 Class IB, 3% 4/25/32 (n) | 90,134 | 2,358 | |
| Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 0.912% 1/25/44 (d)(n)(o) | 81,657 | 9,033 | |
| Series 2013-16 Class GP, 3% 3/25/33 | 519,589 | 499,424 | |
| Series 2013-44 Class DJ, 1.85% 5/25/33 | 6,983,179 | 6,333,620 | |
| Series 2013-51 Class GI, 3% 10/25/32 (n) | 82,163 | 4,766 | |
| Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 1.582% 6/25/35 (d)(n)(o) | 113,093 | 9,124 | |
| Series 2015-42 Class IL, 6% 6/25/45 (n) | 560,610 | 95,839 | |
| Series 2015-70 Class JC, 3% 10/25/45 | 638,049 | 600,988 | |
| Series 2017-30 Class AI, 5.5% 5/25/47 (n) | 288,712 | 49,966 | |
| Fannie Mae Stripped Mortgage-Backed Securities: | |||
| Series 339 Class 5, 5.5% 7/25/33 (n) | 18,477 | 2,954 | |
| Series 343 Class 16, 5.5% 5/25/34 (n) | 17,318 | 2,802 | |
| Series 348 Class 14, 6.5% 8/25/34 (d)(n) | 15,114 | 2,935 | |
| Series 351: | |||
Class 12, 5.5% 4/25/34 (d)(n) | 9,296 | 1,546 | |
Class 13, 6% 3/25/34 (n) | 13,595 | 2,466 | |
| Series 359 Class 19, 6% 7/25/35 (d)(n) | 8,038 | 1,512 | |
| Series 384 Class 6, 5% 7/25/37 (n) | 78,326 | 13,262 | |
| Freddie Mac: | |||
| floater: | |||
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 5.9074% 1/15/32 (d)(h) | 1,514 | 1,513 | |
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 6.0074% 3/15/32 (d)(h) | 2,322 | 2,327 | |
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 6.1074% 3/15/32 (d)(h) | 1,990 | 2,000 | |
Series 2432: | |||
Class FE, 1 month U.S. LIBOR + 0.900% 6.0074% 6/15/31 (d)(h) | 3,674 | 3,681 | |
Class FG, 1 month U.S. LIBOR + 0.900% 6.0074% 3/15/32 (d)(h) | 1,253 | 1,255 | |
Series 4709 Class FE, 1 month U.S. LIBOR + 0.350% 5.4574% 8/15/47 (d)(h) | 530,400 | 513,878 | |
| floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 5.3574% 5/15/37 (d)(h) | 94,625 | 93,236 | |
| planned amortization class: | |||
Series 2095 Class PE, 6% 11/15/28 | 34,806 | 35,203 | |
Series 2101 Class PD, 6% 11/15/28 | 2,185 | 2,208 | |
Series 2104 Class PG, 6% 12/15/28 | 2,532 | 2,561 | |
Series 2121 Class MG, 6% 2/15/29 | 13,845 | 13,999 | |
Series 2131 Class BG, 6% 3/15/29 | 74,091 | 74,965 | |
Series 2137 Class PG, 6% 3/15/29 | 11,444 | 11,577 | |
Series 2154 Class PT, 6% 5/15/29 | 26,072 | 26,375 | |
Series 2162 Class PH, 6% 6/15/29 | 4,635 | 4,677 | |
Series 2520 Class BE, 6% 11/15/32 | 43,158 | 44,372 | |
Series 2693 Class MD, 5.5% 10/15/33 | 168,644 | 170,425 | |
Series 2802 Class OB, 6% 5/15/34 | 39,240 | 39,794 | |
Series 3002 Class NE, 5% 7/15/35 | 91,308 | 91,377 | |
Series 3110 Class OP 9/15/35 (p) | 20,676 | 19,051 | |
Series 3119 Class PO 2/15/36 (p) | 86,560 | 69,523 | |
Series 3121 Class KO 3/15/36 (p) | 13,551 | 11,135 | |
Series 3123 Class LO 3/15/36 (p) | 48,384 | 39,206 | |
Series 3145 Class GO 4/15/36 (p) | 50,177 | 40,859 | |
Series 3189 Class PD, 6% 7/15/36 | 83,948 | 87,011 | |
Series 3225 Class EO 10/15/36 (p) | 25,648 | 20,371 | |
Series 3258 Class PM, 5.5% 12/15/36 | 30,868 | 31,639 | |
Series 3415 Class PC, 5% 12/15/37 | 38,058 | 37,766 | |
Series 3806 Class UP, 4.5% 2/15/41 | 180,872 | 180,258 | |
Series 3832 Class PE, 5% 3/15/41 | 365,831 | 366,075 | |
Series 4135 Class AB, 1.75% 6/15/42 | 82,669 | 74,829 | |
| sequential payer: | |||
Series 2020-5066 Class A, 1.5% 11/25/44 | 4,067,096 | 3,405,058 | |
Series 2022-5189 Class DA, 2.5% 5/25/49 | 4,929,492 | 4,276,260 | |
Series 2022-5190 Class BA, 2.5% 11/25/47 | 4,795,595 | 4,243,312 | |
Series 2022-5197 Class DA, 2.5% 11/25/47 | 3,642,675 | 3,223,433 | |
Series 2022-5198 Class BA, 2.5% 11/25/47 | 18,148,054 | 16,278,801 | |
Series 2022-5202 Class LB, 2.5% 10/25/47 | 3,888,692 | 3,431,386 | |
Series 2114 Class ZM, 6% 1/15/29 | 1,109 | 1,122 | |
Series 2135 Class JE, 6% 3/15/29 | 9,633 | 9,754 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 9,995 | 10,108 | |
Series 2281 Class ZB, 6% 3/15/30 | 15,725 | 15,906 | |
Series 2303 Class ZV, 6% 4/15/31 | 7,801 | 7,908 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 64,473 | 66,177 | |
Series 2502 Class ZC, 6% 9/15/32 | 19,604 | 20,156 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 21,563 | 21,944 | |
Series 2998 Class LY, 5.5% 7/15/25 | 6,118 | 6,095 | |
Series 3871 Class KB, 5.5% 6/15/41 | 470,651 | 488,694 | |
| Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 1.4926% 2/15/36 (d)(n)(o) | 28,308 | 2,601 | |
| Series 1658 Class GZ, 7% 1/15/24 | 631 | 631 | |
| Series 2013-4281 Class AI, 4% 12/15/28 (n) | 55,960 | 905 | |
| Series 2017-4683 Class LM, 3% 5/15/47 | 792,189 | 745,061 | |
| Series 2021-5083 Class VA, 1% 8/15/38 | 24,798,554 | 23,050,105 | |
| Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 3.0926% 11/15/31 (d)(n)(o) | 9,521 | 341 | |
| Series 2587 Class IM, 6.5% 3/15/33 (n) | 2,553 | 438 | |
| Series 2933 Class ZM, 5.75% 2/15/35 | 415,415 | 429,889 | |
| Series 2935 Class ZK, 5.5% 2/15/35 | 335,411 | 343,918 | |
| Series 2947 Class XZ, 6% 3/15/35 | 166,919 | 172,329 | |
| Series 2996 Class ZD, 5.5% 6/15/35 | 276,173 | 282,697 | |
| Series 3237 Class C, 5.5% 11/15/36 | 375,489 | 378,038 | |
| Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 1.5526% 11/15/36 (d)(n)(o) | 118,639 | 11,526 | |
| Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 1.6426% 3/15/37 (d)(n)(o) | 178,984 | 18,877 | |
| Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 1.6526% 4/15/37 (d)(n)(o) | 249,896 | 30,827 | |
| Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 1.4726% 6/15/37 (d)(n)(o) | 78,752 | 9,252 | |
| Series 3949 Class MK, 4.5% 10/15/34 | 168,785 | 166,892 | |
| Series 4055 Class BI, 3.5% 5/15/31 (n) | 87,536 | 1,988 | |
| Series 4149 Class IO, 3% 1/15/33 (n) | 45,137 | 3,549 | |
| Series 4314 Class AI, 5% 3/15/34 (n) | 22,797 | 641 | |
| Series 4427 Class LI, 3.5% 2/15/34 (n) | 291,844 | 16,903 | |
| Series 4471 Class PA 4% 12/15/40 | 319,976 | 311,627 | |
| target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 8,130 | 8,143 | |
| Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
| floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 5.8477% 2/15/24 (d)(h) | 333 | 333 | |
| planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 3,047 | 3,077 | |
| sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 8,407 | 8,481 | |
Series 2056 Class Z, 6% 5/15/28 | 21,028 | 21,260 | |
| Freddie Mac Multi-family Structured pass-thru certificates: | |||
| floater Series 4795 Class FA, 1 month U.S. LIBOR + 0.300% 5.4074% 5/15/48 (d)(h) | 906,346 | 871,989 | |
| Series 4386 Class AZ, 4.5% 11/15/40 | 830,359 | 815,684 | |
| Freddie Mac Seasoned Credit Risk Transfer Trust: | |||
| sequential payer: | |||
Series 2018-3 Class MA, 3.5% 8/25/57 | 6,091,863 | 5,781,061 | |
Series 2018-4 Class MA, 3.5% 3/25/58 | 2,385,763 | 2,261,243 | |
Series 2019-1 Class MA, 3.5% 7/25/58 | 4,048,859 | 3,833,552 | |
| Series 2018-3 Class M55D, 4% 8/25/57 | 342,001 | 317,069 | |
| Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
| floater: | |||
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 1.5846% 6/16/37 (d)(n)(o) | 50,836 | 5,467 | |
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 5.5677% 3/20/60 (d)(h)(q) | 468,515 | 466,080 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 5.3477% 7/20/60 (d)(h)(q) | 90,565 | 89,711 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 5.1577% 9/20/60 (d)(h)(q) | 102,968 | 102,009 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 5.1577% 8/20/60 (d)(h)(q) | 80,672 | 79,897 | |
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 5.2377% 12/20/60 (d)(h)(q) | 219,231 | 217,431 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 5.3577% 12/20/60 (d)(h)(q) | 188,116 | 187,015 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 5.3577% 2/20/61 (d)(h)(q) | 164,342 | 163,198 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 5.3477% 2/20/61 (d)(h)(q) | 250,679 | 248,981 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 5.3577% 4/20/61 (d)(h)(q) | 182,961 | 181,750 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 5.3577% 5/20/61 (d)(h)(q) | 289,306 | 287,707 | |
Class FC, 1 month U.S. LIBOR + 0.500% 5.3577% 5/20/61 (d)(h)(q) | 210,418 | 209,151 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 5.3877% 6/20/61 (d)(h)(q) | 236,996 | 235,680 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 5.4077% 9/20/61 (d)(h)(q) | 666,245 | 662,529 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 5.4577% 10/20/61 (d)(h)(q) | 275,121 | 273,860 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 5.5577% 11/20/61 (d)(h)(q) | 263,715 | 262,719 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 5.5577% 1/20/62 (d)(h)(q) | 135,086 | 134,583 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 5.4877% 1/20/62 (d)(h)(q) | 238,847 | 237,689 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 5.4877% 3/20/62 (d)(h)(q) | 114,275 | 113,618 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 4.8719% 5/20/61 (d)(h)(q) | 4,370 | 4,313 | |
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 5.4577% 1/20/64 (d)(h)(q) | 137,139 | 136,460 | |
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 5.4577% 12/20/63 (d)(h)(q) | 672,329 | 670,266 | |
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 5.3577% 6/20/64 (d)(h)(q) | 190,123 | 188,982 | |
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 4.7397% 3/20/65 (d)(h)(q) | 3,373 | 3,350 | |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 4.9101% 5/20/63 (d)(h)(q) | 3,178 | 3,115 | |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 4.9322% 4/20/63 (d)(h)(q) | 5,756 | 5,660 | |
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 4.5948% 12/20/62 (d)(h)(q) | 12,487 | 12,197 | |
Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 5.5984% 2/20/49 (d)(h) | 2,178,893 | 2,137,775 | |
| planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 0.0946% 12/20/40 (d)(o) | 469,947 | 390,713 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (n) | 15,993 | 1,047 | |
Series 2016-69 Class WA, 3% 2/20/46 | 310,617 | 286,629 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 118,024 | 106,512 | |
Series 2017-153 Class GA, 3% 9/20/47 | 1,021,339 | 927,208 | |
Series 2017-182 Class KA, 3% 10/20/47 | 797,291 | 724,586 | |
Series 2018-13 Class Q, 3% 4/20/47 | 1,014,750 | 935,023 | |
| sequential payer: | |||
Series 2004-24 Class ZM, 5% 4/20/34 | 142,334 | 140,948 | |
Series 2010-160 Class DY, 4% 12/20/40 | 1,035,603 | 1,013,970 | |
Series 2010-170 Class B, 4% 12/20/40 | 229,457 | 224,656 | |
Series 2017-139 Class BA, 3% 9/20/47 | 3,084,542 | 2,796,633 | |
| Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 1.3946% 5/16/34 (d)(n)(o) | 35,151 | 2,708 | |
| Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 2.0946% 8/17/34 (d)(n)(o) | 26,207 | 3,046 | |
| Series 2010-116 Class QB, 4% 9/16/40 | 73,824 | 71,854 | |
| Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 0.8446% 2/16/40 (d)(n)(o) | 173,575 | 10,711 | |
| Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 5.3477% 5/20/60 (d)(h)(q) | 260,441 | 258,212 | |
| Series 2011-52 Class HI, 7% 4/16/41 (n) | 31,320 | 4,777 | |
| Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 0.9516% 7/20/41 (d)(n)(o) | 89,428 | 8,966 | |
| Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 1.5946% 6/16/42 (d)(n)(o) | 117,078 | 11,460 | |
| Series 2013-149 Class MA, 2.5% 5/20/40 | 761,569 | 728,257 | |
| Series 2014-2 Class BA, 3% 1/20/44 | 1,917,310 | 1,750,467 | |
| Series 2014-21 Class HA, 3% 2/20/44 | 712,405 | 651,651 | |
| Series 2014-25 Class HC, 3% 2/20/44 | 1,214,495 | 1,105,469 | |
| Series 2014-5 Class A, 3% 1/20/44 | 1,048,091 | 956,749 | |
| Series 2015-H13 Class HA, 2.5% 8/20/64 (q) | 10,759 | 10,103 | |
| Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 5.08% 5/20/66 (d)(h)(q) | 1,166,345 | 1,162,444 | |
| Series 2017-186 Class HK, 3% 11/16/45 | 1,038,307 | 944,909 | |
| Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 4.93% 8/20/66 (d)(h)(q) | 1,609,836 | 1,601,158 | |
| Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.3016% 5/20/65 (d)(q) | 28,773 | 28,225 | |
TOTAL U.S. GOVERNMENT AGENCY | 244,138,845 | ||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $661,650,520) | 631,122,850 | ||
| Commercial Mortgage Securities - 3.4% | |||
Principal Amount (a) | Value ($) | ||
| BAMLL Commercial Mortgage Securities Trust: | |||
| floater Series 2022-DKLX: | |||
Class A, CME Term SOFR 1 Month Index + 1.150% 6.21% 1/15/39 (b)(d)(h) | 11,773,862 | 11,435,883 | |
Class B, CME Term SOFR 1 Month Index + 1.550% 6.61% 1/15/39 (b)(d)(h) | 2,064,000 | 2,002,664 | |
Class C, CME Term SOFR 1 Month Index + 2.150% 7.21% 1/15/39 (b)(d)(h) | 1,474,000 | 1,421,438 | |
| sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (b) | 10,500,000 | 9,606,146 | |
Class ANM, 3.112% 11/5/32 (b) | 6,380,000 | 5,822,169 | |
| Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (b) | 1,295,000 | 1,086,156 | |
Class CNM, 3.7186% 11/5/32 (b)(d) | 536,000 | 423,921 | |
| BANK: | |||
| sequential payer: | |||
Series 2017-BNK9 Class A4, 3.538% 11/15/54 | 9,467,000 | 8,794,008 | |
Series 2018-BN10 Class A5, 3.688% 2/15/61 | 40,101,000 | 37,467,784 | |
Series 2018-BN14 Class ASB, 4.185% 9/15/60 | 6,208,000 | 5,995,740 | |
Series 2018-BN15 Class ASB, 4.285% 11/15/61 | 1,379,366 | 1,338,626 | |
Series 2019-BN21 Class A5, 2.851% 10/17/52 | 1,112,000 | 961,991 | |
Series 2023-5YR1: | |||
| Class A2, 5.779% 4/15/56 | 26,590,000 | 26,915,661 | |
| Class A3, 6.26% 4/15/56 | 31,590,000 | 32,717,046 | |
| Series 2020-BN25 Class XB, 0.4393% 1/15/63 (d)(n) | 30,600,000 | 748,240 | |
| Series 2021-BN33 Class XA, 1.056% 5/15/64 (d)(n) | 102,810,842 | 5,815,392 | |
| BANK Trust sequential payer Series 2017-BNK5 Class A5, 3.39% 6/15/60 | 10,059,000 | 9,333,048 | |
| Barclays Commercial Mortgage Securities LLC sequential payer Series 2019-C5 Class ASB, 2.99% 11/15/52 | 1,896,629 | 1,762,965 | |
| Bayview Commercial Asset Trust floater: | |||
| Series 2005-3A: | |||
Class A2, 1 month U.S. LIBOR + 0.600% 5.738% 11/25/35 (b)(d)(h) | 26,868 | 24,453 | |
Class M1, 1 month U.S. LIBOR + 0.660% 5.798% 11/25/35 (b)(d)(h) | 7,187 | 6,374 | |
| Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.580% 5.723% 1/25/36 (b)(d)(h) | 64,253 | 58,931 | |
Class M1, 1 month U.S. LIBOR + 0.670% 5.813% 1/25/36 (b)(d)(h) | 20,743 | 18,934 | |
Class M2, 1 month U.S. LIBOR + 0.700% 5.843% 1/25/36 (b)(d)(h) | 7,822 | 7,123 | |
Class M3, 1 month U.S. LIBOR + 0.750% 5.888% 1/25/36 (b)(d)(h) | 11,384 | 10,341 | |
| Series 2006-1: | |||
Class A2, 1 month U.S. LIBOR + 0.540% 5.678% 4/25/36 (b)(d)(h) | 10,652 | 9,571 | |
Class M1, 1 month U.S. LIBOR + 0.570% 5.708% 4/25/36 (b)(d)(h) | 6,441 | 5,757 | |
Class M2, 1 month U.S. LIBOR + 0.600% 5.738% 4/25/36 (b)(d)(h) | 6,812 | 6,126 | |
Class M6, 1 month U.S. LIBOR + 0.960% 6.098% 4/25/36 (b)(d)(h) | 6,441 | 5,494 | |
| Series 2006-2A: | |||
Class M1, 1 month U.S. LIBOR + 0.460% 5.448% 7/25/36 (b)(d)(h) | 9,754 | 8,988 | |
Class M2, 1 month U.S. LIBOR + 0.490% 5.468% 7/25/36 (b)(d)(h) | 6,930 | 6,328 | |
Class M4, 1 month U.S. LIBOR + 0.630% 5.558% 7/25/36 (b)(d)(h) | 6,545 | 6,087 | |
| Series 2006-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.400% 5.543% 12/25/36 (b)(d)(h) | 143,105 | 131,338 | |
Class M1, 1 month U.S. LIBOR + 0.430% 5.573% 12/25/36 (b)(d)(h) | 11,501 | 10,451 | |
Class M3, 1 month U.S. LIBOR + 0.510% 5.648% 12/25/36 (b)(d)(h) | 7,796 | 7,079 | |
| Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 5.543% 3/25/37 (b)(d)(h) | 36,338 | 32,643 | |
| Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 5.408% 7/25/37 (b)(d)(h) | 114,177 | 100,830 | |
Class A2, 1 month U.S. LIBOR + 0.320% 5.458% 7/25/37 (b)(d)(h) | 106,868 | 94,064 | |
Class M1, 1 month U.S. LIBOR + 0.370% 5.508% 7/25/37 (b)(d)(h) | 36,404 | 31,927 | |
Class M2, 1 month U.S. LIBOR + 0.410% 5.548% 7/25/37 (b)(d)(h) | 23,718 | 20,734 | |
Class M3, 1 month U.S. LIBOR + 0.490% 5.628% 7/25/37 (b)(d)(h) | 28,083 | 28,573 | |
| Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 5.573% 7/25/37 (b)(d)(h) | 38,956 | 34,421 | |
Class M1, 1 month U.S. LIBOR + 0.310% 5.603% 7/25/37 (b)(d)(h) | 20,665 | 17,942 | |
Class M2, 1 month U.S. LIBOR + 0.340% 5.648% 7/25/37 (b)(d)(h) | 22,049 | 19,092 | |
Class M3, 1 month U.S. LIBOR + 0.370% 5.693% 7/25/37 (b)(d)(h) | 35,595 | 30,936 | |
Class M4, 1 month U.S. LIBOR + 0.500% 5.888% 7/25/37 (b)(d)(h) | 55,963 | 48,476 | |
Class M5, 1 month U.S. LIBOR + 0.600% 6.038% 7/25/37 (b)(d)(h) | 30,702 | 35,302 | |
| BCP Trust floater Series 2021-330N Class A, 1 month U.S. LIBOR + 0.790% 5.906% 6/15/38 (b)(d)(h) | 4,207,067 | 3,765,950 | |
| Benchmark Mortgage Trust: | |||
| sequential payer: | |||
Series 2018-B1 Class ASB, 3.602% 1/15/51 | 3,279,121 | 3,129,422 | |
Series 2018-B2 Class ASB, 3.7802% 2/15/51 | 3,550,956 | 3,421,729 | |
Series 2018-B4 Class A5, 4.121% 7/15/51 | 1,260,000 | 1,192,701 | |
Series 2019-B10: | |||
| Class A4, 3.717% 3/15/62 | 2,283,000 | 2,095,079 | |
| Class ASB, 3.615% 3/15/62 | 9,050,000 | 8,536,933 | |
Series 2019-B13 Class A4, 2.952% 8/15/57 | 12,263,000 | 10,688,297 | |
| Series 2018-B7 Class A2, 4.377% 5/15/53 | 1,035,618 | 1,029,609 | |
| Series 2018-B8 Class A5, 4.2317% 1/15/52 | 15,369,000 | 14,427,254 | |
| Series 2019-B12 Class XA, 1.0253% 8/15/52 (d)(n) | 82,040,038 | 3,190,037 | |
| Series 2019-B14 Class XA, 0.7749% 12/15/62 (d)(n) | 129,277,057 | 3,925,873 | |
| Series 2020-B17 Class XA, 1.4154% 3/15/53 (d)(n) | 28,835,955 | 1,647,407 | |
| Series 2020-B18 Class XA, 1.7876% 7/15/53 (d)(n) | 19,964,555 | 1,476,249 | |
| Series 2020-B19 Class XA, 1.7685% 9/15/53 (d)(n) | 11,152,146 | 825,703 | |
| Series 2021-B27 Class XA, 1.2643% 7/15/54 (d)(n) | 35,471,216 | 2,492,247 | |
| BFLD Trust floater sequential payer Series 2020-OBRK Class A, CME Term SOFR 1 Month Index + 2.160% 7.2235% 11/15/28 (b)(d)(h) | 7,951,000 | 7,898,175 | |
| BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 5.857% 9/15/26 (b)(d)(h) | 21,008,136 | 19,932,843 | |
| BPR Trust floater Series 2022-OANA: | |||
| Class A, CME Term SOFR 1 Month Index + 1.890% 6.9573% 4/15/37 (b)(d)(h) | 67,777,000 | 65,664,052 | |
| Class B, CME Term SOFR 1 Month Index + 2.440% 7.5063% 4/15/37 (b)(d)(h) | 11,281,000 | 10,953,928 | |
| BX Commercial Mortgage Trust: | |||
| floater: | |||
Series 2021-PAC: | |||
| Class A, 1 month U.S. LIBOR + 0.680% 5.7971% 10/15/36 (b)(d)(h) | 21,819,512 | 21,065,307 | |
| Class B, 1 month U.S. LIBOR + 0.890% 6.0068% 10/15/36 (b)(d)(h) | 2,754,000 | 2,641,502 | |
| Class C, 1 month U.S. LIBOR + 1.090% 6.2066% 10/15/36 (b)(d)(h) | 10,186,000 | 9,696,317 | |
| Class D, 1 month U.S. LIBOR + 1.290% 6.4063% 10/15/36 (b)(d)(h) | 3,579,000 | 3,376,588 | |
| Class E, 1 month U.S. LIBOR + 1.940% 7.0555% 10/15/36 (b)(d)(h) | 11,390,000 | 10,767,333 | |
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 5.7593% 5/15/38 (b)(d)(h) | 20,156,000 | 19,530,626 | |
Series 2022-LP2: | |||
| Class A, CME Term SOFR 1 Month Index + 1.010% 6.0722% 2/15/39 (b)(d)(h) | 5,776,442 | 5,611,113 | |
| Class B, CME Term SOFR 1 Month Index + 1.310% 6.3716% 2/15/39 (b)(d)(h) | 7,492,107 | 7,206,199 | |
| Class C, CME Term SOFR 1 Month Index + 1.560% 6.621% 2/15/39 (b)(d)(h) | 6,749,395 | 6,407,388 | |
| Class D, CME Term SOFR 1 Month Index + 1.960% 7.0201% 2/15/39 (b)(d)(h) | 6,749,395 | 6,375,409 | |
| floater sequential payer Series 2019-CALM Class A, CME Term SOFR 1 Month Index + 0.990% 6.0495% 11/15/32 (b)(d)(h) | 2,663,553 | 2,635,000 | |
| Bx Commercial Mortgage Trust 2: | |||
| floater Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 6.407% 4/15/34 (b)(d)(h) | 4,437,000 | 4,335,626 | |
Class C, 1 month U.S. LIBOR + 1.600% 6.707% 4/15/34 (b)(d)(h) | 2,933,000 | 2,858,546 | |
Class D, 1 month U.S. LIBOR + 1.900% 7.007% 4/15/34 (b)(d)(h) | 3,079,000 | 2,993,027 | |
| floater sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 6.107% 4/15/34 (b)(d)(h) | 14,129,000 | 13,949,638 | |
| BX Trust: | |||
| floater: | |||
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 7.733% 9/15/37 (b)(d)(h) | 1,687,000 | 1,568,118 | |
Series 2019-XL: | |||
| Class B, CME Term SOFR 1 Month Index + 1.190% 6.2538% 10/15/36 (b)(d)(h) | 12,138,850 | 12,001,784 | |
| Class C, CME Term SOFR 1 Month Index + 1.360% 6.4238% 10/15/36 (b)(d)(h) | 4,788,050 | 4,715,550 | |
| Class D, CME Term SOFR 1 Month Index + 1.560% 6.6238% 10/15/36 (b)(d)(h) | 10,906,350 | 10,713,690 | |
| Class E, CME Term SOFR 1 Month Index + 1.910% 6.9738% 10/15/36 (b)(d)(h) | 9,529,350 | 9,336,973 | |
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 5.958% 11/15/38 (b)(d)(h) | 1,550,063 | 1,501,966 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 5.7429% 10/15/26 (b)(d)(h) | 17,964,093 | 17,319,076 | |
Series 2021-SDMF Class A, 1 month U.S. LIBOR + 0.580% 5.696% 9/15/34 (b)(d)(h) | 11,500,000 | 11,080,797 | |
Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.2243% 10/15/39 (b)(d)(h) | 16,598,000 | 16,587,581 | |
Series 2022-IND: | |||
| Class A, CME Term SOFR 1 Month Index + 1.490% 6.5503% 4/15/37 (b)(d)(h) | 20,942,216 | 20,660,551 | |
| Class B, CME Term SOFR 1 Month Index + 1.940% 6.9993% 4/15/37 (b)(d)(h) | 10,675,563 | 10,498,593 | |
| Class C, CME Term SOFR 1 Month Index + 2.290% 7.3493% 4/15/37 (b)(d)(h) | 2,989,344 | 2,905,196 | |
| Class D, CME Term SOFR 1 Month Index + 2.830% 7.8983% 4/15/37 (b)(d)(h) | 2,016,547 | 1,924,759 | |
| floater sequential payer: | |||
Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 6.0938% 10/15/36 (b)(d)(h) | 109,938,069 | 109,179,441 | |
Series 2021-MFM1 Class A, CME Term SOFR 1 Month Index + 0.810% 5.8735% 1/15/34 (b)(d)(h) | 6,482,524 | 6,323,794 | |
Series 2021-SOAR Class A, 1 month U.S. LIBOR + 0.670% 5.778% 6/15/38 (b)(d)(h) | 4,941,846 | 4,786,967 | |
| CAMB Commercial Mortgage Trust floater Series 2019-LIFE: | |||
| Class A, 1 month U.S. LIBOR + 1.070% 6.177% 12/15/37 (b)(d)(h) | 20,276,000 | 20,045,946 | |
| Class B, 1 month U.S. LIBOR + 1.250% 6.357% 12/15/37 (b)(d)(h) | 7,200,000 | 7,088,093 | |
| CD Commercial Mortgage Trust sequential payer Series 2017-CD6 Class ASB, 3.332% 11/13/50 | 15,881,194 | 15,111,105 | |
| CD Mortgage Trust sequential payer Series 2017-CD5: | |||
| Class A3, 3.171% 8/15/50 | 17,950,000 | 16,467,003 | |
| Class AAB, 3.22% 8/15/50 | 719,636 | 685,093 | |
| CF Hippolyta Issuer LLC sequential payer: | |||
| Series 2020-1: | |||
Class A1, 1.69% 7/15/60 (b) | 28,296,507 | 25,555,552 | |
Class A2, 1.99% 7/15/60 (b) | 10,133,578 | 8,518,874 | |
| Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 15,360,984 | 13,422,610 | |
| CFCRE Commercial Mortgage Trust sequential payer Series 2017-C8 Class A3, 3.3048% 6/15/50 | 6,125,311 | 5,710,708 | |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
| Class A, 1 month U.S. LIBOR + 0.950% 6.0574% 11/15/36 (b)(d)(h) | 4,679,950 | 4,609,087 | |
| Class B, 1 month U.S. LIBOR + 1.250% 6.3574% 11/15/36 (b)(d)(h) | 1,600,000 | 1,567,699 | |
| CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
| Class A, 1 month U.S. LIBOR + 1.120% 6.227% 6/15/34 (b)(d)(h) | 33,946,313 | 33,516,438 | |
| Class B, 1 month U.S. LIBOR + 1.500% 6.607% 6/15/34 (b)(d)(h) | 2,162,669 | 2,102,428 | |
| Class C, 1 month U.S. LIBOR + 1.750% 6.857% 6/15/34 (b)(d)(h) | 2,443,548 | 2,338,371 | |
| Citigroup Commercial Mortgage Trust: | |||
| sequential payer: | |||
Series 2014-GC23 Class A3, 3.356% 7/10/47 | 1,006,481 | 982,277 | |
Series 2016-GC37 Class AAB, 3.098% 4/10/49 | 195,342 | 186,837 | |
Series 2017-P7 Class AAB, 3.509% 4/14/50 | 557,485 | 534,172 | |
Series 2019-C7 Class A4, 3.102% 12/15/72 | 10,211,702 | 8,978,250 | |
| Series 2013-GC17 Class A/S, 4.544% 11/10/46 | 10,042,000 | 9,872,406 | |
| Series 2014-GC25 Class A/S, 4.017% 10/10/47 | 7,354,000 | 7,013,711 | |
| Series 2015-GC33: | |||
Class AAB, 3.522% 9/10/58 | 3,690,240 | 3,556,262 | |
Class XA, 0.871% 9/10/58 (d)(n) | 1,478,737 | 22,969 | |
| Series 2016-P6 Class XA, 0.5591% 12/10/49 (d)(n) | 1,182,691 | 18,597 | |
| Series 2019-GC41 Class XA, 1.0405% 8/10/56 (d)(n) | 20,352,559 | 863,459 | |
| COMM Mortgage Trust: | |||
| sequential payer: | |||
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 2,137,000 | 2,071,164 | |
Series 2015 LC19 Class A3, 2.922% 2/10/48 | 21,986,061 | 21,183,270 | |
Series 2015-DC1 Class A4, 3.078% 2/10/48 | 40,800,000 | 39,669,738 | |
| Series 2013-CR13 Class AM, 4.449% 11/10/46 | 5,008,866 | 4,922,555 | |
| Series 2013-LC13 Class AM, 4.557% 8/10/46 (b) | 5,200,000 | 5,157,112 | |
| Series 2014-CR17 Class XA, 0.9445% 5/10/47 (d)(n) | 2,916,671 | 14,713 | |
| Series 2014-CR20 Class XA, 0.928% 11/10/47 (d)(n) | 334,301 | 2,957 | |
| Series 2014-LC17 Class XA, 0.6585% 10/10/47 (d)(n) | 993,101 | 6,204 | |
| Series 2014-UBS6 Class XA, 0.8327% 12/10/47 (d)(n) | 2,614,384 | 22,986 | |
| Credit Suisse Mortgage Trust: | |||
| floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 6.087% 5/15/36 (b)(d)(h) | 25,302,052 | 25,144,655 | |
Class B, 1 month U.S. LIBOR + 1.230% 6.337% 5/15/36 (b)(d)(h) | 8,314,315 | 8,230,083 | |
Class C, 1 month U.S. LIBOR + 1.430% 6.537% 5/15/36 (b)(d)(h) | 17,618,168 | 17,446,507 | |
| sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 3,975,889 | 3,571,392 | |
| Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 5,615,509 | 5,399,006 | |
Class B, 4.5349% 4/15/36 (b) | 1,471,000 | 1,400,218 | |
Class C, 4.782% 4/15/36 (b)(d) | 955,000 | 906,696 | |
Class D, 4.782% 4/15/36 (b)(d) | 1,909,000 | 1,791,074 | |
| CSAIL Commercial Mortgage Trust sequential payer: | |||
| Series 19-C15 Class A2, 3.4505% 3/15/52 | 1,070,099 | 1,025,188 | |
| Series 2015-1 Class A3, 3.3512% 4/15/50 | 1,635,873 | 1,596,585 | |
| Series 2020-C19 Class ASB, 2.5501% 3/15/53 | 6,551,300 | 5,862,224 | |
| DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50 | 3,866,668 | 3,684,440 | |
| ELP Commercial Mortgage Trust floater Series 2021-ELP: | |||
| Class A, 1 month U.S. LIBOR + 0.700% 5.809% 11/15/38 (b)(d)(h) | 39,536,019 | 38,123,389 | |
| Class B, 1 month U.S. LIBOR + 1.120% 6.2282% 11/15/38 (b)(d)(h) | 10,750,000 | 10,325,478 | |
| Extended Stay America Trust floater Series 2021-ESH: | |||
| Class A, 1 month U.S. LIBOR + 1.080% 6.188% 7/15/38 (b)(d)(h) | 30,479,972 | 29,830,395 | |
| Class B, 1 month U.S. LIBOR + 1.380% 6.488% 7/15/38 (b)(d)(h) | 4,109,309 | 3,998,553 | |
| Class C, 1 month U.S. LIBOR + 1.700% 6.808% 7/15/38 (b)(d)(h) | 3,077,113 | 2,992,462 | |
| Class D, 1 month U.S. LIBOR + 2.250% 7.358% 7/15/38 (b)(d)(h) | 21,407,358 | 20,761,554 | |
| Freddie Mac: | |||
| sequential payer: | |||
Series 2015-K049 Class A2, 3.01% 7/25/25 | 2,543,000 | 2,457,204 | |
Series 2015-K051 Class A2, 3.308% 9/25/25 | 4,023,000 | 3,905,908 | |
Series 2016-K054 Class A2, 2.745% 1/25/26 | 26,020,748 | 24,911,281 | |
Series 2021-K126 Class A2, 2.074% 1/25/31 | 15,800,000 | 13,470,717 | |
Series 2021-K127 Class A2, 2.108% 1/25/31 | 36,800,000 | 31,436,823 | |
Series 2021-K136 Class A2, 2.127% 11/25/31 | 15,020,000 | 12,661,648 | |
Series 2022-150 Class A2, 3.71% 9/25/32 | 30,800,000 | 29,266,813 | |
Series 2022-K141 Class A2, 2.25% 2/25/32 | 10,466,000 | 8,879,257 | |
Series 2022-K142 Class A2, 2.4% 3/25/32 | 26,977,000 | 23,138,011 | |
Series 2022-K143 Class A2, 2.35% 3/25/32 | 4,000,000 | 3,414,766 | |
Series 2022-K144 Class A2, 2.45% 4/25/32 | 42,432,000 | 36,490,213 | |
Series 2022-K145 Class A2, 2.58% 5/25/32 | 10,307,000 | 8,951,151 | |
Series 2022-K146 Class A2, 2.92% 6/25/32 | 22,753,000 | 20,315,059 | |
Series 2022-K147 Class A2, 3% 6/25/32 | 27,709,000 | 24,894,846 | |
| Series 2017-K727 Class A2, 2.946% 7/25/24 | 17,604,922 | 17,148,541 | |
| Series 2022 K748 Class A2, 2.26% 1/25/29 | 13,419,000 | 12,058,033 | |
| Series K047 Class A2, 3.329% 5/25/25 | 42,356,449 | 41,098,632 | |
| Freddie Mac Multi-family Structured pass-thru certificates: | |||
| sequential payer Series 2015 K045 Class A2, 3.023% 1/25/25 | 22,330,382 | 21,627,480 | |
| Series K044 Class A2, 2.811% 1/25/25 | 49,529,469 | 47,849,454 | |
| GS Mortgage Securities Trust: | |||
| floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 7.057% 9/15/31 (b)(d)(h) | 7,846,129 | 7,675,437 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 6.2% 10/15/31 (b)(d)(h) | 3,095,618 | 2,952,544 | |
Series 2021-IP: | |||
| Class A, 1 month U.S. LIBOR + 0.950% 6.057% 10/15/36 (b)(d)(h) | 22,827,106 | 21,408,335 | |
| Class B, 1 month U.S. LIBOR + 1.150% 6.257% 10/15/36 (b)(d)(h) | 1,654,000 | 1,525,252 | |
| Class C, 1 month U.S. LIBOR + 1.550% 6.657% 10/15/36 (b)(d)(h) | 1,363,000 | 1,234,575 | |
| sequential payer: | |||
Series 2014-GC18 Class AAB, 3.648% 1/10/47 | 231,486 | 229,918 | |
Series 2016-GC34 Class AAB, 3.278% 10/10/48 | 1,405,407 | 1,352,824 | |
Series 2018-GS9 Class A4, 3.992% 3/10/51 | 20,920,000 | 19,647,520 | |
| Series 2011-GC5 Class A/S, 5.1526% 8/10/44 (b)(d) | 9,463,797 | 9,163,524 | |
| Series 2013-GC13 Class A/S, 4.007% 7/10/46 (b)(d) | 4,608,808 | 4,421,842 | |
| Series 2013-GC16 Class A/S, 4.649% 11/10/46 | 7,546,842 | 7,453,620 | |
| Series 2015-GC30 Class A/S, 3.777% 5/10/50 | 2,860,805 | 2,690,203 | |
| Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.5476% 8/15/39 (b)(d)(h) | 53,036,000 | 53,019,458 | |
| J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME Term SOFR 1 Month Index + 0.590% 5.6558% 4/15/37 (b)(d)(h) | 18,513,822 | 17,565,211 | |
| JP Morgan Chase Commercial Mortgage Securities Trust sequential payer Series 2021-2NU Class A, 1.9739% 1/5/40 (b) | 24,200,000 | 19,465,652 | |
| JPMBB Commercial Mortgage Securities Trust: | |||
| sequential payer: | |||
Series 2014-C21 Class A4, 3.4927% 8/15/47 | 7,954,756 | 7,766,095 | |
Series 2014-C22 Class A4, 3.8012% 9/15/47 | 854,173 | 824,806 | |
Series 2015-C29 Class A4, 3.6108% 5/15/48 | 5,409,013 | 5,138,109 | |
| Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 4,614,000 | 4,599,073 | |
| Series 2013-C17 Class A/S, 4.4584% 1/15/47 | 9,500,000 | 9,216,524 | |
| JPMDB Commercial Mortgage Securities Trust sequential payer: | |||
| Series 2017-C5 Class ASB, 3.4919% 3/15/50 | 3,081,612 | 2,945,727 | |
| Series 2018-C8 Class ASB, 4.145% 6/15/51 | 8,779,000 | 8,461,536 | |
| Series 2019-COR6 Class A4, 3.0565% 11/13/52 | 2,872,000 | 2,450,694 | |
| JPMorgan Chase Commercial Mortgage Securities Trust: | |||
| floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.250% 6.357% 9/15/29 (b)(d)(h) | 6,253,318 | 5,646,274 | |
| Series 2013-C16 Class A/S, 4.5169% 12/15/46 | 9,991,540 | 9,851,985 | |
| Series 2013-LC11 Class A/S, 3.216% 4/15/46 | 3,294,328 | 3,058,784 | |
| Series 2018-AON Class D, 4.6132% 7/5/31 (b)(d)(g) | 1,846,000 | 1,194,362 | |
| Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (b) | 1,167,147 | 1,048,682 | |
Class CFX, 4.9498% 7/5/33 (b) | 767,000 | 658,086 | |
Class DFX, 5.3503% 7/5/33 (b) | 1,370,000 | 1,148,060 | |
Class EFX, 5.3635% 7/5/33 (b)(d) | 1,614,000 | 1,328,322 | |
| Life Financial Services Trust floater Series 2022-BMR2: | |||
| Class A1, CME Term SOFR 1 Month Index + 1.290% 6.3545% 5/15/39 (b)(d)(h) | 41,080,997 | 40,214,591 | |
| Class B, CME Term SOFR 1 Month Index + 1.790% 6.8532% 5/15/39 (b)(d)(h) | 22,757,000 | 22,223,185 | |
| Class C, CME Term SOFR 1 Month Index + 2.090% 7.1524% 5/15/39 (b)(d)(h) | 8,790,000 | 8,514,601 | |
| Class D, CME Term SOFR 1 Month Index + 2.540% 7.6012% 5/15/39 (b)(d)(h) | 8,790,000 | 8,360,405 | |
| LIFE Mortgage Trust floater Series 2021-BMR: | |||
| Class A, CME Term SOFR 1 Month Index + 0.810% 5.8735% 3/15/38 (b)(d)(h) | 9,084,997 | 8,850,927 | |
| Class B, CME Term SOFR 1 Month Index + 0.990% 6.0535% 3/15/38 (b)(d)(h) | 2,889,932 | 2,797,430 | |
| Class C, CME Term SOFR 1 Month Index + 1.210% 6.2735% 3/15/38 (b)(d)(h) | 2,003,293 | 1,925,343 | |
| Class D, CME Term SOFR 1 Month Index + 1.510% 6.5735% 3/15/38 (b)(d)(h) | 2,785,737 | 2,670,351 | |
| Class E, CME Term SOFR 1 Month Index + 1.860% 6.9235% 3/15/38 (b)(d)(h) | 2,433,834 | 2,311,645 | |
| Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 5.807% 7/15/38 (b)(d)(h) | 10,610,236 | 10,270,113 | |
| Morgan Stanley BAML Trust: | |||
| sequential payer: | |||
Series 2013-C11 Class A4, 4.151% 8/15/46 (d) | 568,989 | 566,114 | |
Series 2015-C20 Class ASB, 3.069% 2/15/48 | 405,516 | 396,379 | |
Series 2016-C28 Class A3, 3.272% 1/15/49 | 5,124,962 | 4,820,849 | |
| Series 2014-C17 Class ASB, 3.477% 8/15/47 | 529,398 | 522,830 | |
| Series 2015-C22 Class ASB, 3.04% 4/15/48 | 777,272 | 754,334 | |
| Series 2015-C25 Class XA, 1.0374% 10/15/48 (d)(n) | 843,669 | 13,560 | |
| Morgan Stanley Capital I Trust: | |||
| floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 5.957% 8/15/33 (b)(d)(h) | 134,441 | 114,073 | |
| floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 6.057% 12/15/36 (b)(d)(g)(h) | 9,700,000 | 8,111,660 | |
| sequential payer: | |||
Series 2017-H1 Class A4, 3.259% 6/15/50 | 15,100,000 | 14,053,327 | |
Series 2019-L2 Class A3, 3.806% 3/15/52 | 19,925,000 | 18,588,529 | |
Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 17,584,985 | 16,315,059 | |
| Series 2018-H4 Class A4, 4.31% 12/15/51 | 4,191,000 | 3,962,451 | |
| Series 2019-MEAD: | |||
Class B, 3.1771% 11/10/36 (b)(d) | 1,783,000 | 1,633,501 | |
Class C, 3.1771% 11/10/36 (b)(d) | 1,712,000 | 1,534,087 | |
| Series 2021-L6 Class XA, 1.2243% 6/15/54 (d)(n) | 28,751,008 | 1,749,694 | |
| MSCCG Trust floater Series 2018-SELF Class A, 1 month U.S. LIBOR + 0.900% 6.008% 10/15/37 (b)(d)(h) | 7,076,108 | 6,971,341 | |
| Natixis Commercial Mortgage Securities Trust sequential payer Series 2020-2PAC Class A, 2.966% 12/15/38 (b) | 10,362,382 | 9,662,360 | |
| NYT Mortgage Trust floater Series 2019-NYT Class A, 1 month U.S. LIBOR + 1.200% 6.307% 12/15/35 (b)(d)(h) | 20,822,000 | 19,845,881 | |
| OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 5.591% 10/15/36 (b)(d)(h) | 27,462,336 | 26,426,781 | |
| Prima Capital Ltd.: | |||
| floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 6.9484% 12/15/37 (b)(d)(h) | 4,403,000 | 4,285,570 | |
| floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 6.5984% 12/15/37 (b)(d)(h) | 800,004 | 797,514 | |
| RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 5.908% 4/15/36 (b)(d)(h) | 23,000,000 | 22,256,284 | |
| SLG Office Trust Series 2021-OVA Class X, 0.258% 7/15/41 (b)(d)(n) | 213,942,750 | 3,318,102 | |
| SPGN Mortgage Trust floater Series 2022-TFLM: | |||
| Class B, CME Term SOFR 1 Month Index + 2.000% 7.0593% 2/15/39 (b)(d)(h) | 4,954,000 | 4,678,965 | |
| Class C, CME Term SOFR 1 Month Index + 2.650% 7.7093% 2/15/39 (b)(d)(h) | 2,576,000 | 2,424,443 | |
| SREIT Trust floater: | |||
| Series 2021-FLWR Class A, 1 month U.S. LIBOR + 0.570% 5.6836% 7/15/36 (b)(d)(h) | 9,074,000 | 8,754,606 | |
| Series 2021-MFP: | |||
Class A, 1 month U.S. LIBOR + 0.730% 5.8382% 11/15/38 (b)(d)(h) | 25,232,128 | 24,378,028 | |
Class B, 1 month U.S. LIBOR + 1.070% 6.1872% 11/15/38 (b)(d)(h) | 9,752,000 | 9,414,937 | |
Class C, 1 month U.S. LIBOR + 1.320% 6.4364% 11/15/38 (b)(d)(h) | 5,710,000 | 5,469,593 | |
Class D, 1 month U.S. LIBOR + 1.570% 6.6856% 11/15/38 (b)(d)(h) | 3,430,000 | 3,270,505 | |
| UBS Commercial Mortgage Trust: | |||
| sequential payer: | |||
Series 2017-C1 Class ASB, 3.462% 11/15/50 | 1,255,650 | 1,194,227 | |
Series 2017-C5 Class ASB, 3.345% 11/15/50 | 2,076,506 | 1,970,240 | |
Series 2017-C7 Class ASB, 3.586% 12/15/50 | 913,263 | 872,269 | |
Series 2018-C12 Class ASB, 4.1945% 8/15/51 | 1,150,000 | 1,126,036 | |
Series 2018-C8 Class ASB, 3.903% 2/15/51 | 1,407,555 | 1,349,212 | |
Series 2019-C17 Class ASB, 2.8655% 10/15/52 | 11,900,000 | 10,814,595 | |
| Series 2017-C7 Class XA, 1.003% 12/15/50 (d)(n) | 28,545,171 | 970,342 | |
| VLS Commercial Mortgage Trust: | |||
| sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 14,678,994 | 11,625,242 | |
| Series 2020-LAB: | |||
Class B, 2.453% 10/10/42 (b) | 470,000 | 365,659 | |
Class X, 0.4294% 10/10/42 (b)(d)(n) | 58,746,457 | 1,513,350 | |
| Wells Fargo Commercial Mortgage Trust: | |||
| floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 6.307% 5/15/31 (b)(d)(h) | 16,435,000 | 15,364,789 | |
| sequential payer: | |||
Series 2015-C26 Class A4, 3.166% 2/15/48 | 11,250,000 | 10,671,039 | |
Series 2015-C29 Class ASB, 3.4% 6/15/48 | 2,278,477 | 2,213,276 | |
Series 2017-C40 Class ASB, 3.395% 10/15/50 | 892,774 | 852,769 | |
Series 2017-C41 Class ASB, 3.39% 11/15/50 | 153,477 | 147,304 | |
Series 2017-RC1 Class ASB, 3.453% 1/15/60 | 814,351 | 783,507 | |
Series 2018-C44 Class ASB, 4.167% 5/15/51 | 999,991 | 966,460 | |
Series 2019-C49 Class ASB, 3.933% 3/15/52 | 11,774,000 | 11,311,229 | |
Series 2019-C52 Class A5, 2.892% 8/15/52 | 3,829,000 | 3,335,075 | |
Series 2019-C54 Class ASB, 3.063% 12/15/52 | 1,000,000 | 920,426 | |
| Series 2015-SG1 Class ASB, 3.556% 9/15/48 | 1,953,010 | 1,903,348 | |
| Series 2017-C42 Class XA, 0.8606% 12/15/50 (d)(n) | 1,410,753 | 44,559 | |
| Series 2018-C46 Class XA, 0.9268% 8/15/51 (d)(n) | 31,415,418 | 755,324 | |
| Series 2018-C48 Class A5, 4.302% 1/15/52 | 3,836,000 | 3,648,097 | |
| Series 2019-C54 Class XA, 0.8254% 12/15/52 (d)(n) | 62,937,294 | 2,565,135 | |
| WF-RBS Commercial Mortgage Trust: | |||
| Series 2013-C16 Class A/S, 4.668% 9/15/46 (d) | 8,828,629 | 8,740,692 | |
| Series 2014-C25 Class A5, 3.631% 11/15/47 | 3,448,416 | 3,312,583 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $2,256,464,097) | 2,186,909,284 | ||
| Municipal Securities - 0.1% | |||
Principal Amount (a) | Value ($) | ||
| American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50 | 870,000 | 1,179,244 | |
| California Gen. Oblig. Series 2010, 7.625% 3/1/40 | 190,000 | 237,900 | |
| Chicago Board of Ed. Series 2009 G, 1.75% 12/15/25 | 4,720,000 | 4,249,644 | |
| Illinois Gen. Oblig.: | |||
| Series 2003: | |||
4.95% 6/1/23 | 1,285,909 | 1,285,909 | |
5.1% 6/1/33 | 22,095,000 | 21,842,277 | |
| Series 2010-1, 6.63% 2/1/35 | 1,878,462 | 1,974,666 | |
| Series 2010-3: | |||
6.725% 4/1/35 | 2,501,538 | 2,643,085 | |
7.35% 7/1/35 | 1,286,071 | 1,389,150 | |
| New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 11,609,000 | 12,625,144 | |
| New York City Transitional Fin. Auth. Rev. Series 2017 E, 2.85% 2/1/24 | 520,000 | 511,210 | |
| TOTAL MUNICIPAL SECURITIES (Cost $48,874,319) | 47,938,229 | ||
| Foreign Government and Government Agency Obligations - 0.1% | |||
Principal Amount (a) | Value ($) | ||
| German Federal Republic: | |||
| 0% 5/15/35 (Reg. S) | EUR | 300,000 | 242,180 |
| 1% 5/15/38(Reg. S) | EUR | 8,625,000 | 7,538,646 |
| 1.25% 8/15/48 (k) | EUR | 3,665,000 | 3,083,596 |
| 2.2% 12/12/24(Reg. S) | EUR | 8,025,000 | 8,496,550 |
| 2.5% 3/13/25(Reg. S) | EUR | 3,000,000 | 3,192,898 |
| Panamanian Republic 3.298% 1/19/33 | 18,075,000 | 15,107,311 | |
| United Kingdom, Great Britain and Northern Ireland: | |||
| 1% 4/22/24(Reg. S) | GBP | 3,774,000 | 4,544,918 |
| 2.25% 9/7/23 | GBP | 9,226,000 | 11,407,671 |
| United Mexican States: | |||
| 3.25% 4/16/30 | 1,247,000 | 1,111,233 | |
| 3.5% 2/12/34 | 1,035,000 | 867,977 | |
| 4.5% 4/22/29 | 3,114,000 | 3,027,976 | |
| TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $62,701,015) | 58,620,956 | ||
| Bank Loan Obligations - 0.0% | |||
Principal Amount (a) | Value ($) | ||
| HEALTH CARE - 0.0% | |||
| Health Care Providers & Services - 0.0% | |||
| Cano Health, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.2534% 11/23/27 (d)(h)(r) | 498,737 | 403,144 | |
| INDUSTRIALS - 0.0% | |||
| Commercial Services & Supplies - 0.0% | |||
| Neptune BidCo U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.0044% 4/11/29 (d)(h)(r) | 605,000 | 540,217 | |
| MATERIALS - 0.0% | |||
| Chemicals - 0.0% | |||
| Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 8.9375% 11/9/28 (d)(h)(r) | 1,017,424 | 947,354 | |
| Containers & Packaging - 0.0% | |||
| Clydesdale Acquisition Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.170% 9.4284% 4/13/29 (d)(h)(r) | 788,015 | 747,826 | |
TOTAL MATERIALS | 1,695,180 | ||
| UTILITIES - 0.0% | |||
| Electric Utilities - 0.0% | |||
| Brookfield WEC Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 8.9034% 8/1/25 (d)(h)(r) | 238,800 | 238,160 | |
| TOTAL BANK LOAN OBLIGATIONS (Cost $2,933,370) | 2,876,701 | ||
| Bank Notes - 0.0% | |||
Principal Amount (a) | Value ($) | ||
| Discover Bank 4.682% 8/9/28 (d) | 2,954,000 | 2,720,563 | |
| First Citizens Bank & Trust Co. 2.969% 9/27/25 (d) | 2,324,000 | 2,173,266 | |
| KeyBank NA 6.95% 2/1/28 | 619,000 | 565,582 | |
| Regions Bank 6.45% 6/26/37 | 5,877,000 | 5,847,648 | |
| TOTAL BANK NOTES (Cost $12,313,286) | 11,307,059 | ||
| Fixed-Income Funds - 52.3% | |||
| Shares | Value ($) | ||
| Bank Loan Funds - 1.7% | |||
| Fidelity Advisor Floating Rate High Income Fund Class Z (s) | 118,509,671 | 1,068,957,235 | |
| High Yield Fixed-Income Funds - 2.3% | |||
| Fidelity Advisor New Markets Income Fund Class Z (s) | 94,610,731 | 1,070,993,479 | |
| Fidelity SAI High Income Fund (s) | 45,822,983 | 390,411,817 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 1,461,405,296 | ||
| Inflation-Protected Bond Funds - 0.2% | |||
| Fidelity Inflation-Protected Bond Index Fund (s) | 13,590,998 | 125,444,911 | |
| Intermediate Government Funds - 12.8% | |||
| Fidelity Advisor Government Income Fund Class Z (s) | 53,384,304 | 495,406,338 | |
| Fidelity Intermediate Treasury Bond Index Fund (s) | 139,053,756 | 1,359,945,732 | |
| Fidelity SAI U.S. Treasury Bond Index Fund (s) | 723,791,817 | 6,369,367,993 | |
TOTAL INTERMEDIATE GOVERNMENT FUNDS | 8,224,720,063 | ||
| Intermediate-Term Bond Funds - 28.5% | |||
| Fidelity SAI International Credit Fund (s) | 25,044,443 | 251,947,093 | |
| Fidelity SAI Total Bond Fund (s) | 1,660,460,860 | 14,844,520,012 | |
| Fidelity Sustainability Bond Index Fund (s) | 2,459,175 | 22,747,368 | |
| Fidelity U.S. Bond Index Fund (s) | 312,880,834 | 3,228,930,206 | |
TOTAL INTERMEDIATE-TERM BOND FUNDS | 18,348,144,679 | ||
| Long Government Bond Funds - 4.4% | |||
| Fidelity SAI Long-Term Treasury Bond Index Fund (s) | 360,681,050 | 2,824,132,623 | |
| Sector Funds - 1.3% | |||
| Fidelity Advisor Real Estate Income Fund Class Z (s) | 77,741,419 | 867,594,233 | |
| Short-Term Bond - 1.1% | |||
| Fidelity Short-Term Treasury Bond Index Fund (s) | 71,962,421 | 718,184,966 | |
| TOTAL FIXED-INCOME FUNDS (Cost $37,242,665,753) | 33,638,584,006 | ||
| Short-Term Funds - 0.6% | |||
| Shares | Value ($) | ||
| Short-Term Funds - 0.6% | |||
Fidelity SAI Short-Term Bond Fund (s) (Cost $377,529,981) | 39,666,925 | 378,422,461 | |
| Preferred Securities - 0.1% | |||
Principal Amount (a) | Value ($) | ||
| COMMUNICATION SERVICES - 0.0% | |||
| Diversified Telecommunication Services - 0.0% | |||
| Telefonica Europe BV 3.875% (Reg. S) (d)(j) | 1,100,000 | 1,117,280 | |
| CONSUMER DISCRETIONARY - 0.0% | |||
| Automobiles - 0.0% | |||
| Volkswagen International Finance NV: | |||
| 3.5% (Reg. S) (d)(j) | 9,200,000 | 9,552,884 | |
| 3.748% (Reg. S) (d)(j) | 500,000 | 476,150 | |
| 10,029,034 | |||
| CONSUMER STAPLES - 0.0% | |||
| Tobacco - 0.0% | |||
| British American Tobacco PLC 3% (Reg. S) (d)(j) | 4,700,000 | 4,209,577 | |
| ENERGY - 0.0% | |||
| Oil, Gas & Consumable Fuels - 0.0% | |||
| Enbridge, Inc. 5.75% 7/15/80 (d) | 3,553,000 | 3,280,435 | |
| FINANCIALS - 0.1% | |||
| Banks - 0.1% | |||
| AIB Group PLC 6.25% (Reg. S) (d)(j) | 1,235,000 | 1,269,444 | |
| Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (d)(j) | 1,200,000 | 1,260,126 | |
| Bank of Nova Scotia: | |||
| 3 month U.S. LIBOR + 2.640% 7.8459% (d)(h)(j) | 19,859,000 | 17,054,652 | |
| 4.9% (d)(j) | 9,500,000 | 8,758,823 | |
| Barclays PLC: | |||
| 5.875% (Reg. S) (d)(j) | 1,150,000 | 1,276,838 | |
| 8.875% (d)(j) | 500,000 | 584,013 | |
| BNP Paribas SA 6.625% (Reg. S) (d)(j) | 1,485,000 | 1,446,953 | |
| Lloyds Banking Group PLC 5.125% (d)(j) | 200,000 | 228,704 | |
| Societe Generale 7.875% (Reg. S) (d)(j) | 740,000 | 746,066 | |
| 32,625,619 | |||
| Capital Markets - 0.0% | |||
| Charles Schwab Corp.: | |||
| 4% (d)(j) | 530,000 | 403,993 | |
| 5.375% (d)(j) | 260,000 | 253,424 | |
| Credit Suisse Group AG 7.5% (Reg. S) (c)(d)(j) | 4,925,000 | 172,375 | |
| UBS Group AG: | |||
| 4.375% (b)(d)(j) | 2,239,000 | 1,557,761 | |
| 4.875% (b)(d)(j) | 4,770,000 | 3,768,966 | |
| 6,156,519 | |||
| Consumer Finance - 0.0% | |||
| Ally Financial, Inc. 4.7% (d)(j) | 2,600,000 | 1,845,405 | |
| Insurance - 0.0% | |||
| QBE Insurance Group Ltd. 5.25% (Reg. S) (d)(j) | 4,750,000 | 4,283,886 | |
TOTAL FINANCIALS | 44,911,429 | ||
| INDUSTRIALS - 0.0% | |||
| Ground Transportation - 0.0% | |||
| National Express Group PLC 4.25% (Reg. S) (d)(j) | 570,000 | 629,307 | |
| REAL ESTATE - 0.0% | |||
| Real Estate Management & Development - 0.0% | |||
| Aroundtown SA 3.375% (Reg. S) (d)(j) | 3,900,000 | 1,753,128 | |
| AT Securities BV 5.25% (Reg. S) (d)(j) | 4,750,000 | 1,811,214 | |
| Citycon Oyj 4.496% (Reg. S) (d)(j) | 850,000 | 589,381 | |
| CPI Property Group SA 3.75% (Reg. S) (d)(j) | 2,370,000 | 815,078 | |
| Grand City Properties SA 1.5% (Reg. S) (d)(j) | 4,300,000 | 1,745,072 | |
| Heimstaden Bostad AB: | |||
| 3.248% (Reg. S) (d)(j) | 3,735,000 | 2,530,738 | |
| 3.625% (Reg. S) (d)(j) | 195,000 | 109,180 | |
| Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (d)(j) | 1,385,000 | 306,893 | |
| 9,660,684 | |||
| UTILITIES - 0.0% | |||
| Electric Utilities - 0.0% | |||
| Electricite de France SA 5.625% (Reg. S) (d)(j) | 2,815,000 | 2,790,934 | |
| SSE PLC 3.74% (Reg. S) (d)(j) | 1,135,000 | 1,291,814 | |
| 4,082,748 | |||
| Multi-Utilities - 0.0% | |||
| ELM BV for Firmenich International SA 3.75% (Reg. S) (d)(j) | 520,000 | 546,287 | |
| Veolia Environnement SA 2% (Reg. S) (d)(j) | 2,300,000 | 2,054,809 | |
| 2,601,096 | |||
TOTAL UTILITIES | 6,683,844 | ||
| TOTAL PREFERRED SECURITIES (Cost $112,998,893) | 80,521,590 | ||
| Money Market Funds - 1.8% | |||
| Shares | Value ($) | ||
| Fidelity Cash Central Fund 5.14% (t) | 757,156,135 | 757,307,566 | |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.02% (s)(u) | 421,616,686 | 421,616,686 | |
| TOTAL MONEY MARKET FUNDS (Cost $1,178,924,213) | 1,178,924,252 | ||
| Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount (a) | Value ($) | ||
| Put Options - 0.0% | ||||
| Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 3.023% and receive annually a floating rate based on U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx, expiring June 2032 | 6/21/27 | 5,000,000 | 197,510 | |
| Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.305% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2033 | 5/22/28 | 13,900,000 | 519,731 | |
| Option with an exercise rate of 4.625% on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 39 Index expiring June 2028, paying 5% quarterly. | 8/16/23 | EUR | 20,350,000 | 294,256 |
| Option with an exercise rate of 4.625% on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 39 Index expiring June 2028, paying 5% quarterly. | 6/21/23 | EUR | 12,550,000 | 53,225 |
| TOTAL PUT OPTIONS | 1,064,722 | |||
| Call Options - 0.0% | ||||
| Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 3.023% and pay annually a floating rate based on U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx, expiring June 2032 | 6/21/27 | 5,000,000 | 194,121 | |
| Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.305% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring May 2033 | 5/22/28 | 13,900,000 | 625,962 | |
| TOTAL CALL OPTIONS | 820,083 | |||
TOTAL PURCHASED SWAPTIONS (Cost $2,084,776) | 1,884,805 | |||
| TOTAL INVESTMENT IN SECURITIES - 108.3% (Cost $75,222,410,925) | 69,713,529,919 |
NET OTHER ASSETS (LIABILITIES) - (8.3)% | (5,352,103,947) |
| NET ASSETS - 100.0% | 64,361,425,972 |
| TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
| Ginnie Mae | ||
| 2% 6/1/53 | (19,800,000) | (16,789,762) |
| 2% 6/1/53 | (126,450,000) | (107,225,528) |
| 2% 6/1/53 | (168,050,000) | (142,500,989) |
| 2% 6/1/53 | (26,300,000) | (22,301,553) |
| 2% 6/1/53 | (6,500,000) | (5,511,791) |
| 2% 6/1/53 | (41,550,000) | (35,233,062) |
| 2.5% 6/1/53 | (22,350,000) | (19,518,076) |
| 2.5% 6/1/53 | (131,450,000) | (114,794,233) |
| 3% 6/1/53 | (146,500,000) | (131,744,623) |
| 3% 6/1/53 | (21,050,000) | (18,929,859) |
| 3.5% 6/1/53 | (4,600,000) | (4,263,116) |
| 3.5% 6/1/53 | (20,800,000) | (19,276,700) |
| 3.5% 6/1/53 | (6,900,000) | (6,394,674) |
| 3.5% 6/1/53 | (81,550,000) | (75,577,637) |
| TOTAL GINNIE MAE | (720,061,603) | |
| Uniform Mortgage Backed Securities | ||
| 1.5% 6/1/38 | (3,900,000) | (3,408,080) |
| 1.5% 6/1/53 | (7,600,000) | (5,926,053) |
| 2% 6/1/38 | (7,300,000) | (6,536,551) |
| 2% 6/1/38 | (23,900,000) | (21,400,490) |
| 2% 6/1/38 | (6,300,000) | (5,641,133) |
| 2% 6/1/38 | (23,900,000) | (21,400,490) |
| 2% 6/1/38 | (31,800,000) | (28,474,292) |
| 2% 6/1/38 | (14,700,000) | (13,162,645) |
| 2% 6/1/53 | (5,300,000) | (4,357,801) |
| 2% 6/1/53 | (17,900,000) | (14,717,856) |
| 2% 6/1/53 | (171,650,000) | (141,135,196) |
| 2% 6/1/53 | (171,650,000) | (141,135,196) |
| 2% 6/1/53 | (17,900,000) | (14,717,856) |
| 2% 6/1/53 | (24,000,000) | (19,733,438) |
| 2% 6/1/53 | (21,000,000) | (17,266,759) |
| 2% 6/1/53 | (33,700,000) | (27,709,036) |
| 2% 6/1/53 | (3,650,000) | (3,001,127) |
| 2% 6/1/53 | (99,100,000) | (81,482,656) |
| 2% 6/1/53 | (31,500,000) | (25,900,138) |
| 2.5% 6/1/38 | (2,900,000) | (2,666,188) |
| 2.5% 6/1/38 | (19,500,000) | (17,927,813) |
| 2.5% 6/1/53 | (7,050,000) | (6,021,416) |
| 2.5% 6/1/53 | (1,975,000) | (1,686,851) |
| 2.5% 6/1/53 | (13,175,000) | (11,252,789) |
| 2.5% 6/1/53 | (10,400,000) | (8,882,657) |
| 2.5% 6/1/53 | (4,850,000) | (4,142,393) |
| 2.5% 6/1/53 | (80,950,000) | (69,139,525) |
| 3% 6/1/53 | (3,400,000) | (3,012,453) |
| 3% 6/1/53 | (2,300,000) | (2,037,836) |
| 3% 6/1/53 | (28,600,000) | (25,340,046) |
| 3% 6/1/53 | (4,600,000) | (4,075,672) |
| 3% 6/1/53 | (15,600,000) | (13,821,843) |
| 3% 6/1/53 | (48,400,000) | (42,883,155) |
| 3% 6/1/53 | (7,100,000) | (6,290,711) |
| 3.5% 6/1/53 | (16,600,000) | (15,229,204) |
| 3.5% 6/1/53 | (29,075,000) | (26,674,042) |
| 3.5% 6/1/53 | (4,600,000) | (4,220,141) |
| 3.5% 6/1/53 | (20,800,000) | (19,082,376) |
| 4% 6/1/53 | (18,300,000) | (17,287,781) |
| 4% 6/1/53 | (1,100,000) | (1,039,156) |
| 4.5% 6/1/53 | (71,000,000) | (68,698,045) |
| 5.5% 6/1/53 | (2,700,000) | (2,698,207) |
| 5.5% 6/1/53 | (1,300,000) | (1,299,137) |
| 5.5% 6/1/53 | (17,400,000) | (17,388,445) |
| 5.5% 6/1/53 | (49,200,000) | (49,167,326) |
| 5.5% 6/1/53 | (24,100,000) | (24,083,995) |
| 5.5% 6/1/53 | (86,500,000) | (86,442,555) |
| 5.5% 6/1/53 | (5,700,000) | (5,696,215) |
| 5.5% 6/1/53 | (39,100,000) | (39,074,034) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (1,194,368,800) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $1,911,265,246) | (1,914,430,403) | |
| Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Purchased | |||||
| Bond Index Contracts | |||||
| ASX 10 Year Treasury Bond Index Contracts (Australia) | 23 | Jun 2023 | 1,793,936 | 10,409 | 10,409 |
| Eurex Euro-Bobl Contracts (Germany) | 25 | Sep 2023 | 3,138,825 | 2,918 | 2,918 |
| Eurex Euro-Bund Contracts (Germany) | 34 | Sep 2023 | 4,917,881 | 3,116 | 3,116 |
| Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | 1 | Sep 2023 | 147,829 | 298 | 298 |
| TME 10 Year Canadian Note Contracts (Canada) | 94 | Sep 2023 | 8,563,521 | 30,793 | 30,793 |
| TOTAL BOND INDEX CONTRACTS | 47,534 | ||||
| Treasury Contracts | |||||
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1,538 | Sep 2023 | 316,563,656 | (723,483) | (723,483) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 361 | Sep 2023 | 39,377,203 | (48,672) | (48,672) |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 278 | Sep 2023 | 35,679,563 | 364,132 | 364,132 |
| CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 47 | Sep 2023 | 5,661,297 | 35,141 | 35,141 |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 46 | Sep 2023 | 6,296,250 | 100,519 | 100,519 |
| TOTAL TREASURY CONTRACTS | (272,363) | ||||
| TOTAL PURCHASED | (224,829) | ||||
| Sold | |||||
| Bond Index Contracts | |||||
| ICE Long Gilt Contracts (United Kingdom) | 73 | Sep 2023 | 8,789,340 | (65,419) | (65,419) |
| Treasury Contracts | |||||
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 5,219 | Sep 2023 | 597,412,406 | (1,330,154) | (1,330,154) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 3,756 | Sep 2023 | 409,697,438 | 493,899 | 493,899 |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 2,983 | Sep 2023 | 382,849,406 | (4,038,356) | (4,038,356) |
| TOTAL TREASURY CONTRACTS | (4,874,611) | ||||
| TOTAL SOLD | (4,940,030) | ||||
| TOTAL FUTURES CONTRACTS | (5,164,859) | ||||
| The notional amount of futures purchased as a percentage of Net Assets is 0.7% | |||||
| The notional amount of futures sold as a percentage of Net Assets is 2.1% | |||||
| Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
| EUR | 400,000 | USD | 426,482 | BNP Paribas S.A. | 6/01/23 | 1,078 |
| USD | 310,540 | GBP | 250,000 | Brown Brothers Harriman & Co | 6/01/23 | (448) |
| CAD | 134,000 | USD | 98,489 | Bank of America, N.A. | 6/21/23 | 274 |
| CAD | 343,000 | USD | 252,510 | Brown Brothers Harriman & Co | 6/21/23 | 293 |
| EUR | 150,000 | USD | 165,945 | BNP Paribas S.A. | 6/21/23 | (5,427) |
| EUR | 87,000 | USD | 95,646 | Bank of America, N.A. | 6/21/23 | (2,546) |
| EUR | 130,000 | USD | 143,637 | Bank of America, N.A. | 6/21/23 | (4,522) |
| EUR | 174,000 | USD | 190,352 | Brown Brothers Harriman & Co | 6/21/23 | (4,151) |
| EUR | 159,000 | USD | 173,055 | Brown Brothers Harriman & Co | 6/21/23 | (2,906) |
| EUR | 362,000 | USD | 400,809 | HSBC Bank | 6/21/23 | (13,426) |
| GBP | 536,000 | USD | 667,652 | Bank of America, N.A. | 6/21/23 | (614) |
| GBP | 3,420,000 | USD | 4,320,578 | Bank of America, N.A. | 6/21/23 | (64,476) |
| GBP | 513,000 | USD | 636,135 | Brown Brothers Harriman & Co | 6/21/23 | 2,280 |
| GBP | 670,000 | USD | 838,965 | Brown Brothers Harriman & Co | 6/21/23 | (5,167) |
| GBP | 218,000 | USD | 270,910 | Brown Brothers Harriman & Co | 6/21/23 | 385 |
| GBP | 123,000 | USD | 151,818 | Citibank, N. A. | 6/21/23 | 1,253 |
| USD | 137,483 | AUD | 205,000 | Citibank, N. A. | 6/21/23 | 4,042 |
| USD | 67,734 | AUD | 104,000 | State Street Bank and Trust Co | 6/21/23 | 37 |
| USD | 210,658 | CAD | 282,000 | Bank of America, N.A. | 6/21/23 | 2,814 |
| USD | 54,344 | CAD | 74,000 | Bank of America, N.A. | 6/21/23 | (196) |
| USD | 160,767 | CAD | 219,000 | Brown Brothers Harriman & Co | 6/21/23 | (644) |
| USD | 96,246 | CAD | 130,000 | Brown Brothers Harriman & Co | 6/21/23 | 432 |
| USD | 120,401,501 | EUR | 109,898,000 | Bank of America, N.A. | 6/21/23 | 2,797,754 |
| USD | 510,829 | EUR | 462,000 | Bank of America, N.A. | 6/21/23 | 16,434 |
| USD | 1,642,951 | EUR | 1,485,000 | Bank of America, N.A. | 6/21/23 | 53,827 |
| USD | 3,966,529 | EUR | 3,663,000 | Canadian Imperial Bk. of Comm. | 6/21/23 | 46,689 |
| USD | 1,095,650 | EUR | 990,000 | Citibank, N. A. | 6/21/23 | 36,234 |
| USD | 815,743 | EUR | 757,000 | JPMorgan Chase Bank, N.A. | 6/21/23 | 5,664 |
| USD | 139,138 | GBP | 112,000 | BNP Paribas S.A. | 6/21/23 | (243) |
| USD | 84,876,994 | GBP | 68,557,000 | JPMorgan Chase Bank, N.A. | 6/21/23 | (440,416) |
| TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | 2,424,308 | |||||
| Unrealized Appreciation | 2,969,490 | |||||
| Unrealized Depreciation | (545,182) | |||||
| Credit Default Swaps | ||||||||||
| Underlying Reference | Rating (1) | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount (2)(3) | Value ($) (1) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Buy Protection | ||||||||||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 6,830,000 | 151,237 | (92,430) | 58,807 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 2,780,000 | 61,558 | (25,437) | 36,121 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 16,080,000 | 356,061 | (176,245) | 179,816 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 19,040,000 | 421,605 | (310,808) | 110,797 | ||
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 17,700,000 | 391,933 | (120,440) | 271,493 | ||
| CMBX N.A. AAA Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 370,000 | 16,008 | (15,916) | 92 | ||
| CMBX N.A. AAA Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 23,760,000 | 1,027,988 | (983,145) | 44,843 | ||
| CMBX N.A. BBB Index Series 16 | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | 3,640,000 | 1,145,878 | (981,453) | 164,425 | ||
| CMBX N.A. BBB Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 3,220,000 | 1,013,661 | (867,755) | 145,906 | ||
| CMBX N.A. BBB Index Series 16 | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | 3,930,000 | 1,237,170 | (1,163,274) | 73,896 | ||
| CMBX N.A. BBB Index Series 16 | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | 4,580,000 | 1,441,791 | (1,342,000) | 99,791 | ||
| CMBX N.A. BBB Index Series 16 | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 5,830,000 | 1,835,293 | (1,511,332) | 323,961 | ||
| Intesa Sanpaolo SpA | Dec 2027 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | EUR | 2,700,000 | (5,711) | (15,053) | (20,764) | |
| TOTAL BUY PROTECTION | 9,094,472 | (7,605,288) | 1,489,184 | |||||||
| Sell Protection | ||||||||||
| CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 29,580,000 | (654,993) | 684,175 | 29,182 | |
| CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 32,850,000 | (727,401) | 781,396 | 53,995 | |
| TOTAL SELL PROTECTION | (1,382,394) | 1,465,571 | 83,177 | |||||||
| TOTAL CREDIT DEFAULT SWAPS | 7,712,078 | (6,139,717) | 1,572,361 | |||||||
(1)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
(3)Notional amount is stated in U.S. Dollars unless otherwise noted.
| Interest Rate Swaps | ||||||||||
| Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty (1) | Maturity Date | Notional Amount (2) | Value ($) | Upfront Premium Received/ (Paid) ($) (3) | Unrealized Appreciation/ (Depreciation) ($) | |
| 3.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index (4) | Annual | LCH | Jun 2025 | 70,157,000 | 766,778 | 0 | 766,778 | |
| 3.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index (4) | Annual | LCH | Jun 2028 | 132,846,000 | 2,656,730 | 0 | 2,656,730 | |
| 3% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index (4) | Annual | LCH | Jun 2030 | 29,950,000 | 690,699 | 0 | 690,699 | |
| 2.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index (4) | Annual | LCH | Jun 2053 | 2,761,000 | 23,990 | 0 | 23,990 | |
| TOTAL INTEREST RATE SWAPS | 4,138,197 | 0 | 4,138,197 | |||||||
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
(3)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).
(4)Represents floating rate.
Currency Abbreviations
| AUD | - | Australian dollar |
| CAD | - | Canadian dollar |
| EUR | - | European Monetary Unit |
| GBP | - | British pound sterling |
| USD | - | U.S. dollar |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | 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 $4,332,256,809 or 6.7% of net assets. |
| (c) | Non-income producing - Security is in default. |
| (d) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (e) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
| (f) | Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $103,420 or 0.0% of net assets. |
| (g) | Level 3 security |
| (h) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (i) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (j) | Security is perpetual in nature with no stated maturity date. |
| (k) | 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 $35,140,537. |
| (l) | 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 $64,020,460. |
| (m) | 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 $7,151,951. |
| (n) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
| (o) | Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
| (p) | Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
| (q) | Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
| (r) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
| (s) | Affiliated Fund |
| (t) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (u) | The rate quoted is the annualized seven-day yield of the fund at period end. |
| Additional information on each restricted holding is as follows: | ||
| Security | Acquisition Date | Acquisition Cost ($) |
| Jonah Energy Parent LLC 12% 11/5/25 | 5/05/23 | 103,473 |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.14% | 2,087,883,413 | 10,420,985,929 | 11,751,561,776 | 72,071,715 | - | - | 757,307,566 | 1.8% |
| Total | 2,087,883,413 | 10,420,985,929 | 11,751,561,776 | 72,071,715 | - | - | 757,307,566 | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Advisor Corporate Bond Fund Class Z | 1,962,450,369 | 936,381,423 | 2,797,847,189 | 74,336,044 | (312,457,179) | 211,472,576 | - |
| Fidelity Advisor Floating Rate High Income Fund Class Z | 1,161,511,158 | 79,670,343 | 160,000,000 | 79,670,037 | (7,189,535) | (5,034,731) | 1,068,957,235 |
| Fidelity Advisor Global Credit Fund Class Z | 27,309,796 | 1,251,040 | 25,630,401 | 1,251,040 | (6,215,560) | 3,285,125 | - |
| Fidelity Advisor Government Income Fund Class Z | 486,033,097 | 162,015,561 | 125,000,000 | 12,015,546 | (15,936,234) | (11,706,086) | 495,406,338 |
| Fidelity Advisor New Markets Income Fund Class Z | 1,136,460,210 | 129,373,844 | 100,000,000 | 59,373,314 | (31,963,328) | (62,877,247) | 1,070,993,479 |
| Fidelity Advisor Real Estate Income Fund Class Z | 872,216,700 | 108,354,595 | - | 58,354,595 | - | (112,977,062) | 867,594,233 |
| Fidelity Inflation-Protected Bond Index Fund | 346,815,177 | 182,027,096 | 389,750,000 | 7,027,095 | 2,409,076 | (16,056,438) | 125,444,911 |
| Fidelity Intermediate Bond Fund | 1,232,640,527 | 374,223,927 | 1,525,644,500 | 11,968,959 | (165,331,676) | 84,111,722 | - |
| Fidelity Intermediate Treasury Bond Index Fund | - | 1,475,644,931 | 125,000,000 | 5,658,158 | (711,594) | 10,012,395 | 1,359,945,732 |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.02% | 282,906,171 | 8,638,693,508 | 8,499,982,993 | 14,590,305 | - | - | 421,616,686 |
| Fidelity SAI High Income Fund | 449,376,981 | 21,277,874 | 50,000,000 | 21,277,708 | (5,988,452) | (24,254,586) | 390,411,817 |
| Fidelity SAI International Credit Fund | - | 250,894,279 | - | 263,878 | - | 1,052,814 | 251,947,093 |
| Fidelity SAI Long-Term Treasury Bond Index Fund | 2,003,319,872 | 1,119,977,764 | - | 70,115,205 | - | (299,165,013) | 2,824,132,623 |
| Fidelity SAI Short-Term Bond Fund | - | 377,529,981 | - | 2,529,981 | - | 892,480 | 378,422,461 |
| Fidelity SAI Total Bond Fund | 12,737,043,861 | 3,010,267,839 | 175,000,000 | 555,258,709 | (22,301,391) | (705,490,297) | 14,844,520,012 |
| Fidelity SAI U.S. Treasury Bond Index Fund | 3,311,176,093 | 3,257,427,042 | 25,000,000 | 82,426,388 | (4,011,419) | (170,223,723) | 6,369,367,993 |
| Fidelity Short-Term Treasury Bond Index Fund | - | 1,750,834,487 | 1,050,000,000 | 7,840,389 | 9,613,940 | 7,736,539 | 718,184,966 |
| Fidelity Sustainability Bond Index Fund | 23,260,844 | 544,053 | - | 544,054 | (27) | (1,057,502) | 22,747,368 |
| Fidelity U.S. Bond Index Fund | 1,933,864,841 | 2,027,637,942 | 614,000,000 | 77,637,699 | (87,764,896) | (30,807,681) | 3,228,930,206 |
| 27,966,385,697 | 23,904,027,529 | 15,662,855,083 | 1,142,139,104 | (647,848,275) | (1,121,086,715) | 34,438,623,153 |
Amounts in the dividend 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.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2023, 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 | 8,232,095,418 | - | 8,231,991,998 | 103,420 |
| U.S. Government and Government Agency Obligations | 8,142,711,025 | - | 8,142,711,025 | - |
| U.S. Government Agency - Mortgage Securities | 13,622,647,438 | - | 13,622,647,438 | - |
| Asset-Backed Securities | 1,498,963,845 | - | 1,492,960,962 | 6,002,883 |
| Collateralized Mortgage Obligations | 631,122,850 | - | 631,122,794 | 56 |
| Commercial Mortgage Securities | 2,186,909,284 | - | 2,177,603,262 | 9,306,022 |
| Municipal Securities | 47,938,229 | - | 47,938,229 | - |
| Foreign Government and Government Agency Obligations | 58,620,956 | - | 58,620,956 | - |
| Bank Loan Obligations | 2,876,701 | - | 2,876,701 | - |
| Bank Notes | 11,307,059 | - | 11,307,059 | - |
| Fixed-Income Funds | 33,638,584,006 | 33,638,584,006 | - | - |
| Short-Term Funds | 378,422,461 | 378,422,461 | - | - |
| Preferred Securities | 80,521,590 | - | 80,521,590 | - |
| Money Market Funds | 1,178,924,252 | 1,178,924,252 | - | - |
| Purchased Swaptions | 1,884,805 | - | 1,884,805 | - |
| Total Investments in Securities: | 69,713,529,919 | 35,195,930,719 | 34,502,186,819 | 15,412,381 |
Derivative Instruments: | ||||
| Assets | ||||
Futures Contracts | 1,041,225 | 1,041,225 | - | - |
Forward Foreign Currency Contracts | 2,969,490 | - | 2,969,490 | - |
Swaps | 13,238,380 | - | 13,238,380 | - |
| Total Assets | 17,249,095 | 1,041,225 | 16,207,870 | - |
| Liabilities | ||||
Futures Contracts | (6,206,084) | (6,206,084) | - | - |
Forward Foreign Currency Contracts | (545,182) | - | (545,182) | - |
Swaps | (1,388,105) | - | (1,388,105) | - |
| Total Liabilities | (8,139,371) | (6,206,084) | (1,933,287) | - |
| Total Derivative Instruments: | 9,109,724 | (5,164,859) | 14,274,583 | - |
Other Financial Instruments: | ||||
| TBA Sale Commitments | (1,914,430,403) | - | (1,914,430,403) | - |
| Total Other Financial Instruments: | (1,914,430,403) | - | (1,914,430,403) | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2023. 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 | ||
Purchased Swaptions (a) | 347,481 | 0 |
Swaps (b) | 9,100,183 | (1,388,105) |
| Total Credit Risk | 9,447,664 | (1,388,105) |
| Foreign Exchange Risk | ||
Forward Foreign Currency Contracts (c) | 2,969,490 | (545,182) |
| Total Foreign Exchange Risk | 2,969,490 | (545,182) |
| Interest Rate Risk | ||
Futures Contracts (d) | 1,041,225 | (6,206,084) |
Purchased Swaptions (a) | 1,537,324 | 0 |
Swaps (e) | 4,138,197 | 0 |
| Total Interest Rate Risk | 6,716,746 | (6,206,084) |
| Total Value of Derivatives | 19,133,900 | (8,139,371) |
(a)Gross value is included in the Statement of Assets and Liabilities in the investments in securities, at value line-item.
(b)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.
(c)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
(d)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).
(e)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).
| Statement of Assets and Liabilities | ||||
| May 31, 2023 | ||||
| Assets | ||||
| Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $36,423,290,978) | $ | 34,517,599,200 | ||
Fidelity Central Funds (cost $757,307,527) | 757,307,566 | |||
Other affiliated issuers (cost $38,041,812,420) | 34,438,623,153 | |||
| Total Investment in Securities (cost $75,222,410,925) | $ | 69,713,529,919 | ||
| Cash | 82,025,158 | |||
| Foreign currency held at value (cost $2,570,195) | 2,562,869 | |||
| Receivable for investments sold | 48,762,646 | |||
| Receivable for TBA sale commitments | 1,911,265,246 | |||
| Unrealized appreciation on forward foreign currency contracts | 2,969,490 | |||
| Receivable for fund shares sold | 30,620,103 | |||
| Dividends receivable | 100,255,719 | |||
| Interest receivable | 79,571,455 | |||
| Distributions receivable from Fidelity Central Funds | 4,474,358 | |||
| Receivable for daily variation margin on centrally cleared OTC swaps | 694,340 | |||
| Bi-lateral OTC swaps, at value | 9,100,183 | |||
| Prepaid expenses | 153,224 | |||
| Other receivables | 2,308 | |||
Total assets | 71,985,987,018 | |||
| Liabilities | ||||
| Payable for investments purchased | ||||
Regular delivery | $ | 268,829,708 | ||
Delayed delivery | 5,397,037,033 | |||
| TBA sale commitments, at value | 1,914,430,403 | |||
| Unrealized depreciation on forward foreign currency contracts | 545,182 | |||
| Payable for fund shares redeemed | 28,315,826 | |||
| Distributions payable | 4,912,272 | |||
| Bi-lateral OTC swaps, at value | 1,388,105 | |||
| Accrued management fee | 2,465,286 | |||
| Payable for daily variation margin on futures contracts | 5,158,480 | |||
| Other payables and accrued expenses | 1,478,751 | |||
| Total Liabilities | 7,624,561,046 | |||
| Net Assets | $ | 64,361,425,972 | ||
| Net Assets consist of: | ||||
| Paid in capital | $ | 71,420,029,199 | ||
| Total accumulated earnings (loss) | (7,058,603,227) | |||
| Net Assets | $ | 64,361,425,972 | ||
Net Asset Value , offering price and redemption price per share ($64,361,425,972 ÷ 7,083,757,385 shares) | $ | 9.09 | ||
| Statement of Operations | ||||
Year ended May 31, 2023 | ||||
| Investment Income | ||||
| Dividends: | ||||
| Unaffiliated issuers | $ | 4,820,154 | ||
| Affiliated issuers | 1,127,112,473 | |||
| Interest | 806,871,813 | |||
| Income from Fidelity Central Funds | 72,071,715 | |||
| Total Income | 2,010,876,155 | |||
| Expenses | ||||
| Management fee | $ | 165,152,911 | ||
| Custodian fees and expenses | 348,399 | |||
| Independent trustees' fees and expenses | 362,347 | |||
| Registration fees | 2,636,235 | |||
| Audit | 88,310 | |||
| Legal | 75,358 | |||
| Miscellaneous | 360,335 | |||
| Total expenses before reductions | 169,023,895 | |||
| Expense reductions | (140,735,956) | |||
| Total expenses after reductions | 28,287,939 | |||
| Net Investment income (loss) | 1,982,588,216 | |||
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers | (516,047,702) | |||
| Affiliated issuers | (647,848,275) | |||
| Forward foreign currency contracts | (2,204,698) | |||
| Foreign currency transactions | (474,383) | |||
| Futures contracts | 21,601,683 | |||
| Swaps | (14,163,244) | |||
| Capital gain distributions from underlying funds: | ||||
| Affiliated issuers | 15,026,631 | |||
| Total net realized gain (loss) | (1,144,109,988) | |||
| Change in net unrealized appreciation (depreciation) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers | (703,458,553) | |||
| Affiliated issuers | (1,121,086,715) | |||
| Forward foreign currency contracts | 6,411,248 | |||
| Assets and liabilities in foreign currencies | 122,884 | |||
| Futures contracts | (8,913,640) | |||
| Swaps | 8,350,490 | |||
| TBA Sale commitments | 5,207,498 | |||
| Total change in net unrealized appreciation (depreciation) | (1,813,366,788) | |||
| Net gain (loss) | (2,957,476,776) | |||
| Net increase (decrease) in net assets resulting from operations | $ | (974,888,560) | ||
| Statement of Changes in Net Assets | ||||
Year ended May 31, 2023 | Year ended May 31, 2022 | |||
| Increase (Decrease) in Net Assets | ||||
| Operations | ||||
| Net investment income (loss) | $ | 1,982,588,216 | $ | 936,004,097 |
| Net realized gain (loss) | (1,144,109,988) | (329,816,418) | ||
| Change in net unrealized appreciation (depreciation) | (1,813,366,788) | (4,340,140,512) | ||
| Net increase (decrease) in net assets resulting from operations | (974,888,560) | (3,733,952,833) | ||
| Distributions to shareholders | (1,934,293,675) | (979,531,888) | ||
| Share transactions | ||||
| Proceeds from sales of shares | 28,111,269,641 | 25,793,224,401 | ||
| Reinvestment of distributions | 1,894,870,669 | 966,120,654 | ||
| Cost of shares redeemed | (10,626,546,322) | (10,110,382,903) | ||
Net increase (decrease) in net assets resulting from share transactions | 19,379,593,988 | 16,648,962,152 | ||
| Total increase (decrease) in net assets | 16,470,411,753 | 11,935,477,431 | ||
| Net Assets | ||||
| Beginning of period | 47,891,014,219 | 35,955,536,788 | ||
| End of period | $ | 64,361,425,972 | $ | 47,891,014,219 |
| Other Information | ||||
| Shares | ||||
| Sold | 3,047,337,881 | 2,488,475,540 | ||
| Issued in reinvestment of distributions | 207,670,194 | 93,428,870 | ||
| Redeemed | (1,159,173,454) | (985,283,953) | ||
| Net increase (decrease) | 2,095,834,621 | 1,596,620,457 | ||
Financial Highlights
| Strategic Advisers® Fidelity® Core Income Fund |
| Years ended May 31, | 2023 | 2022 | 2021 | 2020 | 2019 A | |||||
Selected Per-Share Data | ||||||||||
| Net asset value, beginning of period | $ | 9.60 | $ | 10.60 | $ | 10.95 | $ | 10.47 | $ | 10.00 |
| Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | .322 | .222 | .239 | .302 | .209 | |||||
| Net realized and unrealized gain (loss) | (.519) | (.993) | .106 | .613 | .445 | |||||
| Total from investment operations | (.197) | (.771) | .345 | .915 | .654 | |||||
| Distributions from net investment income | (.313) | (.223) | (.245) | (.299) | (.182) | |||||
| Distributions from net realized gain | - | (.006) | (.450) | (.136) | (.002) | |||||
| Total distributions | (.313) | (.229) | (.695) | (.435) | (.184) | |||||
| Net asset value, end of period | $ | 9.09 | $ | 9.60 | $ | 10.60 | $ | 10.95 | $ | 10.47 |
Total Return D,E | (2.02)% | (7.41)% | 3.10% | 8.94% | 6.60% | |||||
Ratios to Average Net Assets C,F,G | ||||||||||
| Expenses before reductions | .30% | .30% | .31% | .32% | .37% H | |||||
| Expenses net of fee waivers, if any | .05% | .05% | .06% | .07% | .12% H | |||||
| Expenses net of all reductions | .05% | .05% | .06% | .07% | .12% H | |||||
| Net investment income (loss) | 3.52% | 2.14% | 2.18% | 2.83% | 3.30% H | |||||
| Supplemental Data | ||||||||||
| Net assets, end of period (000 omitted) | $ | 64,361,426 | $ | 47,891,014 | $ | 35,955,537 | $ | 24,774,315 | $ | 16,953,257 |
Portfolio turnover rate I | 202% | 201% | 191% | 247% | 124% H,J |
A For the period October 16, 2018 (commencement of operations) through May 31, 2019.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
H Annualized.
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
J Portfolio turnover rate excludes securities received or delivered in-kind.
For the period ended May 31, 2023
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 managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 services or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services 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 services, 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 services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are 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. Options traded over-the-counter are valued using service 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2023 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. 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.
Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.
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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. 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 any underlying mutual funds or exchange-traded funds (ETFs) 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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
| Strategic Advisers Fidelity Core Income Fund | $2,308 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, foreign currency transactions, swaps, market discount, deferred Trustee compensation and losses deferred due to wash sales and future contracts.
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 | $184,087,904 |
| Gross unrealized depreciation | (5,764,032,835) |
| Net unrealized appreciation (depreciation) | $(5,579,944,931) |
| Tax Cost | $75,301,625,985 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $3,419,309 |
| Capital loss carryforward | $(1,470,180,153) |
| Net unrealized appreciation (depreciation) on securities and other investments | $(5,589,418,076) |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
Short-term | $(744,329,016) |
Long-term | (725,851,137) |
| Total capital loss carryforward | $(1,470,180,153) |
The tax character of distributions paid was as follows:
| May 31, 2023 | May 31, 2022 | |
| Ordinary Income | $1,934,293,675 | $ 979,531,888 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds 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. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. 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. TBA securities involve 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. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a 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 a 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, a 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 Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Statement of Assets and Liabilities as "Receivable for TBA sale commitments" and "TBA sale commitments, at value," respectively.
Restricted Securities (including Private Placements). Funds 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 held at period end is included at the end of the Schedule of Investments, if applicable.
Loans and Other Direct Debt Instruments. Direct debt instruments are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate a fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment, participation, or may be made directly to a borrower. Such instruments are presented in the Bank Loan Obligations section in the Schedule of Investments. Certain funds may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, forward foreign currency 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.
Derivatives were used to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| 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 a fund. |
| Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, options and bi-lateral swaps, a 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 a 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, a fund receives collateral in the form of cash or securities once 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 custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund 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 a fund. A 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 contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these 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, 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) |
| Strategic Advisers Fidelity Core Income Fund | ||
| Credit Risk | ||
| Purchased Options | $(1,581,173) | $125,398 |
| Swaps | 2,524,319 | 1,008,202 |
| Total Credit Risk | 943,146 | 1,133,600 |
| Foreign Exchange Risk | ||
| Forward Foreign Currency Contracts | (2,204,698) | 6,411,248 |
| Total Foreign Exchange Risk | (2,204,698) | 6,411,248 |
| Interest Rate Risk | ||
| Futures Contracts | 21,601,683 | (8,913,640) |
| Purchased Options | - | (22,858) |
| Swaps | (16,687,563) | 7,342,288 |
| Total Interest Rate Risk | 4,914,120 | (1,594,210) |
| Totals | $3,652,568 | $5,950,638 |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.
Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.
Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period unless an average contract value is presented.
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. Futures contracts were used to manage 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 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 unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
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. OTC options, such as swaptions, which are options where the underlying instrument is a swap, were used to manage exposure to fluctuations in interest rates and potential credit events.
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 in total accumulated earnings (loss) in 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, a gain or loss is realized 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 unless an average notional amount is presented.
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 total accumulated earnings (loss) 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. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. 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 total accumulated earnings (loss) 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 unless an average notional amount is presented.
Credit Default Swaps. Credit default swaps enable a 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. A 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, a 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 a 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, a 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 a 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 a 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. A fund enters into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Strategic Advisers Fidelity Core Income Fund | 92,868,752,253 | 80,476,337,828 |
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 to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .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-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 as described in the Management Fee note.
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 Core Income Fund | $ 8 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
| Amount ($) | |
| Strategic Advisers Fidelity Core Income Fund | 50,129 |
Affiliated Exchanges In-Kind. During the period, the Fund redeemed shares of Fidelity Intermediate Bond Fund, Fidelity Corporate Bond Fund and Fidelity Global Credit Fund in exchange for investments and cash, if any, as noted in the following table. The Fund had a net realized loss of $479,994,211 on the Fund's redemptions of Fidelity Intermediate Bond Fund, Fidelity Corporate Bond Fund and Fidelity Global Credit Fund, which is included in "Net Realized gain (loss): Affiliated Issuers" in the accompanying Statement of Operations. The Fund recognized a net loss on the exchanges for federal income tax purposes.
| Fund Name | Value of Investments ($) | Net realized gain (loss) ($) | Shares redeemed |
| Fidelity Intermediate Bond Fund | 1,495,644,500 | (161,321,472) | 153,556,930 |
| Fidelity Corporate Bond Fund | 2,797,847,189 | (312,457,179) | 271,635,649 |
| Fidelity Global Credit Fund | 25,630,401 | (6,215,560) | 3,394,755 |
Prior Fiscal Year Reallocation of Underlying Fund Investments. During the prior period, the investment adviser reallocated investments of the Funds. This involved taxable redemptions of the Funds' interest in Fidelity High Income Fund for investments and cash and non-taxable exchanges of those investments and cash for shares of Fidelity SAI High Income Fund which is an affiliated investment companies managed by FMR. The Fund redeemed 37,999,996 shares of Fidelity High Income Fund in exchange for 32,919,997 shares of Fidelity SAI High Income Fund with a value of $312,739,970. The Fund had a net realized gain of $2,108,542 on the Fund's redemptions of Fidelity High Income Fund. The Fund recognized a net gain on the exchanges for federal income tax purposes.
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing 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 the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| Amount | |
| Strategic Advisers Fidelity Core Income Fund | $100,400 |
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, 2025. During the period, this waiver reduced the Fund's management fee by $140,735,956.
9. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
Funds do not invest in underlying mutual funds for the purpose of exercising management or control; however, investments by funds within their principal investment strategies may represent a significant portion of the underlying mutual fund's net assets. At the end of the period, certain Funds were the owners of record of 10% or more of the total outstanding shares of the following underlying mutual funds as shown below.
| Fund | Strategic Advisers Fidelity Core Income Fund |
| Fidelity Government Income Fund | 14% |
| Fidelity Intermediate Treasury Bond Index Fund | 20% |
| Fidelity New Markets Income Fund | 27% |
| Fidelity Real Estate Income Fund | 20% |
| Fidelity SAI High Income Fund | 24% |
| Fidelity SAI International Credit Fund | 100% |
| Fidelity SAI Long-Term Treasury Bond Index Fund | 81% |
| Fidelity SAI Short-Term Bond Fund | 12% |
| Fidelity SAI Total Bond Fund | 74% |
| Fidelity SAI U.S. Treasury Bond Index Fund | 43% |
| Fidelity Short-Term Treasury Bond Index Fund | 18% |
10. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Fidelity Core Income Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Fidelity Core Income Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of May 31, 2023, the related statement of operations for the year ended May 31, 2023, the statement of changes in net assets for each of the two years in the period ended May 31, 2023, including the related notes, and the financial highlights for each of the four years in the period ended May 31, 2023 and for the period October 16, 2018 (commencement of operations) through May 31, 2019 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2023 and the financial highlights for each of the four years in the period ended May 31, 2023 and for the period October 16, 2018 (commencement of operations) through May 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2023 by correspondence with the custodian, agent banks and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 14, 2023
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
TRUSTEES AND OFFICERS
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity ® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's alternative investment, investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity®; funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives' Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women's Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), Secretary of the Ad Council, Inc. (2022-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women's accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women's Forum (2008-2010), Treasurer of the Massachusetts Women's Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President - Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity ® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption University (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and Chair of the Board of Directors and Chair of the Compensation Committee of Live Current Media, Inc. (2022-present). Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum's Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity ® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Assistant Secretary
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity ® funds (2016-2020) and Assistant Treasurer of certain Fidelity ® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity ® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity ® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2022 to May 31, 2023). |
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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio- A | Beginning Account Value December 1, 2022 | Ending Account Value May 31, 2023 | Expenses Paid During Period- C December 1, 2022 to May 31, 2023 | |||||||
| Strategic Advisers® Fidelity® Core Income Fund | .05% | |||||||||
| Actual | $ 1,000 | $ 1,022.30 | $ .25 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.68 | $ .25 | |||||||
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com .
A total of 23.99% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $1,643,003,016 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
Board Approval of Amended Sub-Advisory Agreement
Strategic Advisers Fidelity Core Income Fund
In March 2023, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve an amendment to add a new investment mandate to the existing sub-advisory agreement among Strategic Advisers, FIAM LLC (Sub-Adviser), and the Fidelity Rutland Square Trust II (Trust) on behalf of the fund (Amended Sub-Advisory Agreement). The Board also noted that no other material contract terms are impacted by the Amended Sub-Advisory Agreement. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
In considering whether to approve the 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. The Board's decision to approve the 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. With respect to the new mandate for the Amended Sub-Advisory Agreement, the Board considered the backgrounds of the investment personnel that will provide services to the fund, the fund's investment objective, strategies and related investment philosophy, the current sub-adviser line-up, and the structure of the investment personnel compensation programs and whether such structure provides appropriate incentives to act in the best interests of the fund. The Board noted its familiarity with the nature, extent and quality of services provided by the Sub-Adviser other Strategic Advisers funds by the with different investment mandates, and that the same support staff, including compliance personnel, that currently provides services to other Strategic Advisers funds will also provide services to the fund. The Board also took into consideration additional information regarding the new investment mandate provided by Strategic Advisers and the Sub-Adviser.
Resources Dedicated to Investment Management and Support Services. With respect to the Amended Sub-Advisory Agreement, the Board reviewed the general qualifications and capabilities of the Sub-Adviser's investment staff, use of technology, and approach to managing and compensating investment personnel. The Board noted that the 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 Sub-Adviser's trading capabilities and resources and compliance infrastructure, which are integral parts of the investment management process, and their respective investments in business continuity planning, including in connection with the COVID-19 pandemic.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory services to be performed by the Sub-Adviser under the Amended Sub-Advisory Agreement; and (ii) the resources to be devoted to the fund's compliance policies and procedures.
Investment Performance. The Board considered the historical investment performance of the Sub-Adviser and its 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 Amended Sub-Advisory Agreement should continue to benefit the fund's shareholders.
Competitiveness of Management Fee and Total Fund Expenses. With respect to the Amended Sub-Advisory Agreement, the Board considered the amount and nature of the fees to be paid by the fund to Strategic Advisers and by Strategic Advisers to the Sub-Adviser. The Board also considered the projected change in the fund's management fee and total operating expenses, if any, as a result of adding the new investment mandate for the Sub-Adviser.
The Board noted that the Amended Sub-Advisory Agreement will not result in changes 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 portion of the fund's management fee. The Board considered that after allocating assets to the Sub-Adviser for the new investment mandate, the fund's management fee is expected to increase but the fund's total net expenses are expected to decrease, and each is expected to continue to rank below the competitive peer group median reported in the 2022 management contract renewal materials for the fund.
Based on its review, the Board concluded that the fund's management fee structure and projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.
Costs of the Services and Profitability. Because the Amended 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 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 management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the Amended Sub-Advisory Agreement will have a significant impact on the profitability of, or potential 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 management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that with respect to the new investment mandate, the Amended Sub-Advisory Agreement provides for breakpoints that have the potential to reduce sub-advisory fees paid to the Sub-Adviser as assets allocated to the 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 concluded that the Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of the Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.
In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period December 1, 2021 through November 30, 2022. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.
 |
1.9887939.104
COI-ANN-0723
Strategic Advisers® Municipal Bond Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Annual Report
May 31, 2023
Contents
To view a fund's proxy voting guidelines and 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. © 2023 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.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns | |||
Periods ended May 31, 2023 | Past 1 year | Life of Fund A |
| Strategic Advisers® Municipal Bond Fund | -0.07% | -4.17% |
A From June 17, 2021
| $10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Municipal Bond Fund, on June 17, 2021, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Municipal Bond Index performed over the same period. |
 |
Market Recap:
Tax-exempt municipal bonds returned 0.49% for the 12 months ending May 31, 2023, according to the Bloomberg Municipal Bond index. In the first five months of the period, yields on municipal bonds climbed steeply and their prices, which move inversely to yields, declined sharply, as the U.S. Federal Reserve aggressively raised interest rates to combat persistent inflation. From December through April, however, munis charted a choppy course through a rally that was ignited by comments from Fed Chair Powell last November that pointed to a slowdown in the size of future rate hikes, which was followed by growing optimism that the central bank would stop raising rates in the first half of 2023. To date, the central bank has raised its benchmark rate ten times, by a total of 5.0 percentage points, bringing its target range to a level not seen since mid-2007. In the first five months of 2023, bond issuance dropped significantly from previous-year levels, as higher rates suppressed issuers' appetite for new debt, especially given that many states and municipalities still retain unspent COVID-related federal stimulus cash. The reduced supply helped bolster municipal bond gains in January and March. But in April (-0.23%) and May (-0.89%), the index lost ground following turmoil in the U.S. banking sector, and as the continued strength of the labor market surprised analysts and suggested the Fed may need to keep rates higher for longer than the market expected. For the full 12 months, muni tax-backed credit fundamentals remained solid and, for the most part, the risk of credit-rating downgrades of these issuers appeared low. Mid-quality (rated A and AA) and intermediate-duration securities (seven to 15 years) led the way for the year.
Comments from Lead Portfolio Manager Chris Heavey:
For the fiscal year ending May 31, 2023, the Fund returned -0.07%, trailing the 0.49% gain of the benchmark Bloomberg Municipal Bond Index. Among the Fund's underlying managers, the U.S. Municipal High Yield Bond mandate from sub-adviser T. Rowe Price (-2%) and BlackRock National Municipal Fund (-1%) were the primary relative detractors. High-yield municipals lagged their investment-grade (IG) counterparts during the 12-month period, creating a headwind for both strategies. Having greater interest-rate sensitivity than the broader Fund's benchmark also weighed on each manager's performance. On the plus side, sub-adviser FIAM ® (+4%) added the most value on a relative basis. FIAM's approach benefited from outsized interest-rate sensitivity compared with the portfolio's broader benchmark during the second half of the reporting period. Additionally, lower-rated IG holdings among hospitals and in the housing industry boosted FIAM's return later in the period as well. The Fund's cash allocation provided a further boost, serving as a valuable cushion amid bouts of market volatility the past 12 months. During the period, we continued to build the Fund's lineup of sub-advised strategies by adding three more: FIAM ® Municipal Income, Western Asset Management Municipals and MFS Municipal Plus. Overall, we continued to take a balanced approach to credit and interest rate risk by maintaining the Fund's exposure to core managers while reducing allocations to managers emphasizing high-yield municipals. We also focused on maintaining an appropriately sized cash stake that we believe will provide liquidity amid changing market conditions.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) | ||
| (excluding cash equivalents) | ||
| Vanguard Long-Term Tax-Exempt Fund Admiral Shares | 8.5 | |
| Allspring Municipal Bond Fund - Class Admin | 7.6 | |
| Franklin Federal Tax-Free Income Fund - Class R6 | 5.3 | |
| iShares National Municipal Bond ETF | 5.1 | |
| BlackRock National Municipal Fund Investor A Shares | 2.9 | |
| DWS Managed Municipal Bond Fund - Class S | 2.9 | |
| Illinois General Obligation | 1.4 | |
| New Jersey Transportation Trust Fund Auth. | 1.2 | |
| T. Rowe Price Tax-Free High Yield Fund | 0.9 | |
| Main Street Natural Gas, Inc. | 0.8 | |
| Revenue Sources (% of Fund's net assets) | ||
| Transportation | 11.5 | |
| General Obligations | 11.0 | |
| Special Tax | 8.4 | |
| Health Care | 6.9 | |
| Others (Individually Less Than 5%) | 23.2 | |
Quality Diversification (% of Fund's net assets) |
 |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
| 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) |
 |
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Showing Percentage of Net Assets
| Municipal Bonds - 59.8% | |||
Principal Amount (a) | Value ($) | ||
| Alabama - 1.4% | |||
| Alabama State Corrections Institution Fin. Auth. Series 2022 A: | |||
| 5.25% 7/1/47 | 2,000,000 | 2,160,511 | |
| 5.25% 7/1/52 | 3,500,000 | 3,756,905 | |
| Auburn Univ. Gen. Fee Rev. Series 2018 A, 5% 6/1/43 | 480,000 | 508,900 | |
| Birmingham Arpt. Auth. Series 2020: | |||
| 4% 7/1/35 (Build America Mutual Assurance Insured) | 60,000 | 61,498 | |
| 4% 7/1/36 (Build America Mutual Assurance Insured) | 225,000 | 228,151 | |
| 4% 7/1/37 (Build America Mutual Assurance Insured) | 50,000 | 50,185 | |
| 4% 7/1/38 (Build America Mutual Assurance Insured) | 335,000 | 333,893 | |
| 4% 7/1/39 (Build America Mutual Assurance Insured) | 65,000 | 64,117 | |
| Birmingham Spl. Care Facilities Auth. Rev. Series 2015 1, 5.25% 6/1/25 | 110,000 | 108,085 | |
| Black Belt Energy Gas District Bonds: | |||
| (Proj. No. 5) Series A, 4%, tender 10/1/26 (b) | 1,830,000 | 1,820,915 | |
| (Proj. No.7) Series 2021 C2, SIFMA Municipal Swap Index + 0.350% 3.76%, tender 12/1/26 (b)(c) | 7,500,000 | 7,287,160 | |
| Series 2018 A, 4%, tender 12/1/23 (b) | 1,400,000 | 1,399,514 | |
| Series 2018 B1, 1 month U.S. LIBOR + 0.900% 4.273%, tender 6/1/23 (b)(c) | 4,305,000 | 4,307,862 | |
| Series 2019 A, 4%, tender 12/1/25 (b) | 6,740,000 | 6,702,095 | |
| Series 2021 A, 4%, tender 12/1/31 (b) | 4,500,000 | 4,460,891 | |
| Series 2021 B, 4%, tender 12/1/26 (b) | 5,395,000 | 5,335,027 | |
| Series 2022 B1, 4%, tender 10/1/27 (b) | 2,880,000 | 2,837,244 | |
| Series 2022 C1, 5.25%, tender 6/1/29 (b) | 6,350,000 | 6,632,003 | |
| Series 2022 D1, 4%, tender 6/1/27 (b) | 2,070,000 | 2,061,228 | |
| Series 2022 F, 5.5%, tender 12/1/28 (b) | 10,470,000 | 11,097,193 | |
| Series 2023 B2, 5.25%, tender 12/1/30 (b) | 1,500,000 | 1,611,294 | |
| Cooper Green Mercy Health Svcs. Series 2022 A: | |||
| 5.25% 9/1/42 | 500,000 | 529,261 | |
| 5.25% 9/1/52 | 2,620,000 | 2,727,664 | |
| Homewood Edl. Bldg. Auth. Rev. Series 2019 A: | |||
| 4% 12/1/33 | 15,000 | 15,165 | |
| 4% 12/1/35 | 50,000 | 49,905 | |
| 4% 12/1/36 | 65,000 | 63,717 | |
| 4% 12/1/37 | 70,000 | 67,777 | |
| 4% 12/1/38 | 125,000 | 118,583 | |
| 4% 12/1/39 | 95,000 | 89,100 | |
| 4% 12/1/41 | 310,000 | 285,154 | |
| 4% 12/1/44 | 210,000 | 189,600 | |
| 4% 12/1/49 | 125,000 | 109,400 | |
| Hoover Indl. Dev. Board Envir. Impt. Rev.: | |||
| (United States Steel Corp. Proj.) Series 2019, 5.75% 10/1/49 (d) | 2,225,000 | 2,249,470 | |
| Bonds (United States Steel Corp. Proj.) Series 2020, 6.375%, tender 11/1/30 (b)(d) | 195,000 | 212,817 | |
| Huntsville Redstone Village Spl. Care Facilities Finanacing Auth.: | |||
| Series 2007: | |||
5.5% 1/1/28 | 520,000 | 312,000 | |
5.5% 1/1/43 | 405,000 | 243,000 | |
| Series 2008 A, 6.875% 1/1/43 | 280,000 | 168,000 | |
| Series 2011 A, 7.5% 1/1/47 | 500,000 | 300,000 | |
| Infirmary Health Systems Spl. Care Facilities Fing. Auth. Rev. Series 2021 A, 3% 2/1/46 | 2,270,000 | 1,641,829 | |
| Jacksonville Fla Pub. Edl. Bldga (JSU Foundation Proj.) Series 2023 A: | |||
| 5.25% 8/1/53 (Assured Guaranty Muni. Corp. Insured) | 600,000 | 649,642 | |
| 5.5% 8/1/58 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 547,468 | |
| Jefferson County Gen. Oblig. Series 2018 A, 5% 4/1/26 | 355,000 | 371,482 | |
| Jefferson County Swr. Rev.: | |||
| Series 2013 A: | |||
5.25% 10/1/48 (Assured Guaranty Muni. Corp. Insured) | 2,040,000 | 2,081,473 | |
5.5% 10/1/53 (Assured Guaranty Muni. Corp. Insured) | 5,215,000 | 5,335,468 | |
| Series 2013 B: | |||
0% 10/1/26 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 209,920 | |
0% 10/1/29 (Assured Guaranty Muni. Corp. Insured) | 350,000 | 249,720 | |
0% 10/1/34 (Assured Guaranty Muni. Corp. Insured) | 505,000 | 254,034 | |
0% 10/1/35 (Assured Guaranty Muni. Corp. Insured) | 960,000 | 452,152 | |
| Series 2013 D: | |||
5% 10/1/23 | 95,000 | 95,279 | |
6% 10/1/42 | 4,865,000 | 5,132,295 | |
6.5% 10/1/53 | 2,965,000 | 3,131,987 | |
| Series 2013 F: | |||
0% 10/1/46 (e) | 480,000 | 497,108 | |
0% 10/1/50 (e) | 16,845,000 | 17,439,014 | |
| Lower Alabama Gas District: | |||
| (Gas Proj.) Series 2016 A, 5% 9/1/34 | 1,060,000 | 1,096,688 | |
| Bonds (No. 2 Proj.) Series 2020, 4%, tender 12/1/25 (b) | 6,905,000 | 6,871,565 | |
| Series 2016 A, 5% 9/1/46 | 5,330,000 | 5,348,257 | |
| Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds (Alabama Pwr. Co. Barry Plant Proj.) Series 2008, 2.9%, tender 12/12/23 (b) | 255,000 | 253,460 | |
| Montgomery Edl. Bldg. Auth. Series 2016 A, 5% 10/1/43 | 250,000 | 248,397 | |
| Montgomery Med. Clinic Facilities Series 2015: | |||
| 5% 3/1/25 | 90,000 | 89,485 | |
| 5% 3/1/26 | 5,000 | 4,963 | |
| 5% 3/1/27 | 5,000 | 4,946 | |
| 5% 3/1/28 | 5,000 | 4,944 | |
| 5% 3/1/29 | 5,000 | 4,941 | |
| 5% 3/1/30 | 5,000 | 4,927 | |
| 5% 3/1/33 | 605,000 | 587,608 | |
| 5% 3/1/36 | 1,340,000 | 1,253,306 | |
| Prichard Wtrwks. & Swr. Board Series 2019, 4% 11/1/49 | 200,000 | 87,765 | |
| Southeast Alabama Gas Supply District Bonds: | |||
| (Proj. No. 2) Series 2018 A, 4%, tender 6/1/24 (b) | 14,190,000 | 14,170,817 | |
| Series 2018 A, 4%, tender 4/1/24 (b) | 3,110,000 | 3,105,593 | |
| Southeast Energy Auth. Rev. Bonds: | |||
| (Proj. No. 2) Series 2021 B1: | |||
4% 6/1/29 | 75,000 | 74,672 | |
4% 6/1/30 | 55,000 | 54,629 | |
4% 6/1/31 | 50,000 | 49,503 | |
| Bonds: | |||
(Proj. No. 1) Series 2021 A, 4%, tender 10/1/28 (b) | 1,070,000 | 1,053,688 | |
(Proj. No. 2) Series 2021 B1, 4%, tender 12/1/31 (b) | 9,755,000 | 9,567,394 | |
(Proj. NO. 5) Series 2023 A, 5.25%, tender 7/1/29 (b) | 4,835,000 | 5,073,983 | |
Series 2022 A1, 5.5%, tender 12/1/29 (b) | 1,415,000 | 1,508,249 | |
Series 2022 B1, 5%, tender 8/1/28 (b) | 6,545,000 | 6,776,577 | |
| Stadium Trace Village Impt. District Dev. Series 2021, 3.625% 3/1/36 | 350,000 | 277,984 | |
| The DCH Health Care Auth. Series 2015, 5% 6/1/33 | 165,000 | 167,995 | |
| Tuscaloosa County Indl. Dev. Gulf Opportunity (Hunt Refining Proj.) Series 2019 A: | |||
| 4.5% 5/1/32 (f) | 621,600 | 572,868 | |
| 5.25% 5/1/44 (f) | 7,505,000 | 6,627,303 | |
| Univ. of North Alabama Rev. Series 2019 B: | |||
| 5% 11/1/38 | 320,000 | 345,091 | |
| 5% 11/1/39 | 130,000 | 139,784 | |
| Univ. of South Alabama Univ. Rev. Series 2019 A: | |||
| 5% 4/1/44 | 865,000 | 904,273 | |
| 5% 4/1/49 | 525,000 | 545,400 | |
TOTAL ALABAMA | 175,521,210 | ||
| Alaska - 0.1% | |||
| Alaska Hsg. Fin. Corp.: | |||
| Series 2019 B: | |||
5% 12/1/37 | 480,000 | 515,248 | |
5% 12/1/38 | 365,000 | 390,125 | |
5% 12/1/39 | 240,000 | 255,632 | |
| Series 2021 A: | |||
4% 6/1/26 | 425,000 | 432,904 | |
4% 12/1/29 | 1,080,000 | 1,133,400 | |
4% 6/1/30 | 300,000 | 315,093 | |
5% 6/1/27 | 50,000 | 53,289 | |
5% 12/1/27 | 65,000 | 69,915 | |
5% 6/1/28 | 85,000 | 92,168 | |
5% 12/1/28 | 965,000 | 1,055,614 | |
5% 6/1/29 | 725,000 | 799,323 | |
| Alaska Hsg. Fin. Corp. Mtg. Rev. Series 2022 A, 3% 6/1/51 | 625,000 | 595,712 | |
| Alaska Indl. Dev. & Export Auth. Rev.: | |||
| (Greater Fairbanks Cmnty. Hosp. Foundation Proj.) Series 2014, 5% 4/1/32 | 500,000 | 500,920 | |
| (Tanana Chiefs Conference Proj.) Series 2019 A, 4% 10/1/44 | 500,000 | 460,304 | |
| Alaska Int'l. Arpts. Revs.: | |||
| Series 2016 A, 5% 10/1/26 | 90,000 | 93,286 | |
| Series 2016 B: | |||
5% 10/1/31 | 95,000 | 98,239 | |
5% 10/1/33 | 125,000 | 129,156 | |
| Alaska Muni. Bond Bank Series 2023 TWO: | |||
| 5.25% 12/1/47 (d) | 420,000 | 440,540 | |
| 5.25% 12/1/52 (d) | 525,000 | 547,078 | |
| Anchorage Port Rev. Series 2020 A, 5% 12/1/50 (d) | 1,375,000 | 1,386,436 | |
| Northern Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 A: | |||
| 4% 6/1/34 | 240,000 | 241,711 | |
| 4% 6/1/35 | 600,000 | 597,415 | |
| 4% 6/1/37 | 685,000 | 665,704 | |
| 4% 6/1/40 | 325,000 | 306,650 | |
| 4% 6/1/50 | 905,000 | 791,121 | |
| 5% 6/1/32 | 270,000 | 296,030 | |
| 5% 6/1/33 | 335,000 | 365,588 | |
TOTAL ALASKA | 12,628,601 | ||
| Arizona - 1.1% | |||
| Paz County Ariz Indl. Dev. Auth. (Charter School Solutions-Harmoney Pub. Schools Proj.) Series 2018 A, 5% 2/15/38 | 140,000 | 140,227 | |
| Arizona Board of Regents Arizona State Univ. Rev. Series 2015 D: | |||
| 5% 7/1/41 | 830,000 | 849,707 | |
| 5% 7/1/46 | 600,000 | 611,837 | |
| Arizona Board of Regents Ctfs. of Prtn. (Univ. of Arizona Univ. Revs.) Series 2018 B: | |||
| 5% 6/1/27 | 30,000 | 32,125 | |
| 5% 6/1/30 | 80,000 | 87,250 | |
| Arizona Health Facilities Auth. Rev.: | |||
| (Banner Health Sys. Proj.) Series 2007 B, 3 month U.S. LIBOR + 0.810% 4.278%, tender 1/1/37 (b)(c) | 1,025,000 | 952,001 | |
| (Scottsdale Lincoln Hospitals Proj.) Series 2014 A, 5% 12/1/39 | 585,000 | 593,112 | |
| Arizona Indl. Dev. Auth. Econ. Dev. Rev. (Legacy Cares, Inc. Proj.) Series 2020 A, 7.75% 7/1/50 (f)(g) | 1,980,000 | 1,089,000 | |
| Arizona Indl. Dev. Auth. Ed. Rev.: | |||
| (Academies of Math & Science Projs.): | |||
Series 2017 A, 5% 7/1/47 | 315,000 | 316,621 | |
Series 2018 A: | |||
5% 7/1/48 | 435,000 | 436,734 | |
5% 7/1/52 | 260,000 | 260,558 | |
| (American Charter Schools Foundation Proj.) Series 2017, 6% 7/1/47 (f) | 250,000 | 252,949 | |
| (BASIS Schools Projs.): | |||
Series 2017 A: | |||
5.125% 7/1/37 (f) | 210,000 | 207,607 | |
5.25% 7/1/47 (f) | 160,000 | 150,027 | |
Series 2017 D: | |||
5% 7/1/37 (f) | 145,000 | 141,558 | |
5% 7/1/47 (f) | 235,000 | 212,731 | |
5% 7/1/51 (f) | 710,000 | 630,802 | |
Series 2017 F: | |||
5% 7/1/37 | 210,000 | 216,876 | |
5% 7/1/47 | 865,000 | 880,335 | |
5% 7/1/52 | 635,000 | 644,186 | |
Series 2017 G: | |||
5% 7/1/37 (f) | 35,000 | 34,169 | |
5% 7/1/47 (f) | 35,000 | 31,683 | |
5% 7/1/51 (f) | 65,000 | 57,749 | |
| (Cadence Campus Proj.) Series 2020 A: | |||
4% 7/15/40 (f) | 130,000 | 106,780 | |
4% 7/15/50 (f) | 225,000 | 167,501 | |
| (Doral Academy of Nevada, Fire Mesa and Red Rock Campus Projs.) Series 2019 A: | |||
5% 7/15/39 | 185,000 | 177,473 | |
5% 7/15/49 | 165,000 | 148,775 | |
| (Greathearts Arizona Projs.) Series 2021 A: | |||
3% 7/1/46 | 250,000 | 186,059 | |
3% 7/1/52 | 250,000 | 175,087 | |
| (KIPP Nashville Projs.) Series 2022 A: | |||
5% 7/1/47 | 700,000 | 681,021 | |
5% 7/1/57 | 330,000 | 314,506 | |
| (KIPP NYC Pub. Charter Schools - Macombs Facility Proj.) Series 2021 A, 4% 7/1/61 | 250,000 | 195,060 | |
| (Leman Academy of Excellence Projs.) Series 2022 A, 4.5% 7/1/54 | 690,000 | 599,826 | |
| (Odyssey Preparatory Academy Proj.): | |||
Series 2017 A: | |||
5.25% 7/1/37 (f) | 420,000 | 414,637 | |
5.5% 7/1/52 (f) | 475,000 | 445,579 | |
Series 2019, 5% 7/1/49 (f) | 610,000 | 537,342 | |
| Academies of Math & Science Projs. Series 2023: | |||
5.25% 7/1/43 (f) | 35,000 | 33,737 | |
5.375% 7/1/53 (f) | 120,000 | 112,775 | |
5.5% 7/1/58 (f) | 105,000 | 99,543 | |
| Series 2023 A: | |||
5.25% 7/1/53 (f) | 120,000 | 111,294 | |
5.5% 7/1/58 (f) | 120,000 | 112,916 | |
| Arizona Indl. Dev. Auth. Hosp. Rev.: | |||
| Series 2020 A: | |||
4% 2/1/50 | 965,000 | 873,040 | |
5% 2/1/35 | 295,000 | 326,733 | |
| Series 2021 A: | |||
4% 2/1/38 | 85,000 | 83,613 | |
4% 2/1/39 | 85,000 | 83,001 | |
5% 2/1/29 | 990,000 | 1,086,662 | |
| Arizona Indl. Dev. Auth. Lease Rev. Series 2020 A: | |||
| 4% 9/1/37 | 25,000 | 24,625 | |
| 4% 9/1/38 | 25,000 | 24,387 | |
| 4% 9/1/39 | 20,000 | 19,289 | |
| 4% 9/1/40 | 25,000 | 23,415 | |
| 4% 9/1/46 | 55,000 | 49,233 | |
| 5% 9/1/31 | 10,000 | 10,891 | |
| 5% 9/1/32 | 15,000 | 16,233 | |
| 5% 9/1/33 | 25,000 | 26,841 | |
| 5% 9/1/34 | 20,000 | 21,361 | |
| Arizona Indl. Dev. Auth. Rev.: | |||
| (Lincoln South Beltway Proj.) Series 2020: | |||
5% 2/1/26 | 600,000 | 628,362 | |
5% 8/1/27 | 290,000 | 311,848 | |
5% 2/1/28 | 665,000 | 717,694 | |
5% 8/1/28 | 570,000 | 620,900 | |
| (Provident Group-Eastern Michigan Univ. Parking Proj.) Series 2018: | |||
5% 5/1/37 | 60,000 | 36,000 | |
5% 5/1/43 | 55,000 | 33,000 | |
5% 5/1/48 | 135,000 | 81,000 | |
5% 5/1/51 | 135,000 | 81,000 | |
| Arizona Indl. Dev. Auth. Sr. Living: | |||
| (Great Lakes Sr. Living Cmntys. LLC Proj.) Series 2021, 7.75% 1/1/54 (f) | 100,000 | 52,964 | |
| Series 2019 B, 5% 1/1/49 | 100,000 | 51,696 | |
| Arizona Indl. Dev. Auth. Sr. Nat'l. Charter School Revolving Ln. Fund: | |||
| Series 2020 A: | |||
4% 11/1/36 | 230,000 | 221,812 | |
4% 11/1/38 | 125,000 | 118,379 | |
4% 11/1/39 | 160,000 | 149,965 | |
4% 11/1/40 | 170,000 | 157,782 | |
4% 11/1/45 | 350,000 | 312,315 | |
| Series 2021 A, 4% 11/1/51 | 790,000 | 679,130 | |
| Series 2022 A, 4.25% 11/1/52 | 740,000 | 661,633 | |
| Arizona Indl. Dev. Auth. Student Hsg. Rev. Series 2019 A: | |||
| 5% 6/1/49 | 235,000 | 250,910 | |
| 5% 6/1/54 | 130,000 | 138,448 | |
| Arizona State Univ. Revs.: | |||
| Series 2021 C: | |||
5% 7/1/32 | 70,000 | 80,662 | |
5% 7/1/34 | 70,000 | 80,301 | |
5% 7/1/35 | 55,000 | 62,556 | |
5% 7/1/37 | 825,000 | 923,178 | |
5% 7/1/38 | 1,325,000 | 1,476,707 | |
5% 7/1/40 | 100,000 | 110,592 | |
| Series 2023 A, 5.5% 7/1/48 | 1,500,000 | 1,723,946 | |
| Series 2023 B, 4% 7/1/53 | 2,790,000 | 2,627,473 | |
| Arizona Trans. Board Hwy. Rev. Series 2015, 5% 7/1/31 | 1,500,000 | 1,525,434 | |
| Chandler Indl. Dev. Auth. Indl. Dev. Rev.: | |||
| (Intel Corp. Proj.) Series 2022 2, 5%, tender 9/1/27 (b)(d) | 7,765,000 | 7,959,849 | |
| Bonds: | |||
(Intel Corp. Proj.): | |||
Series 2005, 2.4%, tender 8/14/23 (b) | 15,000 | 14,943 | |
Series 2007, 2.7%, tender 8/14/23 (b)(d) | 885,000 | 881,554 | |
Series 2019, 5%, tender 6/3/24 (b)(d) | 13,290,000 | 13,376,746 | |
Series 2022 1, 5%, tender 9/1/27 (b)(d) | 2,000,000 | 2,050,642 | |
| Glendale Gen. Oblig. Series 2017: | |||
| 5% 7/1/30 | 305,000 | 328,331 | |
| 5% 7/1/31 | 455,000 | 487,996 | |
| Glendale Indl. Dev. Auth.: | |||
| (Terraces of Phoenix Proj.) Series 2018 A: | |||
5% 7/1/38 | 45,000 | 38,609 | |
5% 7/1/48 | 50,000 | 39,336 | |
| Series 2019 A, 3% 7/1/35 (d) | 415,000 | 361,786 | |
| Series 2021 A, 2.125% 7/1/33 (d) | 270,000 | 219,122 | |
| Goodyear Wtr. & Swr. Rev. Series 2020, 4% 7/1/45 (Assured Guaranty Muni. Corp. Insured) | 550,000 | 534,325 | |
| Indl. Dev. Auth. of The City of Glendale Sr. Living Rev.: | |||
| (Royal Oaks Inspirata Pointe Proj.) Series 2020 A, 5% 5/15/56 | 845,000 | 699,223 | |
| Series 2019 A: | |||
5% 11/15/42 | 640,000 | 616,891 | |
5% 11/15/48 | 850,000 | 797,565 | |
| Maricopa County Usd # 60 Cph Series 2023: | |||
| 4.25% 6/1/47 | 175,000 | 171,192 | |
| 5% 6/1/53 | 1,185,000 | 1,241,948 | |
| Maricopa County Indl. Dev. Auth.: | |||
| (Choice Academies, Inc. Proj.) Series 2022, 5.75% 9/1/45 (f) | 1,245,000 | 1,199,524 | |
| (Creighton Univ. Proj.) Series 2020, 5% 7/1/47 | 575,000 | 602,592 | |
| (Great Hearts Arizona Projs.) Series 2017 A, 5% 7/1/52 | 240,000 | 243,027 | |
| (Greathearts Arizona Projs.) Series 2017 C: | |||
5% 7/1/37 | 70,000 | 72,186 | |
5% 7/1/48 | 145,000 | 147,180 | |
| (Legacy Traditional Schools Proj.): | |||
Series 2019 A: | |||
4% 7/1/34 | 35,000 | 34,658 | |
5% 7/1/39 | 230,000 | 237,209 | |
5% 7/1/49 | 430,000 | 435,837 | |
5% 7/1/54 | 145,000 | 146,441 | |
Series 2019 B: | |||
5% 7/1/39 (f) | 180,000 | 168,822 | |
5% 7/1/49 (f) | 95,000 | 83,570 | |
5% 7/1/54 (f) | 435,000 | 375,656 | |
| Bonds Series 2019 B, 5%, tender 9/1/24 (b) | 40,000 | 40,577 | |
| Series 2021 A, 4% 9/1/51 | 705,000 | 633,419 | |
| Maricopa County Indl. Dev. Auth. Rev. (Commercial Metals Co. Proj.) Series 2022, 4% 10/15/47 (d)(f) | 1,120,000 | 946,413 | |
| Maricopa County Indl. Dev. Auth. Sr. Living Facilities: | |||
| (Christian Care Mesa II, Inc.) Series 2014 A, 4.5% 1/1/39 (Pre-Refunded to 1/1/24 @ 100) | 30,000 | 30,163 | |
| Series 2016: | |||
5.75% 1/1/36 (f) | 595,000 | 465,748 | |
6% 1/1/48 (f) | 1,430,000 | 990,091 | |
| Maricopa County Poll. Cont. Rev.: | |||
| (Palo Verde Proj.) Series 2009 B, 3.6% 4/1/40 | 250,000 | 217,870 | |
| Bonds Series 2010 B, 0.875%, tender 10/1/26 (b) | 165,000 | 144,835 | |
| Series 2012 A, 4.5% 8/1/42 | 455,000 | 434,727 | |
| Maricopa County Rev.: | |||
| Series 2016 A: | |||
5% 1/1/33 | 730,000 | 767,538 | |
5% 1/1/38 | 640,000 | 663,311 | |
| Series 2017 D, 3% 1/1/48 | 2,605,000 | 1,974,959 | |
| Series 2019 E, 3% 1/1/49 | 1,545,000 | 1,159,912 | |
| Maricopa County Spl. Health Care District Gen. Oblig. Series 2018 C, 5% 7/1/36 | 150,000 | 160,946 | |
| Maricopa County Unified School District #48 Scottsdale Series 2017 B: | |||
| 5% 7/1/31 | 45,000 | 48,442 | |
| 5% 7/1/32 | 180,000 | 193,626 | |
| Mesa Util. Sys. Rev. Series 2021, 4% 7/1/35 | 500,000 | 517,597 | |
| Navajo Nation Arizona Series 2015 A, 5.5% 12/1/30 (f) | 1,260,000 | 1,302,395 | |
| Peoria Indl. Dev. Auth. Rev. (Sierra Winds Life Care Cmnty. Proj.) Series 2014 A: | |||
| 5.5% 11/15/34 | 520,000 | 401,668 | |
| 5.75% 11/15/40 | 845,000 | 621,893 | |
| Phoenix Civic Impt. Board Arpt. Rev.: | |||
| Series 2017 A: | |||
5% 7/1/33 (d) | 135,000 | 141,855 | |
5% 7/1/36 (d) | 210,000 | 218,611 | |
5% 7/1/37 (d) | 160,000 | 165,847 | |
5% 7/1/47 (d) | 885,000 | 901,350 | |
| Series 2017 B: | |||
5% 7/1/29 | 305,000 | 328,122 | |
5% 7/1/30 | 225,000 | 241,337 | |
5% 7/1/33 | 425,000 | 454,564 | |
5% 7/1/34 | 110,000 | 117,557 | |
5% 7/1/35 | 110,000 | 117,094 | |
5% 7/1/36 | 485,000 | 513,897 | |
5% 7/1/37 | 305,000 | 321,783 | |
| Series 2018: | |||
5% 7/1/37 (d) | 740,000 | 773,032 | |
5% 7/1/38 (d) | 740,000 | 772,338 | |
| Series 2019 A, 5% 7/1/44 | 425,000 | 448,309 | |
| Series 2019 B, 5% 7/1/35 (d) | 1,730,000 | 1,843,930 | |
| Phoenix Civic Impt. Corp. Series 2019 A: | |||
| 5% 7/1/30 | 60,000 | 65,640 | |
| 5% 7/1/32 | 75,000 | 81,738 | |
| 5% 7/1/36 | 35,000 | 37,530 | |
| 5% 7/1/37 | 1,415,000 | 1,508,023 | |
| 5% 7/1/38 | 45,000 | 47,807 | |
| 5% 7/1/39 | 30,000 | 31,777 | |
| 5% 7/1/45 | 2,700,000 | 2,822,367 | |
| Phoenix Civic Impt. Corp. District Rev.: | |||
| (Plaza Expansion Proj.) Series 2005 B, 5.5% 7/1/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 280,000 | 337,871 | |
| Series 2005 B: | |||
5.5% 7/1/29 | 1,165,000 | 1,345,979 | |
5.5% 7/1/30 | 1,070,000 | 1,261,014 | |
5.5% 7/1/33 | 175,000 | 215,061 | |
| Phoenix Civic Impt. Corp. Wtr. Sys. Rev.: | |||
| Series 2020 A, 5% 7/1/44 | 1,785,000 | 1,938,162 | |
| Series 2021 A, 5% 7/1/45 | 990,000 | 1,082,888 | |
| Phoenix IDA Student Hsg. Rev.: | |||
| (Downton Phoenix Student Hsg., LLC - Arizona State Univ. Proj.) Series 2018 A: | |||
5% 7/1/30 | 30,000 | 31,198 | |
5% 7/1/31 | 110,000 | 114,138 | |
5% 7/1/37 | 105,000 | 106,263 | |
| (Downtown Phoenix Student Hsg. II LLC Arizona State Univ. Proj.) Series 2019 A: | |||
5% 7/1/44 | 225,000 | 224,984 | |
5% 7/1/49 | 365,000 | 358,203 | |
5% 7/1/54 | 585,000 | 568,055 | |
5% 7/1/59 | 475,000 | 458,079 | |
| Series 2018 A: | |||
(Downtown Phoenix Student Hsg., LLC AZ State Univ. Proj.) 5% 7/1/42 | 1,085,000 | 1,087,849 | |
5% 7/1/33 | 60,000 | 61,952 | |
| Phoenix Indl. Dev. Auth. (Provident Group - Falcon Properties LLC, Proj.): | |||
| Series 2022 A: | |||
4% 12/1/41 (f) | 510,000 | 419,382 | |
4% 12/1/51 (f) | 1,695,000 | 1,288,984 | |
| Series 2022 B: | |||
4.15% 12/1/57 (f) | 635,000 | 472,819 | |
5.75% 12/15/57 (f) | 745,000 | 585,646 | |
| Phoenix Indl. Dev. Auth. Rev.: | |||
| (BASIS Schools Projs.) Series 2016 A, 5% 7/1/35 (f) | 25,000 | 25,009 | |
| (Basis Schools Projs.) Series 2016 A, 5% 7/1/46 (f) | 320,000 | 291,427 | |
| (BASIS Schools, Inc. Projs. Series 2015 A: | |||
5% 7/1/35 (f) | 100,000 | 100,035 | |
5% 7/1/45 (f) | 120,000 | 109,940 | |
| (Legacy Traditional School Projs.) Series 2015: | |||
5% 7/1/35 (f) | 175,000 | 171,882 | |
5% 7/1/45 (f) | 195,000 | 175,257 | |
| (Legacy Traditional Schools Projs.) Series 2016 A, 5% 7/1/46 (f) | 130,000 | 116,247 | |
| Series 2016 A: | |||
5% 7/1/36 | 145,000 | 145,812 | |
5% 7/1/41 | 115,000 | 114,338 | |
5% 7/1/46 | 505,000 | 491,202 | |
| Phoenix Indl. Solid Waste Disp. Rev. Bonds (Republic Svc., Inc. Proj.) Series 2013, 3.875%, tender 12/1/35 (b)(d) | 11,000,000 | 10,995,860 | |
| Pima County Indl. Dev. Auth. Ed. Rev.: | |||
| (American Leadership Academy Proj.): | |||
Series 2021: | |||
4% 6/15/41 (f) | 50,000 | 40,620 | |
4% 6/15/51 (f) | 75,000 | 54,848 | |
4% 6/15/57 (f) | 65,000 | 45,870 | |
Series 2022: | |||
4% 6/15/41 (f) | 510,000 | 414,326 | |
4% 6/15/51 (f) | 1,050,000 | 767,878 | |
4% 6/15/57 (f) | 1,225,000 | 864,481 | |
| Series 2015, 5.625% 6/15/45 (f) | 250,000 | 247,967 | |
| Pima County Indl. Dev. Auth. S: | |||
| Series 2022 A: | |||
6.75% 11/15/42 (f) | 250,000 | 251,896 | |
6.875% 11/15/52 (f) | 715,000 | 716,686 | |
7% 11/15/57 (f) | 320,000 | 320,640 | |
| Series 2022 B3, 5.125% 11/15/29 (f) | 310,000 | 305,232 | |
| Pinal County Indl. Dev. Auth. Series 2021 B, 5.5% 10/1/33 (d)(f) | 400,000 | 377,670 | |
| Queen Creek Excise Tax & State Shared Rev. Series 2018 A: | |||
| 5% 8/1/42 | 395,000 | 421,991 | |
| 5% 8/1/47 | 480,000 | 509,797 | |
| Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev.: | |||
| (Arizona Salt River Proj.) Series A, 5% 1/1/38 | 1,705,000 | 1,786,908 | |
| Series 2015 A, 5% 12/1/45 | 2,500,000 | 2,569,142 | |
| Series 2023 A, 5% 1/1/47 | 8,675,000 | 9,578,710 | |
| Salt Verde Finl. Corp. Sr. Gas Rev.: | |||
| Series 2007 1: | |||
5% 12/1/32 | 500,000 | 521,551 | |
5.25% 12/1/28 | 2,890,000 | 3,007,718 | |
| Series 2007: | |||
5% 12/1/37 | 2,465,000 | 2,504,067 | |
5.25% 12/1/23 | 140,000 | 140,408 | |
5.5% 12/1/29 | 1,080,000 | 1,146,352 | |
| Tempe Indl. Dev. Auth. Rev.: | |||
| (Friendship Village of Tempe Proj.): | |||
Series 2019: | |||
5% 12/1/50 | 325,000 | 266,121 | |
5% 12/1/54 | 365,000 | 293,231 | |
Series 2021 A, 4% 12/1/46 | 350,000 | 247,626 | |
| (Mirabella At ASU, Inc. Proj.) Series 2017 A, 6.125% 10/1/52 (f) | 435,000 | 262,683 | |
| Town of Carefree Utils. Cmnty. Facilities District Wtr. Sys. Rev. Series 2021, 4% 7/1/46 | 160,000 | 149,080 | |
| Yavapai County Indl. Dev. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2003 A2, 2.2%, tender 6/3/24 (b)(d) | 455,000 | 446,809 | |
TOTAL ARIZONA | 140,228,008 | ||
| Arkansas - 0.1% | |||
| Arkansas Dev. Auth. Indl. Dev. Rev. (Big River Steel Proj.): | |||
| Series 2019, 4.5% 9/1/49 (d)(f) | 3,150,000 | 2,786,621 | |
| Series 2020 A, 4.75% 9/1/49 (d)(f) | 1,005,000 | 913,823 | |
| Arkansas Dev. Fin. Auth.: | |||
| (Lisa Academy Proj.) Series 2018 A, 4.5% 7/1/39 | 5,000 | 4,581 | |
| (Liza Academy Proj.) Series 2018 A, 4% 7/1/28 | 45,000 | 43,294 | |
| Series 2018 A, 4.5% 7/1/33 | 90,000 | 86,536 | |
| Arkansas Dev. Fin. Auth. Health Care Rev.: | |||
| Bonds Series 2020 B2, 5%, tender 9/1/27 (b) | 260,000 | 273,626 | |
| Series 2019, 5% 12/1/47 | 1,475,000 | 1,526,364 | |
| Series 2020 B1: | |||
5% 9/1/26 | 950,000 | 981,964 | |
5% 9/1/27 | 1,000,000 | 1,045,513 | |
5% 9/1/28 | 430,000 | 454,630 | |
5% 9/1/29 | 365,000 | 389,601 | |
5% 9/1/36 | 185,000 | 191,317 | |
5% 9/1/40 | 110,000 | 111,903 | |
| Series 2021 B1: | |||
5% 9/1/37 | 125,000 | 128,430 | |
5% 9/1/39 | 100,000 | 102,088 | |
| Arkansas Dev. Fin. Auth. Health Rev. (CARTI Surgery Ctr. Proj.) Series 2021 B: | |||
| 3% 7/1/32 | 35,000 | 29,632 | |
| 3.125% 7/1/36 | 100,000 | 78,033 | |
| 4% 7/1/52 | 165,000 | 126,418 | |
| 4.25% 7/1/41 | 35,000 | 30,875 | |
| Arkansas Dev. Fin. Auth. Hosp. Rev.: | |||
| Series 2015 A, 5% 2/1/35 | 220,000 | 222,525 | |
| Series 2015 B, 5% 2/1/24 | 235,000 | 236,514 | |
| Series 2015 C, 5% 2/1/35 | 170,000 | 171,951 | |
| Series 2017, 5% 2/1/38 | 355,000 | 359,551 | |
| Series 2019, 4% 2/1/42 | 130,000 | 117,387 | |
| Arkansas Dev. Fin. Auth. Tobacco Settlement Rev. Series 2006, 0% 7/1/46 (AMBAC Insured) | 1,065,000 | 350,998 | |
| Arkansas Dev. Fing. Auth. Envir. Impt. Rev.: | |||
| (United States Steel Corp. Proj.) Series 2023, 5.7% 5/1/53 (d) | 4,400,000 | 4,413,636 | |
| Series 2022, 5.45% 9/1/52 (d) | 1,000,000 | 972,840 | |
| Little Rock School District Series 2021 A: | |||
| 3% 2/1/50 | 1,230,000 | 943,271 | |
| 3% 2/1/51 | 1,550,000 | 1,180,106 | |
| Pulaski County Pub. Facilities Board Series 2014, 5% 12/1/42 | 320,000 | 323,448 | |
TOTAL ARKANSAS | 18,597,476 | ||
| California - 6.0% | |||
| ABC Unified School District Series 1997 C, 0% 8/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 475,000 | 400,617 | |
| Alameda Corridor Trans. Auth. Rev.: | |||
| Series 2016 B: | |||
5% 10/1/34 | 1,625,000 | 1,672,962 | |
5% 10/1/37 | 540,000 | 549,978 | |
| Series 2022 C: | |||
0% 10/1/52 (Assured Guaranty Muni. Corp. Insured) | 1,680,000 | 839,508 | |
5% 10/1/52 (Assured Guaranty Muni. Corp. Insured) | 1,850,000 | 1,987,412 | |
| Anaheim Elementary School District Series 2022, 5% 8/1/51 | 500,000 | 547,570 | |
| Anaheim Pub. Fing. Auth. Lease Rev. Series 2014 A: | |||
| 5% 5/1/33 (Pre-Refunded to 5/1/24 @ 100) | 420,000 | 426,788 | |
| 5% 5/1/34 (Pre-Refunded to 5/1/24 @ 100) | 325,000 | 330,253 | |
| 5% 5/1/46 (Pre-Refunded to 5/1/24 @ 100) | 2,170,000 | 2,205,073 | |
| Antelope Valley Cmnty. College District Series B, 3% 8/1/50 | 1,200,000 | 907,436 | |
| Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds: | |||
| Series 2001 A, 4.66%, tender 4/1/27 (b) | 6,505,000 | 6,543,495 | |
| Series 2021 B, 0.280% x SIFMA Municipal Swap Index 3.69%, tender 6/1/23 (b)(c) | 885,000 | 883,225 | |
| CA Muni. Fin. Auth. Chrter School Rev. Series 2016 A, 5% 7/1/46 (f) | 670,000 | 615,154 | |
| Cabrillo Unified School District Series 2020 B, 5% 8/1/50 | 1,250,000 | 1,319,295 | |
| California Cmnty. Choice Fing. Auth. Clean Energy Proj. Rev. Bonds: | |||
| Series 2021 A, 4%, tender 12/1/27 (b) | 6,495,000 | 6,496,045 | |
| Series 2021 B1, 4%, tender 8/1/31 (b) | 780,000 | 773,210 | |
| Series 2022 A1, 4%, tender 8/1/28 (b) | 4,250,000 | 4,238,268 | |
| Series 2023 A1, 5%, tender 8/1/29 (b) | 1,750,000 | 1,839,299 | |
| Series 2023 A2, U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.950% 2.673%, tender 8/1/29 (b)(c) | 3,250,000 | 3,297,599 | |
| Series 2023 B1, 5%, tender 8/1/29 (b) | 9,350,000 | 9,804,342 | |
| Series 2023 C, 5.25%, tender 10/1/31 (b) | 12,735,000 | 13,311,659 | |
| California Cmnty. College Fin. Auth. Series 2016 C: | |||
| 5% 6/1/25 (Escrowed to Maturity) | 845,000 | 877,138 | |
| 5% 6/1/26 (Escrowed to Maturity) | 885,000 | 937,390 | |
| California Cmnty. College Finga (NCCD - Orange Coast Properties LLC - Orange Coast College Proj.) Series 2018, 5.25% 5/1/48 | 1,000,000 | 1,010,082 | |
| California Cmnty. Hsg. Agcy. Essential Hsg. Rev.: | |||
| Series 2019 A, 5% 8/1/49 (f) | 1,575,000 | 1,477,146 | |
| Series 2020 A, 5% 8/1/50 (f) | 250,000 | 227,874 | |
| Series 2021 A: | |||
4% 2/1/56 (f) | 1,190,000 | 870,310 | |
4% 2/1/56 (f) | 3,025,000 | 2,089,875 | |
| Series 2021 A1: | |||
4% 2/1/56 (f) | 500,000 | 411,574 | |
4% 2/1/56 (f) | 1,835,000 | 1,510,478 | |
| Series 2021 A2, 4% 8/1/50 (f) | 2,625,000 | 1,908,793 | |
| California Cmnty. Hsg. Agcy. Workf Series 2019 A, 5% 4/1/49 (f) | 300,000 | 246,916 | |
| California County Tobacco Securitization Agcy. Tobacco Settlement Asset-Backed Series 2020 A: | |||
| 4% 6/1/35 | 40,000 | 40,382 | |
| 4% 6/1/37 | 65,000 | 64,821 | |
| 4% 6/1/38 | 25,000 | 24,837 | |
| 4% 6/1/39 | 35,000 | 34,580 | |
| 5% 6/1/32 | 25,000 | 27,423 | |
| California Edl. Facilities Auth. Rev.: | |||
| Series 2017 A, 5% 4/1/47 | 240,000 | 246,216 | |
| Series 2018 A, 5% 10/1/42 | 85,000 | 88,545 | |
| Series V1, 5% 5/1/49 | 1,955,000 | 2,289,655 | |
| California Gen. Oblig.: | |||
| Series 2004, 5.25% 12/1/33 | 20,000 | 20,042 | |
| Series 2013: | |||
5% 11/1/28 | 1,675,000 | 1,685,047 | |
5% 11/1/30 | 750,000 | 754,684 | |
5% 9/1/31 | 1,775,000 | 1,780,981 | |
| Series 2014, 5% 10/1/32 | 300,000 | 306,426 | |
| Series 2015, 5% 3/1/30 | 605,000 | 625,345 | |
| Series 2016: | |||
5% 8/1/29 | 1,065,000 | 1,134,784 | |
5% 9/1/29 | 270,000 | 288,151 | |
5% 9/1/34 | 1,920,000 | 2,035,344 | |
| Series 2018: | |||
5% 10/1/24 | 5,000,000 | 5,128,812 | |
5% 8/1/30 | 1,300,000 | 1,441,109 | |
5% 10/1/47 | 265,000 | 275,623 | |
| Series 2019: | |||
3% 10/1/36 | 3,110,000 | 2,825,849 | |
3% 10/1/37 | 500,000 | 446,153 | |
4% 10/1/36 | 885,000 | 913,402 | |
4% 10/1/37 | 2,530,000 | 2,594,229 | |
4% 10/1/39 | 800,000 | 813,244 | |
| Series 2020: | |||
4% 3/1/36 | 5,650,000 | 5,873,701 | |
4% 11/1/37 | 2,065,000 | 2,126,845 | |
4% 3/1/50 | 2,500,000 | 2,460,794 | |
| Series 2021 A, 5% 10/1/31 | 750,000 | 877,739 | |
| Series 2021: | |||
5% 12/1/28 | 2,135,000 | 2,383,436 | |
5% 9/1/32 | 340,000 | 396,476 | |
5% 12/1/35 | 885,000 | 1,008,820 | |
5% 12/1/36 | 1,325,000 | 1,495,759 | |
5% 9/1/41 | 985,000 | 1,098,323 | |
| Series 2022 B, 5% 11/1/32 | 6,700,000 | 7,950,116 | |
| Series 2022: | |||
4% 9/1/29 | 305,000 | 323,850 | |
5% 4/1/35 | 155,000 | 181,040 | |
5% 4/1/35 | 635,000 | 700,217 | |
5% 4/1/42 | 1,060,000 | 1,184,151 | |
5% 4/1/42 | 1,625,000 | 1,728,840 | |
5% 9/1/42 | 6,800,000 | 7,628,378 | |
5% 11/1/42 | 3,155,000 | 3,545,291 | |
5% 4/1/47 | 7,345,000 | 8,100,042 | |
5% 9/1/52 | 1,500,000 | 1,649,474 | |
5.5% 12/1/52 | 1,675,000 | 1,872,584 | |
| Series 2023: | |||
4% 10/1/50 | 2,250,000 | 2,213,869 | |
5% 10/1/45 | 2,250,000 | 2,520,943 | |
5.25% 10/1/50 | 2,850,000 | 3,232,192 | |
| California Health Facilities Fing. Auth. Rev.: | |||
| Series 2015: | |||
5% 11/15/28 | 250,000 | 262,216 | |
5% 11/15/32 | 55,000 | 57,744 | |
5% 11/15/33 | 480,000 | 503,630 | |
| Series 2016 A: | |||
5% 11/15/41 (Pre-Refunded to 11/15/25 @ 100) | 1,000,000 | 1,047,896 | |
5% 11/15/46 (Pre-Refunded to 11/15/25 @ 100) | 540,000 | 565,864 | |
| Series 2017 A, 5% 11/15/56 | 360,000 | 369,096 | |
| Series 2017 A2, 5% 11/1/47 | 1,320,000 | 1,463,390 | |
| Series 2018 A, 5% 11/15/35 | 440,000 | 470,654 | |
| Series 2019, 5% 11/15/49 | 1,805,000 | 1,838,163 | |
| Series 2020 A: | |||
4% 4/1/37 | 885,000 | 868,031 | |
4% 4/1/38 | 355,000 | 346,852 | |
4% 4/1/45 | 250,000 | 235,768 | |
4% 4/1/49 | 1,260,000 | 1,164,350 | |
| Series 2022 A, 4% 5/15/46 | 2,950,000 | 2,878,702 | |
| Series A: | |||
4% 8/15/50 | 1,050,000 | 1,016,710 | |
5% 8/15/47 | 250,000 | 250,091 | |
| California Hsg. Fin. Agcy.: | |||
| Series 2019 A: | |||
4% 3/20/33 | 1,053,319 | 1,016,888 | |
4.25% 1/15/35 | 702,754 | 697,188 | |
| Series 2021 1: | |||
0.797% 11/20/35 (b) | 14,644,992 | 765,563 | |
3.5% 11/20/35 | 1,095,794 | 1,017,434 | |
| Series 2021 3, 0.764% 8/20/36 | 5,232,390 | 287,885 | |
| Series 2023 A1, 4.375% 9/20/36 | 10,555,359 | 10,428,816 | |
| California Infrastructure & Econ. Dev. Series 2019: | |||
| 5% 8/1/44 | 2,035,000 | 2,182,404 | |
| 5% 8/1/49 | 2,510,000 | 2,679,741 | |
| California Infrastructure & Econ. Dev. Bank Series 2022 B: | |||
| 5% 11/1/47 | 325,000 | 336,126 | |
| 5% 11/1/57 | 275,000 | 281,231 | |
| California Infrastructure and Econ. Dev. Bank Rev.: | |||
| Bonds: | |||
(Los Angeles County Museum of Art Proj.) Series 2021 A, 1.2%, tender 6/1/28 (b) | 1,695,000 | 1,463,583 | |
Series 2020 A2, 7.75%, tender 11/1/23 (b)(d)(f) | 1,500,000 | 1,493,641 | |
| Series 2017, 5% 5/15/42 | 1,205,000 | 1,285,984 | |
| Series 2023: | |||
4% 10/1/41 | 1,165,000 | 1,184,160 | |
4% 10/1/43 | 10,000,000 | 10,030,302 | |
4% 10/1/44 | 5,000,000 | 5,001,670 | |
| California Muni. Fin. Auth.: | |||
| (United Airlines, Inc. Los Angeles Int'l. Arpt. proj.) Series 2019, 4% 7/15/29 (d) | 1,090,000 | 1,060,607 | |
| Series 2018 A, 5% 6/1/48 | 1,685,000 | 1,776,966 | |
| Series 2021 A, 4% 11/1/36 (f) | 410,000 | 374,396 | |
| California Muni. Fin. Auth. Ctfs. of Prtn. Series 2022 A, 5.25% 11/1/52 (Assured Guaranty Muni. Corp. Insured) | 1,610,000 | 1,711,168 | |
| California Muni. Fin. Auth. Mobile Home Park Sr. Rev.: | |||
| (Caritas Affordable Hsg., Inc. Proj.) Series 2014 A, 5.25% 8/15/39 | 205,000 | 207,351 | |
| (Caritas Affordable Hsg., Inc. Projs.) Series 2014 A, 5.25% 8/15/49 | 570,000 | 575,446 | |
| California Muni. Fin. Auth. Rev.: | |||
| (LINXS APM Proj.) Series 2018 A: | |||
5% 12/31/36 (d) | 1,260,000 | 1,296,729 | |
5% 12/31/43 (d) | 10,415,000 | 10,554,170 | |
5% 12/31/47 (d) | 3,110,000 | 3,135,057 | |
| Series 2015, 5.5% 11/1/45 (f) | 250,000 | 251,556 | |
| Series 2016 A, 5% 11/1/46 (f) | 250,000 | 238,413 | |
| Series 2017 A: | |||
5% 2/1/42 | 370,000 | 378,553 | |
5% 7/1/42 | 65,000 | 66,125 | |
5.25% 11/1/36 | 355,000 | 356,270 | |
5.25% 11/1/41 | 1,040,000 | 1,018,498 | |
5.25% 11/1/47 | 50,000 | 48,080 | |
| Series 2018 A, 4% 12/31/47 (d) | 3,000,000 | 2,640,593 | |
| Series 2019, 5% 8/1/39 (f) | 455,000 | 421,161 | |
| Series 2021 A: | |||
4% 2/1/41 | 500,000 | 484,040 | |
4% 2/1/51 | 640,000 | 554,767 | |
| Series 2022, 5.25% 6/1/53 | 2,075,000 | 2,207,591 | |
| California Muni. Fin. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.): | |||
| Series 2019 A, 2.4%, tender 10/1/29 (b)(d) | 910,000 | 829,254 | |
| Series 2020, 3.95%, tender 6/1/23 (b)(d) | 1,600,000 | 1,600,000 | |
| California Muni. Fin. Auth. Student Hsg.: | |||
| (CHF-David II, LLC - Orchard Park Student Hsg. Proj.) Series 2021: | |||
4% 5/15/33 (Build America Mutual Assurance Insured) | 60,000 | 60,840 | |
4% 5/15/38 (Build America Mutual Assurance Insured) | 80,000 | 78,068 | |
| (CHF-Davis I, LLC - West Village Student Hsg. Proj.) Series 2018: | |||
5% 5/15/34 | 170,000 | 178,761 | |
5% 5/15/35 | 120,000 | 125,465 | |
5% 5/15/36 | 215,000 | 223,406 | |
5% 5/15/38 | 170,000 | 175,060 | |
5% 5/15/39 | 75,000 | 77,013 | |
5% 5/15/43 | 225,000 | 229,183 | |
5% 5/15/48 | 500,000 | 505,931 | |
5% 5/15/51 | 500,000 | 504,735 | |
| (CHF-Riverside II, LLC-UCR North District Phase I Student Hsg. Proj.) Series 2019: | |||
5% 5/15/49 | 420,000 | 425,301 | |
5% 5/15/52 | 350,000 | 353,643 | |
| Series 2018: | |||
5% 5/15/36 | 1,000,000 | 1,057,730 | |
5% 5/15/39 | 1,600,000 | 1,672,387 | |
| Series 2021, 3% 5/15/51 (Build America Mutual Assurance Insured) | 250,000 | 188,324 | |
| California Poll. Cont. Fing. Auth. Series 2019: | |||
| 5% 7/1/29 (f) | 480,000 | 502,167 | |
| 5% 7/1/39 (f) | 1,760,000 | 1,802,065 | |
| 5% 11/21/45 (f) | 1,930,000 | 1,951,449 | |
| California Poll. Cont. Fing. Auth. Solid Waste Disp. Rev. Bonds: | |||
| (Republic Svcs., Inc. Proj.) Series 2017 A1, 3.7%, tender 7/17/23 (b)(d)(f) | 2,000,000 | 1,999,020 | |
| (Waste Mgmt., Inc. Proj.) Series 2003 A, 2.5%, tender 5/1/24 (b)(d) | 810,000 | 802,405 | |
| California Pub. Fin. Auth.: | |||
| (Enso Village Proj.) Series 2021 B1, 3.125% 5/15/29 (f) | 660,000 | 616,669 | |
| (Enso Villiage Proj.) Series 2021 B2, 2.375% 11/15/28 (f) | 495,000 | 471,601 | |
| Series 2021 A: | |||
5% 11/15/36 (f) | 190,000 | 184,383 | |
5% 11/15/46 (f) | 105,000 | 93,319 | |
| Series 2021 B3, 2.125% 11/15/27 (f) | 805,000 | 772,260 | |
| California Pub. Fin. Auth. Rev.: | |||
| Series 2017: | |||
5% 10/15/33 | 55,000 | 56,747 | |
5% 10/15/37 | 105,000 | 106,526 | |
5% 10/15/47 | 105,000 | 104,286 | |
| Series 2021 A: | |||
4% 10/15/26 | 85,000 | 85,020 | |
4% 10/15/27 | 85,000 | 85,149 | |
4% 10/15/28 | 75,000 | 75,262 | |
| Series 2022 A, 4% 7/15/51 | 3,200,000 | 3,088,567 | |
| California Pub. Works Board Lease Rev.: | |||
| (Various Cap. Projs.) Series 2022 C: | |||
5% 8/1/30 | 35,000 | 40,060 | |
5% 8/1/31 | 450,000 | 523,218 | |
5% 8/1/32 | 130,000 | 150,997 | |
5% 8/1/33 | 65,000 | 75,409 | |
5% 8/1/34 | 840,000 | 971,284 | |
| Series 2013 A, 5% 3/1/38 | 665,000 | 665,000 | |
| Series 2013 I, 5% 11/1/38 | 1,960,000 | 1,970,223 | |
| Series 2014 A, 5% 9/1/33 | 1,975,000 | 2,009,287 | |
| Series 2014 B, 5% 10/1/34 | 1,505,000 | 1,530,941 | |
| Series 2022 A, 5% 8/1/29 | 1,065,000 | 1,197,441 | |
| California School Fin. Auth. Charter School Rev.: | |||
| (Partnerships to Uplift Cmntys. Proj.) Series 2023, 5.5% 8/1/43 (h) | 550,000 | 554,210 | |
| Series 2016: | |||
5% 8/1/41 (f) | 470,000 | 465,071 | |
5% 8/1/41 (Pre-Refunded to 8/1/25 @ 100) (f) | 50,000 | 51,920 | |
| Series 2021 A: | |||
4% 8/1/51 (f) | 150,000 | 118,819 | |
4% 6/1/61 (f) | 250,000 | 164,552 | |
4% 6/1/61 (f) | 250,000 | 177,467 | |
4% 8/1/61 (f) | 240,000 | 181,291 | |
| Series 2022 A: | |||
5% 7/1/42 (f) | 500,000 | 474,628 | |
5% 7/1/52 (f) | 2,045,000 | 1,805,908 | |
| Series 2022 B, 5% 7/1/42 (f) | 2,125,000 | 1,943,996 | |
| California School Fin. Auth. College (NCCD-Santa Rosa Properties LLC, Sonoma County Jr. College District Proj.) Series 2021 A, 2.75% 11/1/60 (f) | 300,000 | 219,486 | |
| California School Fin. Auth. School Facility Rev.: | |||
| (Alliance for College-Ready Pub. Schools Proj.) Series 2015 A: | |||
4% 7/1/24 (f) | 115,000 | 114,737 | |
4% 7/1/25 (f) | 120,000 | 119,522 | |
| (Alliance for College-Ready Pub. Schools) Series 2015 A, 5% 7/1/30 (f) | 105,000 | 107,238 | |
| (KIPP SoCal Projs.) Series 2020 A, 4% 7/1/50 (f) | 735,000 | 623,069 | |
| Series 2015 A, 5% 7/1/45 (f) | 285,000 | 285,890 | |
| Series 2019, 5% 7/1/49 (f) | 750,000 | 741,385 | |
| California State Univ. Rev.: | |||
| Series 2016 A, 4% 11/1/45 | 360,000 | 351,766 | |
| Series 2017 A, 5% 11/1/47 | 500,000 | 525,731 | |
| Series 2018 A, 5% 11/1/48 | 3,350,000 | 3,578,602 | |
| Series 2020 C, 4% 11/1/45 | 1,250,000 | 1,221,409 | |
| California Statewide Cmntys. Dev. Auth.: | |||
| (NCCD-Hooper Street LLC-California College of the Arts Proj.) Series 2019: | |||
5% 7/1/29 (f) | 130,000 | 129,927 | |
5.25% 7/1/39 (f) | 100,000 | 96,625 | |
5.25% 7/1/49 (f) | 380,000 | 346,834 | |
5.25% 7/1/52 (f) | 165,000 | 148,902 | |
| Series 2013 A, 5.75% 1/15/45 (f) | 2,845,000 | 2,796,438 | |
| Series 2016: | |||
5% 5/15/25 | 55,000 | 56,033 | |
5% 5/15/26 | 55,000 | 56,733 | |
5% 5/15/27 | 55,000 | 57,013 | |
5% 5/15/28 | 55,000 | 56,997 | |
5% 5/15/32 | 70,000 | 72,364 | |
5% 5/15/33 | 85,000 | 87,726 | |
5% 5/15/40 | 55,000 | 55,827 | |
| Series 2017, 5% 5/15/47 | 1,180,000 | 1,191,335 | |
| California Statewide Cmntys. Dev. Auth. Hosp. Rev. Series 2018, 5% 1/1/48 | 250,000 | 253,452 | |
| California Statewide Cmntys. Dev. Auth. Rev.: | |||
| (899 Charleston Proj.) Series 2014 A, 5.375% 11/1/49 (f) | 490,000 | 387,827 | |
| (Viamonte Sr. Living 1 Proj.) Series 2018 A, 3.5% 7/1/34 | 165,000 | 165,325 | |
| Series 2014 A: | |||
5.25% 12/1/34 | 135,000 | 137,069 | |
5.25% 12/1/44 | 560,000 | 554,653 | |
5.5% 12/1/54 | 2,920,000 | 2,898,879 | |
| Series 2014 B, 5% 7/1/28 (Pre-Refunded to 7/1/24 @ 100) | 860,000 | 877,524 | |
| Series 2014, 6.375% 11/1/43 (f) | 300,000 | 301,996 | |
| Series 2015 A, 5% 10/1/45 | 615,000 | 617,797 | |
| Series 2015, 5% 2/1/45 | 640,000 | 416,000 | |
| Series 2016 A: | |||
5% 12/1/27 (f) | 420,000 | 426,624 | |
5% 12/1/46 (f) | 2,630,000 | 2,462,848 | |
5.25% 12/1/56 (f) | 4,055,000 | 3,807,216 | |
| Series 2017 A: | |||
3.5% 11/1/27 (f) | 835,000 | 796,733 | |
5% 11/1/32 (f) | 100,000 | 101,857 | |
5% 11/1/41 (f) | 200,000 | 196,683 | |
| Series 2018 A: | |||
5% 3/1/34 | 210,000 | 220,668 | |
5% 3/1/35 | 315,000 | 329,797 | |
5.25% 12/1/48 (f) | 250,000 | 237,845 | |
5.5% 12/1/58 (f) | 4,875,000 | 4,656,786 | |
| Series 2019 B: | |||
4% 9/2/29 | 450,000 | 444,647 | |
5% 9/2/34 | 150,000 | 156,090 | |
5% 9/2/39 | 140,000 | 140,764 | |
5% 9/2/44 | 1,000,000 | 995,374 | |
5% 9/2/49 | 70,000 | 68,792 | |
| Series 2021 A: | |||
4% 9/2/28 | 35,000 | 34,085 | |
4% 9/2/29 | 40,000 | 38,797 | |
4% 9/2/30 | 45,000 | 43,454 | |
4% 9/2/31 | 35,000 | 33,613 | |
4% 9/2/41 | 230,000 | 197,742 | |
4% 9/2/51 | 140,000 | 110,521 | |
| Series 2021 B: | |||
4% 9/2/41 | 640,000 | 570,390 | |
4% 9/2/51 | 755,000 | 627,204 | |
| Series 2021 C1: | |||
4% 9/2/31 | 85,000 | 82,944 | |
4% 9/2/41 | 450,000 | 399,559 | |
4% 9/2/51 | 105,000 | 87,363 | |
| Series 2022 A: | |||
5.25% 8/15/52 | 725,000 | 768,581 | |
5.375% 8/15/57 (Assured Guaranty Muni. Corp. Insured) | 690,000 | 735,098 | |
| Series 2022 A1, 5% 9/2/52 | 1,525,000 | 1,477,948 | |
| Series 2022 B, 5% 9/2/52 | 500,000 | 483,844 | |
| California Statewide Fing. Auth. Series 2002 A, 6% 5/1/43 | 210,000 | 213,662 | |
| Carlsbad Unified School District Series 2021 B, 3% 8/1/46 | 250,000 | 198,054 | |
| CMFA Spl. Fin. Agcy. Essential Hsg. Rev.: | |||
| Series 2020 A1, 4% 8/1/56 (f) | 655,000 | 538,476 | |
| Series 2021 A1, 3% 12/1/56 (f) | 450,000 | 295,816 | |
| Series 2021, 4% 8/1/45 (f) | 840,000 | 662,403 | |
| CMFA Spl. Fin. Agcy. VII Essential Hsg. Rev. Series 2021 A2, 4% 8/1/47 (f) | 2,010,000 | 1,534,169 | |
| CMFA Spl. Fin. Agcy. XII: | |||
| Series 2022 A1, 3.25% 2/1/57 (f) | 240,000 | 161,991 | |
| Series 2022 A2, 4.375% 8/1/49 (f) | 455,000 | 353,498 | |
| Coachella Valley Unified School District Series 2016 F, 5% 8/1/46 | 2,250,000 | 2,346,415 | |
| College of the Sequoias Cmnty. College District Series 2021 E, 3% 8/1/51 | 455,000 | 344,296 | |
| Compton Calif Cmnty. Redev. Agys Series 2022 A, 5% 8/1/26 (Assured Guaranty Muni. Corp. Insured) | 855,000 | 902,128 | |
| Corona-Norco Unified School District Series 2019 C, 4% 8/1/49 | 1,450,000 | 1,412,679 | |
| CSCDA Cmnty. Impt. Auth. Essential Hsg. Rev.: | |||
| Series 2020 A, 5% 7/1/51 (f) | 605,000 | 546,199 | |
| Series 2021 A, 4% 8/1/56 (f) | 500,000 | 365,784 | |
| Series 2021 A1: | |||
2.65% 12/1/46 (f) | 1,945,000 | 1,488,007 | |
3% 7/1/45 (f) | 2,000,000 | 1,449,415 | |
| Series 2021 A2: | |||
3% 12/1/56 (f) | 200,000 | 131,474 | |
4% 7/1/56 (f) | 1,184,888 | 835,376 | |
4% 9/1/56 (f) | 1,050,000 | 781,367 | |
4% 10/1/56 (f) | 5,530,000 | 4,049,474 | |
4% 6/1/58 (f) | 250,000 | 187,988 | |
| Series 2021 B, 4% 3/1/57 (f) | 1,415,000 | 993,412 | |
| Ctr. Joint Unified School Ditrict Series 2021 B, 3% 8/1/51 | 1,740,000 | 1,304,128 | |
| Desert Sands Unified School District Series 2019, 5% 8/1/40 | 750,000 | 798,462 | |
| Eastern Muni. Wtr. District Fing. Auth. Series 2017 D, 5% 7/1/47 | 3,845,000 | 4,067,179 | |
| El Camino Cmnty. College District Series 2012 C, 0% 8/1/38 | 1,700,000 | 950,660 | |
| Escondido Gen. Oblig. Series 2015, 5% 9/1/36 | 1,000,000 | 1,039,728 | |
| Escondido Union High School District: | |||
| Series 2008 A, 0% 8/1/33 (Assured Guaranty Corp. Insured) | 590,000 | 409,036 | |
| Series 2009 A, 0% 8/1/31 (Assured Guaranty Corp. Insured) | 855,000 | 644,495 | |
| Evergreen School District Gen. Oblig. Series 2016, 4% 8/1/41 | 850,000 | 841,171 | |
| Facilities Fing. Auth. Sp: | |||
| (Irvine Great Park Infrastructure Proj.) Series 2023 A, 4% 9/1/58 (Build America Mutual Assurance Insured) | 6,520,000 | 6,193,272 | |
| (Irvine Great Park Infrastructure) Series 2023 A: | |||
5% 9/1/48 | 3,000,000 | 3,305,503 | |
5.25% 9/1/53 | 4,000,000 | 4,499,528 | |
| Folsom Cordova Union School District No. 4 Series A, 0% 10/1/31 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 225,000 | 166,906 | |
| Foothill-De Anza Cmnty. College District Series 2003 B, 0% 8/1/34 (FGIC Insured) (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 4,570,000 | 3,142,324 | |
| Foothill/Eastern Trans. Corridor Agcy. Toll Road Rev.: | |||
| Series 2013 B2, 3.5% 1/15/53 (b) | 300,000 | 252,515 | |
| Series 2021 A: | |||
4% 1/15/46 | 3,621,000 | 3,422,409 | |
4% 1/15/46 | 1,089,000 | 1,055,124 | |
| Fresno Arpt. Rev. Series 2023 A, 5% 7/1/34 (Build America Mutual Assurance Insured) (d) | 1,000,000 | 1,121,910 | |
| Fresno Unified School District Series B, 3% 8/1/43 | 1,470,000 | 1,203,228 | |
| Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.: | |||
| Series 2015 A: | |||
5% 6/1/34 (Pre-Refunded to 6/1/25 @ 100) | 2,115,000 | 2,201,704 | |
5% 6/1/35 (Pre-Refunded to 6/1/25 @ 100) | 875,000 | 910,870 | |
| Series 2017 A1, 5% 6/1/28 (Pre-Refunded to 6/1/27 @ 100) | 65,000 | 70,572 | |
| Series 2021 B1, 3.85% 6/1/50 | 5,565,000 | 5,035,107 | |
| Series 2021 B2, 0% 6/1/66 | 53,175,000 | 5,379,151 | |
| Series 2022 A1, 5% 6/1/51 | 1,700,000 | 1,770,390 | |
| Grossmont-Cuyamaca Cmnty. College District Series 2018 B, 4% 8/1/47 | 1,185,000 | 1,149,146 | |
| Hastings Campus Hsg. Fin. Auth.: | |||
| Series 2020 A: | |||
5% 7/1/45 (f) | 1,800,000 | 1,540,073 | |
5% 7/1/61 (f) | 3,230,000 | 2,587,429 | |
| Series 2020 B, 0% 7/1/61 (e)(f) | 2,605,000 | 892,781 | |
| Indio Pub. Fing. Auth. Lease Rev. Series 2022 A, 4.5% 11/1/52 | 1,115,000 | 1,134,761 | |
| Inland Empire Tobacco Securitization Auth. Series 2007: | |||
| 0% 6/1/57 | 6,030,000 | 421,819 | |
| 0% 6/1/57 (f) | 17,305,000 | 1,004,661 | |
| 0% 6/1/57 (f) | 11,325,000 | 557,121 | |
| Irvine Reassessment District 12-1 Ltd. Oblig.: | |||
| Series 2012, 4% 9/2/27 | 45,000 | 45,082 | |
| Series 2012, 4% 9/2/28 | 60,000 | 60,123 | |
| Irvine Unified School District Cmnty. Facilities District Series 2017 D, 5% 3/1/57 | 770,000 | 773,189 | |
| Jurupa Unified School District Series 2019 C, 5.25% 8/1/43 | 1,050,000 | 1,142,475 | |
| Kern Cmnty. College District Gen. Oblig. Series 2006: | |||
| 0% 11/1/28 (Assured Guaranty Muni. Corp. Insured) | 600,000 | 499,668 | |
| 0% 11/1/30 (Assured Guaranty Muni. Corp. Insured) | 605,000 | 467,690 | |
| Ladera Ranch Cmnty. Facilities District 2004-1 Series 2022 A, 5% 8/15/47 | 2,500,000 | 2,527,697 | |
| Live Oak School District Ctfs. of Prtn. (2016 Rfdg. and School Fing. Projs.) Series 2016, 5% 8/1/39 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 784,616 | |
| Lodi Unified School District Series 2021, 3% 8/1/46 | 2,700,000 | 2,104,946 | |
| Lodi Unified School District School Facilities Improvment District No. 1 Series 2020, 3% 8/1/23 | 825,000 | 824,293 | |
| Long Beach Arpt. Rev.: | |||
| Series 2022 A: | |||
5% 6/1/33 | 30,000 | 35,519 | |
5% 6/1/34 | 25,000 | 29,457 | |
5% 6/1/35 | 20,000 | 23,345 | |
5% 6/1/36 | 50,000 | 57,825 | |
5% 6/1/37 | 45,000 | 51,540 | |
5% 6/1/38 | 65,000 | 73,817 | |
5% 6/1/39 | 30,000 | 33,803 | |
| Series 2022 B: | |||
5% 6/1/33 | 30,000 | 35,519 | |
5% 6/1/34 | 25,000 | 29,457 | |
5% 6/1/35 | 20,000 | 23,345 | |
5% 6/1/36 | 20,000 | 23,130 | |
5% 6/1/37 | 30,000 | 34,360 | |
5% 6/1/38 | 20,000 | 22,780 | |
5% 6/1/39 | 35,000 | 39,436 | |
| Long Beach Bond Fin. Auth. Natural Gas Purchase Rev. Series 2007 A: | |||
| 5% 11/15/29 | 600,000 | 626,415 | |
| 5.5% 11/15/37 | 900,000 | 970,586 | |
| Long Beach Hbr. Rev. Series 2019 A, 5% 5/15/39 | 480,000 | 521,439 | |
| Long Beach Marina Rev. (Alamitos Bay Marina Proj.) Series 2015: | |||
| 5% 5/15/35 | 100,000 | 102,139 | |
| 5% 5/15/40 | 540,000 | 547,054 | |
| Long Beach Unified School District: | |||
| Series 2009, 5.5% 8/1/29 | 20,000 | 20,032 | |
| Series 2015 D1, 0% 8/1/30 | 720,000 | 544,236 | |
| Los Angeles Cmnty. College District Series 2015 C, 5% 8/1/25 | 305,000 | 317,819 | |
| Los Angeles County Metropolitan Trans. Auth. Sales Tax Rev.: | |||
| Series 2013 B, 5% 7/1/36 | 1,250,000 | 1,251,478 | |
| Series 2019 A: | |||
5% 7/1/38 | 1,445,000 | 1,571,743 | |
5% 7/1/39 | 965,000 | 1,045,071 | |
| Series 2019 B: | |||
5% 7/1/34 | 240,000 | 267,238 | |
5% 7/1/36 | 1,205,000 | 1,326,565 | |
| Series 2021 A, 4% 6/1/36 | 1,750,000 | 1,845,284 | |
| Los Angeles County Pub. Works Fing. Auth. Lease Rev.: | |||
| (Lacma Bldg. for the Permanent Collection Proj.) Series 2020 A: | |||
4% 12/1/37 | 1,690,000 | 1,727,763 | |
4% 12/1/38 | 620,000 | 630,080 | |
4% 12/1/40 | 1,095,000 | 1,102,463 | |
4% 12/1/43 | 670,000 | 670,418 | |
| (Multiple Cap. Projs.) Series 2015 A, 5% 12/1/33 | 825,000 | 843,490 | |
| Series 2015 A, 5% 12/1/39 | 1,715,000 | 1,750,167 | |
| Series 2019 E1, 5% 12/1/44 | 675,000 | 731,139 | |
| Los Angeles Dept. Arpt. Rev.: | |||
| Series 2015 A, 4.75% 5/15/40 (d) | 790,000 | 790,502 | |
| Series 2016 B, 5% 5/15/41 (d) | 2,600,000 | 2,651,457 | |
| Series 2018 A: | |||
5% 5/15/34 (d) | 95,000 | 100,550 | |
5% 5/15/36 (d) | 175,000 | 183,375 | |
5% 5/15/37 (d) | 215,000 | 224,093 | |
5% 5/15/44 (d) | 1,515,000 | 1,556,035 | |
5.25% 5/15/38 (d) | 375,000 | 395,878 | |
| Series 2018 C, 5% 5/15/44 (d) | 1,565,000 | 1,607,330 | |
| Series 2018 E, 5% 5/15/43 | 1,050,000 | 1,129,265 | |
| Series 2019 D, 5% 5/15/38 (d) | 725,000 | 757,328 | |
| Series 2019 E, 5% 5/15/49 | 500,000 | 529,551 | |
| Series 2020 C: | |||
4% 5/15/50 (d) | 750,000 | 689,981 | |
5% 5/15/37 (d) | 770,000 | 820,721 | |
5% 5/15/45 (d) | 1,000,000 | 1,042,982 | |
| Series 2021 A: | |||
5% 5/15/36 (d) | 365,000 | 394,115 | |
5% 5/15/37 (d) | 270,000 | 289,210 | |
5% 5/15/38 (d) | 595,000 | 634,376 | |
5% 5/15/39 (d) | 885,000 | 940,046 | |
5% 5/15/40 (d) | 445,000 | 470,875 | |
| Series 2021 D: | |||
3% 5/15/39 (d) | 480,000 | 395,703 | |
3% 5/15/39 (Pre-Refunded to 11/15/31 @ 100) (d) | 20,000 | 19,440 | |
4% 5/15/40 (d) | 1,000,000 | 969,489 | |
| Series 2022 A, 4% 5/15/41 (d) | 2,000,000 | 1,928,214 | |
| Series 2022 G: | |||
4% 5/15/47 (d) | 2,000,000 | 1,865,856 | |
5% 5/15/47 (d) | 500,000 | 523,551 | |
5.5% 5/15/36 (d) | 400,000 | 453,186 | |
5.5% 5/15/40 (d) | 300,000 | 332,810 | |
| Series 2022 H: | |||
5.25% 5/15/47 (d) | 1,650,000 | 1,757,861 | |
5.5% 5/15/47 (d) | 1,275,000 | 1,392,040 | |
| Series 2022, 5% 5/15/48 | 1,050,000 | 1,150,621 | |
| Series B, 5% 5/15/45 | 575,000 | 627,391 | |
| Series F: | |||
4% 5/15/49 (d) | 850,000 | 782,892 | |
5% 5/15/34 (d) | 385,000 | 414,117 | |
5% 5/15/44 (d) | 1,920,000 | 1,991,406 | |
| Los Angeles Dept. of Wtr. & Pwr. Rev.: | |||
| Series 2014 E, 5% 7/1/44 | 2,410,000 | 2,442,149 | |
| Series 2016 A: | |||
5% 7/1/38 | 860,000 | 896,093 | |
5% 7/1/46 | 480,000 | 496,233 | |
| Series 2017 A, 5% 7/1/42 | 1,805,000 | 1,900,950 | |
| Series 2017 B, 5% 7/1/39 | 2,655,000 | 2,810,221 | |
| Series 2017 C: | |||
5% 7/1/37 | 1,165,000 | 1,247,396 | |
5% 7/1/38 | 240,000 | 256,309 | |
5% 7/1/42 | 3,135,000 | 3,323,368 | |
| Series 2021 B, 5% 7/1/51 | 5,225,000 | 5,651,525 | |
| Series 2021 C, 5% 7/1/40 | 255,000 | 282,768 | |
| Series 2022 B, 5% 7/1/47 | 5,750,000 | 6,322,659 | |
| Series B: | |||
5% 7/1/30 | 1,000,000 | 1,001,182 | |
5% 7/1/50 | 3,455,000 | 3,724,344 | |
| Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev.: | |||
| Series 2013 B, 5% 7/1/33 | 935,000 | 936,144 | |
| Series 2016 A, 5% 7/1/41 | 1,370,000 | 1,423,730 | |
| Series 2020 A, 5% 7/1/40 | 70,000 | 76,974 | |
| Series 2021 B, 5% 7/1/46 | 1,520,000 | 1,654,313 | |
| Series 2022 D, 5% 7/1/52 | 1,200,000 | 1,314,888 | |
| Los Angeles Hbr. Dept. Rev.: | |||
| Series 2014 A, 5% 8/1/36 (d) | 2,000,000 | 2,029,653 | |
| Series 2019 A, 5% 8/1/25 (d) | 620,000 | 638,300 | |
| Los Angeles Unified School District: | |||
| Series 2018 B1, 5.25% 7/1/42 | 7,250,000 | 7,852,839 | |
| Series 2020 A: | |||
5% 7/1/32 | 1,400,000 | 1,607,795 | |
5% 7/1/33 | 1,400,000 | 1,603,464 | |
| Series 2020 C: | |||
4% 7/1/33 | 750,000 | 802,018 | |
4% 7/1/38 | 1,170,000 | 1,187,437 | |
| Series 2022, 5% 7/1/23 | 2,500,000 | 2,503,346 | |
| Los Angeles Wastewtr. Sys. Rev.: | |||
| Series 2013 A, 5% 6/1/43 | 400,000 | 400,313 | |
| Series 2018 A, 5% 6/1/48 | 3,475,000 | 3,689,032 | |
| Metropolitan Wtr. District of Southern California Wtr. Rev. Bonds: | |||
| Series 2017 C, SIFMA Municipal Swap Index + 0.140% 3.55%, tender 6/1/23 (b)(c) | 2,445,000 | 2,437,269 | |
| Series 2017 D, SIFMA Municipal Swap Index + 0.140% 3.55%, tender 6/1/23 (b)(c) | 1,475,000 | 1,470,336 | |
| Series 2017 E, SIFMA Municipal Swap Index + 0.140% 3.55%, tender 6/1/23 (b)(c) | 1,005,000 | 1,001,822 | |
| Middle Fork Proj. Fin. Auth. Series 2020: | |||
| 5% 4/1/24 | 175,000 | 176,133 | |
| 5% 4/1/25 | 185,000 | 187,998 | |
| 5% 4/1/26 | 130,000 | 133,623 | |
| Modesto Elementary School District, Stanislaus County Series 2021 B: | |||
| 3% 8/1/46 | 380,000 | 293,640 | |
| 3% 8/1/50 | 235,000 | 175,714 | |
| Modesto Irrigation District Fing. Auth. Rev. Series 2007 F, 3 month U.S. LIBOR + 0.580% 3.905% 9/1/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured) (b)(c) | 1,410,000 | 1,401,967 | |
| Monrovia Unified School District Series B, 0% 8/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 550,000 | 440,205 | |
| Montebello Pub. Fing. Auth. (Montebello Home2 Suites by Hilton Hotel Proj.) Series 2016 A: | |||
| 5% 6/1/41 | 1,385,000 | 1,433,705 | |
| 5% 6/1/46 | 425,000 | 439,022 | |
| Moreno Valley Unified School District Series 2021 C, 3% 8/1/46 | 250,000 | 197,347 | |
| Mount Diablo Unified School District Series 2022 B: | |||
| 4% 8/1/29 | 105,000 | 112,142 | |
| 4% 8/1/31 | 735,000 | 794,483 | |
| 4% 8/1/32 | 1,095,000 | 1,181,441 | |
| 4% 8/1/33 | 85,000 | 91,522 | |
| Mount San Antonio Cmnty. College Series 2013 A, 0% 8/1/28 (e) | 395,000 | 433,259 | |
| MSR Energy Auth. Gas Rev.: | |||
| Series 2009 A: | |||
6.125% 11/1/29 | 410,000 | 436,882 | |
6.5% 11/1/39 | 1,750,000 | 2,031,593 | |
7% 11/1/34 | 1,810,000 | 2,175,721 | |
| Series 2009 B: | |||
6.5% 11/1/39 | 3,775,000 | 4,382,436 | |
7% 11/1/34 | 6,980,000 | 8,390,349 | |
| Series 2009 C: | |||
6.125% 11/1/29 | 1,250,000 | 1,332,006 | |
6.5% 11/1/39 | 905,000 | 1,050,624 | |
7% 11/1/34 | 1,205,000 | 1,448,477 | |
| Murrieta Valley Unified School District Series 2022, 5.25% 9/1/51 | 2,000,000 | 2,205,803 | |
| Napa Valley Cmnty. Cllge District Series 2018: | |||
| 4% 8/1/29 | 815,000 | 838,627 | |
| 4% 8/1/32 | 750,000 | 768,044 | |
| North Lake Tahoe Pub. Fin. Auth. Series 2022, 4.5% 12/1/52 | 1,250,000 | 1,282,075 | |
| Northern California Energy Auth. Bonds Series 2018, 4%, tender 7/1/24 (b) | 1,445,000 | 1,450,890 | |
| Northern California Gas Auth. #1 Gas Proj. Rev. Series 2007 B, 3 month U.S. LIBOR + 0.720% 4.188% 7/1/27 (b)(c) | 1,425,000 | 1,409,388 | |
| Oakland Unified School District Alameda County Series 2015 A: | |||
| 5% 8/1/29 | 210,000 | 218,641 | |
| 5% 8/1/29 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 260,554 | |
| Ocean View School District Series 2021, 3% 8/1/47 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 584,474 | |
| Oceanside Unified School District Series 2009: | |||
| 0% 8/1/24 (Escrowed to Maturity) | 70,000 | 67,327 | |
| 0% 8/1/27 | 35,000 | 30,836 | |
| 0% 8/1/27 | 315,000 | 272,764 | |
| 0% 8/1/27 (Escrowed to Maturity) | 15,000 | 13,215 | |
| 0% 8/1/27 (Escrowed to Maturity) | 40,000 | 35,241 | |
| 0% 8/1/29 | 35,000 | 29,274 | |
| 0% 8/1/29 | 655,000 | 529,028 | |
| 0% 8/1/29 (Escrowed to Maturity) | 55,000 | 46,002 | |
| 0% 8/1/29 (Escrowed to Maturity) | 80,000 | 66,912 | |
| 0% 8/1/30 | 35,000 | 28,454 | |
| 0% 8/1/30 | 840,000 | 652,666 | |
| 0% 8/1/30 (Escrowed to Maturity) | 45,000 | 36,584 | |
| Ontario Montclair School District Series 2017 A, 5% 8/1/46 | 750,000 | 788,025 | |
| Orange County San District Waste Series 2015 A, 5% 2/1/30 | 925,000 | 944,761 | |
| Oxnard Fing. Auth. Wastewtr. Rev. Series 2014, 5% 6/1/30 (Assured Guaranty Muni. Corp. Insured) | 350,000 | 355,345 | |
| Oxnard School District Series 2016 A, 5% 8/1/41 | 1,500,000 | 1,589,478 | |
| Paramount Unified School District Series 2013, 0% 8/1/43 (Pre-Refunded to 8/1/23 @ 26) | 2,910,000 | 752,229 | |
| Peninsula Corridor Joint Powers Board Series 2022 A, 5% 6/1/47 | 750,000 | 817,053 | |
| Peralta Cmnty. College District Gen. Oblig. Series 2016 A, 4% 8/1/39 | 750,000 | 736,195 | |
| Pleasant Valley School District Series 2018 B, 4% 8/1/46 | 750,000 | 730,400 | |
| Pomona Unified School District Series 2016 F, 3% 8/1/48 | 205,000 | 159,415 | |
| Port of Oakland Rev.: | |||
| Series 2021 H: | |||
5% 5/1/24 (d) | 335,000 | 338,451 | |
5% 5/1/24 (Escrowed to Maturity) (d) | 25,000 | 25,381 | |
5% 5/1/25 (d) | 1,025,000 | 1,049,634 | |
| Series H: | |||
5% 5/1/26 (d) | 585,000 | 603,436 | |
5% 5/1/27 (d) | 585,000 | 611,340 | |
| Poway Unified School District: | |||
| (District #2007-1 School Facilities Proj.) Series 2008 A, 0% 8/1/32 | 790,000 | 574,574 | |
| Series 2011, 0% 8/1/46 | 140,000 | 47,586 | |
| Series B: | |||
0% 8/1/33 | 245,000 | 170,952 | |
0% 8/1/37 | 1,395,000 | 794,454 | |
0% 8/1/38 | 235,000 | 126,822 | |
0% 8/1/39 | 3,300,000 | 1,689,223 | |
0% 8/1/41 | 750,000 | 345,158 | |
| Poway Unified School District Pub. Fing. Series 2015 A: | |||
| 5% 9/1/24 | 120,000 | 121,365 | |
| 5% 9/1/26 | 155,000 | 159,213 | |
| 5% 9/1/27 | 60,000 | 61,798 | |
| 5% 9/1/29 | 320,000 | 329,238 | |
| 5% 9/1/30 | 75,000 | 76,915 | |
| 5% 9/1/31 | 145,000 | 148,702 | |
| Rancho Cucamonga Redev. Agcy. Series 2014: | |||
| 5% 9/1/30 (Assured Guaranty Muni. Corp. Insured) | 295,000 | 302,738 | |
| 5% 9/1/31 (Assured Guaranty Muni. Corp. Insured) | 825,000 | 847,149 | |
| 5% 9/1/32 (Assured Guaranty Muni. Corp. Insured) | 775,000 | 796,147 | |
| Richmond Joint Powers Fing. Auth. Rev. Series 2019 A, 5% 11/1/36 (Assured Guaranty Muni. Corp. Insured) | 580,000 | 630,519 | |
| Richmond Wastewtr. Rev. Series 2017 A, 5.25% 8/1/47 | 1,400,000 | 1,486,380 | |
| River Islands Pub. Fing. Auth.: | |||
| Series 2022 A-1, 5.25% 9/1/52 (Assured Guaranty Muni. Corp. Insured) | 3,840,000 | 4,254,731 | |
| Series 2022, 5.25% 9/1/52 (Assured Guaranty Muni. Corp. Insured) | 425,000 | 470,649 | |
| Riverside County Trans. Commission Sales Tax Rev.: | |||
| Series 2013 A, 5.25% 6/1/39 (Pre-Refunded to 6/1/23 @ 100) | 990,000 | 990,000 | |
| Series 2016 A, 2% 6/1/29 | 430,000 | 394,400 | |
| Series 2017 B: | |||
4% 6/1/36 | 3,050,000 | 3,126,715 | |
5% 6/1/38 | 1,710,000 | 1,830,632 | |
5% 6/1/39 | 2,395,000 | 2,556,018 | |
| Riverside County Trans. Commission Toll Rev. Series 2021 B1: | |||
| 4% 6/1/37 | 560,000 | 548,024 | |
| 4% 6/1/38 | 2,150,000 | 2,079,427 | |
| 4% 6/1/46 | 2,205,000 | 2,020,086 | |
| Roseville Natural Gas Fing. Auth. Series 2007, 5% 2/15/27 | 965,000 | 984,718 | |
| Sacramento Area Flood Cont. Agcy. Series 2016 A: | |||
| 5% 10/1/36 | 500,000 | 529,776 | |
| 5% 10/1/41 | 1,490,000 | 1,560,642 | |
| Sacramento City Fing. Auth. Rev. Series A, 0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 695,000 | 612,676 | |
| Sacramento City Unified School District Series 2022 A: | |||
| 5.5% 8/1/47 | 1,500,000 | 1,662,663 | |
| 5.5% 8/1/52 | 3,000,000 | 3,315,870 | |
| Sacramento County Arpt. Sys. Rev.: | |||
| Series 2016 A, 5% 7/1/41 | 2,135,000 | 2,211,357 | |
| Series 2016 B, 5% 7/1/41 | 1,280,000 | 1,323,895 | |
| Series 2018 C, 5% 7/1/37 (d) | 590,000 | 613,586 | |
| Sacramento County Sanitation District Fing. Auth. Rev. Series 2020 A, 5% 12/1/50 | 345,000 | 374,454 | |
| Sacramento Muni. Util. District Elec. Rev. Series 2020 H, 4% 8/15/45 | 800,000 | 792,720 | |
| Sacramento Spl. Tax Greenbriar Cmnty. Facilities District No. 2018-03 Area No. 1: | |||
| Series 2021: | |||
4% 9/1/41 | 295,000 | 268,229 | |
4% 9/1/46 | 805,000 | 702,606 | |
| Series 2022: | |||
5.25% 9/1/42 (f) | 1,065,000 | 1,077,399 | |
5.25% 9/1/47 (f) | 1,060,000 | 1,063,890 | |
| Sacramento TOT Rev. Series 2018 A: | |||
| 5% 6/1/30 | 1,000,000 | 1,082,903 | |
| 5% 6/1/32 | 250,000 | 270,474 | |
| Sacramento Wtr. Rev. Series 2017, 5.25% 9/1/47 | 525,000 | 565,918 | |
| San Bernardino Unified School District (2019 Fing. Proj.) Series 2019: | |||
| 5% 10/1/36 (Assured Guaranty Muni. Corp. Insured) | 965,000 | 1,050,315 | |
| 5% 10/1/38 (Assured Guaranty Muni. Corp. Insured) | 420,000 | 452,084 | |
| San Bernardino Unified School District Gen. Oblig.: | |||
| Series 2012 A, 5% 8/1/30 (Pre-Refunded to 8/1/23 @ 100) | 50,000 | 50,130 | |
| Series 2012 F, 3% 8/1/44 (Assured Guaranty Muni. Corp. Insured) | 1,500,000 | 1,198,136 | |
| San Diego Assoc. of Governments (Mid-Coast Corridor Transit Proj.) Series 2019 A: | |||
| 5% 11/15/25 | 130,000 | 133,298 | |
| 5% 11/15/26 | 130,000 | 136,002 | |
| San Diego Cmnty. College District Series 2011, 0% 8/1/35 | 170,000 | 110,106 | |
| San Diego County Reg'l. Arpt. Auth. Arpt. Rev.: | |||
| Series 2013 B: | |||
5% 7/1/24 (Pre-Refunded to 7/1/23 @ 100) (d) | 105,000 | 105,098 | |
5% 7/1/25 (Pre-Refunded to 7/1/23 @ 100) (d) | 320,000 | 320,299 | |
5% 7/1/43 (Pre-Refunded to 7/1/23 @ 100) (d) | 1,680,000 | 1,681,572 | |
| Series 2019 A, 5% 7/1/49 | 185,000 | 194,488 | |
| Series 2021 B: | |||
4% 7/1/41 (d) | 355,000 | 333,666 | |
4% 7/1/46 (d) | 405,000 | 376,407 | |
4% 7/1/56 (d) | 555,000 | 498,773 | |
5% 7/1/46 (d) | 505,000 | 524,202 | |
5% 7/1/51 (d) | 505,000 | 520,815 | |
| San Diego County Reg'l. Trans. Commission Sales Tax Rev. Series 2016 A, 5% 4/1/48 | 2,820,000 | 2,935,176 | |
| San Diego County Wtr. Auth. Fing. Agcy. Wtr. Rev. Series 2022 A: | |||
| 5% 5/1/47 | 2,280,000 | 2,518,123 | |
| 5% 5/1/52 | 3,030,000 | 3,322,815 | |
| San Diego Pub. Facilities Fing. Auth. Lease Rev. Series 2015 A, 5% 10/15/44 | 750,000 | 775,767 | |
| San Diego Unified School District: | |||
| Series 2008 C: | |||
0% 7/1/34 | 515,000 | 352,732 | |
0% 7/1/37 | 285,000 | 166,147 | |
| Series 2008 E, 0% 7/1/47 (e) | 1,200,000 | 873,139 | |
| Series 2017 I, 5% 7/1/41 | 250,000 | 264,932 | |
| Series 2020 D2, 3% 7/1/37 | 590,000 | 523,387 | |
| Series 2020 M2, 3% 7/1/50 | 1,510,000 | 1,160,180 | |
| Series 2023 ZR 4B, 5% 7/1/40 | 805,000 | 916,758 | |
| San Francisco Bay Area Rapid Transit Fing. Auth. Series 2020, 3% 8/1/50 | 1,250,000 | 948,983 | |
| San Francisco City & County Arpts. Commission Int'l. Arpt. Rev.: | |||
| Second Series 2019 A, 5% 5/1/44 (d) | 2,950,000 | 3,052,805 | |
| Series 2017 A, 5% 5/1/47 (d) | 1,500,000 | 1,523,443 | |
| Series 2018 D, 5% 5/1/48 (d) | 1,085,000 | 1,104,769 | |
| Series 2019 A: | |||
5% 1/1/35 (d) | 860,000 | 916,604 | |
5% 1/1/37 (d) | 280,000 | 294,685 | |
5% 1/1/47 (d) | 620,000 | 637,950 | |
5% 5/1/49 (d) | 19,800,000 | 20,360,388 | |
| Series 2019 B, 5% 5/1/49 | 850,000 | 897,566 | |
| Series 2019 E: | |||
5% 5/1/38 (d) | 915,000 | 959,824 | |
5% 5/1/39 (d) | 1,045,000 | 1,093,011 | |
5% 5/1/40 (d) | 485,000 | 505,778 | |
5% 5/1/45 (d) | 2,000,000 | 2,066,190 | |
5% 5/1/50 (d) | 955,000 | 981,200 | |
| Series 2020 A, 5% 5/1/38 (d) | 1,845,000 | 1,949,803 | |
| Series 2021 A: | |||
5% 5/1/34 (d) | 1,650,000 | 1,805,911 | |
5% 5/1/35 (d) | 2,410,000 | 2,618,680 | |
| Series 2022 A: | |||
5% 5/1/26 (d) | 2,215,000 | 2,299,045 | |
5% 5/1/27 (d) | 2,245,000 | 2,356,090 | |
5% 5/1/28 (d) | 2,990,000 | 3,178,211 | |
5% 5/1/29 (d) | 2,005,000 | 2,155,637 | |
| Series 2022 B, 5% 5/1/52 | 7,420,000 | 7,979,557 | |
| San Francisco City & County Ctfs. of Prtn.: | |||
| Series 2019 A, 4% 4/1/43 | 750,000 | 741,835 | |
| Series 2021 A, 4% 4/1/38 | 1,250,000 | 1,263,616 | |
| San Francisco City & County Redev. Agcy. Successor (Mission Bay South Redev. Proj.) Series 2014 A, 5% 8/1/43 | 70,000 | 71,578 | |
| San Jose Gen. Oblig. Series 2021 A: | |||
| 5% 9/1/45 | 885,000 | 970,678 | |
| 5% 9/1/46 | 1,085,000 | 1,188,038 | |
| San Leandro Unified School District Series 2020 B, 5.25% 8/1/48 | 1,600,000 | 1,791,076 | |
| San Marcos Redev. Agcy. Successor Series 2015 A: | |||
| 5% 10/1/30 | 460,000 | 478,955 | |
| 5% 10/1/33 | 330,000 | 343,075 | |
| San Marcos Unified School District Series 2010 B, 0% 8/1/47 | 2,795,000 | 957,237 | |
| San Mateo County Cmnty. College District: | |||
| Series 2006 A, 0% 9/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,085,000 | 980,714 | |
| Series A, 0% 9/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 660,000 | 596,563 | |
| San Mateo County Joint Powers Fing. Auth. (Cap. Projs.) Series 2018 A, 5% 7/15/43 | 1,270,000 | 1,362,208 | |
| San Mateo Unified School District Series 2011 A, 0% 9/1/41 (e) | 1,750,000 | 1,670,921 | |
| Sanger Unified School District (Cap. Projs.) Series 2022: | |||
| 5% 6/1/49 (Assured Guaranty Muni. Corp. Insured) | 480,000 | 493,709 | |
| 5% 6/1/52 (Assured Guaranty Muni. Corp. Insured) | 725,000 | 725,037 | |
| Santa Ana Unified School District Series 2009 B, 0% 8/1/47 (Assured Guaranty Corp. Insured) | 500,000 | 150,560 | |
| Santa Margarita Wtr. District Spl. Tax Series 2013, 5.625% 9/1/43 | 335,000 | 336,805 | |
| Santa Monica Cmnty. College District Gen. Oblig. Series 2018 A, 5% 8/1/43 | 1,735,000 | 1,859,410 | |
| Santa Monica-Malibu Unified School District Series 2018 B, 3% 8/1/44 | 750,000 | 611,285 | |
| Santa Rosa Wastewtr. Rev. Series 2002 B, 0% 9/1/25 (AMBAC Insured) | 95,000 | 88,353 | |
| Simi Valley Unified School District Series 2020 C, 4% 8/1/50 | 1,000,000 | 960,607 | |
| South Whittier School District Gen. Oblig. Series 2019 B: | |||
| 4% 8/1/46 (Assured Guaranty Muni. Corp. Insured) | 330,000 | 321,376 | |
| 4% 8/1/48 (Assured Guaranty Muni. Corp. Insured) | 545,000 | 527,701 | |
| Southern CA Pub. Pwr. Auth. So Series 2023 1A: | |||
| 5% 7/1/48 | 8,000,000 | 8,853,460 | |
| 5.25% 7/1/53 | 7,500,000 | 8,451,104 | |
| Southern California Wtr. Replenishment Fing. Auth. Series 2018 A, 5% 8/1/48 | 3,615,000 | 3,877,662 | |
| Stockton Unified School District Gen. Oblig.: | |||
| Series 2011, 0% 8/1/42 (Assured Guaranty Muni. Corp. Insured) | 300,000 | 132,957 | |
| Series 2012 A, 5% 8/1/42 (Assured Guaranty Muni. Corp. Insured) | 3,250,000 | 3,278,201 | |
| Successor Agcy. to the Inland Valley Dev. Agcy. Tax Allocation Series 2014 A, 5.25% 9/1/37 | 1,215,000 | 1,227,335 | |
| Sunnyvale School District Series 2019 C, 3% 9/1/44 | 1,250,000 | 1,018,365 | |
| Tahoe Truckee Unified Scd Series 2016 B, 5% 8/1/41 | 250,000 | 262,362 | |
| Temecula Valley Unified School District Gen. Oblig. Series 2021 D, 3% 8/1/47 | 1,250,000 | 989,051 | |
| Tobacco Securitization Auth. Southern California Tobacco Settlement: | |||
| Series 2006 2C, 0% 6/1/46 | 2,065,000 | 334,767 | |
| Series 2019 A1: | |||
5% 6/1/25 | 420,000 | 433,487 | |
5% 6/1/27 | 295,000 | 314,079 | |
5% 6/1/28 | 85,000 | 91,928 | |
5% 6/1/29 | 55,000 | 60,238 | |
5% 6/1/48 | 770,000 | 797,609 | |
| Series 2019 B2, 0% 6/1/54 | 300,000 | 55,245 | |
| Twin Rivers Unified School District Series 2008, 0% 8/1/32 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 522,143 | |
| Univ. of California Regents Med. Ctr. Pool Rev. Series 2022 P: | |||
| 3.5% 5/15/54 | 1,950,000 | 1,641,364 | |
| 5% 5/15/47 | 8,775,000 | 9,561,816 | |
| Univ. of California Revs.: | |||
| Series 2015 AO, 3.25% 5/15/29 | 1,250,000 | 1,252,975 | |
| Series 2016 K, 5% 5/15/35 | 1,445,000 | 1,533,158 | |
| Series 2017 AV, 5% 5/15/36 | 90,000 | 96,846 | |
| Series 2017 M, 5% 5/15/47 | 1,475,000 | 1,552,183 | |
| Series 2018 O, 5.5% 5/15/58 | 4,425,000 | 4,795,092 | |
| Series 2023 BN, 5.5% 5/15/40 | 2,350,000 | 2,782,393 | |
| Val Verde Unified School District: | |||
| Series 2021 B, 4% 8/1/51 (Assured Guaranty Muni. Corp. Insured) | 2,250,000 | 2,186,670 | |
| Series 2021 F, 3% 8/1/47 (Assured Guaranty Muni. Corp. Insured) | 1,570,000 | 1,212,484 | |
| Victor Valley Ccd Series 2016 A: | |||
| 4% 8/1/39 | 400,000 | 400,722 | |
| 4% 8/1/44 | 250,000 | 246,047 | |
| Vista Unified School District Series 2022 B, 5.25% 8/1/48 | 1,000,000 | 1,113,665 | |
| Walnut Valley Unified School District Series 2022 C, 5% 8/1/45 | 250,000 | 278,581 | |
| Washington Township Health Care District Gen. Oblig. Series 2013 A, 5.5% 8/1/38 | 545,000 | 557,993 | |
| Washington Township Health Care District Rev.: | |||
| Series 2017 A, 5% 7/1/35 | 50,000 | 50,907 | |
| Series 2017 B: | |||
5% 7/1/29 | 30,000 | 30,923 | |
5% 7/1/30 | 60,000 | 61,891 | |
| West Contra Costa Healthcare District Series 2021, 3% 7/1/42 | 250,000 | 207,655 | |
| West Contra Costa Unified School District Series 2009 C1, 0% 8/1/29 | 730,000 | 589,246 | |
| West Sacramento Fing. Auth. Spl. Tax Rev. Series 2006 A, 5% 9/1/34 | 280,000 | 316,489 | |
| Westminster School District Series 2013 B, 0% 8/1/48 (Pre-Refunded to 8/1/23 @ 17.905) | 250,000 | 44,509 | |
| Yosemite Cmnty. College District Series 2010 D, 0% 8/1/42 (e) | 3,420,000 | 2,621,549 | |
TOTAL CALIFORNIA | 774,771,215 | ||
| Colorado - 1.9% | |||
| Aerotropolis Reg'l. Trans. Auth. Spl. Rev. Series 2021, 4.375% 12/1/52 | 1,945,000 | 1,452,297 | |
| Arista Metropolitan District Broomfield Gen. Oblig. and Spl. Rev. Series 2018 A, 5.125% 12/1/48 | 1,055,000 | 972,636 | |
| Arkansas River Pwr. Auth. Rev. Series 2018 A: | |||
| 5% 10/1/38 | 385,000 | 388,212 | |
| 5% 10/1/43 | 1,105,000 | 1,095,142 | |
| Berthoud-Heritage Metropolitan District No. 1 Ltd. Tax Supported Rev. Series 2019, 5.625% 12/1/48 | 1,215,000 | 1,155,602 | |
| Canyons Metropolitan District No. 5 Series 2017 A, 6.125% 12/1/47 | 500,000 | 484,305 | |
| Cherry Creek School District No. 5 Gen. Oblig.: | |||
| Series 2017 B, 2.3% 12/15/28 | 1,000,000 | 919,623 | |
| Series 2021, 5% 12/15/38 | 1,700,000 | 1,890,309 | |
| Colorado Ctfs. of Prtn.: | |||
| Series 2021 A: | |||
4% 12/15/36 | 680,000 | 691,837 | |
4% 12/15/38 | 680,000 | 685,903 | |
| Series 2022: | |||
6% 12/15/39 | 2,575,000 | 3,080,139 | |
6% 12/15/40 | 7,440,000 | 8,860,892 | |
6% 12/15/41 | 7,500,000 | 8,902,868 | |
| Colorado Edl. & Cultural Facilities Auth.: | |||
| (American Academy Proj.) Series 2020: | |||
5% 12/1/40 | 755,000 | 782,478 | |
5% 12/1/50 | 3,870,000 | 3,953,377 | |
5% 12/1/55 | 305,000 | 310,362 | |
| (Highline Academy Charter School Proj.) Series 2022, 5.25% 12/1/52 | 1,825,000 | 1,908,866 | |
| (Leman Academy of Ecellence - Douglas County, Colorado Campus Proj.) Series 2023 A: | |||
4.25% 7/1/43 | 1,745,000 | 1,669,796 | |
4.5% 7/1/58 | 1,470,000 | 1,372,178 | |
| (Pinnacle Charter School, Inc. Proj.) Series 2021: | |||
4% 12/1/36 | 290,000 | 284,275 | |
4% 12/1/41 | 355,000 | 333,785 | |
| (Prospect Ridge Academy Proj.) Series 2020 A: | |||
5% 3/15/40 | 370,000 | 382,565 | |
5% 3/15/50 | 765,000 | 780,544 | |
5% 3/15/55 | 1,130,000 | 1,146,220 | |
| (Thomas MacLaren State Charter School Proj.) Series 2020 A, 5% 6/1/35 | 110,000 | 115,924 | |
| (Windsor Charter Academy Proj.) Series 2020: | |||
4% 9/1/50 | 100,000 | 86,860 | |
4% 9/1/55 | 185,000 | 156,065 | |
| Series 2022 A: | |||
4% 6/1/52 | 250,000 | 224,415 | |
4% 6/1/56 | 250,000 | 220,089 | |
| Colorado Edl. & Cultural Facilities Auth. Rev.: | |||
| (DCS Montessori Charter School Proj.) Series 2012, 5% 7/15/37 | 115,000 | 115,128 | |
| (Liberty Common Proj.) Series 2014 A: | |||
5% 1/15/29 | 40,000 | 40,322 | |
5% 1/15/39 | 155,000 | 155,681 | |
5% 1/15/44 | 125,000 | 125,466 | |
| (Peak to Peak Charter School Proj.) Series 2014: | |||
5% 8/15/30 | 100,000 | 101,651 | |
5% 8/15/34 | 105,000 | 106,640 | |
| (Stargate Charter School Proj.) Series 2018 A, 4% 12/1/48 | 730,000 | 643,580 | |
| (The Classical Academy Proj.): | |||
Series 2014, 5% 12/1/31 | 365,000 | 371,929 | |
Series 2015 A, 5% 12/1/38 | 215,000 | 217,162 | |
| (Twin Peaks Charter Academy Proj.) Series 2014, 5% 11/15/31 | 395,000 | 402,390 | |
| (Univ. of Denver Proj.) Series 2017 A: | |||
5% 3/1/43 | 890,000 | 930,397 | |
5% 3/1/47 | 1,180,000 | 1,230,281 | |
| Series 2013, 5% 6/1/29 | 190,000 | 190,202 | |
| Series 2018: | |||
5% 4/1/38 | 65,000 | 66,622 | |
5% 4/1/48 | 75,000 | 75,793 | |
5% 4/1/53 | 80,000 | 80,647 | |
| Colorado Health Facilities Auth. Rev.: | |||
| (Mental Health Ctr. of Denver Proj.) Series 2014, 5.75% 2/1/44 | 445,000 | 446,974 | |
| (Sunny Vista Living Ctr. Proj.) Series 2015 A: | |||
5.75% 12/1/35 (f) | 215,000 | 159,041 | |
6.125% 12/1/45 (f) | 950,000 | 648,529 | |
6.25% 12/1/50 (f) | 790,000 | 532,227 | |
| (The Evangelical Lutheran Good Samaritan Society Proj.) Series 2013, 5.625% 6/1/43 (Pre-Refunded to 6/1/23 @ 100) | 255,000 | 255,000 | |
| Series 2013 A, 5% 1/1/44 (Pre-Refunded to 1/1/24 @ 100) | 985,000 | 994,626 | |
| Series 2013, 8% 8/1/43 | 1,340,000 | 1,350,762 | |
| Colorado Health Facilities Auth. Rev. Bonds: | |||
| (Adventist Health Sys. / Sunbelt Obligated Group) Series 2016 A, 5% 11/15/41 | 3,610,000 | 3,743,284 | |
| (Bethesda Proj.) Series 2018 A1, 5% 9/15/48 | 1,195,000 | 1,073,270 | |
| (Boulder Cmnty. Health Proj.) Series 2020: | |||
4% 10/1/35 | 160,000 | 160,919 | |
4% 10/1/37 | 95,000 | 92,909 | |
4% 10/1/38 | 70,000 | 67,739 | |
4% 10/1/39 | 70,000 | 67,343 | |
4% 10/1/40 | 60,000 | 56,848 | |
5% 10/1/32 | 215,000 | 232,980 | |
5% 10/1/33 | 210,000 | 226,961 | |
5% 10/1/34 | 220,000 | 237,588 | |
| (Frasier Proj.) Series 2023 A: | |||
4% 5/15/31 | 50,000 | 46,254 | |
4% 5/15/32 | 60,000 | 54,857 | |
4% 5/15/33 | 60,000 | 54,199 | |
4% 5/15/34 | 65,000 | 57,945 | |
4% 5/15/35 | 65,000 | 57,060 | |
4% 5/15/36 | 70,000 | 60,420 | |
4% 5/15/41 | 115,000 | 91,437 | |
4% 5/15/48 | 180,000 | 131,497 | |
| (Parkview Episcopal Med. Ctr., Co. Proj.) Series 2017: | |||
5% 9/1/23 | 15,000 | 15,037 | |
5% 9/1/24 | 15,000 | 15,165 | |
5% 9/1/25 | 15,000 | 15,236 | |
5% 9/1/28 | 125,000 | 130,901 | |
| (Parkview Med. Ctr., Inc. Proj.) Series 2016: | |||
4% 9/1/35 | 200,000 | 196,415 | |
4% 9/1/36 | 160,000 | 154,984 | |
5% 9/1/46 | 1,090,000 | 1,100,499 | |
| Bonds: | |||
Series 2018 B, 5%, tender 11/20/25 (b) | 65,000 | 67,250 | |
Series 2019 B, 5%, tender 8/1/26 (b) | 4,240,000 | 4,362,893 | |
| Series 2018 A: | |||
4% 11/15/48 | 60,000 | 56,779 | |
5% 12/1/48 | 250,000 | 241,926 | |
| Series 2019 A: | |||
4% 1/1/36 | 250,000 | 252,737 | |
4% 1/1/37 | 1,975,000 | 1,982,537 | |
4% 11/15/38 | 2,550,000 | 2,550,070 | |
4% 11/1/39 | 225,000 | 205,205 | |
4% 11/15/43 | 1,000,000 | 972,678 | |
5% 11/1/25 | 1,305,000 | 1,350,187 | |
5% 11/1/26 | 95,000 | 99,899 | |
5% 11/1/39 | 2,005,000 | 2,084,454 | |
5% 11/15/39 | 1,770,000 | 1,907,708 | |
5% 11/1/44 | 2,950,000 | 3,022,173 | |
| Series 2019 A1, 4% 8/1/44 | 6,100,000 | 5,642,893 | |
| Series 2019 A2: | |||
3.25% 8/1/49 | 2,060,000 | 1,480,321 | |
4% 8/1/49 | 7,225,000 | 6,498,186 | |
5% 8/1/37 | 1,000,000 | 1,043,290 | |
5% 8/1/38 | 2,790,000 | 2,902,386 | |
5% 8/1/44 | 13,445,000 | 13,835,290 | |
| Series 2019 B, 4% 1/1/40 | 550,000 | 537,952 | |
| Series 2020 A, 4% 9/1/50 | 660,000 | 575,072 | |
| Series 2021 A: | |||
3% 11/15/51 | 2,000,000 | 1,448,418 | |
4% 11/15/50 | 1,690,000 | 1,591,520 | |
| Series 2022 A: | |||
5.25% 11/1/52 | 2,680,000 | 2,785,599 | |
5.5% 11/1/47 | 2,225,000 | 2,373,299 | |
| Colorado High Performance Trans. Enterprise C-470 Express Lanes Sr. Rev. Series 2017: | |||
| 5% 12/31/47 | 3,670,000 | 3,664,691 | |
| 5% 12/31/51 | 2,625,000 | 2,601,225 | |
| 5% 12/31/56 | 3,260,000 | 3,201,960 | |
| Colorado Hsg. & Fin. Auth.: | |||
| Series 2019 F, 4.25% 11/1/49 | 350,000 | 348,154 | |
| Series 2019 H, 4.25% 11/1/49 | 890,000 | 885,571 | |
| Series 2021 B, 3% 5/1/51 | 1,890,000 | 1,812,974 | |
| Series 2023 D, 5.75% 5/1/53 | 4,980,000 | 5,279,878 | |
| Colorado Int'l. Ctr. Metropolitan District No. 14 Ltd. Tax Gen. Oblig. Series 2018, 5.875% 12/1/46 | 990,000 | 958,184 | |
| Colorado Reg'l. Trans. District (Denver Transit Partners Eagle P3 Proj.): | |||
| Series 2020 A: | |||
3% 7/15/37 | 240,000 | 203,758 | |
4% 1/15/33 | 75,000 | 76,478 | |
4% 7/15/34 | 150,000 | 152,605 | |
4% 7/15/36 | 365,000 | 365,290 | |
| Series 2020: | |||
4% 7/15/33 | 75,000 | 76,817 | |
4% 7/15/38 | 90,000 | 88,202 | |
4% 7/15/39 | 300,000 | 291,775 | |
4% 7/15/40 | 525,000 | 505,768 | |
| Colorado Reg'l. Trans. District Ctfs. of Prtn. Series 2014 A, 4.5% 6/1/44 (Pre-Refunded to 6/1/23 @ 100) | 1,725,000 | 1,725,000 | |
| Colorado Reg'l. Trans. District Sales Tax Rev.: | |||
| (FasTracks Proj.) Series 2016 A, 5% 11/1/36 | 585,000 | 613,244 | |
| (Fastracks Proj.) Series 2016 A, 5% 11/1/46 | 1,475,000 | 1,514,631 | |
| (FasTracks Proj.) Series 2017 A, 5% 11/1/40 | 2,135,000 | 2,207,477 | |
| (Fastracks Proj.) Series 2021 B, 5% 11/1/28 | 2,710,000 | 2,999,858 | |
| Series 2013 A, 5% 11/1/31 | 1,560,000 | 1,816,437 | |
| Colorado Springs Utils. Rev.: | |||
| Series 2014 A2, 5% 11/15/44 | 250,000 | 253,181 | |
| Series 2021 B, 4% 11/15/46 | 2,500,000 | 2,438,892 | |
| Series 2022 B, 5% 11/15/47 | 1,850,000 | 2,031,301 | |
| Colorado State Bldg. Excellent Schools Today Ctfs. of Prtn.: | |||
| Series 2018 N: | |||
5% 3/15/37 | 130,000 | 138,469 | |
5% 3/15/38 | 130,000 | 137,348 | |
| Series 2021 S, 4% 3/15/46 | 3,295,000 | 3,167,307 | |
| Colorado State Univ. Board of Governors Enterprise Sys. Rev. Series 2021 B, 5% 3/1/25 | 640,000 | 658,819 | |
| Denver City & County Arpt. Rev.: | |||
| Series 2013 B, 5% 11/15/43 | 365,000 | 365,906 | |
| Series 2017 A: | |||
5% 11/15/26 (d) | 420,000 | 436,956 | |
5% 11/15/27 (d) | 355,000 | 374,132 | |
| Series 2018 A: | |||
4% 12/1/43 (d) | 1,765,000 | 1,652,092 | |
5% 12/1/25 (d) | 1,000,000 | 1,026,702 | |
5% 12/1/30 (d) | 945,000 | 1,026,108 | |
5% 12/1/34 (d) | 1,370,000 | 1,520,201 | |
5% 12/1/36 (d) | 500,000 | 548,305 | |
5% 12/1/36 (d) | 2,855,000 | 2,987,037 | |
5% 12/1/37 (d) | 1,215,000 | 1,265,508 | |
5% 12/1/43 (d) | 1,625,000 | 1,668,934 | |
5% 12/1/48 (d) | 955,000 | 974,261 | |
5.25% 12/1/48 (d) | 4,130,000 | 4,277,176 | |
| Series 2022 A: | |||
4.125% 11/15/47 (d) | 740,000 | 701,366 | |
4.125% 11/15/53 (d) | 695,000 | 649,948 | |
5.5% 11/15/35 (d) | 1,075,000 | 1,228,682 | |
5.5% 11/15/38 (d) | 1,650,000 | 1,855,740 | |
5.5% 11/15/40 (d) | 1,000,000 | 1,111,734 | |
| Series 2022 D, 5.75% 11/15/38 (d) | 500,000 | 574,703 | |
| Denver City & County Board Wtr. Rev.: | |||
| Series 2020 A: | |||
5% 9/15/45 | 4,065,000 | 4,427,106 | |
5% 9/15/46 | 6,240,000 | 6,785,001 | |
| Series 2020 B: | |||
5% 9/15/28 | 1,850,000 | 2,047,464 | |
5% 9/15/29 | 3,440,000 | 3,882,444 | |
| Denver City & County Ctfs. of Prtn. Series 2018 A, 5.375% 6/1/43 | 1,625,000 | 1,684,142 | |
| Denver City & County School District # 1: | |||
| Series 2016, 4% 12/1/31 | 1,000,000 | 1,021,585 | |
| Series 2021, 4% 12/1/35 | 800,000 | 836,957 | |
| Denver City & County Spl. Facilities Arpt. Rev. (United Airlines, Inc. Proj.) Series 2017, 5% 10/1/32 (d) | 4,825,000 | 4,826,710 | |
| Denver Convention Ctr. Hotel Auth. Series 2016: | |||
| 5% 12/1/35 | 205,000 | 206,440 | |
| 5% 12/1/40 | 345,000 | 335,810 | |
| Denver Health & Hosp. Auth. Healthcare Rev.: | |||
| Series 2014 A, 5.25% 12/1/45 | 255,000 | 255,794 | |
| Series 2019 A, 4% 12/1/38 | 165,000 | 146,471 | |
| E-470 Pub. Hwy. Auth. Rev. Series 2020 A: | |||
| 5% 9/1/36 | 1,695,000 | 1,874,399 | |
| 5% 9/1/40 | 1,980,000 | 1,992,934 | |
| Eagle County School District Series 2017: | |||
| 5% 12/1/34 | 540,000 | 568,309 | |
| 5% 12/1/35 | 1,065,000 | 1,119,395 | |
| Fruita Healthcare Rev. (The Colorado Canyons Hosp. and Med. Ctr. Proj.) Series 2017 A, 5.5% 1/1/48 (f) | 250,000 | 221,436 | |
| Hogback Metropolitan District Series 2021 A, 5% 12/1/51 | 500,000 | 427,868 | |
| Johnstown Plaza Metropolitan District Series 2022, 4.25% 12/1/46 | 500,000 | 399,831 | |
| Painted Prairie Metropolitan District # 2 Series 2018, 5.25% 12/1/48 | 500,000 | 451,945 | |
| Park Creek Metropolitan District: | |||
| Series 2015 A: | |||
5% 12/1/45 | 1,125,000 | 1,134,500 | |
5% 12/1/45 | 2,740,000 | 2,747,772 | |
| Series 2016 A: | |||
5% 12/1/30 | 310,000 | 324,687 | |
5% 12/1/31 | 350,000 | 363,546 | |
5% 12/1/32 | 370,000 | 383,584 | |
5% 12/1/33 | 375,000 | 389,514 | |
5% 12/1/34 | 305,000 | 315,895 | |
5% 12/1/35 | 345,000 | 355,730 | |
| Series 2019 A: | |||
4% 12/1/37 | 250,000 | 250,203 | |
4% 12/1/46 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 476,871 | |
| Peak Metropolitan District # 1 Series 2021 A, 5% 12/1/51 (f) | 500,000 | 429,122 | |
| Pub. Auth. For Colorado Energy Rev. Series 2008: | |||
| 6.25% 11/15/28 | 1,100,000 | 1,173,593 | |
| 6.5% 11/15/38 | 5,840,000 | 6,830,850 | |
| Pueblo Urban Renewal Auth. Tax Increment Rev. (Evraz Proj.) Series 2021 A, 4.75% 12/1/45 (f) | 820,000 | 557,600 | |
| Rampart Range Metropolitan District No. 5 Ltd. Tax Supported & Spl. Rev. Series 2021, 4% 12/1/51 | 1,250,000 | 865,299 | |
| Riverwalk Metropolitan District No. 2 Rev. Series 2022 A, 5% 12/1/52 | 890,000 | 758,108 | |
| Univ. of Colorado Enterprise Sys. Rev. Bonds: | |||
| Series 2019 C, 2%, tender 10/15/24 (b) | 430,000 | 417,691 | |
| Series 2021 C3A, 2%, tender 10/15/25 (b) | 795,000 | 761,166 | |
| Series 2021 C3B, 2%, tender 10/15/26 (b) | 675,000 | 636,666 | |
| Vauxmont Metropolitan District: | |||
| Series 2019: | |||
5% 12/15/26 (Assured Guaranty Muni. Corp. Insured) | 9,000 | 9,483 | |
5% 12/15/27 | 12,000 | 12,644 | |
5% 12/15/28 (Assured Guaranty Muni. Corp. Insured) | 11,000 | 11,592 | |
5% 12/15/29 (Assured Guaranty Muni. Corp. Insured) | 11,000 | 11,587 | |
5% 12/15/32 (Assured Guaranty Muni. Corp. Insured) | 127,000 | 133,694 | |
| Series 2020: | |||
5% 12/1/30 (Assured Guaranty Muni. Corp. Insured) | 20,000 | 21,986 | |
5% 12/1/32 (Assured Guaranty Muni. Corp. Insured) | 128,000 | 140,562 | |
5% 12/1/33 (Assured Guaranty Muni. Corp. Insured) | 180,000 | 197,353 | |
5% 12/1/34 (Assured Guaranty Muni. Corp. Insured) | 26,000 | 28,338 | |
5% 12/1/35 (Assured Guaranty Muni. Corp. Insured) | 54,000 | 58,510 | |
5% 12/1/50 (Assured Guaranty Muni. Corp. Insured) | 569,000 | 593,458 | |
| Villages at Castle Rock Metropolitan District Series 2021 A, 4.125% 12/1/51 (f) | 500,000 | 356,075 | |
| Weld County School District No. 4 Series 2016, 5.25% 12/1/41 | 1,750,000 | 1,818,563 | |
| Whispering Pines Metropolitan District # 1 Series 2023, 5% 12/1/52 | 255,000 | 261,080 | |
TOTAL COLORADO | 242,361,231 | ||
| Connecticut - 0.7% | |||
| Bridgeport Gen. Oblig.: | |||
| Series 2016 D: | |||
5% 8/15/33 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 792,296 | |
5% 8/15/34 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 791,545 | |
5% 8/15/35 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 526,036 | |
5% 8/15/36 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 524,098 | |
| Series 2019 A, 5% 2/1/25 (Build America Mutual Assurance Insured) | 45,000 | 46,223 | |
| Connecticut Arpt. Auth. Customer Facility Charge Rev. (Ground Trans. Ctr. Proj.) Series 2019 A: | |||
| 4% 7/1/49 (d) | 410,000 | 337,651 | |
| 5% 7/1/49 (d) | 480,000 | 479,309 | |
| Connecticut Gen. Oblig.: | |||
| Series 2015 A, 5% 3/15/29 | 1,040,000 | 1,073,162 | |
| Series 2016 B: | |||
5% 5/15/25 | 65,000 | 67,172 | |
5% 5/15/26 | 905,000 | 953,171 | |
| Series 2016 E, 5% 10/15/34 | 1,290,000 | 1,358,616 | |
| Series 2017 A: | |||
5% 4/15/33 | 15,000 | 16,029 | |
5% 4/15/35 | 1,000,000 | 1,063,832 | |
| Series 2018 A: | |||
5% 4/15/35 | 1,180,000 | 1,276,089 | |
5% 4/15/38 | 65,000 | 69,180 | |
| Series 2018 C, 5% 6/15/28 | 250,000 | 274,072 | |
| Series 2018 E: | |||
5% 9/15/35 | 305,000 | 330,976 | |
5% 9/15/37 | 275,000 | 294,697 | |
| Series 2018 F: | |||
5% 9/15/23 | 320,000 | 321,374 | |
5% 9/15/24 | 395,000 | 403,250 | |
5% 9/15/25 | 395,000 | 410,896 | |
5% 9/15/27 | 55,000 | 59,499 | |
5% 9/15/28 | 1,200,000 | 1,321,886 | |
| Series 2019 A: | |||
4% 4/15/38 | 325,000 | 326,758 | |
5% 4/15/26 | 40,000 | 42,057 | |
5% 4/15/34 | 480,000 | 531,187 | |
5% 4/15/36 | 555,000 | 606,607 | |
5% 4/15/39 | 400,000 | 431,435 | |
| Series 2020 A: | |||
4% 1/15/34 | 535,000 | 562,813 | |
5% 1/15/40 | 285,000 | 308,752 | |
| Series 2021 A: | |||
3% 1/15/37 | 1,300,000 | 1,151,118 | |
3% 1/15/39 | 645,000 | 546,559 | |
3% 1/15/40 | 755,000 | 626,623 | |
| Series 2021 D, 5% 7/15/24 | 805,000 | 819,447 | |
| Series 2022 C: | |||
5% 6/15/32 | 150,000 | 174,189 | |
5% 6/15/33 | 75,000 | 86,945 | |
5% 6/15/34 | 100,000 | 115,511 | |
5% 6/15/35 | 75,000 | 85,762 | |
5% 6/15/36 | 125,000 | 141,618 | |
5% 6/15/37 | 50,000 | 56,152 | |
5% 6/15/38 | 75,000 | 83,778 | |
5% 6/15/40 | 300,000 | 332,532 | |
| Series 2022 D: | |||
5% 9/15/27 | 1,000,000 | 1,081,799 | |
5% 9/15/28 | 705,000 | 776,608 | |
5% 9/15/32 | 75,000 | 87,364 | |
| Connecticut Health & Edl. Facilities Auth. Rev.: | |||
| (Church Home of Hartford, Inc. Proj.) Series 2016 A: | |||
5% 9/1/46 (f) | 190,000 | 156,637 | |
5% 9/1/53 (f) | 230,000 | 182,041 | |
| (Sacred Heart Univ., CT. Proj.) Series 2017 I-1: | |||
5% 7/1/26 | 60,000 | 62,777 | |
5% 7/1/27 | 40,000 | 42,443 | |
5% 7/1/28 | 80,000 | 84,754 | |
5% 7/1/29 | 50,000 | 53,099 | |
5% 7/1/34 | 60,000 | 63,533 | |
5% 7/1/35 | 65,000 | 68,430 | |
5% 7/1/36 | 20,000 | 20,920 | |
5% 7/1/37 | 85,000 | 88,431 | |
5% 7/1/42 | 425,000 | 437,462 | |
| Bonds Series 2020 B: | |||
5%, tender 1/1/25 (b) | 155,000 | 157,565 | |
5%, tender 1/1/27 (b) | 380,000 | 396,954 | |
| Series 2016 F: | |||
5% 7/1/25 | 635,000 | 638,085 | |
5% 7/1/31 | 555,000 | 547,728 | |
5% 7/1/32 | 580,000 | 567,561 | |
5% 7/1/33 | 365,000 | 353,748 | |
5% 7/1/34 | 255,000 | 244,922 | |
5% 7/1/43 | 2,340,000 | 2,135,045 | |
| Series 2016 K, 4% 7/1/46 | 1,325,000 | 1,167,153 | |
| Series 2019 A: | |||
4% 7/1/49 | 1,365,000 | 1,148,031 | |
5% 7/1/26 (f) | 845,000 | 824,432 | |
5% 7/1/27 (f) | 490,000 | 476,537 | |
5% 7/1/49 (f) | 1,125,000 | 951,538 | |
| Series 2019 Q-1: | |||
5% 11/1/24 | 30,000 | 30,684 | |
5% 11/1/26 | 645,000 | 684,465 | |
| Series 2019, 4% 7/1/44 | 955,000 | 765,751 | |
| Series 2020 A: | |||
4% 7/1/39 | 170,000 | 161,348 | |
4% 7/1/40 | 940,000 | 888,199 | |
| Series 2020 C, 4% 7/1/45 | 235,000 | 218,395 | |
| Series 2020 K: | |||
4% 7/1/45 | 185,000 | 169,720 | |
5% 7/1/37 | 55,000 | 59,100 | |
5% 7/1/38 | 85,000 | 90,901 | |
5% 7/1/39 | 85,000 | 90,484 | |
5% 7/1/40 | 65,000 | 68,913 | |
| Series 2021 G: | |||
4% 3/1/46 | 795,000 | 752,242 | |
4% 3/1/51 | 1,280,000 | 1,197,935 | |
| Series 2021 S, 4% 6/1/51 | 730,000 | 645,796 | |
| Series 2022 M: | |||
4% 7/1/37 | 195,000 | 185,314 | |
4% 7/1/39 | 1,400,000 | 1,305,820 | |
4% 7/1/39 | 70,000 | 66,079 | |
4% 7/1/40 | 75,000 | 70,068 | |
4% 7/1/52 | 1,390,000 | 1,235,467 | |
5% 7/1/32 | 100,000 | 109,914 | |
| Series A, 5% 7/1/26 | 65,000 | 65,752 | |
| Series K1: | |||
5% 7/1/27 | 60,000 | 60,230 | |
5% 7/1/29 | 155,000 | 156,578 | |
5% 7/1/30 | 120,000 | 121,165 | |
5% 7/1/31 | 1,075,000 | 1,084,136 | |
5% 7/1/32 | 70,000 | 70,515 | |
5% 7/1/33 | 245,000 | 246,753 | |
5% 7/1/34 | 1,390,000 | 1,399,830 | |
5% 7/1/35 | 140,000 | 140,323 | |
| Series K3, 5% 7/1/43 | 1,475,000 | 1,387,608 | |
| Series L1, 4% 7/1/23 | 95,000 | 94,960 | |
| Series N: | |||
4% 7/1/39 | 1,050,000 | 892,683 | |
4% 7/1/49 | 1,120,000 | 856,842 | |
5% 7/1/32 | 30,000 | 30,480 | |
5% 7/1/33 | 30,000 | 30,409 | |
5% 7/1/34 | 15,000 | 15,164 | |
| Series R: | |||
4% 7/1/36 | 65,000 | 64,655 | |
5% 6/1/32 | 35,000 | 38,915 | |
5% 6/1/33 | 25,000 | 27,694 | |
5% 6/1/34 | 35,000 | 38,737 | |
5% 6/1/35 | 55,000 | 60,308 | |
| Connecticut Higher Ed. Supplemental Ln. Auth. Rev. Series 2019 B, 3.25% 11/15/35 (d) | 185,000 | 164,206 | |
| Connecticut Hsg. Fin. Auth.: | |||
| Series 2015 C1, 3.5% 11/15/45 | 100,000 | 99,001 | |
| Series 2019 B1, 4% 5/15/49 | 60,000 | 59,275 | |
| Series 2021 B1, 3% 11/15/49 | 1,015,000 | 970,262 | |
| Series C: | |||
5% 11/15/23 (d) | 845,000 | 849,187 | |
5% 5/15/24 (d) | 1,520,000 | 1,535,405 | |
5% 11/15/24 (d) | 705,000 | 716,559 | |
5% 11/15/25 (d) | 630,000 | 647,918 | |
| Connecticut Spl. Tax Oblig. Trans. Infrastructure Rev.: | |||
| Series 2014 A, 5% 9/1/30 | 1,000,000 | 1,019,192 | |
| Series 2016 A: | |||
5% 9/1/31 | 2,350,000 | 2,503,198 | |
5% 9/1/33 | 2,050,000 | 2,163,758 | |
| Series 2018 A: | |||
5% 1/1/33 | 1,860,000 | 2,023,057 | |
5% 1/1/38 | 1,865,000 | 1,978,407 | |
| Series 2020 A: | |||
5% 5/1/32 | 665,000 | 751,830 | |
5% 5/1/35 | 1,025,000 | 1,145,601 | |
| Series 2021 A: | |||
4% 5/1/40 | 3,250,000 | 3,241,939 | |
5% 5/1/35 | 1,900,000 | 2,149,292 | |
| Series 2022 A, 5.25% 7/1/40 | 4,000,000 | 4,539,606 | |
| Series A, 5% 9/1/33 | 320,000 | 325,532 | |
| Connecticut State Revolving Fund Gen. Rev. Series 2017 A: | |||
| 5% 5/1/33 | 875,000 | 946,758 | |
| 5% 5/1/35 | 590,000 | 634,248 | |
| Great Pond Impt. District Spl. Oblig. Series 2022: | |||
| 5.5% 10/1/42 (f) | 555,000 | 549,742 | |
| 5.75% 10/1/52 (f) | 1,495,000 | 1,478,150 | |
| Hamden Gen. Oblig. (Whitney Ctr. Proj.) Series 2019: | |||
| 5% 1/1/40 | 1,265,000 | 1,096,062 | |
| 5% 1/1/50 | 1,330,000 | 1,063,492 | |
| Hartford County Metropolitan District Gen. Oblig. Series 2016 C: | |||
| 5% 11/1/29 (Assured Guaranty Muni. Corp. Insured) | 505,000 | 535,941 | |
| 5% 11/1/30 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 530,871 | |
| Hartford Gen. Oblig. Series 2015 C: | |||
| 5% 7/15/32 (Assured Guaranty Muni. Corp. Insured) | 1,100,000 | 1,145,864 | |
| 5% 7/15/34 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 260,208 | |
| Hbr. Point Infrastructure Impt. District Series 2017: | |||
| 5% 4/1/30 (f) | 590,000 | 597,132 | |
| 5% 4/1/39 (f) | 1,820,000 | 1,801,200 | |
| Mohegan Tribal Fin. Auth. Conn Series 2015, 7% 2/1/45 (f) | 1,960,000 | 1,959,933 | |
| New Britain Gen. Oblig. Series 2017 C, 5% 3/1/29 (Assured Guaranty Muni. Corp. Insured) | 130,000 | 138,526 | |
| New Haven Gen. Oblig. Series 2016 A: | |||
| 5% 8/15/25 (Assured Guaranty Muni. Corp. Insured) | 30,000 | 30,937 | |
| 5% 8/15/32 (Assured Guaranty Muni. Corp. Insured) | 210,000 | 221,375 | |
| Steelpointe Hbr. Infrastructure Impt. District (Steelpointe Hbr. Proj.) Series 2021, 4% 4/1/51 (f) | 1,365,000 | 983,106 | |
| Stratford Gen. Oblig. Series 2019, 5% 1/1/28 | 250,000 | 264,983 | |
| Univ. of Connecticut Gen. Oblig. Series 2019 A: | |||
| 5% 11/1/25 | 660,000 | 688,299 | |
| 5% 11/1/35 | 750,000 | 813,921 | |
| Waterbury Gen. Oblig. Series 2013, 5% 12/1/32 (Pre-Refunded to 12/1/23 @ 100) | 880,000 | 887,100 | |
| West Haven Gen. Oblig. Series 2020: | |||
| 4% 3/15/35 | 197,000 | 197,920 | |
| 4% 3/15/40 | 160,000 | 152,946 | |
TOTAL CONNECTICUT | 92,178,770 | ||
| Delaware - 0.2% | |||
| Delaware Econ. Dev. Auth. Retirement Communitites Rev. Series 2018 B, 5% 11/15/48 | 2,495,000 | 2,328,347 | |
| Delaware Econ. Dev. Auth. Rev. (Newark Charter School, Inc. Proj.) Series 2016 A: | |||
| 5% 9/1/36 | 50,000 | 51,180 | |
| 5% 9/1/46 | 100,000 | 100,634 | |
| Delaware Gen. Oblig.: | |||
| Series 2019, 5% 2/1/30 | 706,000 | 792,348 | |
| Series 2020 A, 5% 1/1/31 | 706,000 | 804,692 | |
| Delaware Health Facilities Auth. Rev.: | |||
| (Beebe Med. Ctr. Proj.) Series 2018: | |||
5% 6/1/37 | 140,000 | 145,004 | |
5% 6/1/43 | 1,700,000 | 1,734,329 | |
5% 6/1/48 | 2,750,000 | 2,786,795 | |
5% 6/1/50 | 930,000 | 938,614 | |
| (Nanticoke Memorial Hosp. Proj.) Series 2013, 5% 7/1/32 (Pre-Refunded to 7/1/23 @ 100) | 300,000 | 300,355 | |
| Beebe Med. Ctr. Proj.) Series 2018, 4.375% 6/1/48 | 250,000 | 233,910 | |
| Series 2020 A: | |||
5% 10/1/36 | 1,150,000 | 1,246,270 | |
5% 10/1/45 | 2,990,000 | 3,118,485 | |
| Delaware Trans. Auth.: | |||
| (U.S. 301 Proj.) Series 2015, 5% 6/1/55 | 3,313,000 | 3,356,093 | |
| Series 2015, 5% 6/1/45 | 740,000 | 752,033 | |
| Delaware Trans. Auth. Grant Series 2020: | |||
| 5% 9/1/33 | 365,000 | 413,333 | |
| 5% 9/1/34 | 590,000 | 665,848 | |
| 5% 9/1/35 | 590,000 | 661,503 | |
| Kent County Student Hsg. & Dining Facility Rev. (CHF Dover, L.L.C. Delaware State Univ. Proj.) Series 2018 A: | |||
| 5% 7/1/32 | 35,000 | 35,326 | |
| 5% 7/1/40 | 160,000 | 153,601 | |
| 5% 7/1/48 | 415,000 | 380,600 | |
| 5% 7/1/53 | 860,000 | 774,959 | |
| 5% 7/1/58 | 1,370,000 | 1,217,572 | |
| Sussex County Rev. (Cadbury at Lewes Proj.) Series 2016, 5% 1/1/36 | 1,360,000 | 1,292,849 | |
| The Delaware Econ. Dev. Auth. Charter School Rev.: | |||
| (Aspira of Delaware Charter Operations, Inc. Proj.) Series 2022 A: | |||
3% 6/1/32 | 300,000 | 250,362 | |
4% 6/1/52 | 130,000 | 94,611 | |
4% 6/1/57 | 125,000 | 88,091 | |
| (Newark Charter School, Inc. Proj.) Series 2020: | |||
4% 9/1/30 | 35,000 | 34,757 | |
5% 9/1/40 | 185,000 | 189,684 | |
5% 9/1/50 | 245,000 | 246,963 | |
| (Newark Charter School, INC. Proj.) Series 2021, 4% 9/1/51 | 400,000 | 335,433 | |
| Univ. of Delaware Series 2019 A, 5% 11/1/41 | 750,000 | 867,470 | |
| Univ. of Delaware Rev. Bonds Series 2013 C, 3.95%, tender 11/1/37 (b) | 1,750,000 | 1,750,000 | |
TOTAL DELAWARE | 28,142,051 | ||
| District Of Columbia - 0.9% | |||
| District of Columbia Gen. Oblig.: | |||
| Series 2014 D, 5% 6/1/32 | 520,000 | 528,044 | |
| Series 2017 A, 5% 6/1/33 | 130,000 | 139,752 | |
| Series 2017 D, 5% 6/1/42 | 30,000 | 31,483 | |
| Series 2019 A, 5% 10/15/44 | 2,205,000 | 2,357,885 | |
| Series 2021 D: | |||
4% 2/1/27 | 920,000 | 952,669 | |
5% 2/1/28 | 920,000 | 1,007,650 | |
5% 2/1/29 | 1,220,000 | 1,359,906 | |
| Series 2021 E, 5% 2/1/29 | 2,580,000 | 2,875,867 | |
| Series 2023 A, 5.25% 1/1/48 | 3,000,000 | 3,361,653 | |
| District of Columbia Hosp. Rev. Series 2015: | |||
| 5% 7/15/29 | 225,000 | 234,169 | |
| 5% 7/15/30 | 365,000 | 379,120 | |
| District of Columbia Income Tax Rev.: | |||
| Series 2022 A: | |||
5% 7/1/36 | 500,000 | 571,596 | |
5.5% 7/1/47 | 4,025,000 | 4,556,651 | |
| Series 2022 C, 5% 12/1/32 | 1,130,000 | 1,338,250 | |
| District of Columbia Rev.: | |||
| (Ingleside at Rock Creek Proj.) Series 2017 A: | |||
5% 7/1/32 | 535,000 | 517,167 | |
5% 7/1/37 | 555,000 | 511,640 | |
5% 7/1/42 | 925,000 | 810,204 | |
5% 7/1/52 | 2,115,000 | 1,738,249 | |
| Series 2009 A: | |||
5.125% 1/1/35 | 220,000 | 192,380 | |
5.25% 1/1/39 | 140,000 | 119,218 | |
| Series 2013 A, 6% 7/1/43 (Pre-Refunded to 7/1/23 @ 100) | 305,000 | 305,572 | |
| Series 2016 A: | |||
5% 6/1/36 | 420,000 | 425,331 | |
5% 6/1/41 | 275,000 | 275,617 | |
5% 6/1/46 | 405,000 | 403,113 | |
| Series 2017 B: | |||
5% 7/1/42 | 2,230,000 | 2,241,733 | |
5% 7/1/48 | 1,735,000 | 1,727,365 | |
| Series 2018: | |||
5% 10/1/23 | 20,000 | 20,087 | |
5% 10/1/25 | 30,000 | 30,839 | |
5% 10/1/26 | 55,000 | 57,313 | |
5% 10/1/27 | 60,000 | 63,488 | |
5% 10/1/43 | 200,000 | 204,678 | |
5% 10/1/48 | 5,055,000 | 5,134,792 | |
| Series 2019: | |||
4% 7/1/39 | 1,020,000 | 922,215 | |
4% 7/1/44 | 60,000 | 51,707 | |
4% 7/1/49 | 765,000 | 638,573 | |
| Series 2020: | |||
5% 6/1/50 | 240,000 | 218,024 | |
5% 6/1/55 | 250,000 | 223,748 | |
| District of Columbia Student Dorm. Rev.: | |||
| Series 2013 A, 5% 10/1/35 | 960,000 | 940,306 | |
| Series 2013: | |||
5% 10/1/30 | 730,000 | 729,985 | |
5% 10/1/45 | 440,000 | 417,838 | |
| District of Columbia Tax Increment Rev.: | |||
| (Union Market Infastructure Proj.) Series 2021 A, 0% 6/1/46 (e)(f) | 500,000 | 315,613 | |
| (Union Market Infrastructure Proj.) Series 2021 A, 0% 6/1/31 (e)(f) | 100,000 | 76,346 | |
| District of Columbia Tobacco Settlement Fing. Corp.: | |||
| Series 2006 A, 0% 6/15/46 | 15,830,000 | 3,610,747 | |
| Series 2006 B, 0% 6/15/46 | 3,230,000 | 616,538 | |
| District of Columbia Univ. Rev. Series 2017, 5% 4/1/35 | 640,000 | 675,858 | |
| District of Columbia Wtr. & Swr. Auth. Pub. Util. Rev.: | |||
| Bonds Series 2019 C, 1.75%, tender 10/1/24 (b) | 205,000 | 198,338 | |
| Series 2013 A, 5% 10/1/48 (Pre-Refunded to 10/1/23 @ 100) | 1,520,000 | 1,527,935 | |
| Series 2015 A, 5% 10/1/27 | 595,000 | 619,618 | |
| Howard Univ. 4.756% 10/1/51 | 250,000 | 204,331 | |
| Metropolitan Washington Arpts. Auth. Dulles Toll Road Rev.: | |||
| (Dulles Metrorail And Cap. Impt. Proj.) Series 2019 B, 4% 10/1/53 (Assured Guaranty Muni. Corp. Insured) | 400,000 | 370,413 | |
| (Dulles Metrorail and Cap. Impt. Projs.): | |||
Series 2019 A: | |||
5% 10/1/31 | 505,000 | 542,220 | |
5% 10/1/32 | 635,000 | 681,342 | |
5% 10/1/33 | 70,000 | 75,028 | |
5% 10/1/34 | 110,000 | 117,667 | |
5% 10/1/36 | 110,000 | 116,404 | |
5% 10/1/38 | 95,000 | 99,798 | |
5% 10/1/44 | 3,550,000 | 3,703,971 | |
Series 2019 B, 3% 10/1/50 (Assured Guaranty Muni. Corp. Insured) | 2,760,000 | 2,047,427 | |
| (Dulles Metrorail And Cap. Impt. Projs.) Series 2019 B, 4% 10/1/49 | 4,470,000 | 4,082,113 | |
| (Dulles Metrorail and Cap. Impt. Projs.) Series 2019 B, 5% 10/1/47 | 480,000 | 495,510 | |
| (Dulles Metrorail and Cap. Impts. Projs.) Series 2022 A, 4% 10/1/52 (Assured Guaranty Muni. Corp. Insured) | 4,690,000 | 4,354,698 | |
| Series 2009 B: | |||
0% 10/1/37 | 1,800,000 | 1,003,996 | |
0% 10/1/38 | 1,405,000 | 726,458 | |
0% 10/1/39 | 280,000 | 136,984 | |
0% 10/1/40 | 705,000 | 325,234 | |
| Series 2009 C, 6.5% 10/1/41 (Pre-Refunded to 10/1/26 @ 100) | 1,270,000 | 1,406,596 | |
| Series 2010 B, 6.5% 10/1/44 | 3,705,000 | 4,155,812 | |
| Series 2019 B, 4% 10/1/49 | 425,000 | 403,953 | |
| Metropolitan Washington DC Arpts. Auth. Sys. Rev.: | |||
| Series 2013 A: | |||
5% 10/1/26 (d) | 285,000 | 286,299 | |
5% 10/1/27 (d) | 360,000 | 361,641 | |
5% 10/1/28 (d) | 260,000 | 261,185 | |
| Series 2014 A: | |||
5% 10/1/28 (d) | 750,000 | 759,398 | |
5% 10/1/29 (d) | 4,035,000 | 4,088,342 | |
| Series 2017 A: | |||
5% 10/1/28 (d) | 810,000 | 853,758 | |
5% 10/1/30 (d) | 1,005,000 | 1,057,181 | |
5% 10/1/31 (d) | 175,000 | 183,785 | |
5% 10/1/32 (d) | 270,000 | 283,837 | |
5% 10/1/33 (d) | 135,000 | 141,903 | |
5% 10/1/35 (d) | 305,000 | 318,500 | |
5% 10/1/42 (d) | 605,000 | 619,867 | |
| Series 2018 A: | |||
5% 10/1/43 (d) | 3,150,000 | 3,240,215 | |
5% 10/1/48 (d) | 3,615,000 | 3,694,309 | |
| Series 2019 A: | |||
5% 10/1/25 (d) | 430,000 | 442,031 | |
5% 10/1/35 (d) | 250,000 | 265,881 | |
| Series 2019 B, 5% 10/1/25 | 105,000 | 109,224 | |
| Series 2020 A: | |||
4% 10/1/38 (d) | 1,800,000 | 1,769,675 | |
5% 10/1/26 (d) | 1,565,000 | 1,628,827 | |
5% 10/1/27 (d) | 540,000 | 568,513 | |
5% 10/1/28 (d) | 270,000 | 286,704 | |
| Series 2021 A: | |||
5% 10/1/31 (d) | 1,280,000 | 1,395,182 | |
5% 10/1/32 (d) | 850,000 | 926,209 | |
5% 10/1/34 (d) | 2,130,000 | 2,321,732 | |
5% 10/1/36 (d) | 500,000 | 535,732 | |
5% 10/1/46 (d) | 1,180,000 | 1,224,326 | |
| Series 2023 A, 5.25% 10/1/48 (d)(h) | 4,000,000 | 4,270,509 | |
| Washington D.C. Metropolitan Transit Auth. Rev.: | |||
| Series 2017 B, 5% 7/1/33 | 255,000 | 272,235 | |
| Series 2018, 5% 7/1/43 | 1,315,000 | 1,373,063 | |
| Washington Metropolitan Area Transit Auth.: | |||
| Series 2021 A, 3% 7/15/36 | 750,000 | 697,832 | |
| Series 2023 A, 5.5% 7/15/51 | 5,600,000 | 6,331,868 | |
| Series 2023, 4.125% 7/15/47 | 2,785,000 | 2,732,858 | |
TOTAL DISTRICT OF COLUMBIA | 114,609,446 | ||
| Florida - 3.0% | |||
| Alachua County Health Facilities Auth. Continuing Care Retirement Cmnty. Rev. (Oak Hammock at The Univ. of Florida, Inc. Proj.) Series 2022: | |||
| 4% 10/1/40 | 140,000 | 110,076 | |
| 4% 10/1/46 | 190,000 | 138,417 | |
| Alachua County Health Facilities Auth. Health Facilities Rev.: | |||
| (East Ridge Retirement Villiage, Inc. Proj.) Series 2014: | |||
6% 11/15/34 | 800,000 | 615,744 | |
6.375% 11/15/49 | 1,330,000 | 930,398 | |
| Series 2014 A, 5% 12/1/44 | 3,840,000 | 3,822,414 | |
| Series 2019 B1: | |||
5% 12/1/35 | 210,000 | 221,918 | |
5% 12/1/36 | 360,000 | 376,790 | |
5% 12/1/37 | 475,000 | 493,223 | |
| Atlantic Beach Health Care Facilities Series A, 5% 11/15/43 | 55,000 | 48,040 | |
| Avenir Cmnty. Dev. District: | |||
| Assessment Area Three - Master Infrastructure Proj. Series 2023, 5.375% 5/1/43 | 700,000 | 670,673 | |
| Series 2023, 5.625% 5/1/54 | 800,000 | 765,782 | |
| Bellalago Edl. Facilities Benefit District Series 2014: | |||
| 4.375% 5/1/30 | 220,000 | 221,728 | |
| 4.5% 5/1/33 | 100,000 | 100,573 | |
| Boggy Creek Impt. District Spl. Assessment Rev. Series 2013, 5.125% 5/1/43 | 1,245,000 | 1,244,890 | |
| Brevard County Health Facilities Auth. Health Care Facilities Rev. (Health First, Inc. Proj.) Series 2014, 5% 4/1/39 | 885,000 | 891,739 | |
| Brevard County Health Facilities Auth. Rev.: | |||
| Series 2022 A, 5% 4/1/40 | 1,905,000 | 2,018,633 | |
| Series 2023 A, 5% 4/1/32 | 130,000 | 143,137 | |
| Brevard County School Board Ctfs. of Prtn. Series 2015 C, 5% 7/1/28 | 210,000 | 216,302 | |
| Broward County Arpt. Sys. Rev.: | |||
| Series 2012 Q1, 5% 10/1/25 | 635,000 | 635,627 | |
| Series 2013 C, 5.25% 10/1/30 (Pre-Refunded to 10/1/23 @ 100) | 605,000 | 608,650 | |
| Series 2015 A: | |||
5% 10/1/40 (d) | 3,230,000 | 3,258,447 | |
5% 10/1/45 (d) | 5,300,000 | 5,322,946 | |
| Series 2015 C, 5% 10/1/24 (d) | 305,000 | 309,503 | |
| Series 2017: | |||
5% 10/1/25 (d) | 30,000 | 30,731 | |
5% 10/1/26 (d) | 120,000 | 124,627 | |
5% 10/1/27 (d) | 120,000 | 126,189 | |
5% 10/1/29 (d) | 325,000 | 341,934 | |
5% 10/1/30 (d) | 90,000 | 94,747 | |
5% 10/1/32 (d) | 425,000 | 447,128 | |
5% 10/1/33 (d) | 160,000 | 168,181 | |
5% 10/1/34 (d) | 155,000 | 162,468 | |
5% 10/1/35 (d) | 185,000 | 192,963 | |
5% 10/1/36 (d) | 245,000 | 254,317 | |
5% 10/1/37 (d) | 270,000 | 279,152 | |
5% 10/1/42 (d) | 2,650,000 | 2,709,874 | |
5% 10/1/47 (d) | 1,535,000 | 1,561,274 | |
| Series 2019 A: | |||
5% 10/1/25 (d) | 480,000 | 491,704 | |
5% 10/1/26 (d) | 360,000 | 373,881 | |
5% 10/1/28 (d) | 360,000 | 382,272 | |
5% 10/1/38 (d) | 640,000 | 671,460 | |
5% 10/1/39 (d) | 960,000 | 1,004,090 | |
5% 10/1/44 (d) | 745,000 | 770,456 | |
5% 10/1/49 (d) | 1,695,000 | 1,741,164 | |
| Series A: | |||
5% 10/1/28 (d) | 365,000 | 372,706 | |
5% 10/1/30 (d) | 425,000 | 434,626 | |
5% 10/1/31 (d) | 365,000 | 373,250 | |
5% 10/1/32 (d) | 340,000 | 347,575 | |
| Broward County Convention Ctr. Series 2022, 5.5% 1/1/55 | 3,800,000 | 4,193,338 | |
| Broward County Port Facilities Rev.: | |||
| Series 2019 B: | |||
5% 9/1/32 (d) | 2,500,000 | 2,694,711 | |
5% 9/1/33 (d) | 2,075,000 | 2,234,192 | |
| Series 2022, 5.25% 9/1/47 (d) | 2,000,000 | 2,118,771 | |
| Broward County School Board Ctfs. of Prtn.: | |||
| (Broward County School District Proj.) Series 2016 A, 5% 7/1/28 | 170,000 | 178,428 | |
| Series 2015 A: | |||
5% 7/1/27 | 120,000 | 124,089 | |
5% 7/1/27 (Assured Guaranty Muni. Corp. Insured) | 560,000 | 579,082 | |
| Series 2015 B: | |||
5% 7/1/24 | 335,000 | 340,323 | |
5% 7/1/31 | 2,110,000 | 2,166,482 | |
5% 7/1/32 | 1,930,000 | 1,978,937 | |
| Series 2016: | |||
5% 7/1/26 | 95,000 | 100,080 | |
5% 7/1/32 | 325,000 | 338,594 | |
| Broward County School District Series 2022, 5% 7/1/46 | 1,420,000 | 1,535,681 | |
| Cap. Projs. Fin. Auth. Student Hsg. Rev.: | |||
| (Cap. Projs. Ln. Prog. - Florida Univs.) Series 2020 A: | |||
5% 10/1/30 | 760,000 | 793,589 | |
5% 10/1/31 | 100,000 | 104,100 | |
5% 10/1/34 | 190,000 | 194,791 | |
| Series 2020 A1: | |||
5% 10/1/32 | 100,000 | 103,719 | |
5% 10/1/33 | 100,000 | 103,276 | |
| Cap. Region Cmnty. Dev. District Series 2018 A1: | |||
| 4.625% 5/1/28 | 20,000 | 20,066 | |
| 5.125% 5/1/39 | 130,000 | 129,017 | |
| Cap. Trust Agcy. Edl. Facilities Rev.: | |||
| (Liza Jackson Preparatory School, Inc. Proj.) Series 2020 A: | |||
4% 8/1/30 | 20,000 | 19,692 | |
5% 8/1/55 | 100,000 | 96,751 | |
| Series 2020 A, 5% 8/1/40 | 30,000 | 30,098 | |
| Cap. Trust Agcy. Rev.: | |||
| (Aero Miami FX, LLC Proj.) Series 2010 A, 5.35% 7/1/29 | 1,440,000 | 1,443,138 | |
| (The Marie Selby Botanical Gardens, Inc. Proj.) Series 2021: | |||
4% 6/15/24 (f) | 100,000 | 98,971 | |
4% 6/15/41 (f) | 380,000 | 304,113 | |
4% 6/15/51 (f) | 530,000 | 384,737 | |
| Cap. Trust Agcy. Student Hsg. Rev. Series 2018 A, 5.25% 12/1/58 (f) | 1,285,000 | 1,154,713 | |
| Cape Coral Wtr. & Swr. Rev. Series 2017: | |||
| 4% 10/1/42 | 3,415,000 | 3,330,126 | |
| 5% 10/1/39 | 1,205,000 | 1,256,986 | |
| Celebration Pointe Cmnty. Dev. District No. 1 Spl. Assessment Rev.: | |||
| Series 2014: | |||
4.75% 5/1/24 | 30,000 | 30,110 | |
5.125% 5/1/45 | 135,000 | 130,257 | |
| Series 2017, 5% 5/1/32 | 150,000 | 151,606 | |
| Series 2021: | |||
3% 5/1/31 | 55,000 | 48,310 | |
3.375% 5/1/41 | 200,000 | 153,176 | |
4% 5/1/53 | 355,000 | 275,116 | |
| Central Florida Expressway Auth. Sr. Lien Rev.: | |||
| Orlando & Orange County Expressway Auth. Rev. Series 2017, 5% 7/1/39 | 130,000 | 136,211 | |
| Series 2016 B, 5% 7/1/34 | 530,000 | 550,442 | |
| Series 2017, 5% 7/1/42 | 1,545,000 | 1,609,708 | |
| Series 2021: | |||
4% 7/1/34 (Assured Guaranty Muni. Corp. Insured) | 235,000 | 249,185 | |
4% 7/1/35 (Assured Guaranty Muni. Corp. Insured) | 230,000 | 242,068 | |
4% 7/1/37 (Assured Guaranty Muni. Corp. Insured) | 255,000 | 260,088 | |
4% 7/1/38 (Assured Guaranty Muni. Corp. Insured) | 235,000 | 237,945 | |
4% 7/1/39 (Assured Guaranty Muni. Corp. Insured) | 195,000 | 195,942 | |
5% 7/1/32 (Assured Guaranty Muni. Corp. Insured) | 190,000 | 219,978 | |
5% 7/1/33 (Assured Guaranty Muni. Corp. Insured) | 170,000 | 195,965 | |
| Charlotte County Fla Indl. Dev. Auth. (Town & Country Utils. Proj.) Series 2021 A, 4% 10/1/51 (d)(f) | 500,000 | 375,945 | |
| Cityplace Cmnty. Dev. District Series 2012, 5% 5/1/26 | 465,000 | 476,305 | |
| Collier County Health Facilities Auth. Series 2022, 4% 5/1/52 | 1,300,000 | 1,099,493 | |
| Collier County Indl. Dev. Auth.: | |||
| (The Arlington of Naples Proj.) Series 2013 A, 8.125% 5/15/44 (f) | 210,774 | 23,185 | |
| Series 2013 A, 7.75% 5/15/35 (f) | 136,613 | 15,027 | |
| County of Broward Tourist Dev. Tax Rev. (Convention Ctr. Expansion Proj.) Series 2021: | |||
| 4% 9/1/39 | 1,285,000 | 1,265,992 | |
| 4% 9/1/40 | 440,000 | 429,822 | |
| County of Osceola (Poinciana Parkway Proj.) Series 2014 B2, 0% 10/1/36 (Pre-Refunded to 10/1/31 @ 100) (e) | 250,000 | 281,396 | |
| County Wtr.-Swr. District Collier County Wtr. Rev. Series 2021: | |||
| 4% 7/1/40 | 2,465,000 | 2,430,611 | |
| 4% 7/1/44 | 1,475,000 | 1,449,141 | |
| Davie Edl. Facilities Rev. (Nova Southeastern Univ. Proj.) Series 2018, 5% 4/1/38 | 365,000 | 380,230 | |
| Del Webb Bexley Cmnty. Dev. District Series 2018: | |||
| 5.3% 5/1/39 | 145,000 | 145,658 | |
| 5.4% 5/1/49 | 185,000 | 180,765 | |
| Double Branch Cmnty. Dev. District Spl. Assessment Series 2013 A1, 4% 5/1/25 | 35,000 | 35,001 | |
| Duval County School Board Ctfs. of Prtn.: | |||
| Series 2015 B: | |||
5% 7/1/28 | 250,000 | 257,959 | |
5% 7/1/29 | 355,000 | 366,085 | |
5% 7/1/32 | 1,485,000 | 1,528,659 | |
| Series 2016 A, 5% 7/1/33 | 160,000 | 166,218 | |
| Series 2022 A, 5% 7/1/34 (Assured Guaranty Muni. Corp. Insured) | 1,150,000 | 1,278,622 | |
| Epperson North Cmnty. Dev. District Series 2021 A: | |||
| 3.4% 11/1/41 | 245,000 | 185,421 | |
| 4% 11/1/51 | 380,000 | 293,572 | |
| Escambia County Health Facilities Auth. Health Facilities Rev. Series 2020 A: | |||
| 4% 8/15/45 | 705,000 | 618,075 | |
| 4% 8/15/50 | 3,875,000 | 3,288,613 | |
| Everest Gmr Cmnty. Dev. District Fla Series 2023, 6.2% 5/1/54 | 1,000,000 | 985,053 | |
| FAU Fin. Corp. Cap. Impt. (Student Hsg. Proj.) Series 2019 A: | |||
| 5% 7/1/36 | 965,000 | 1,036,943 | |
| 5% 7/1/38 | 965,000 | 1,024,128 | |
| 5% 7/1/39 | 600,000 | 632,874 | |
| Florida Board of Ed. Pub. Ed. Cap. Outlay: | |||
| Series 2015 C, 3.15% 6/1/29 | 750,000 | 750,271 | |
| Series 2017 C, 4% 6/1/32 | 1,250,000 | 1,302,841 | |
| Series 2023 A, 5% 6/1/24 | 1,275,000 | 1,296,732 | |
| Florida Dept. of Trans. Tpk. Rev.: | |||
| Series 2014 A, 4% 7/1/32 | 750,000 | 757,386 | |
| Series 2015 A, 3.5% 7/1/29 | 1,220,000 | 1,226,482 | |
| Series 2021 C, 3% 7/1/51 | 1,350,000 | 1,014,401 | |
| Florida Dev. Fin. Corp.: | |||
| (The Glenridge On Palmer Ranch Proj.) Series 2021, 5% 6/1/51 (f) | 1,790,000 | 1,398,265 | |
| (The Mayflower Retirement Cmnty. Proj.) Series 2021 A: | |||
4% 6/1/36 (f) | 170,000 | 129,352 | |
4% 6/1/46 (f) | 105,000 | 68,456 | |
| Series 2021 A, 4% 6/1/41 (f) | 100,000 | 70,046 | |
| Florida Dev. Fin. Corp. Edl. Facilities: | |||
| (Mater Academy Projs.): | |||
Series 2020 A, 5% 6/15/55 | 500,000 | 473,391 | |
Series 2022 A: | |||
4% 6/15/52 | 195,000 | 155,057 | |
5% 6/15/52 | 485,000 | 463,131 | |
5% 6/15/56 | 345,000 | 325,409 | |
| (River City Science Academy Projs.): | |||
Series 2021 A: | |||
4% 7/1/35 | 30,000 | 27,956 | |
4% 7/1/45 | 55,000 | 45,455 | |
4% 7/1/55 | 80,000 | 62,117 | |
Series 2022 A1: | |||
5% 7/1/42 | 915,000 | 908,353 | |
5% 7/1/51 | 825,000 | 792,242 | |
5% 2/1/57 | 1,460,000 | 1,372,133 | |
| Series 2015 A, 6.125% 6/15/46 (f) | 730,000 | 730,598 | |
| Series 2016 A, 4.75% 7/15/36 (f) | 300,000 | 283,981 | |
| Series 2017 A, 6.125% 6/15/47 (f) | 250,000 | 227,954 | |
| Series 2020 C: | |||
5% 9/15/40 (f) | 105,000 | 92,451 | |
5% 9/15/50 (f) | 210,000 | 171,352 | |
| Series 2021 A, 4% 7/1/51 (f) | 135,000 | 110,867 | |
| Florida Dev. Fin. Corp. Healthcare Facility Rev.: | |||
| (UF Health Jacksonville Proj.) Series 2022 A: | |||
4% 2/1/46 (Assured Guaranty Muni. Corp. Insured) | 1,385,000 | 1,231,293 | |
4% 2/1/52 | 300,000 | 226,032 | |
5% 2/1/52 | 445,000 | 410,886 | |
| Series 2021 B, 4% 2/1/52 | 250,000 | 218,048 | |
| Florida Dev. Fin. Corp. Solid Waste Disp. Rev. Series 2021, 3% 6/1/32 (d) | 760,000 | 593,752 | |
| Florida Dev. Fin. Corp. Surface T: | |||
| Bonds (Virgin Trains U.S.A. Passenger Rail Proj.) Series 2019 A, 6.5%, tender 1/1/29 (b)(d)(f) | 790,000 | 749,058 | |
| Series 2019 B, 7.375% 1/1/49 (d)(f) | 2,195,000 | 2,112,718 | |
| Florida Gen. Oblig. Series 2019 A: | |||
| 4% 7/1/33 | 290,000 | 305,826 | |
| 4% 7/1/34 | 445,000 | 466,236 | |
| Florida Higher Edl. Facilities Fing. Auth.: | |||
| (Jacksonville Univ. Proj.) Series 2018 A1: | |||
4.5% 6/1/33 (f) | 705,000 | 680,757 | |
4.75% 6/1/38 (f) | 1,605,000 | 1,490,886 | |
5% 6/1/48 (f) | 3,480,000 | 3,114,952 | |
| (Nova Southeastern Univ. Proj.) Series 2016: | |||
5% 4/1/30 | 160,000 | 165,684 | |
5% 4/1/31 | 375,000 | 388,091 | |
5% 4/1/32 | 245,000 | 253,470 | |
5% 4/1/36 | 140,000 | 144,039 | |
| (Ringling College Proj.) Series 2017, 4% 3/1/47 | 250,000 | 205,537 | |
| (St. Leo Univ. Proj.) Series 2019: | |||
5% 3/1/24 | 15,000 | 15,022 | |
5% 3/1/25 | 45,000 | 45,004 | |
5% 3/1/49 | 270,000 | 231,650 | |
| Series 2019: | |||
4% 10/1/37 | 240,000 | 216,426 | |
4% 10/1/38 | 335,000 | 297,779 | |
4% 10/1/39 | 400,000 | 352,173 | |
4% 10/1/44 | 625,000 | 531,489 | |
5% 10/1/23 | 15,000 | 15,025 | |
5% 10/1/27 | 35,000 | 36,028 | |
5% 10/1/31 | 195,000 | 203,444 | |
5% 10/1/33 | 270,000 | 280,214 | |
5% 10/1/34 | 225,000 | 232,852 | |
5% 10/1/35 | 125,000 | 128,621 | |
5% 10/1/36 | 170,000 | 173,755 | |
| Florida Hsg. Fin. Corp. Rev.: | |||
| (Spl. Prog.) Series 2014 B, 3% 7/1/45 | 10,000 | 9,986 | |
| Series 2019 1, 4% 7/1/50 | 695,000 | 687,463 | |
| Series 2021 1, 3% 1/1/52 | 1,390,000 | 1,335,657 | |
| Series 2021 2, 3% 7/1/52 | 1,660,000 | 1,586,642 | |
| Series 2022 1, 3.5% 7/1/52 | 2,130,000 | 2,067,329 | |
| Florida Mid-Bay Bridge Auth. Rev.: | |||
| Series 2015 A: | |||
5% 10/1/28 | 120,000 | 122,132 | |
5% 10/1/29 | 815,000 | 830,085 | |
5% 10/1/35 | 2,880,000 | 2,920,990 | |
5% 10/1/40 | 480,000 | 481,806 | |
| Series 2015 C: | |||
5% 10/1/30 | 400,000 | 406,474 | |
5% 10/1/35 | 110,000 | 111,152 | |
5% 10/1/40 | 245,000 | 245,120 | |
| Florida Muni. Pwr. Agcy. Rev.: | |||
| (Pwr. Supply Proj.) Series 2017 A: | |||
5% 10/1/26 | 500,000 | 529,238 | |
5% 10/1/28 | 20,000 | 21,978 | |
| (Requirements Pwr. Supply Proj.) Series 2016 A: | |||
5% 10/1/30 | 320,000 | 335,302 | |
5% 10/1/31 | 350,000 | 365,839 | |
| Series 2015 B: | |||
5% 10/1/28 | 120,000 | 124,226 | |
5% 10/1/29 | 70,000 | 72,306 | |
5% 10/1/30 | 220,000 | 227,000 | |
| Fort Myers Util. Sys. Rev. Series 2019 A, 4% 10/1/49 | 580,000 | 550,402 | |
| Fort Pierce Utils. Auth. Series 2022 A, 4% 10/1/52 (Assured Guaranty Muni. Corp. Insured) | 965,000 | 908,079 | |
| Gainesville Utils. Sys. Rev.: | |||
| Series 2017 A, 5% 10/1/35 | 280,000 | 300,353 | |
| Series 2019 A, 5% 10/1/47 | 2,000,000 | 2,110,959 | |
| Greater Orlando Aviation Auth. Arpt. Facilities Rev.: | |||
| Series 2016 A, 5% 10/1/46 (d) | 120,000 | 121,887 | |
| Series 2016: | |||
5% 10/1/24 (d) | 365,000 | 369,441 | |
5% 10/1/26 (d) | 210,000 | 218,097 | |
5% 10/1/27 (d) | 120,000 | 126,189 | |
| Series 2017 A: | |||
5% 10/1/25 (d) | 40,000 | 40,886 | |
5% 10/1/25 (Escrowed to Maturity) (d) | 80,000 | 82,256 | |
5% 10/1/27 (d) | 55,000 | 57,545 | |
5% 10/1/27 (Escrowed to Maturity) (d) | 185,000 | 196,596 | |
5% 10/1/29 (Pre-Refunded to 10/1/27 @ 100) (d) | 365,000 | 390,154 | |
5% 10/1/30 (Pre-Refunded to 10/1/27 @ 100) (d) | 390,000 | 416,876 | |
5% 10/1/31 (d) | 1,050,000 | 1,105,287 | |
5% 10/1/32 (d) | 295,000 | 310,359 | |
5% 10/1/34 (d) | 730,000 | 765,170 | |
5% 10/1/37 (d) | 760,000 | 785,762 | |
5% 10/1/42 (d) | 1,145,000 | 1,170,870 | |
5% 10/1/47 (d) | 5,325,000 | 5,416,147 | |
5% 10/1/52 (d) | 440,000 | 446,018 | |
| Series 2019 A: | |||
5% 10/1/34 (d) | 2,500,000 | 2,678,585 | |
5% 10/1/49 (d) | 1,025,000 | 1,054,054 | |
5% 10/1/54 (d) | 5,920,000 | 6,055,313 | |
| Halifax Hosp. Med. Ctr. Rev.: | |||
| Series 2015: | |||
5% 6/1/24 | 75,000 | 75,910 | |
5% 6/1/28 (Pre-Refunded to 6/1/25 @ 100) | 35,000 | 36,159 | |
5% 6/1/29 (Pre-Refunded to 6/1/25 @ 100) | 285,000 | 294,440 | |
5% 6/1/30 (Pre-Refunded to 6/1/25 @ 100) | 300,000 | 309,937 | |
5% 6/1/46 (Pre-Refunded to 6/1/25 @ 100) | 480,000 | 495,899 | |
| Series 2016, 5% 6/1/36 | 120,000 | 123,658 | |
| Hillsborough County Aviation Auth. Rev.: | |||
| Series 2018 E, 5% 10/1/43 (d) | 1,275,000 | 1,311,515 | |
| Series 2018 F: | |||
5% 10/1/37 | 95,000 | 102,323 | |
5% 10/1/43 | 130,000 | 136,942 | |
| Series 2022 A, 5% 10/1/47 (d) | 1,250,000 | 1,299,254 | |
| Hillsborough County Indl. Dev. (Tampa Gen. Hosp. Proj.) Series 2020 A, 4% 8/1/55 | 2,905,000 | 2,539,362 | |
| Hillsborough County Port District: | |||
| (Tampa Port Auth. Proj.) Series 2018 B: | |||
5% 6/1/30 (d) | 240,000 | 256,464 | |
5% 6/1/31 (d) | 255,000 | 271,948 | |
5% 6/1/46 (d) | 1,475,000 | 1,498,808 | |
| Series 2018 B, 5% 6/1/38 (d) | 375,000 | 387,386 | |
| Hillsborough County School Board Ctfs. of Prtn.: | |||
| Series 2015 A, 5% 7/1/26 | 445,000 | 458,173 | |
| Series 2020 A, 5% 7/1/27 | 320,000 | 341,056 | |
| Jacksonville Edl. Facilities Rev. (Jacksonville Univ. Proj.) Series 2018 B, 5% 6/1/53 (f) | 2,550,000 | 2,235,453 | |
| Jacksonville Elec. Auth. Elec. Sys. Rev. Series 2020 A, 4% 10/1/37 | 1,475,000 | 1,480,013 | |
| Jacksonville Health Care Facilities (Baptist Med. Ctr. Proj.) Series 2017: | |||
| 5% 8/15/26 | 110,000 | 115,806 | |
| 5% 8/15/34 | 155,000 | 165,908 | |
| Jacksonville Spl. Rev. Series 2022 A: | |||
| 5% 10/1/23 | 15,000 | 15,071 | |
| 5% 10/1/24 | 30,000 | 30,631 | |
| 5% 10/1/25 | 25,000 | 25,966 | |
| 5% 10/1/26 | 20,000 | 21,163 | |
| 5% 10/1/27 | 15,000 | 16,185 | |
| 5% 10/1/28 | 30,000 | 33,029 | |
| 5% 10/1/29 | 25,000 | 28,037 | |
| 5% 10/1/30 | 20,000 | 22,797 | |
| 5% 10/1/32 | 20,000 | 23,435 | |
| Lakeland Hosp. Sys. Rev. Series 2015, 5% 11/15/34 (Pre-Refunded to 11/15/24 @ 100) | 410,000 | 420,012 | |
| Lakewood Ranch Stewardship District Spl. Assessment Rev.: | |||
| (Lakewood Centre & NW Sector Projs.) Series 2018: | |||
5.5% 5/1/39 (f) | 170,000 | 172,670 | |
5.65% 5/1/48 (f) | 210,000 | 211,298 | |
| (Lakewood Centre North Proj.) Series 2015: | |||
4.875% 5/1/35 | 25,000 | 24,943 | |
4.875% 5/1/45 | 35,000 | 32,601 | |
| (Lakewood Nat'l. and Polo Run Projs.) Series 2017: | |||
5.25% 5/1/37 | 510,000 | 513,738 | |
5.375% 5/1/47 | 1,185,000 | 1,193,368 | |
| (Northeast Sector Proj. - Phase 1B) Series 2018: | |||
5.3% 5/1/39 | 140,000 | 140,644 | |
5.45% 5/1/48 | 245,000 | 243,134 | |
| (Villages of Lakewood Ranch South Proj.) Series 2016: | |||
5% 5/1/36 | 250,000 | 250,842 | |
5.125% 5/1/46 | 500,000 | 479,446 | |
| Laurel Road Cmnty. Dev. District Series 2021 A2, 3.125% 5/1/31 | 680,000 | 597,080 | |
| Lee County Arpt. Rev.: | |||
| Series 2021 A: | |||
5% 10/1/25 (d) | 675,000 | 691,458 | |
5% 10/1/26 (d) | 1,990,000 | 2,064,204 | |
5% 10/1/27 (d) | 1,475,000 | 1,551,072 | |
5% 10/1/30 (d) | 1,000,000 | 1,084,061 | |
| Series 2021 B: | |||
5% 10/1/37 (d) | 1,250,000 | 1,331,772 | |
5% 10/1/46 (d) | 1,010,000 | 1,049,365 | |
| Lee County Indl. Dev. Auth. Health Care Facilities Rev.: | |||
| (Shell Point/Waterside Health Proj.) Series 2019, 5% 11/15/49 | 445,000 | 406,655 | |
| (The Preserve Proj.) Series 2017 A: | |||
5.375% 12/1/32 (f) | 100,000 | 81,265 | |
5.625% 12/1/37 (f) | 220,000 | 168,150 | |
5.75% 12/1/52 (f) | 1,460,000 | 991,651 | |
| Shell Point/Waterside Health Proj. Series 2019, 5% 11/15/44 | 440,000 | 415,652 | |
| Lee County School Board Ctfs. Series 2019 A: | |||
| 5% 8/1/27 | 255,000 | 273,928 | |
| 5% 8/1/28 | 130,000 | 142,408 | |
| Lee Memorial Health Sys. Hosp. Rev. Series 2019 A1: | |||
| 5% 4/1/26 | 65,000 | 67,553 | |
| 5% 4/1/39 | 405,000 | 423,580 | |
| 5% 4/1/44 | 2,350,000 | 2,419,839 | |
| Manatee County School District Series 2017, 5% 10/1/28 (Assured Guaranty Muni. Corp. Insured) | 160,000 | 171,019 | |
| Martin County Health Facilities Series 2015, 5% 11/15/45 (Pre-Refunded to 11/15/24 @ 100) | 1,355,000 | 1,383,250 | |
| Miami Beach Health Facilities Auth. Hosp. Rev.: | |||
| Series 2014 A, 5% 11/15/39 | 85,000 | 85,404 | |
| Series 2021 B, 3% 11/15/51 | 310,000 | 214,846 | |
| Miami Beach Parking Rev. Series 2015, 5% 9/1/40 | 250,000 | 253,557 | |
| Miami Beach Wtr. & Swr. Rev. Series 2017, 5% 9/1/47 | 1,000,000 | 1,039,502 | |
| Miami-Dade County: | |||
| Series 2021 A1, 4% 10/1/45 (Assured Guaranty Muni. Corp. Insured) (d) | 1,325,000 | 1,236,550 | |
| Series 2022 A: | |||
5% 10/1/47 (d) | 3,000,000 | 3,111,147 | |
5.25% 10/1/52 (d) | 11,920,000 | 12,560,828 | |
| Miami-Dade County Aviation Rev.: | |||
| Series 2012 A, 5% 10/1/23 (d) | 935,000 | 936,106 | |
| Series 2014 A: | |||
5% 10/1/28 (d) | 605,000 | 611,485 | |
5% 10/1/34 (d) | 2,035,000 | 2,055,682 | |
| Series 2014, 5% 10/1/34 (d) | 1,500,000 | 1,515,245 | |
| Series 2015 A: | |||
5% 10/1/29 (d) | 195,000 | 199,262 | |
5% 10/1/31 (d) | 160,000 | 163,188 | |
5% 10/1/35 (d) | 670,000 | 675,717 | |
5% 10/1/38 (d) | 1,030,000 | 1,038,960 | |
| Series 2016 A: | |||
5% 10/1/29 | 175,000 | 184,269 | |
5% 10/1/31 | 210,000 | 220,537 | |
5% 10/1/41 | 3,440,000 | 3,526,815 | |
| Series 2017 B, 5% 10/1/40 (d) | 2,825,000 | 2,874,917 | |
| Series 2019 A, 5% 10/1/49 (d) | 7,945,000 | 8,121,854 | |
| Series 2020 A: | |||
4% 10/1/35 | 90,000 | 92,482 | |
4% 10/1/37 | 130,000 | 130,935 | |
4% 10/1/39 | 1,590,000 | 1,579,350 | |
4% 10/1/41 | 305,000 | 297,296 | |
5% 10/1/31 | 120,000 | 135,074 | |
| Miami-Dade County Cap. Asset Acquisition Series 2009, 0% 10/1/37 | 415,000 | 232,454 | |
| Miami-Dade County Edl. Facilities Rev.: | |||
| Series 2015 A, 5% 4/1/40 | 3,355,000 | 3,413,810 | |
| Series 2018 A, 5% 4/1/53 | 2,950,000 | 3,045,684 | |
| Miami-Dade County Expressway Auth.: | |||
| Series 2010 A, 5% 7/1/40 | 185,000 | 185,937 | |
| Series 2014 A: | |||
5% 7/1/25 | 80,000 | 80,855 | |
5% 7/1/27 | 55,000 | 55,594 | |
5% 7/1/28 | 125,000 | 126,363 | |
5% 7/1/29 | 55,000 | 55,582 | |
| Series 2014 B: | |||
5% 7/1/28 | 120,000 | 121,309 | |
5% 7/1/30 | 140,000 | 141,364 | |
| Series 2016 A: | |||
5% 7/1/32 | 525,000 | 544,009 | |
5% 7/1/33 | 445,000 | 460,457 | |
| Miami-Dade County Health Facilities Auth. Hosp. Rev.: | |||
| (Nicklaus Children's Hosp. Proj.) Series 2017, 5% 8/1/47 | 1,565,000 | 1,591,442 | |
| Series 2021 A: | |||
4% 8/1/46 | 550,000 | 531,062 | |
4% 8/1/51 | 3,250,000 | 3,065,034 | |
| Miami-Dade County School Board Ctfs. of Prtn.: | |||
| Series 2015 A, 5% 5/1/29 | 1,185,000 | 1,213,258 | |
| Series 2015 B, 5% 5/1/28 | 110,000 | 112,644 | |
| Series 2016 A: | |||
5% 5/1/30 | 915,000 | 954,870 | |
5% 5/1/32 | 1,775,000 | 1,840,359 | |
| Series 2016 B, 5% 8/1/26 | 250,000 | 262,472 | |
| Miami-Dade County School District: | |||
| Series 2015, 5% 3/15/26 | 100,000 | 102,857 | |
| Series 2022 A: | |||
5% 3/15/35 | 1,300,000 | 1,487,563 | |
5% 3/15/39 | 500,000 | 554,441 | |
5% 3/15/40 | 500,000 | 552,922 | |
5% 3/15/47 | 1,750,000 | 1,913,958 | |
5% 3/15/52 | 2,000,000 | 2,175,245 | |
| Miami-Dade County Transit Sales Surtax Rev.: | |||
| Series 2020 A, 4% 7/1/49 | 1,000,000 | 945,699 | |
| Series 2022: | |||
5% 7/1/45 | 2,600,000 | 2,815,121 | |
5% 7/1/46 | 1,750,000 | 1,892,565 | |
5% 7/1/48 | 1,100,000 | 1,181,232 | |
5% 7/1/50 | 1,750,000 | 1,875,728 | |
| Miami-Dade County Wtr. & Swr. Rev.: | |||
| Series 2017 B: | |||
4% 10/1/38 | 750,000 | 751,267 | |
5% 10/1/33 | 900,000 | 922,550 | |
| Series 2019 B: | |||
4% 10/1/49 | 255,000 | 240,456 | |
4% 10/1/49 | 6,510,000 | 6,337,598 | |
| Series 2021: | |||
4% 10/1/48 | 810,000 | 764,576 | |
5% 10/1/32 | 495,000 | 569,319 | |
| Midtown Miami Cmnty. Dev. District: | |||
| (Infrastructure Proj.) Series 2014 B: | |||
5% 5/1/29 | 55,000 | 54,999 | |
5% 5/1/37 | 25,000 | 24,727 | |
| (Parking Garage Proj.) Series 2014 A, 5% 5/1/37 | 45,000 | 44,507 | |
| North -1 Pasco Cmnty. Dev. Dis Series 2021, 4% 5/1/51 | 1,395,000 | 1,082,165 | |
| North Broward Hosp. District Rev. Series 2017 B: | |||
| 5% 1/1/42 | 1,235,000 | 1,257,217 | |
| 5% 1/1/48 | 2,170,000 | 2,199,071 | |
| North Sumter County Util. Dependent District (Sumter Wtr. Conservation Auth. Proj.) Series 2021, 5% 10/1/52 (Assured Guaranty Muni. Corp. Insured) | 2,355,000 | 2,468,252 | |
| Orange County Health Facilities Auth.: | |||
| (Presbyterian Retirement Cmntys. Obligated Group Proj.) Series 2023 A, 4% 8/1/47 | 830,000 | 679,151 | |
| Series 2016 A: | |||
5% 10/1/39 | 1,875,000 | 1,943,119 | |
5% 10/1/44 | 280,000 | 287,623 | |
| Series 2016: | |||
5% 8/1/31 | 250,000 | 257,812 | |
5% 8/1/47 (Pre-Refunded to 8/1/23 @ 103) | 1,145,000 | 1,180,780 | |
| Series 2022, 4% 10/1/52 | 6,460,000 | 5,728,785 | |
| Series 2023 A, 5% 10/1/53 | 4,000,000 | 4,180,254 | |
| Orange County School Board Ctfs. of Prtn. Series 2015 D, 5% 8/1/30 (Pre-Refunded to 8/1/25 @ 100) | 55,000 | 57,054 | |
| Orlando & Orange County Expressway Auth. Rev. Series 2013 A: | |||
| 5% 7/1/28 (Pre-Refunded to 7/1/23 @ 100) | 2,310,000 | 2,312,826 | |
| 5% 7/1/32 (Pre-Refunded to 7/1/23 @ 100) | 445,000 | 445,544 | |
| Osceola County Trans. Impt. Rev.: | |||
| Series 2019 A1: | |||
5% 10/1/44 | 660,000 | 670,647 | |
5% 10/1/49 | 220,000 | 222,524 | |
| Series 2019 A2: | |||
0% 10/1/35 | 115,000 | 64,049 | |
0% 10/1/36 | 140,000 | 73,018 | |
0% 10/1/37 | 50,000 | 24,484 | |
0% 10/1/38 | 160,000 | 74,100 | |
0% 10/1/39 | 195,000 | 84,936 | |
0% 10/1/40 | 210,000 | 85,830 | |
0% 10/1/41 | 230,000 | 88,480 | |
0% 10/1/42 | 185,000 | 66,708 | |
| Palm Beach County Arpt. Sys. Rev. Series 2016: | |||
| 5% 10/1/24 (d) | 165,000 | 167,008 | |
| 5% 10/1/27 (d) | 120,000 | 124,083 | |
| 5% 10/1/29 (d) | 125,000 | 129,661 | |
| 5% 10/1/30 (d) | 225,000 | 233,286 | |
| 5% 10/1/31 (d) | 160,000 | 165,882 | |
| 5% 10/1/32 (d) | 245,000 | 253,895 | |
| 5% 10/1/33 (d) | 525,000 | 543,681 | |
| 5% 10/1/34 (d) | 545,000 | 563,146 | |
| 5% 10/1/35 (d) | 575,000 | 592,036 | |
| Palm Beach County Health Facilities: | |||
| Series 2018 A, 5% 11/15/45 | 1,180,000 | 1,116,048 | |
| Series 2020 B, 5% 11/15/42 | 190,000 | 180,474 | |
| Palm Beach County Health Facilities Auth. Hosp. Rev.: | |||
| (Jupiter Med. Ctr. Proj.) Series 2022: | |||
5% 11/1/47 | 2,105,000 | 2,099,504 | |
5% 11/1/52 | 270,000 | 264,045 | |
| Series 2019, 4% 8/15/49 | 8,600,000 | 7,831,090 | |
| Palm Beach County Health Facilities Auth. Rev.: | |||
| Series 2020 A, 5% 6/1/55 | 305,000 | 257,293 | |
| Series 2022: | |||
4% 6/1/31 | 120,000 | 109,938 | |
4% 6/1/36 | 690,000 | 583,334 | |
4% 6/1/41 | 375,000 | 291,056 | |
4.25% 6/1/56 | 1,245,000 | 886,913 | |
| Palm Beach County School Board Ctfs. of Prtn.: | |||
| Series 2015 D: | |||
5% 8/1/28 | 680,000 | 701,504 | |
5% 8/1/29 | 730,000 | 752,778 | |
| Series 2018 A, 5% 8/1/24 | 40,000 | 40,772 | |
| Pasco County Tax Alloc Series 2023 A: | |||
| 5% 9/1/48 (Assured Guaranty Muni. Corp. Insured) | 1,210,000 | 1,262,010 | |
| 5.75% 9/1/54 (Assured Guaranty Muni. Corp. Insured) | 4,180,000 | 4,592,166 | |
| Pasco County School Board Ctfs. of Prtn. Series 2018 A, 5% 8/1/35 (Build America Mutual Assurance Insured) | 130,000 | 140,488 | |
| Pinellas County Hsg. Fin. Auth. Bonds Series 2021 B, 0.65%, tender 7/1/24 (b) | 1,115,000 | 1,065,864 | |
| Pompano Beach Rev. (John Knox Village Proj.): | |||
| Series 2020: | |||
4% 9/1/40 | 40,000 | 31,547 | |
4% 9/1/50 | 1,130,000 | 815,392 | |
| Series 2021 A: | |||
4% 9/1/51 | 1,065,000 | 763,205 | |
4% 9/1/56 | 1,205,000 | 837,308 | |
| Series 2021 B2, 1.45% 1/1/27 | 155,000 | 136,276 | |
| Putnam County Dev. Auth. Poll. Cont. Rev. (Seminole Elec. Coop., Inc. Proj.) Series 2018 A, 5% 3/15/42 | 1,700,000 | 1,765,151 | |
| Reunion East Cmnty. Dev. District Series 2022 A2, 7.375% 5/1/33 (g) | 205,000 | 2 | |
| Saint Lucie County School Board Ctfs. of Prtn. Series 2013 A, 5% 7/1/26 | 140,000 | 140,136 | |
| Sarasota County Health Facilities Auth. Retirement Facility Rev. (Village On The Isle Proj.) Series 2017 A: | |||
| 5% 1/1/37 | 195,000 | 176,883 | |
| 5% 1/1/42 | 225,000 | 196,342 | |
| 5% 1/1/47 | 450,000 | 378,627 | |
| 5% 1/1/52 | 950,000 | 781,815 | |
| Sarasota County Pub. Hosp. Board Series 1998 B: | |||
| 5.25% 7/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,005,000 | 1,014,478 | |
| 5.5% 7/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 840,000 | 892,953 | |
| Sarasota County Pub. Hosp. District Hosp. Rev. (Sarasota Memorial Hosp. Proj.) Series 2018, 5% 7/1/41 | 2,950,000 | 3,052,967 | |
| Sarasota County Util. Sys. Rev. Series 2022, 5.25% 10/1/47 | 2,295,000 | 2,554,560 | |
| Sawyers Landing Cmnty. Dev. District Spl. Assessment Rev. Series 2021: | |||
| 4.125% 5/1/41 | 430,000 | 353,316 | |
| 4.25% 5/1/53 | 570,000 | 437,257 | |
| Seminole County Indl. Dev. Auth. Retirement Facility Rev. (Legacy Pointe At UCF Proj.) Series 2019 A, 5.5% 11/15/49 | 945,000 | 723,623 | |
| South Broward Hosp. District Rev.: | |||
| Series 2018, 4% 5/1/48 | 875,000 | 819,707 | |
| Series 2021 A, 3% 5/1/51 | 1,900,000 | 1,344,069 | |
| South Florida Wtr. Mgmt. District Ctfs. of Prtn. Series 2015: | |||
| 5% 10/1/27 | 30,000 | 31,501 | |
| 5% 10/1/28 | 225,000 | 236,442 | |
| 5% 10/1/29 | 605,000 | 634,928 | |
| 5% 10/1/30 | 110,000 | 115,137 | |
| 5% 10/1/32 | 950,000 | 992,273 | |
| South Miami Health Facilities Auth. Hosp. Rev.: | |||
| (Baptist Med. Ctr., FL. Proj.) Series 2017: | |||
4% 8/15/33 | 305,000 | 308,233 | |
5% 8/15/26 | 415,000 | 434,456 | |
5% 8/15/27 | 270,000 | 287,518 | |
5% 8/15/28 | 285,000 | 304,572 | |
5% 8/15/29 | 85,000 | 90,080 | |
5% 8/15/30 | 395,000 | 418,886 | |
5% 8/15/31 | 380,000 | 402,986 | |
5% 8/15/32 | 505,000 | 535,245 | |
5% 8/15/34 | 790,000 | 832,547 | |
5% 8/15/35 | 565,000 | 591,912 | |
5% 8/15/37 | 280,000 | 289,651 | |
5% 8/15/42 | 4,240,000 | 4,331,565 | |
5% 8/15/47 | 1,480,000 | 1,504,644 | |
| Series 2017, 4% 8/15/47 | 2,500,000 | 2,310,322 | |
| St. Johns County Indl. Dev. Auth. (Vicars Landing Proj.) Series 2021 A: | |||
| 4% 12/15/27 | 20,000 | 18,863 | |
| 4% 12/15/28 | 20,000 | 18,639 | |
| 4% 12/15/29 | 20,000 | 18,423 | |
| 4% 12/15/30 | 20,000 | 18,215 | |
| 4% 12/15/31 | 20,000 | 17,990 | |
| 4% 12/15/36 | 100,000 | 83,111 | |
| 4% 12/15/41 | 75,000 | 57,656 | |
| 4% 12/15/46 | 75,000 | 54,341 | |
| 4% 12/15/50 | 70,000 | 48,865 | |
| St. Johns County School Board (School Board of St. Johns County, Florida Master Lease Prog.) Series 2019 A: | |||
| 5% 7/1/24 | 50,000 | 50,848 | |
| 5% 7/1/25 | 95,000 | 98,276 | |
| Sterling Hill Cmnty. Dev. District Series 2003 B, 5.5% (g)(i) | 9,503 | 4,847 | |
| Sumter County Indl. Dev. Auth. Hosp. Rev.: | |||
| (Central Florida Health Alliance Projs.) Series 2014 A: | |||
5.125% 7/1/34 | 100,000 | 100,767 | |
5.25% 7/1/44 | 310,000 | 310,732 | |
| Series 2014 A: | |||
5% 7/1/26 | 50,000 | 50,376 | |
5% 7/1/29 | 45,000 | 45,321 | |
| Tallahassee Health Facilities Rev.: | |||
| (Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A: | |||
5% 12/1/29 | 80,000 | 82,185 | |
5% 12/1/36 | 60,000 | 60,528 | |
5% 12/1/41 | 135,000 | 135,287 | |
5% 12/1/55 | 65,000 | 64,087 | |
| Series 2015 A, 5% 12/1/40 | 685,000 | 686,748 | |
| Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev. Series 2022 A, 5.25% 10/1/57 | 3,500,000 | 3,863,861 | |
| Tampa Hosp. Rev.: | |||
| (H. Lee Moffit Cancer Ctr. Proj.) Series 2020 B, 4% 7/1/38 | 65,000 | 63,279 | |
| (H. Lee Moffitt Cancer Ctr. Proj.): | |||
Series 2016 B, 5% 7/1/37 | 60,000 | 61,026 | |
Series 2020 B: | |||
4% 7/1/39 | 65,000 | 62,560 | |
4% 7/1/45 | 4,150,000 | 3,807,238 | |
5% 7/1/40 | 145,000 | 148,604 | |
5% 7/1/50 | 3,690,000 | 3,721,314 | |
| Tampa Non-Ad Valorem Impt. Rev. Series 2021 C, 3% 10/1/36 | 500,000 | 457,747 | |
| Tampa Rev. (The Univ. of Tampa Proj.) Series 2015: | |||
| 5% 4/1/40 | 350,000 | 356,259 | |
| 5% 4/1/45 | 860,000 | 873,796 | |
| Tampa Sports Auth. Rev. Series 1995, 6.1% 10/1/26 | 150,000 | 157,731 | |
| Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2020 A: | |||
| 0% 9/1/34 | 305,000 | 194,043 | |
| 0% 9/1/35 | 165,000 | 99,557 | |
| 0% 9/1/36 | 255,000 | 145,275 | |
| 0% 9/1/37 | 685,000 | 366,919 | |
| 0% 9/1/38 | 230,000 | 117,057 | |
| 0% 9/1/39 | 220,000 | 105,815 | |
| 0% 9/1/40 | 290,000 | 130,709 | |
| 0% 9/1/41 | 165,000 | 70,453 | |
| 0% 9/1/42 | 165,000 | 66,602 | |
| 0% 9/1/45 | 120,000 | 41,246 | |
| 0% 9/1/49 | 1,835,000 | 496,915 | |
| Tampa-Hillsborough County Expressway Auth. Rev. Series 2017, 5% 7/1/47 | 4,425,000 | 4,568,337 | |
| The Crossings at Fleming Island Cmnty. Dev. District Spl. Assessment Series 2014 A1, 4.5% 5/1/30 | 50,000 | 49,229 | |
| Viera Stewardship District Spl. Assessment Rev.: | |||
| (Village 2 - Series 2021 Proj.) Series 2021, 4% 5/1/53 | 290,000 | 221,464 | |
| Series 2021, 3.125% 5/1/41 | 100,000 | 73,501 | |
| Village Cmnty. Dev. District: | |||
| Series 2020, 3.5% 5/1/40 (Assured Guaranty Muni. Corp. Insured) | 990,000 | 918,179 | |
| Series 2022: | |||
5.375% 5/1/42 | 2,345,000 | 2,345,492 | |
5.5% 5/1/53 | 1,085,000 | 1,078,793 | |
| Volusia County Edl. Facilities Auth. Rev. (Embry-Riddle Aeronautical Univ., Inc. Proj.): | |||
| Series 2017, 5% 10/15/47 | 665,000 | 683,908 | |
| Series 2020 A: | |||
5% 10/15/44 | 215,000 | 224,575 | |
5% 10/15/49 | 405,000 | 420,180 | |
| Volusia County School Board Ctfs. of Prtn. (Florida Master Lease Prog.) Series 2016 A: | |||
| 5% 8/1/29 (Build America Mutual Assurance Insured) | 120,000 | 124,992 | |
| 5% 8/1/30 (Build America Mutual Assurance Insured) | 65,000 | 67,653 | |
| 5% 8/1/31 (Build America Mutual Assurance Insured) | 125,000 | 129,941 | |
| 5% 8/1/32 (Build America Mutual Assurance Insured) | 605,000 | 628,444 | |
| West Palm Beach Cmnty. Redev. Agcy. Tax Increment Rev. Series 2019: | |||
| 5% 3/1/34 | 1,650,000 | 1,842,475 | |
| 5% 3/1/35 | 1,600,000 | 1,778,871 | |
| Westview North Cmnty. Dev. Distf Series 2022, 6% 6/15/52 | 500,000 | 504,145 | |
| Wildwood Util. Dependent District Series 2023, 5.5% 10/1/53 (Assured Guaranty Muni. Corp. Insured) | 2,250,000 | 2,498,999 | |
TOTAL FLORIDA | 394,837,814 | ||
| Georgia - 2.1% | |||
| Atlanta Arpt. Passenger Facilities Charge Rev. Series 2019 D: | |||
| 4% 7/1/35 (d) | 4,090,000 | 4,101,492 | |
| 4% 7/1/37 (d) | 850,000 | 833,892 | |
| 4% 7/1/39 (d) | 1,065,000 | 1,032,234 | |
| 4% 7/1/40 (d) | 480,000 | 460,763 | |
| Atlanta Arpt. Rev.: | |||
| Series 2014 B, 5% 1/1/33 | 740,000 | 746,261 | |
| Series 2014 C: | |||
5% 1/1/27 (d) | 250,000 | 251,143 | |
5% 1/1/28 (d) | 250,000 | 251,292 | |
5% 1/1/29 (d) | 415,000 | 417,340 | |
| Series 2019 B: | |||
5% 7/1/25 (d) | 330,000 | 336,973 | |
5% 7/1/44 (d) | 2,090,000 | 2,162,378 | |
| Atlanta Dev. Auth. Rev. (New Downtown Atlanta Stadium Proj.) Series 2015 A1: | |||
| 5.25% 7/1/40 | 670,000 | 685,001 | |
| 5.25% 7/1/44 | 3,245,000 | 3,305,278 | |
| Atlanta Dev. Auth. Sr. Health Care Facilities Current Interest Rev. (Georgia Proton Treatment Ctr. Proj.) Series 2017 A1: | |||
| 6.5% 1/1/29 | 505,000 | 227,250 | |
| 6.75% 1/1/35 | 2,745,000 | 1,235,250 | |
| 7% 1/1/40 | 2,910,000 | 1,309,500 | |
| Atlanta Gen. Oblig. Series 2022 A1, 5% 12/1/42 | 3,025,000 | 3,381,315 | |
| Atlanta Urban Redev. Agcy.: | |||
| (Atlanta Beltine Trail Completion Proj.) Series 2021, 2.375% 7/1/26 (f) | 140,000 | 133,036 | |
| Series 2021 A: | |||
2.875% 7/1/31 (f) | 165,000 | 151,442 | |
3.625% 7/1/42 (f) | 340,000 | 297,419 | |
| Series 2021, 3.875% 7/1/51 (f) | 430,000 | 368,861 | |
| Atlanta Wtr. & Wastewtr. Rev.: | |||
| Series 2001, 5.5% 11/1/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 240,000 | 253,853 | |
| Series 2015, 5% 11/1/29 | 750,000 | 776,203 | |
| Series 2018 C, 4% 11/1/37 | 750,000 | 756,294 | |
| Bainbridge Combined Utils. Rev. Series 2021, 4% 12/1/51 | 1,315,000 | 1,235,680 | |
| Bibb County Dev. Auth. Rev.: | |||
| (USG Real Estate Foundation IX, LLC Proj.) Series 2019, 4% 6/1/44 | 180,000 | 166,617 | |
| Series 2011 A, 5.75% 7/1/40 (Assured Guaranty Muni. Corp. Insured) | 595,000 | 610,057 | |
| Brookhaven Dev. Auth. Rev. Series 2019 A: | |||
| 4% 7/1/44 | 5,240,000 | 5,119,249 | |
| 4% 7/1/49 | 1,935,000 | 1,853,339 | |
| 5% 7/1/36 | 150,000 | 162,973 | |
| Burke County Indl. Dev. Auth. Poll. Cont. Rev.: | |||
| (Georgia Transmission Corp. Proj.) Series 2012, 2.75% 1/1/52 (b) | 1,890,000 | 1,260,611 | |
| Bonds: | |||
(Georgia Pwr. Co. Plant Vogtle Proj.): | |||
Series 1994, 2.15%, tender 6/13/24 (b) | 410,000 | 399,145 | |
Series 2013 1st, 2.925%, tender 3/12/24 (b) | 4,420,000 | 4,356,962 | |
(Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2013 A, 1.5%, tender 2/3/25 (b) | 2,125,000 | 2,006,144 | |
| Cobb County Dev. Auth. Series 2015 C: | |||
| 5% 7/15/30 | 130,000 | 131,163 | |
| 5% 7/15/30 (Pre-Refunded to 7/15/25 @ 100) | 5,000 | 5,182 | |
| 5% 7/15/33 | 230,000 | 231,318 | |
| 5% 7/15/33 (Pre-Refunded to 7/15/25 @ 100) | 10,000 | 10,363 | |
| Cobb County Kennestone Hosp. Auth. Rev. (Wellstar Health Sys., Inc. Proj.): | |||
| Series 2020 A, 5% 4/1/50 | 1,360,000 | 1,399,021 | |
| Series 2020 B: | |||
4% 4/1/32 | 70,000 | 71,253 | |
4% 4/1/34 | 70,000 | 70,950 | |
4% 4/1/36 | 65,000 | 65,224 | |
5% 4/1/37 | 65,000 | 68,476 | |
5% 4/1/38 | 70,000 | 73,380 | |
| Cobb-Marietta Coliseum & Exhibit Hall Auth. Rev. Series 1993, 5.625% 10/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 135,000 | 139,882 | |
| Columbus Med. Ctr. Hosp. Auth. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 B, 5%, tender 7/1/29 (b) | 1,200,000 | 1,294,176 | |
| Coweta County Dev. Auth. Rev. (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5% 7/1/44 | 6,220,000 | 6,418,630 | |
| DeKalb Private Hosp. Auth. Rev. Series 2019 B, 5% 7/1/35 | 75,000 | 82,026 | |
| Fayette County Hosp. Auth. Rev. Bonds (Piedmont Healthcare, Inc. Proj.) Series 2019 A, 5%, tender 7/1/24 (b) | 685,000 | 689,293 | |
| Fulton County Dev. Auth. (Robert W. Woodruff Arts Ctr., Inc. Proj.) Series 2015 A, 5% 3/15/36 | 775,000 | 798,580 | |
| Fulton County Dev. Auth. Hosp. Rev. (Wellstar Health Sys., Inc. Proj.): | |||
| Series 2017 A: | |||
5% 4/1/37 | 390,000 | 403,373 | |
5% 4/1/42 | 1,455,000 | 1,492,111 | |
5% 4/1/47 | 5,500,000 | 5,613,212 | |
| Series 2020 A, 4% 4/1/50 | 1,510,000 | 1,400,482 | |
| Fulton County Dev. Auth. Rev.: | |||
| (Robert W. Woodruff Arts Ctr., Inc. Proj.) Series 2019 A, 5% 3/15/44 | 1,085,000 | 1,139,051 | |
| Series 2019 C: | |||
5% 7/1/28 | 85,000 | 93,220 | |
5% 7/1/38 | 70,000 | 75,350 | |
| Series 2019: | |||
4% 6/15/49 | 340,000 | 326,222 | |
5% 6/15/44 | 420,000 | 451,992 | |
| Fulton County Residential Care Facilities: | |||
| (Canterbury Court Proj.): | |||
Series 2019 A: | |||
5% 4/1/47 (f) | 335,000 | 275,898 | |
5% 4/1/54 (f) | 535,000 | 424,529 | |
Series 2021 A: | |||
4% 4/1/41 (f) | 420,000 | 312,598 | |
4% 4/1/51 (f) | 1,195,000 | 792,488 | |
| (Lenbrook Square Foundation, Inc. Proj.) Series 2016, 5% 7/1/36 | 250,000 | 246,452 | |
| (Lenbrook Square Foundation, INC. Proj.) Series 2016, 5% 7/1/42 | 1,395,000 | 1,300,670 | |
| Gainesville & Hall County Dev. Auth. Retirement Cmnty. Rev. Series 2016, 5% 11/15/33 | 590,000 | 595,192 | |
| Gainesville & Hall County Hosp. Auth. Rev.: | |||
| (Northeast Georgia Health Sys., Inc. Proj.): | |||
Series 2014 A: | |||
5.25% 8/15/49 (Pre-Refunded to 2/15/25 @ 100) | 3,245,000 | 3,350,132 | |
5.5% 8/15/54 (Pre-Refunded to 2/15/25 @ 100) | 900,000 | 932,853 | |
Series 2017 A: | |||
5% 2/15/42 | 850,000 | 874,233 | |
5% 2/15/45 | 1,065,000 | 1,089,528 | |
Series 2017 B, 5.5% 2/15/42 | 1,405,000 | 1,487,217 | |
| Series 2020 A, 3% 2/15/47 | 5,845,000 | 4,354,043 | |
| Series 2021 A, 4% 2/15/51 | 1,000,000 | 903,283 | |
| Georgia Gen. Oblig. Series 2017 C, 5% 7/1/25 | 2,100,000 | 2,181,435 | |
| Georgia Higher Ed. Facilities Auth. Rev.: | |||
| (USG Real Estate Foundation II, LLC Projs.) Series 2019, 5% 6/15/34 | 265,000 | 288,938 | |
| (USG Real Estate Roundation II, LLC Projs.) Series 2019, 5% 6/15/35 | 240,000 | 260,222 | |
| Georgia Hsg. & Fin. Auth. Rev.: | |||
| Series 2014 A1, 4% 6/1/44 | 15,000 | 14,976 | |
| Series 2017 A, 4% 12/1/47 | 225,000 | 223,469 | |
| Georgia Muni. Elec. Auth. Pwr. Rev.: | |||
| Series 1994 EE, 7.25% 1/1/24 (AMBAC Insured) | 120,000 | 122,564 | |
| Series 2015 A, 5.5% 7/1/60 | 1,360,000 | 1,374,318 | |
| Series 2016 A, 5% 1/1/30 | 1,950,000 | 2,051,516 | |
| Series 2018 A: | |||
5% 1/1/26 | 205,000 | 211,979 | |
5% 1/1/27 | 375,000 | 394,045 | |
5% 1/1/28 | 105,000 | 111,729 | |
| Series 2018 HH: | |||
5% 1/1/26 | 1,070,000 | 1,106,427 | |
5% 1/1/27 | 605,000 | 633,649 | |
5% 1/1/28 | 630,000 | 670,374 | |
5% 1/1/44 | 500,000 | 508,878 | |
| Series 2019 A: | |||
4% 1/1/49 | 1,460,000 | 1,326,888 | |
4% 1/1/49 (Build America Mutual Assurance Insured) | 400,000 | 383,298 | |
5% 1/1/26 | 80,000 | 82,723 | |
5% 1/1/30 | 50,000 | 53,953 | |
5% 1/1/32 | 50,000 | 53,780 | |
5% 1/1/34 | 105,000 | 112,583 | |
5% 1/1/35 | 50,000 | 53,291 | |
5% 1/1/36 | 65,000 | 68,854 | |
5% 1/1/37 | 60,000 | 63,024 | |
5% 1/1/38 | 65,000 | 67,859 | |
5% 1/1/39 | 80,000 | 82,926 | |
5% 1/1/44 | 265,000 | 270,873 | |
5% 1/1/49 | 3,720,000 | 3,766,477 | |
5% 1/1/56 | 400,000 | 407,182 | |
5% 1/1/56 | 410,000 | 414,584 | |
| Series 2019 B2, 4% 1/1/49 | 1,300,000 | 1,113,338 | |
| Series 2020 A: | |||
5% 1/1/45 | 720,000 | 744,357 | |
5% 1/1/45 | 250,000 | 261,237 | |
5% 1/1/50 | 540,000 | 551,722 | |
| Series 2021 A: | |||
4% 1/1/35 (Assured Guaranty Muni. Corp. Insured) | 775,000 | 785,563 | |
4% 1/1/37 (Assured Guaranty Muni. Corp. Insured) | 465,000 | 463,387 | |
4% 1/1/39 (Assured Guaranty Muni. Corp. Insured) | 705,000 | 696,433 | |
4% 1/1/39 (Assured Guaranty Muni. Corp. Insured) | 430,000 | 422,345 | |
4% 1/1/40 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 490,220 | |
4% 1/1/41 (Assured Guaranty Muni. Corp. Insured) | 360,000 | 350,728 | |
4% 1/1/46 (Assured Guaranty Muni. Corp. Insured) | 255,000 | 243,143 | |
4% 1/1/46 (Assured Guaranty Muni. Corp. Insured) | 160,000 | 153,676 | |
4% 1/1/51 | 240,000 | 215,848 | |
4% 1/1/51 | 240,000 | 216,230 | |
5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) | 365,000 | 402,805 | |
5% 1/1/33 (Assured Guaranty Muni. Corp. Insured) | 705,000 | 773,178 | |
5% 1/1/33 (Assured Guaranty Muni. Corp. Insured) | 415,000 | 455,133 | |
5% 1/1/34 (Assured Guaranty Muni. Corp. Insured) | 625,000 | 685,397 | |
5% 1/1/34 (Assured Guaranty Muni. Corp. Insured) | 440,000 | 482,520 | |
5% 1/1/56 | 480,000 | 485,375 | |
5% 1/1/56 | 245,000 | 248,433 | |
5% 1/1/62 (Assured Guaranty Muni. Corp. Insured) | 575,000 | 592,887 | |
| Series 2023 A: | |||
5% 7/1/48 (Assured Guaranty Muni. Corp. Insured) | 1,700,000 | 1,782,940 | |
5% 7/1/64 (Assured Guaranty Muni. Corp. Insured) | 1,125,000 | 1,171,117 | |
5.25% 7/1/64 | 1,800,000 | 1,868,719 | |
5.5% 7/1/64 | 1,990,000 | 2,049,823 | |
| Series GG, 5% 1/1/26 | 650,000 | 650,569 | |
| Georgia Port Auth. Rev.: | |||
| Series 2021, 4% 7/1/51 | 925,000 | 901,752 | |
| Series 2022: | |||
4% 7/1/47 | 510,000 | 498,533 | |
4% 7/1/52 | 1,805,000 | 1,757,673 | |
5% 7/1/47 | 3,700,000 | 4,029,761 | |
5.25% 7/1/43 | 400,000 | 449,726 | |
5.25% 7/1/52 | 4,275,000 | 4,707,117 | |
| Georgia Road & Thruway Auth. Rev. Series 2020: | |||
| 5% 6/1/31 | 1,415,000 | 1,611,835 | |
| 5% 6/1/32 | 2,120,000 | 2,406,872 | |
| Glynn-Brunswick Memorial Hosp. Auth. Rev.: | |||
| (Southeast Georgia Health Sys. Proj.) Series 2017: | |||
4% 8/1/43 | 270,000 | 236,071 | |
5% 8/1/39 | 250,000 | 250,867 | |
5% 8/1/43 | 330,000 | 328,721 | |
| (Southwest Georgia Health Sys. Proj.) Series 2020: | |||
4% 8/1/35 | 65,000 | 61,602 | |
4% 8/1/36 | 70,000 | 65,933 | |
4% 8/1/37 | 45,000 | 41,614 | |
| Griffin-Spalding County Hosp. (Wellstar Health Sys., Inc. Proj.) Series 2017 A, 5% 4/1/37 | 440,000 | 455,087 | |
| Hosp. Auth. of Savannah Auth. Rev.: | |||
| Series 2013 A, 5.5% 7/1/31 | 550,000 | 550,479 | |
| Series 2019 A: | |||
4% 7/1/35 | 275,000 | 275,183 | |
4% 7/1/36 | 1,090,000 | 1,077,675 | |
4% 7/1/39 | 140,000 | 135,693 | |
4% 7/1/43 | 1,285,000 | 1,230,082 | |
| Macon-Bibb County Urban Dev. Auh. Series 2017 A: | |||
| 5% 6/15/27 (f) | 40,000 | 39,711 | |
| 5.75% 6/15/37 (f) | 220,000 | 222,198 | |
| 5.875% 6/15/47 (f) | 350,000 | 350,052 | |
| 6% 6/15/52 (f) | 215,000 | 215,496 | |
| Main Street Natural Gas, Inc.: | |||
| Bonds: | |||
Series 2018 A, 4%, tender 9/1/23 (b) | 5,000,000 | 5,002,341 | |
Series 2018 B, 1 month U.S. LIBOR + 0.750% 4.123%, tender 6/1/23 (b)(c) | 2,200,000 | 2,200,295 | |
Series 2018 C, 4%, tender 12/1/23 (b) | 5,010,000 | 5,014,860 | |
Series 2019 B, 4%, tender 12/2/24 (b) | 2,690,000 | 2,696,603 | |
Series 2019 C, 4%, tender 9/1/26 (b) | 5,635,000 | 5,613,299 | |
Series 2021 A, 4%, tender 9/1/27 (b) | 44,645,000 | 44,442,754 | |
Series 2021 C, 4%, tender 12/1/28 (b) | 8,770,000 | 8,699,106 | |
Series 2022 B, 5%, tender 6/1/29 (b) | 3,825,000 | 3,990,681 | |
Series 2022 E, 4%, tender 12/1/29 (b) | 13,870,000 | 13,701,235 | |
Series 2023 A, 5%, tender 6/1/30 (b) | 5,000,000 | 5,200,726 | |
Series 2023 B, 5%, tender 3/1/30 (b) | 1,340,000 | 1,412,894 | |
| Series 2019 A: | |||
4% 5/15/39 | 250,000 | 224,619 | |
5% 5/15/31 | 2,410,000 | 2,484,008 | |
5% 5/15/32 | 740,000 | 762,144 | |
5% 5/15/34 | 480,000 | 493,718 | |
5% 5/15/35 | 250,000 | 259,316 | |
5% 5/15/36 | 750,000 | 769,659 | |
5% 5/15/43 | 865,000 | 855,264 | |
5% 5/15/49 | 1,250,000 | 1,235,696 | |
| Main Street Natural Gas, Inc. Georgia Gas Proj. Rev. Series 2007 A: | |||
| 5.5% 9/15/26 | 2,590,000 | 2,666,474 | |
| 5.5% 9/15/28 | 370,000 | 389,304 | |
| Marietta Dev. Auth. Rev.: | |||
| (Life Univ., Inc. Proj.) Series 2017 A: | |||
5% 11/1/27 (f) | 485,000 | 485,928 | |
5% 11/1/37 (f) | 395,000 | 376,629 | |
| (Life Univ., Inc. Proj.) Series 2017 A, 5% 11/1/47 (f) | 1,550,000 | 1,385,357 | |
| Monroe County Dev. Auth. Poll. Cont. Rev.: | |||
| (Georgia Pwr. Co. Plant Scherer Proj.) Series 1995, 2.25% 7/1/25 | 70,000 | 66,331 | |
| Bonds (Oglethorpe Pwr. Corp. Scherer Proj.) Series 2013 A, 1.5%, tender 2/3/25 (b) | 1,300,000 | 1,227,288 | |
| Paulding County Hosp. Auth. Rev. Series 2022 A: | |||
| 5% 4/1/26 | 15,000 | 15,597 | |
| 5% 4/1/27 | 10,000 | 10,551 | |
| 5% 4/1/28 | 25,000 | 26,768 | |
| 5% 4/1/29 | 20,000 | 21,707 | |
| 5% 4/1/30 | 15,000 | 16,456 | |
| 5% 4/1/31 | 20,000 | 22,128 | |
| 5% 4/1/32 | 15,000 | 16,756 | |
| Private Colleges & Univs. Auth. Rev.: | |||
| (The Savannah College of Art & Design Projs.): | |||
Series 2014, 5% 4/1/24 (Escrowed to Maturity) | 610,000 | 618,392 | |
Series 2021: | |||
4% 4/1/37 | 705,000 | 718,584 | |
4% 4/1/38 | 85,000 | 86,489 | |
4% 4/1/40 | 80,000 | 81,428 | |
5% 4/1/27 | 25,000 | 26,470 | |
5% 4/1/30 | 390,000 | 434,130 | |
5% 4/1/31 | 40,000 | 45,134 | |
5% 4/1/36 | 490,000 | 547,002 | |
| Series 2016 B, 5% 10/1/38 | 865,000 | 896,158 | |
| Series 2020 B: | |||
4% 9/1/37 | 950,000 | 976,501 | |
4% 9/1/38 | 1,425,000 | 1,445,849 | |
4% 9/1/40 | 2,250,000 | 2,258,433 | |
5% 9/1/25 | 875,000 | 910,865 | |
5% 9/1/30 | 1,300,000 | 1,491,801 | |
5% 9/1/31 | 155,000 | 176,771 | |
5% 9/1/32 | 895,000 | 1,019,784 | |
5% 9/1/33 | 140,000 | 159,322 | |
| Series A: | |||
5% 6/1/23 | 25,000 | 25,000 | |
5% 6/1/24 | 45,000 | 45,590 | |
| Savannah Econ. Dev. Auth. Rev. (The Marshes of Skidaway Island Proj.) Series 2013, 7.25% 1/1/44 (Pre-Refunded to 1/1/24 @ 100) | 1,345,000 | 1,373,352 | |
| Walton County Wtr. & Sew Auth. Series 2022, 5% 2/1/53 | 450,000 | 490,751 | |
| World Congress Ctr. Auth. Convention Ctr. Hotel Second Tier Rev.: | |||
| Series 2021 A: | |||
2.375% 1/1/31 | 390,000 | 330,280 | |
4% 1/1/36 | 1,330,000 | 1,224,433 | |
4% 1/1/54 | 7,110,000 | 5,728,210 | |
| Series 2021 B: | |||
3.625% 1/1/31 (f) | 505,000 | 444,366 | |
5% 1/1/36 (f) | 710,000 | 653,188 | |
5% 1/1/54 (f) | 4,145,000 | 3,333,283 | |
TOTAL GEORGIA | 275,076,021 | ||
| Guam - 0.1% | |||
| Guam Dept. of Ed. (John F. Kennedy High School Rfdg. And Energy Efficiency Proj.) Series 2020 A, 5% 2/1/40 | 250,000 | 247,633 | |
| Guam Govt. Bus. Privilege Tax Rev.: | |||
| Series 2015 D: | |||
5% 11/15/34 | 300,000 | 302,691 | |
5% 11/15/35 | 300,000 | 301,612 | |
| Series 2021 F: | |||
4% 1/1/42 | 705,000 | 618,012 | |
5% 1/1/28 | 60,000 | 61,894 | |
5% 1/1/29 | 315,000 | 326,590 | |
5% 1/1/30 | 375,000 | 389,661 | |
5% 1/1/31 | 395,000 | 412,214 | |
| Series 2021, 4% 1/1/36 | 2,115,000 | 1,998,634 | |
| Guam Int'l. Arpt. Auth. Rev.: | |||
| Series 2013 C, 6.125% 10/1/43 (Pre-Refunded to 10/1/23 @ 100) (d) | 690,000 | 695,046 | |
| Series 2021 A: | |||
3.839% 10/1/36 | 180,000 | 144,126 | |
4.46% 10/1/43 | 205,000 | 154,905 | |
| Series 2023 A: | |||
5.25% 10/1/30 (d)(h) | 1,500,000 | 1,532,373 | |
5.375% 10/1/40 (d)(h) | 525,000 | 513,464 | |
| Guam Pwr. Auth. Rev. Series 2022 A: | |||
| 5% 10/1/38 | 1,000,000 | 1,040,849 | |
| 5% 10/1/43 | 200,000 | 205,081 | |
| 5% 10/1/44 | 1,350,000 | 1,380,723 | |
| Guam Wtrwks. Auth. Wtr. and Wastewtr. Sys. Rev.: | |||
| Series 2013: | |||
5.25% 7/1/33 (Pre-Refunded to 7/1/23 @ 100) | 50,000 | 50,065 | |
5.5% 7/1/43 (Pre-Refunded to 7/1/23 @ 100) | 250,000 | 250,374 | |
| Series 2016, 5% 1/1/46 | 1,500,000 | 1,512,519 | |
| Series 2020 A, 5% 1/1/50 | 1,760,000 | 1,764,479 | |
| Port Auth. of Guam Port Rev. Series 2018 A, 5% 7/1/48 | 250,000 | 254,240 | |
TOTAL GUAM | 14,157,185 | ||
| Hawaii - 0.2% | |||
| Hawaii Arpts. Sys. Rev.: | |||
| Series 2018 A: | |||
5% 7/1/29 (d) | 155,000 | 164,537 | |
5% 7/1/30 (d) | 185,000 | 196,379 | |
5% 7/1/31 (d) | 175,000 | 185,789 | |
5% 7/1/32 (d) | 185,000 | 196,270 | |
5% 7/1/33 (d) | 185,000 | 196,142 | |
5% 7/1/43 (d) | 1,770,000 | 1,816,984 | |
5% 7/1/48 (d) | 10,030,000 | 10,231,958 | |
| Series 2022 A: | |||
4% 7/1/40 (d) | 250,000 | 239,981 | |
5% 7/1/47 (d) | 1,000,000 | 1,040,806 | |
| Hawaii Dept. of Budget & Fin. Spl. Purp. Rev.: | |||
| Series 2013 A, 6.875% 7/1/43 (f) | 300,000 | 300,184 | |
| Series 2019, 3.5% 10/1/49 (d) | 1,700,000 | 1,413,952 | |
| Hawaii Gen. Oblig.: | |||
| Series 2016 FB, 4% 4/1/31 | 1,100,000 | 1,127,113 | |
| Series 2016 FH, 4% 10/1/30 | 1,750,000 | 1,794,370 | |
| Series 2017 FK, 4% 5/1/32 | 700,000 | 723,221 | |
| Series 2020 A: | |||
4% 7/1/33 (d) | 100,000 | 100,496 | |
4% 7/1/34 (d) | 85,000 | 85,374 | |
4% 7/1/35 (d) | 60,000 | 59,964 | |
4% 7/1/36 (d) | 150,000 | 148,092 | |
| Series 2020 C: | |||
4% 7/1/37 | 60,000 | 60,583 | |
4% 7/1/38 | 70,000 | 70,350 | |
4% 7/1/40 | 60,000 | 59,084 | |
| Series FG, 5% 10/1/27 | 65,000 | 68,970 | |
| Honolulu City & County Gen. Oblig.: | |||
| (Honolulu Rail Transit Proj.) Series 2020 B, 5% 3/1/29 | 4,975,000 | 5,557,662 | |
| Series 2016 C, 4% 10/1/31 | 720,000 | 738,163 | |
| Series 2018 A, 5% 9/1/41 | 130,000 | 139,212 | |
| Series 2019 A, 5% 9/1/24 | 50,000 | 51,028 | |
| Series 2022 A: | |||
5% 11/1/24 | 605,000 | 619,295 | |
5% 11/1/25 | 270,000 | 281,641 | |
| Honolulu City and County Wastewtr. Sys.: | |||
| Series 2015 A, 5% 7/1/40 (Pre-Refunded to 7/1/25 @ 100) | 55,000 | 56,964 | |
| Series 2015 B, 4% 7/1/29 | 1,550,000 | 1,583,801 | |
| Kauai County Hawaii Cmnty. Facilities D Series 2022: | |||
| 4.375% 5/15/42 | 250,000 | 221,456 | |
| 5% 5/15/51 | 500,000 | 483,904 | |
TOTAL HAWAII | 30,013,725 | ||
| Idaho - 0.2% | |||
| Idaho Health Facilities Auth. Rev.: | |||
| (St. Luke's Health Sys. Proj.) Series 2014 A, 5% 3/1/39 | 2,575,000 | 2,590,850 | |
| Series 2015 ID: | |||
5% 12/1/24 | 30,000 | 30,725 | |
5.5% 12/1/27 | 180,000 | 186,456 | |
| Idaho Hsg. & Fin. Assn Sales Tax Series 2023 A, 5.25% 8/15/48 | 12,675,000 | 14,136,269 | |
| Idaho Hsg. & Fin. Assoc. Single Family Mtg.: | |||
| (Idaho St Garvee Proj.) Series 2017 A: | |||
5% 7/15/24 | 40,000 | 40,705 | |
5% 7/15/25 | 40,000 | 41,442 | |
5% 7/15/26 | 30,000 | 31,701 | |
| Series 2019 A: | |||
4% 1/1/50 | 115,000 | 113,737 | |
5% 7/15/37 | 1,400,000 | 1,507,389 | |
| Series 2021 A: | |||
5% 7/15/29 | 190,000 | 210,979 | |
5% 7/15/30 | 65,000 | 73,092 | |
5% 7/15/31 | 40,000 | 45,605 | |
5% 7/15/32 | 80,000 | 91,115 | |
| Idaho Hsg. and Fin. Assoc. (Gem Prep: Meridian Proj.) Series 2022 A, 4% 5/1/57 | 250,000 | 209,044 | |
| Pwr. County Idaho Indl. Dev. Corp. Solid Waste Disp. Rev. Series 1999, 6.45% 8/1/32 (d) | 640,000 | 642,191 | |
| Spring Valley Cmnty. Infrastructure District No. 1 Eagle Spl. Assessment Series 2021, 3.75% 9/1/51 (f) | 3,027,000 | 2,237,269 | |
TOTAL IDAHO | 22,188,569 | ||
| Illinois - 6.1% | |||
| Bridgeview Fin. Corp. Series 2017 A, 5% 12/1/42 | 250,000 | 237,168 | |
| Bridgeview Gen. Oblig.: | |||
| Series 2005, 5.14% 12/1/36 | 1,960,000 | 1,779,120 | |
| Series 2015 A, 5.625% 12/1/41 | 250,000 | 231,241 | |
| Carol Stream Park District Dupage County Series 2020 C, 3% 11/1/32 | 265,000 | 256,761 | |
| Champaign County Cmnty. Unit: | |||
| Series 2019: | |||
4% 6/1/26 | 5,000 | 5,103 | |
4% 6/1/27 | 55,000 | 56,613 | |
4% 6/1/28 | 40,000 | 41,489 | |
4% 6/1/29 | 100,000 | 104,658 | |
4% 6/1/30 | 65,000 | 68,048 | |
4% 6/1/31 | 80,000 | 83,591 | |
4% 6/1/34 | 65,000 | 67,508 | |
4% 6/1/35 | 85,000 | 88,023 | |
4% 6/1/36 | 100,000 | 102,656 | |
| Series 2020 A: | |||
5% 1/1/29 | 45,000 | 49,143 | |
5% 1/1/30 | 40,000 | 43,613 | |
5% 1/1/31 | 55,000 | 59,872 | |
5% 1/1/33 | 105,000 | 113,923 | |
| Chicago Board of Ed.: | |||
| Series 1998 B, 0% 12/1/30 | 250,000 | 181,331 | |
| Series 1998 B1: | |||
0% 12/1/23 | 3,115,000 | 3,049,350 | |
0% 12/1/26 (FGIC Insured) | 725,000 | 626,968 | |
0% 12/1/27 (FGIC Insured) | 2,180,000 | 1,808,939 | |
0% 12/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 830,000 | 660,191 | |
0% 12/1/29 (Assured Guaranty Muni. Corp. Insured) | 1,995,000 | 1,546,067 | |
| Series 1999 A: | |||
0% 12/1/23 (FGIC Insured) | 280,000 | 274,099 | |
0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 2,750,000 | 2,378,156 | |
0% 12/1/27 (FGIC Insured) | 250,000 | 207,447 | |
0% 12/1/28 (FGIC Insured) | 2,110,000 | 1,678,316 | |
0% 12/1/29 | 700,000 | 532,217 | |
0% 12/1/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 305,000 | 221,224 | |
5.25% 12/1/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 740,000 | 743,601 | |
5.5% 12/1/26 (Assured Guaranty Corp. Insured) (FGIC Insured) | 500,000 | 525,293 | |
| Series 2005 A: | |||
5.5% 12/1/29 (AMBAC Insured) | 165,000 | 174,659 | |
5.5% 12/1/30 (AMBAC Insured) | 120,000 | 128,119 | |
5.5% 12/1/31 (AMBAC Insured) | 330,000 | 354,412 | |
| Series 2012 A, 5% 12/1/42 | 2,605,000 | 2,498,496 | |
| Series 2013 A, 5.5% 12/1/28 (AMBAC Insured) | 245,000 | 256,845 | |
| Series 2015 C: | |||
5.25% 12/1/35 | 130,000 | 130,277 | |
5.25% 12/1/39 | 260,000 | 260,296 | |
| Series 2016 A, 7% 12/1/44 | 505,000 | 530,108 | |
| Series 2016 B, 6.5% 12/1/46 | 40,000 | 41,833 | |
| Series 2016, 6% 4/1/46 | 6,950,000 | 7,267,789 | |
| Series 2017 A, 7% 12/1/46 (f) | 640,000 | 689,808 | |
| Series 2017 B, 7% 12/1/42 (f) | 300,000 | 324,610 | |
| Series 2017 C: | |||
5% 12/1/24 | 805,000 | 814,066 | |
5% 12/1/25 | 560,000 | 572,648 | |
5% 12/1/26 | 65,000 | 67,059 | |
5% 12/1/30 | 310,000 | 319,354 | |
| Series 2017 D: | |||
5% 12/1/23 | 360,000 | 361,605 | |
5% 12/1/24 | 215,000 | 217,421 | |
5% 12/1/31 | 475,000 | 489,073 | |
| Series 2017 G: | |||
5% 12/1/34 | 570,000 | 583,018 | |
5% 12/1/44 | 600,000 | 582,669 | |
| Series 2017 H: | |||
5% 12/1/36 | 1,050,000 | 1,060,508 | |
5% 12/1/46 | 1,020,000 | 983,133 | |
| Series 2017: | |||
5% 4/1/36 | 215,000 | 220,482 | |
5% 4/1/37 | 210,000 | 214,399 | |
5% 4/1/42 | 655,000 | 660,532 | |
5% 4/1/46 | 1,200,000 | 1,204,552 | |
| Series 2018 A: | |||
5% 12/1/24 (Assured Guaranty Muni. Corp. Insured) | 295,000 | 298,813 | |
5% 12/1/25 | 70,000 | 71,581 | |
5% 12/1/26 | 70,000 | 72,217 | |
5% 12/1/27 (Assured Guaranty Muni. Corp. Insured) | 1,250,000 | 1,309,777 | |
5% 12/1/28 | 575,000 | 600,672 | |
5% 12/1/29 | 250,000 | 259,590 | |
5% 12/1/30 | 835,000 | 865,720 | |
5% 12/1/32 | 100,000 | 103,087 | |
5% 12/1/34 (Assured Guaranty Muni. Corp. Insured) | 100,000 | 105,278 | |
5% 12/1/35 | 70,000 | 71,099 | |
5% 12/1/35 (Assured Guaranty Muni. Corp. Insured) | 100,000 | 104,743 | |
| Series 2018 C: | |||
5% 12/1/24 | 100,000 | 101,126 | |
5% 12/1/25 | 580,000 | 593,100 | |
5% 12/1/30 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 529,016 | |
5% 12/1/31 (Assured Guaranty Muni. Corp. Insured) | 1,100,000 | 1,163,527 | |
5% 12/1/32 (Assured Guaranty Muni. Corp. Insured) | 900,000 | 951,350 | |
5% 12/1/46 | 5,935,000 | 5,736,001 | |
| Series 2018: | |||
5% 4/1/38 | 290,000 | 296,398 | |
5% 4/1/42 | 1,060,000 | 1,071,053 | |
5% 4/1/46 | 300,000 | 301,407 | |
| Series 2019 A: | |||
5% 12/1/23 | 140,000 | 140,624 | |
5% 12/1/25 | 140,000 | 143,162 | |
5% 12/1/26 | 115,000 | 118,643 | |
5% 12/1/28 | 405,000 | 423,082 | |
5% 12/1/29 | 175,000 | 183,497 | |
5% 12/1/30 | 1,040,000 | 1,084,448 | |
5% 12/1/31 | 465,000 | 483,269 | |
5% 12/1/33 | 1,090,000 | 1,126,387 | |
| Series 2021 A: | |||
5% 12/1/35 | 2,500,000 | 2,569,325 | |
5% 12/1/36 | 195,000 | 199,261 | |
5% 12/1/37 | 600,000 | 608,797 | |
5% 12/1/39 | 2,690,000 | 2,700,633 | |
5% 12/1/40 | 2,015,000 | 2,013,454 | |
| Series 2021 B: | |||
5% 12/1/31 | 300,000 | 315,102 | |
5% 12/1/36 | 615,000 | 628,438 | |
| Series 2022 A: | |||
4% 12/1/47 | 3,485,000 | 2,977,449 | |
5% 12/1/43 | 7,015,000 | 6,961,673 | |
5% 12/1/47 | 5,335,000 | 5,215,595 | |
| Series 2022 B: | |||
4% 12/1/35 | 1,535,000 | 1,441,803 | |
4% 12/1/36 | 2,880,000 | 2,679,462 | |
4% 12/1/38 | 475,000 | 434,013 | |
4% 12/1/39 | 1,000,000 | 907,627 | |
4% 12/1/40 | 265,000 | 238,219 | |
4% 12/1/41 | 1,655,000 | 1,475,486 | |
| Series 2023: | |||
5% 4/1/45 | 745,000 | 764,730 | |
5.75% 4/1/48 | 7,445,000 | 8,078,651 | |
| Chicago Gen. Oblig.: | |||
| (Cap. Impt. Proj.) Series 1999, 0% 1/1/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,790,000 | 1,590,465 | |
| (City Colleges Proj.) Series 1999, 0% 1/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 2,065,000 | 1,892,198 | |
| Series 2005 D, 5.5% 1/1/40 | 1,690,000 | 1,715,953 | |
| Series 2007 E, 5.5% 1/1/35 | 210,000 | 214,189 | |
| Series 2013 A, 5.5% 1/1/33 | 195,000 | 199,215 | |
| Series 2014 A: | |||
5% 1/1/35 | 250,000 | 252,213 | |
5.25% 1/1/29 | 475,000 | 479,880 | |
| Series 2015 C: | |||
5% 1/1/25 | 340,000 | 346,505 | |
5% 1/1/38 | 500,000 | 504,218 | |
| Series 2017 A: | |||
5.625% 1/1/31 | 60,000 | 63,644 | |
5.75% 1/1/34 | 250,000 | 265,792 | |
6% 1/1/38 | 1,000,000 | 1,063,539 | |
6% 1/1/38 | 11,975,000 | 12,691,336 | |
| Series 2019 A: | |||
5% 1/1/39 | 820,000 | 833,530 | |
5% 1/1/40 | 740,000 | 750,349 | |
5% 1/1/44 | 5,350,000 | 5,255,325 | |
5.5% 1/1/35 | 565,000 | 606,153 | |
5.5% 1/1/49 | 6,080,000 | 6,294,903 | |
| Series 2020 A: | |||
5% 1/1/25 | 155,000 | 157,966 | |
5% 1/1/26 | 1,055,000 | 1,088,691 | |
5% 1/1/27 | 2,050,000 | 2,138,385 | |
5% 1/1/28 | 2,955,000 | 3,112,509 | |
5% 1/1/29 | 3,820,000 | 4,060,290 | |
5% 1/1/30 | 4,310,000 | 4,618,237 | |
5% 1/1/32 | 85,000 | 90,649 | |
| Series 2021 A: | |||
4% 1/1/35 | 780,000 | 763,399 | |
4% 1/1/36 | 1,500,000 | 1,433,796 | |
5% 1/1/29 | 1,670,000 | 1,775,048 | |
5% 1/1/31 | 95,000 | 102,640 | |
5% 1/1/32 | 5,245,000 | 5,655,843 | |
5% 1/1/33 | 990,000 | 1,066,229 | |
5% 1/1/34 | 705,000 | 758,324 | |
| Series 2021 B: | |||
4% 1/1/32 | 82,000 | 81,218 | |
4% 1/1/38 | 360,000 | 332,616 | |
| Series 2023 A: | |||
5.25% 1/1/38 | 10,840,000 | 11,548,019 | |
5.5% 1/1/39 | 1,630,000 | 1,761,357 | |
5.5% 1/1/40 | 600,000 | 645,114 | |
5.5% 1/1/41 | 6,235,000 | 6,579,332 | |
5.5% 1/1/43 | 955,000 | 1,002,299 | |
| Chicago Heights Ill Series 2018 B, 5.25% 12/1/34 | 250,000 | 274,415 | |
| Chicago Metropolitan Wtr. Reclamation District of Greater Chicago: | |||
| Series 2014 A, 5% 12/1/44 (Pre-Refunded to 12/1/24 @ 100) | 2,650,000 | 2,713,290 | |
| Series 2014 B, 5% 12/1/39 (Pre-Refunded to 12/1/24 @ 100) | 2,435,000 | 2,493,155 | |
| Chicago Midway Arpt. Rev.: | |||
| Series 2013 A, 5.5% 1/1/29 (d) | 565,000 | 565,433 | |
| Series 2013 B, 5% 1/1/25 | 40,000 | 40,049 | |
| Series 2014 A: | |||
5% 1/1/28 (d) | 250,000 | 251,092 | |
5% 1/1/31 (d) | 325,000 | 326,670 | |
5% 1/1/33 (d) | 1,715,000 | 1,723,612 | |
5% 1/1/34 (d) | 1,025,000 | 1,029,964 | |
| Series 2016 A: | |||
4% 1/1/33 (d) | 905,000 | 905,860 | |
5% 1/1/28 (d) | 245,000 | 251,100 | |
| Series 2016 B: | |||
4% 1/1/35 | 235,000 | 235,601 | |
5% 1/1/36 | 495,000 | 511,179 | |
5% 1/1/37 | 625,000 | 643,512 | |
5% 1/1/46 | 660,000 | 670,432 | |
| Chicago Motor Fuel Tax Rev. Series 2013, 5% 1/1/33 (Pre-Refunded to 1/1/24 @ 100) | 955,000 | 963,453 | |
| Chicago O'Hare Int'l. Arpt. Rev.: | |||
| Series 2012 A, 5% 1/1/30 | 250,000 | 250,256 | |
| Series 2013: | |||
5.25% 1/1/32 (Assured Guaranty Muni. Corp. Insured) | 200,000 | 200,245 | |
5.25% 1/1/33 (Assured Guaranty Muni. Corp. Insured) | 100,000 | 100,121 | |
5.75% 1/1/38 | 1,690,000 | 1,692,106 | |
| Series 2015 A: | |||
5% 1/1/27 (d) | 1,475,000 | 1,493,302 | |
5% 1/1/31 (d) | 735,000 | 746,247 | |
5% 1/1/34 (d) | 1,975,000 | 2,002,445 | |
| Series 2015 B: | |||
5% 1/1/28 | 635,000 | 648,876 | |
5% 1/1/32 | 65,000 | 66,518 | |
5% 1/1/33 | 600,000 | 613,892 | |
| Series 2015 C: | |||
5% 1/1/31 (d) | 785,000 | 796,651 | |
5% 1/1/32 (d) | 800,000 | 811,785 | |
5% 1/1/33 (d) | 725,000 | 735,309 | |
5% 1/1/46 (d) | 2,975,000 | 2,980,945 | |
| Series 2015 D, 5% 1/1/46 | 240,000 | 242,260 | |
| Series 2015: | |||
5% 1/1/34 (d) | 675,000 | 684,380 | |
5% 1/1/35 (d) | 120,000 | 121,571 | |
| Series 2016 B: | |||
5% 1/1/34 | 900,000 | 935,017 | |
5% 1/1/35 | 540,000 | 560,566 | |
5% 1/1/41 | 360,000 | 367,151 | |
| Series 2016 C: | |||
5% 1/1/32 | 265,000 | 275,740 | |
5% 1/1/33 | 405,000 | 421,278 | |
5% 1/1/34 | 470,000 | 488,287 | |
| Series 2016 D, 5% 1/1/47 | 3,420,000 | 3,507,861 | |
| Series 2016 G: | |||
5% 1/1/37 (d) | 245,000 | 252,569 | |
5% 1/1/42 (d) | 245,000 | 249,654 | |
5% 1/1/47 (d) | 395,000 | 400,688 | |
5% 1/1/52 (d) | 365,000 | 369,203 | |
5.25% 1/1/29 (d) | 40,000 | 42,030 | |
5.25% 1/1/31 (d) | 50,000 | 52,628 | |
| Series 2017 A, 5% 1/1/31 | 430,000 | 456,139 | |
| Series 2017 B: | |||
5% 1/1/34 | 85,000 | 90,103 | |
5% 1/1/35 | 395,000 | 416,893 | |
5% 1/1/36 | 90,000 | 94,288 | |
5% 1/1/37 | 1,395,000 | 1,455,578 | |
5% 1/1/38 | 125,000 | 130,104 | |
| Series 2017 C: | |||
5% 1/1/30 | 75,000 | 79,529 | |
5% 1/1/31 | 75,000 | 79,559 | |
5% 1/1/32 | 80,000 | 84,843 | |
| Series 2017 D: | |||
5% 1/1/28 (d) | 365,000 | 379,475 | |
5% 1/1/29 (d) | 305,000 | 317,948 | |
5% 1/1/32 (d) | 330,000 | 344,519 | |
5% 1/1/34 (d) | 495,000 | 516,027 | |
5% 1/1/35 (d) | 365,000 | 379,352 | |
5% 1/1/36 (d) | 450,000 | 465,772 | |
5% 1/1/37 (d) | 245,000 | 252,569 | |
5% 1/1/52 (d) | 500,000 | 505,757 | |
| Series 2018 A: | |||
5% 1/1/37 (d) | 2,675,000 | 2,798,920 | |
5% 1/1/38 (d) | 70,000 | 72,831 | |
5% 1/1/39 (d) | 2,415,000 | 2,505,751 | |
5% 1/1/48 (d) | 1,995,000 | 2,038,656 | |
5% 1/1/53 (d) | 690,000 | 702,443 | |
| Series 2018 B: | |||
5% 1/1/36 | 145,000 | 156,623 | |
5% 1/1/37 | 210,000 | 225,032 | |
5% 1/1/48 | 735,000 | 763,187 | |
5% 1/1/53 | 90,000 | 92,873 | |
| Series 2020 A: | |||
4% 1/1/36 (Assured Guaranty Muni. Corp. Insured) | 1,900,000 | 1,931,876 | |
4% 1/1/37 | 2,290,000 | 2,305,348 | |
4% 1/1/38 | 45,000 | 45,312 | |
| Series 2022 A: | |||
4.5% 1/1/48 (d) | 4,235,000 | 4,081,791 | |
4.625% 1/1/53 (d) | 2,325,000 | 2,272,184 | |
5.25% 1/1/45 (Assured Guaranty Muni. Corp. Insured) (d) | 500,000 | 533,456 | |
5.5% 1/1/53 (Assured Guaranty Muni. Corp. Insured) (d) | 5,750,000 | 6,161,841 | |
5.5% 1/1/55 (d) | 740,000 | 781,439 | |
| Series 2022 C: | |||
5% 1/1/37 (d) | 1,000,000 | 1,067,266 | |
5% 1/1/38 (d) | 1,000,000 | 1,058,641 | |
5% 1/1/39 (d) | 1,400,000 | 1,476,220 | |
5% 1/1/41 (d) | 2,000,000 | 2,093,866 | |
| Chicago O'Hare Int'l. Arpt. Spl. Facilities Rev. Series 2018: | |||
| 5% 7/1/33 (d) | 155,000 | 158,914 | |
| 5% 7/1/38 (d) | 715,000 | 717,221 | |
| 5% 7/1/48 (d) | 5,175,000 | 5,065,600 | |
| Chicago Transit Auth.: | |||
| Series 2017: | |||
5% 12/1/46 | 1,105,000 | 1,121,822 | |
5% 12/1/51 | 1,060,000 | 1,075,526 | |
| Series 2020 A: | |||
4% 12/1/50 (Build America Mutual Assurance Insured) | 1,635,000 | 1,568,973 | |
4% 12/1/55 | 1,035,000 | 930,828 | |
5% 12/1/45 | 2,165,000 | 2,256,544 | |
5% 12/1/55 | 360,000 | 370,067 | |
| Series 2022 A: | |||
4% 12/1/49 | 1,205,000 | 1,105,696 | |
5% 12/1/57 | 2,115,000 | 2,174,121 | |
| Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017: | |||
| 5% 6/1/23 | 270,000 | 270,000 | |
| 5% 6/1/25 | 75,000 | 76,812 | |
| 5% 6/1/26 | 120,000 | 124,827 | |
| Chicago Wastewtr. Transmission Rev.: | |||
| Series 2008 C: | |||
5% 1/1/31 | 415,000 | 422,179 | |
5% 1/1/33 | 140,000 | 142,593 | |
5% 1/1/34 | 140,000 | 142,310 | |
5% 1/1/35 | 140,000 | 142,154 | |
5% 1/1/39 | 690,000 | 696,165 | |
| Series 2014: | |||
5% 1/1/33 | 250,000 | 251,613 | |
5% 1/1/44 | 1,850,000 | 1,855,540 | |
5% 1/1/44 | 1,445,000 | 1,448,916 | |
| Series 2017 A: | |||
5% 1/1/47 | 385,000 | 390,037 | |
5.25% 1/1/42 (Assured Guaranty Muni. Corp. Insured) | 1,250,000 | 1,287,324 | |
| Series 2017 B: | |||
5% 1/1/30 | 1,150,000 | 1,207,519 | |
5% 1/1/36 | 970,000 | 997,467 | |
5% 1/1/38 | 240,000 | 245,198 | |
| Series 2023 A: | |||
5.25% 1/1/53 (Assured Guaranty Muni. Corp. Insured) | 1,750,000 | 1,889,406 | |
5.25% 1/1/58 (Assured Guaranty Muni. Corp. Insured) | 3,000,000 | 3,238,982 | |
| Chicago Wtr. Rev.: | |||
| Series 2004, 5% 11/1/25 | 280,000 | 289,630 | |
| Series 2012, 4% 11/1/37 | 400,000 | 400,122 | |
| Series 2014: | |||
5% 11/1/39 | 2,855,000 | 2,884,521 | |
5% 11/1/44 | 370,000 | 372,719 | |
| Series 2016 A1, 5% 11/1/27 | 190,000 | 197,288 | |
| Series 2017 2: | |||
5% 11/1/28 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 265,592 | |
5% 11/1/30 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 795,620 | |
5% 11/1/32 (Assured Guaranty Muni. Corp. Insured) | 1,240,000 | 1,320,235 | |
5% 11/1/33 (Assured Guaranty Muni. Corp. Insured) | 1,450,000 | 1,541,035 | |
5% 11/1/34 (Assured Guaranty Muni. Corp. Insured) | 1,445,000 | 1,527,280 | |
5% 11/1/37 (Assured Guaranty Muni. Corp. Insured) | 575,000 | 597,539 | |
5% 11/1/38 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 777,919 | |
| Series 2017: | |||
5% 11/1/29 | 240,000 | 253,049 | |
5.25% 11/1/33 (Assured Guaranty Muni. Corp. Insured) | 1,000,000 | 1,072,936 | |
5.25% 11/1/33 (Assured Guaranty Muni. Corp. Insured) | 25,000 | 25,007 | |
5.25% 11/1/35 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 796,949 | |
| Series 2023 A, 5.5% 11/1/62 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 823,975 | |
| Cmnty. High School District # 212 Series 2016 C: | |||
| 5% 12/1/30 | 750,000 | 765,159 | |
| 5% 12/1/31 | 250,000 | 255,016 | |
| Cook County Cmnty. College District Series 2017, 5% 12/1/47 | 2,060,000 | 2,129,595 | |
| Cook County Cmnty. Consolidated School District No. 59 Series 2020: | |||
| 4% 3/1/24 | 60,000 | 60,277 | |
| 5% 3/1/25 | 55,000 | 56,702 | |
| 5% 3/1/26 | 80,000 | 84,271 | |
| 5% 3/1/27 | 80,000 | 86,099 | |
| 5% 3/1/28 | 85,000 | 93,504 | |
| Cook County Gen. Oblig.: | |||
| Series 2016 A: | |||
5% 11/15/26 | 690,000 | 726,311 | |
5% 11/15/27 | 340,000 | 356,987 | |
5% 11/15/28 | 445,000 | 467,085 | |
5% 11/15/29 | 890,000 | 934,169 | |
5% 11/15/30 | 605,000 | 634,824 | |
| Series 2021 A: | |||
5% 11/15/31 | 235,000 | 263,104 | |
5% 11/15/32 | 155,000 | 173,167 | |
5% 11/15/33 | 1,475,000 | 1,639,932 | |
| Series 2021 B: | |||
4% 11/15/25 | 560,000 | 566,504 | |
4% 11/15/26 | 285,000 | 290,778 | |
4% 11/15/27 | 290,000 | 298,756 | |
4% 11/15/28 | 145,000 | 150,517 | |
| Series 2022 A, 5% 11/15/24 | 595,000 | 605,261 | |
| Cook County Sales Tax Rev.: | |||
| Series 2021 A: | |||
4% 11/15/39 | 295,000 | 289,218 | |
4% 11/15/40 | 665,000 | 646,497 | |
4% 11/15/41 | 905,000 | 874,401 | |
5% 11/15/38 | 230,000 | 245,315 | |
| Series 2022 A, 5.25% 11/15/45 | 1,150,000 | 1,231,482 | |
| Du Page Cook&Will Cntys 502 Series 2013 A, 5% 6/1/26 | 725,000 | 725,000 | |
| Elk Grove Village Series 2017: | |||
| 5% 1/1/34 | 325,000 | 347,463 | |
| 5% 1/1/36 | 315,000 | 334,580 | |
| Galesburg Rev. (Knox College Proj.) Series 2021 A, 4% 10/1/46 | 250,000 | 212,583 | |
| Grundy & Will Counties Cmnty. School Gen. Oblig. Series 2018, 5% 2/1/29 | 40,000 | 42,919 | |
| Illinois Dev. Fin. Auth. Envir. Facilities Rev. Series 2002, 8% 6/1/32 (d) | 245,000 | 245,195 | |
| Illinois Fin. Auth.: | |||
| Bonds Series 2021 B, 5%, tender 8/15/31 (b) | 1,025,000 | 1,122,998 | |
| Series 2020 A: | |||
3% 5/15/50 | 4,750,000 | 3,219,568 | |
3% 5/15/50 (Build America Mutual Assurance Insured) | 2,195,000 | 1,567,273 | |
3.25% 8/15/49 | 3,985,000 | 3,059,649 | |
4% 8/15/39 | 930,000 | 902,275 | |
4% 8/15/40 | 500,000 | 478,682 | |
4% 5/15/50 | 5,570,000 | 4,848,219 | |
5% 8/15/35 | 480,000 | 533,776 | |
| Series 2021 A: | |||
2.25% 7/1/33 (d) | 115,000 | 94,672 | |
5.125% 11/1/55 (f) | 680,000 | 562,231 | |
| Series 2021 B, 7% 11/1/37 (f) | 210,000 | 205,124 | |
| Series 2021: | |||
4% 10/1/33 | 170,000 | 155,505 | |
5% 10/1/31 | 240,000 | 241,646 | |
| Series 2022 A: | |||
5% 8/15/47 | 10,000,000 | 10,566,984 | |
5% 8/15/51 | 2,075,000 | 2,179,109 | |
5% 8/15/52 | 2,750,000 | 2,882,915 | |
5.5% 10/1/42 | 1,300,000 | 1,292,326 | |
5.5% 10/1/47 | 1,820,000 | 1,782,014 | |
6.125% 5/15/35 | 1,045,000 | 1,067,884 | |
6.125% 5/15/36 | 1,215,000 | 1,240,722 | |
| Series 2022 B1, 6% 11/15/27 | 650,000 | 650,638 | |
| Series 2022: | |||
5% 3/1/34 | 90,000 | 91,605 | |
5% 3/1/38 | 110,000 | 107,532 | |
5% 3/1/42 | 70,000 | 67,281 | |
5% 6/1/44 | 500,000 | 530,454 | |
5% 3/1/47 | 125,000 | 118,369 | |
5% 6/1/47 | 375,000 | 395,639 | |
5% 3/1/52 | 110,000 | 102,003 | |
| Series 2023 A: | |||
5.25% 8/1/38 (f) | 300,000 | 300,446 | |
5.5% 8/1/43 (f) | 360,000 | 362,479 | |
| Illinois Fin. Auth. Academic Facilities (Provident Group UIUC Properties LLC Univ. of Illinois at Urbana-Champaign Proj.) Series 2019 A: | |||
| 5% 10/1/27 | 15,000 | 15,959 | |
| 5% 10/1/28 | 15,000 | 16,230 | |
| 5% 10/1/31 | 10,000 | 10,908 | |
| 5% 10/1/32 | 15,000 | 16,270 | |
| 5% 10/1/33 | 30,000 | 32,305 | |
| 5% 10/1/35 | 15,000 | 15,979 | |
| 5% 10/1/36 | 15,000 | 15,828 | |
| 5% 10/1/37 | 20,000 | 20,965 | |
| 5% 10/1/38 | 20,000 | 20,870 | |
| 5% 10/1/39 | 35,000 | 36,390 | |
| 5% 10/1/44 | 305,000 | 314,061 | |
| 5% 10/1/49 | 370,000 | 379,053 | |
| 5% 10/1/51 | 390,000 | 398,626 | |
| Illinois Fin. Auth. Health Svcs. Facility Lease Rev. (Provident Group - UIC Surgery Ctr. LLC - Univ. of Illinois Health Svcs. Facility Proj.) Series 2020, 4% 10/1/50 | 1,440,000 | 1,188,115 | |
| Illinois Fin. Auth. Rev.: | |||
| (Bradley Univ. Proj.) Series 2017 C: | |||
5% 8/1/29 | 150,000 | 154,420 | |
5% 8/1/30 | 110,000 | 113,191 | |
5% 8/1/31 | 130,000 | 133,628 | |
5% 8/1/32 | 150,000 | 153,927 | |
| (Depaul Univ. Proj.): | |||
Series 2016 A: | |||
4% 10/1/34 | 120,000 | 120,657 | |
5% 10/1/29 | 120,000 | 126,356 | |
5% 10/1/30 | 120,000 | 126,300 | |
Series 2016 A: | |||
4% 10/1/31 | 85,000 | 85,676 | |
5% 10/1/33 | 85,000 | 89,245 | |
| (Franciscan Cmntys. Proj.) Series 2017 A, 5% 5/15/37 | 545,000 | 535,325 | |
| (Franciscan Communitites Proj.) Series 2017 A, 5% 5/15/47 | 220,000 | 197,888 | |
| (Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A: | |||
5% 7/15/25 | 65,000 | 67,141 | |
5% 7/15/27 | 75,000 | 80,259 | |
5% 7/15/30 | 85,000 | 92,160 | |
| (OSF Healthcare Sys.) Series 2018 A: | |||
4.125% 5/15/47 | 4,755,000 | 4,352,619 | |
5% 5/15/43 | 5,635,000 | 5,709,867 | |
| (Presence Health Proj.) Series 2016 C: | |||
3.625% 2/15/32 | 140,000 | 140,460 | |
4% 2/15/33 | 30,000 | 30,389 | |
5% 2/15/29 | 945,000 | 1,001,777 | |
5% 2/15/36 | 780,000 | 816,237 | |
| (Rosalind Franklin Univ. Research Bldg. Proj.) Series 2017 C: | |||
5% 8/1/46 | 295,000 | 287,692 | |
5% 8/1/49 | 190,000 | 184,595 | |
| (Rush Univ. Med. Ctr. Proj.) Series 2015 A, 5% 11/15/34 | 125,000 | 127,824 | |
| (The Admiral at the Lake Proj.) Series 2017: | |||
5% 5/15/33 | 1,910,000 | 1,660,458 | |
5.125% 5/15/38 | 1,550,000 | 1,263,271 | |
5.25% 5/15/42 | 280,000 | 219,400 | |
5.25% 5/15/54 | 1,690,000 | 1,208,605 | |
| Series 2008 A1, 4% 11/1/30 | 940,000 | 946,154 | |
| Series 2013 A, 6% 7/1/43 | 1,345,000 | 1,347,577 | |
| Series 2013: | |||
5% 11/15/28 | 350,000 | 350,175 | |
5% 11/15/29 | 170,000 | 170,094 | |
| Series 2015 A: | |||
5% 11/15/31 | 195,000 | 201,006 | |
5% 12/1/37 | 250,000 | 253,059 | |
| Series 2015 C: | |||
4.125% 8/15/37 | 105,000 | 97,897 | |
5% 8/15/35 | 1,800,000 | 1,833,202 | |
5% 8/15/44 | 5,995,000 | 5,990,583 | |
| Series 2015: | |||
5.25% 5/15/45 (Pre-Refunded to 5/15/25 @ 100) | 170,000 | 176,425 | |
5.25% 5/15/50 (Pre-Refunded to 5/15/25 @ 100) | 455,000 | 472,197 | |
6.125% 11/15/35 | 440,000 | 443,010 | |
6.375% 11/15/43 | 565,000 | 567,958 | |
| Series 2016 A: | |||
5% 2/15/24 | 55,000 | 55,530 | |
5% 8/15/25 | 75,000 | 77,487 | |
5% 8/15/25 (Escrowed to Maturity) | 290,000 | 300,077 | |
5% 7/1/28 (Pre-Refunded to 7/1/26 @ 100) | 150,000 | 158,473 | |
5% 2/15/29 | 625,000 | 652,676 | |
5% 2/15/30 | 660,000 | 691,403 | |
5% 7/1/30 (Pre-Refunded to 7/1/26 @ 100) | 85,000 | 89,802 | |
5% 2/15/31 | 535,000 | 560,589 | |
5% 7/1/31 (Pre-Refunded to 7/1/26 @ 100) | 150,000 | 158,473 | |
5% 2/15/32 | 515,000 | 539,498 | |
5% 7/1/33 (Pre-Refunded to 7/1/26 @ 100) | 185,000 | 195,450 | |
5% 7/1/34 (Pre-Refunded to 7/1/26 @ 100) | 660,000 | 697,282 | |
5% 8/15/35 (Pre-Refunded to 8/15/26 @ 100) | 65,000 | 68,523 | |
5% 7/1/36 (Pre-Refunded to 7/1/26 @ 100) | 400,000 | 422,595 | |
5% 8/15/36 (Pre-Refunded to 8/15/26 @ 100) | 245,000 | 258,279 | |
5.25% 8/15/29 (Pre-Refunded to 8/15/26 @ 100) | 55,000 | 58,396 | |
5.25% 8/15/31 (Pre-Refunded to 8/15/26 @ 100) | 75,000 | 79,631 | |
| Series 2016 B: | |||
5% 8/15/30 | 170,000 | 180,103 | |
5% 8/15/31 | 895,000 | 946,284 | |
5% 8/15/32 | 735,000 | 774,105 | |
5% 8/15/33 | 255,000 | 267,945 | |
5% 8/15/34 | 1,050,000 | 1,102,855 | |
5% 8/15/36 | 1,275,000 | 1,326,535 | |
| Series 2016 C: | |||
3.75% 2/15/34 | 215,000 | 216,199 | |
4% 2/15/36 | 925,000 | 928,568 | |
4% 2/15/41 | 4,965,000 | 4,788,291 | |
4% 2/15/41 (Pre-Refunded to 2/15/27 @ 100) | 120,000 | 123,538 | |
5% 2/15/24 | 5,000 | 5,050 | |
5% 2/15/31 | 3,685,000 | 3,904,318 | |
5% 2/15/32 | 535,000 | 566,078 | |
5% 2/15/34 | 555,000 | 584,700 | |
5% 2/15/41 | 870,000 | 897,845 | |
| Series 2016 D, 4% 2/15/46 (Pre-Refunded to 2/15/26 @ 100) | 5,565,000 | 5,690,378 | |
| Series 2016: | |||
4% 12/1/35 | 25,000 | 24,904 | |
5% 5/15/29 | 150,000 | 155,848 | |
5% 12/1/29 | 270,000 | 280,630 | |
5% 5/15/30 | 320,000 | 331,775 | |
5% 12/1/33 | 285,000 | 294,462 | |
5% 5/15/36 | 195,000 | 162,569 | |
5% 5/15/40 | 175,000 | 135,924 | |
5% 12/1/40 | 140,000 | 141,847 | |
5% 12/1/46 | 6,040,000 | 6,075,950 | |
| Series 2017 A: | |||
5% 1/1/34 (Pre-Refunded to 1/1/27 @ 100) | 490,000 | 522,025 | |
5% 1/1/35 (Pre-Refunded to 1/1/27 @ 100) | 490,000 | 522,025 | |
5% 8/1/42 | 210,000 | 208,211 | |
5% 3/1/47 | 2,135,000 | 2,160,395 | |
5% 8/1/47 | 245,000 | 239,328 | |
| Series 2017: | |||
5% 1/1/29 | 405,000 | 435,121 | |
5% 2/15/32 | 160,000 | 157,880 | |
5% 7/1/33 | 190,000 | 203,349 | |
5% 7/1/34 | 835,000 | 890,971 | |
5% 7/1/35 | 170,000 | 180,939 | |
5% 2/15/37 | 300,000 | 135,000 | |
5.125% 2/15/45 | 300,000 | 135,000 | |
5.25% 2/15/37 | 115,000 | 113,008 | |
| Series 2018 A, 5% 10/1/41 | 190,000 | 199,646 | |
| Series 2019 A, 3% 7/1/35 (d) | 160,000 | 139,484 | |
| Series 2019: | |||
4% 9/1/35 | 375,000 | 329,299 | |
4% 9/1/37 | 1,020,000 | 858,505 | |
4% 9/1/39 | 55,000 | 44,972 | |
5% 9/1/30 | 10,000 | 10,047 | |
5% 9/1/38 | 50,000 | 47,074 | |
| Illinois Fin. Auth. Student Hsg. and Academic Facility Rev.: | |||
| (CHF - Chicago, LLC - Univ. of Illinois At Chicago Proj.) Series 2017 A, 5% 2/15/28 | 40,000 | 40,648 | |
| (CHF - Chicago, LLC - Univ. of Illinois at Chicago Proj.) Series 2017 A, 5% 2/15/37 | 100,000 | 98,490 | |
| (CHF - Chicago, LLC - Univ. of Illinois At Chicago Proj.) Series 2017 A: | |||
5% 2/15/47 | 1,130,000 | 1,052,741 | |
5% 2/15/50 | 1,010,000 | 927,771 | |
| Illinois Fin. Auth. Wtr. Facilities Rev. Bonds (American Wtr. Cap. Corp. Proj.) Series 2020, 0.7%, tender 9/1/23 (b) | 395,000 | 391,630 | |
| Illinois Gen. Oblig.: | |||
| Series 2006: | |||
5.5% 1/1/28 | 320,000 | 348,946 | |
5.5% 1/1/31 | 110,000 | 125,513 | |
| Series 2010, 6.875% 7/1/25 | 1,750,000 | 1,779,636 | |
| Series 2013 A: | |||
5% 4/1/24 | 1,065,000 | 1,067,815 | |
5% 4/1/35 | 50,000 | 50,132 | |
5% 4/1/36 | 360,000 | 360,952 | |
| Series 2013, 5.5% 7/1/38 | 2,630,000 | 2,635,305 | |
| Series 2014 February: | |||
5.25% 2/1/33 | 2,430,000 | 2,449,643 | |
5.25% 2/1/34 | 435,000 | 438,331 | |
| Series 2014 May, 5% 5/1/34 | 280,000 | 282,290 | |
| Series 2014: | |||
5% 2/1/25 | 565,000 | 569,158 | |
5% 2/1/26 | 365,000 | 367,344 | |
5% 2/1/27 | 70,000 | 70,509 | |
5% 4/1/28 | 310,000 | 312,771 | |
5% 5/1/28 | 445,000 | 449,398 | |
5% 5/1/29 | 500,000 | 504,769 | |
5% 5/1/32 | 80,000 | 80,743 | |
5% 5/1/33 | 90,000 | 90,791 | |
5% 5/1/36 | 2,225,000 | 2,238,802 | |
5% 2/1/39 | 2,085,000 | 2,091,800 | |
5.25% 2/1/29 | 170,000 | 171,485 | |
5.25% 2/1/30 | 575,000 | 580,048 | |
5.25% 2/1/31 | 130,000 | 131,141 | |
5.25% 2/1/32 | 2,920,000 | 2,944,788 | |
| Series 2016: | |||
4% 2/1/30 (Assured Guaranty Muni. Corp. Insured) | 150,000 | 153,387 | |
4% 6/1/41 | 1,700,000 | 1,643,517 | |
4.5% 11/1/39 | 400,000 | 402,135 | |
5% 2/1/25 | 555,000 | 566,525 | |
5% 2/1/26 | 395,000 | 409,398 | |
5% 6/1/26 | 180,000 | 187,633 | |
5% 2/1/27 | 7,685,000 | 8,099,115 | |
5% 1/1/28 | 1,000,000 | 1,037,866 | |
5% 2/1/28 | 795,000 | 838,489 | |
5% 11/1/28 | 425,000 | 445,789 | |
5% 2/1/29 | 965,000 | 1,017,200 | |
5% 1/1/33 | 600,000 | 617,998 | |
5% 11/1/33 | 445,000 | 461,274 | |
5% 11/1/36 | 220,000 | 225,872 | |
| Series 2017 A: | |||
4.5% 12/1/41 | 250,000 | 250,250 | |
5% 12/1/23 | 60,000 | 60,347 | |
5% 12/1/26 | 185,000 | 194,431 | |
5% 12/1/34 | 625,000 | 652,907 | |
| Series 2017 B, 5% 12/1/27 | 250,000 | 267,014 | |
| Series 2017 C, 5% 11/1/29 | 5,710,000 | 6,073,426 | |
| Series 2017 D: | |||
3.25% 11/1/26 | 250,000 | 245,240 | |
5% 11/1/24 | 800,000 | 813,880 | |
5% 11/1/25 | 215,000 | 221,929 | |
5% 11/1/26 | 3,110,000 | 3,263,922 | |
5% 11/1/27 | 14,385,000 | 15,344,070 | |
5% 11/1/28 | 5,655,000 | 6,023,420 | |
| Series 2018 A: | |||
5% 10/1/24 | 30,000 | 30,486 | |
5% 10/1/25 | 235,000 | 242,245 | |
5% 10/1/26 | 85,000 | 89,082 | |
5% 10/1/28 | 260,000 | 281,062 | |
5% 10/1/29 | 105,000 | 113,224 | |
5% 10/1/30 | 1,170,000 | 1,257,955 | |
5% 10/1/31 | 645,000 | 690,366 | |
5% 5/1/39 | 725,000 | 749,077 | |
6% 5/1/27 | 1,475,000 | 1,614,794 | |
| Series 2018 B: | |||
5% 10/1/26 | 65,000 | 68,122 | |
5% 10/1/31 | 765,000 | 819,191 | |
5% 10/1/32 | 795,000 | 847,071 | |
| Series 2019 A: | |||
5% 11/1/27 | 2,095,000 | 2,234,677 | |
5% 11/1/28 | 2,775,000 | 3,003,149 | |
| Series 2019 B: | |||
4% 11/1/33 | 1,475,000 | 1,491,982 | |
4% 11/1/38 | 360,000 | 349,506 | |
5% 9/1/24 | 30,000 | 30,453 | |
| Series 2019 C, 4% 11/1/41 | 500,000 | 470,684 | |
| Series 2020 B: | |||
4% 10/1/32 | 475,000 | 484,173 | |
5% 10/1/28 | 280,000 | 302,682 | |
| Series 2020 C: | |||
4% 10/1/40 | 1,000,000 | 952,241 | |
4% 10/1/41 | 250,000 | 235,524 | |
4% 10/1/42 | 250,000 | 233,525 | |
4.25% 10/1/45 | 500,000 | 474,553 | |
| Series 2020: | |||
5.5% 5/1/24 | 140,000 | 142,147 | |
5.5% 5/1/25 | 655,000 | 676,929 | |
5.5% 5/1/26 | 475,000 | 500,938 | |
5.5% 5/1/39 | 3,930,000 | 4,289,485 | |
5.75% 5/1/45 | 1,475,000 | 1,601,527 | |
| Series 2021 A: | |||
4% 3/1/40 | 500,000 | 479,134 | |
5% 3/1/24 | 560,000 | 564,941 | |
5% 3/1/25 | 895,000 | 914,624 | |
5% 3/1/26 | 530,000 | 550,084 | |
5% 3/1/27 | 975,000 | 1,028,989 | |
5% 3/1/32 | 20,000 | 22,092 | |
5% 3/1/33 | 65,000 | 71,412 | |
5% 3/1/34 | 2,560,000 | 2,795,113 | |
5% 3/1/35 | 965,000 | 1,046,422 | |
5% 3/1/36 | 455,000 | 490,081 | |
5% 3/1/37 | 40,000 | 42,827 | |
5% 3/1/46 | 7,995,000 | 8,286,841 | |
| Series 2021 B: | |||
4% 12/1/34 | 315,000 | 315,277 | |
5% 3/1/24 | 930,000 | 938,206 | |
5% 3/1/25 | 850,000 | 868,638 | |
5% 3/1/26 | 690,000 | 716,147 | |
| Series 2021 C: | |||
4% 3/1/24 | 1,320,000 | 1,322,027 | |
4% 3/1/25 | 320,000 | 321,653 | |
| Series 2022 A: | |||
5% 3/1/29 | 1,695,000 | 1,842,354 | |
5% 3/1/31 | 1,695,000 | 1,880,272 | |
5% 3/1/32 | 105,000 | 117,200 | |
5% 3/1/34 | 250,000 | 275,486 | |
5% 3/1/36 | 4,815,000 | 5,226,702 | |
5.25% 3/1/37 | 205,000 | 224,821 | |
5.5% 3/1/42 | 4,100,000 | 4,489,819 | |
5.5% 3/1/47 | 9,200,000 | 9,947,999 | |
| Series 2022 B: | |||
5% 3/1/29 | 205,000 | 222,822 | |
5% 3/1/32 | 230,000 | 256,723 | |
5% 10/1/34 | 6,985,000 | 7,701,672 | |
| Series 2023 B: | |||
5.25% 5/1/39 | 5,590,000 | 6,070,914 | |
5.25% 5/1/41 | 2,120,000 | 2,275,790 | |
5.5% 5/1/47 | 1,955,000 | 2,115,852 | |
| Series 2023 D: | |||
5% 7/1/29 | 5,120,000 | 5,595,176 | |
5% 7/1/35 | 485,000 | 530,165 | |
| Series November 2016, 4.125% 11/1/31 | 365,000 | 370,796 | |
| Illinois Hsg. Dev. Auth.: | |||
| Series 2021, 3% 4/1/51 | 5,870,000 | 5,604,864 | |
| Series 2022 G, 6.25% 10/1/52 | 575,000 | 621,573 | |
| Series 2023 A: | |||
4.8% 10/1/43 | 2,845,000 | 2,870,338 | |
4.9% 4/1/47 | 740,000 | 751,121 | |
| Illinois Hsg. Dev. Auth. Multi-family Hsg. Rev. Series 2019, 2.9% 7/1/35 | 1,306,134 | 1,166,100 | |
| Illinois Hsg. Dev. Auth. Rev.: | |||
| Series 2018 A, 4.5% 10/1/48 | 925,000 | 925,529 | |
| Series 2021 A, 3% 4/1/51 | 695,000 | 665,739 | |
| Series D, 3.75% 4/1/50 | 235,000 | 230,677 | |
| Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A: | |||
| 4% 2/1/34 | 925,000 | 931,231 | |
| 5% 2/1/31 | 600,000 | 615,191 | |
| Illinois Reg'l. Trans. Auth.: | |||
| Series 2003 A: | |||
6% 7/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 6,220,000 | 6,959,791 | |
6% 7/1/33 (FGIC Insured) | 1,645,000 | 1,989,186 | |
| Series 2003 B, 5.5% 6/1/27 | 1,360,000 | 1,442,160 | |
| Series 2016 A, 4% 6/1/46 | 2,190,000 | 2,137,600 | |
| Illinois Sales Tax Rev.: | |||
| Series 2002, 6% 6/15/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 240,000 | 256,922 | |
| Series 2021 A, 3% 6/15/33 (Build America Mutual Assurance Insured) | 1,920,000 | 1,736,306 | |
| Series 2021 C, 5% 6/15/30 | 1,000,000 | 1,086,476 | |
| Illinois Sports Facilities Auth.: | |||
| Series 2014: | |||
5% 6/15/27 (Assured Guaranty Muni. Corp. Insured) | 375,000 | 378,791 | |
5.25% 6/15/31 (Assured Guaranty Muni. Corp. Insured) | 1,000,000 | 1,012,927 | |
| Series 2019: | |||
5% 6/15/28 | 480,000 | 491,021 | |
5% 6/15/28 | 300,000 | 311,762 | |
5% 6/15/29 | 590,000 | 619,353 | |
5% 6/15/29 | 480,000 | 491,399 | |
| Illinois State Univ. Revs. Series 2018 A: | |||
| 5% 4/1/31 (Assured Guaranty Muni. Corp. Insured) | 180,000 | 194,320 | |
| 5% 4/1/33 (Assured Guaranty Muni. Corp. Insured) | 120,000 | 129,576 | |
| 5% 4/1/36 (Assured Guaranty Muni. Corp. Insured) | 180,000 | 192,380 | |
| Illinois Toll Hwy. Auth. Toll Hwy. Rev.: | |||
| Series 2014 B, 5% 1/1/37 | 1,390,000 | 1,399,340 | |
| Series 2014 C: | |||
5% 1/1/34 | 610,000 | 615,965 | |
5% 1/1/37 | 1,475,000 | 1,509,304 | |
| Series 2015 A, 5% 1/1/37 | 700,000 | 721,254 | |
| Series 2016 A, 5% 12/1/31 | 910,000 | 948,515 | |
| Series 2016 B, 5% 1/1/41 | 1,235,000 | 1,276,625 | |
| Series 2017 A, 5% 1/1/42 | 5,425,000 | 5,680,021 | |
| Series 2019 A: | |||
5% 1/1/40 | 1,445,000 | 1,551,755 | |
5% 1/1/44 | 425,000 | 447,606 | |
| Series A: | |||
5% 1/1/38 | 65,000 | 70,902 | |
5% 1/1/40 | 805,000 | 890,736 | |
5% 1/1/41 | 2,135,000 | 2,331,909 | |
5% 1/1/45 | 7,155,000 | 7,605,022 | |
| Kane & DeKalb Counties Cmnty. Unit School District #302 Series 2018, 5% 2/1/26 | 130,000 | 135,779 | |
| Kane County School District No. 131 Series 2020 A: | |||
| 4% 12/1/30 (Assured Guaranty Muni. Corp. Insured) | 30,000 | 31,566 | |
| 4% 12/1/31 (Assured Guaranty Muni. Corp. Insured) | 40,000 | 41,991 | |
| 4% 12/1/33 (Assured Guaranty Muni. Corp. Insured) | 15,000 | 15,598 | |
| 4% 12/1/35 (Assured Guaranty Muni. Corp. Insured) | 20,000 | 20,584 | |
| 4% 12/1/36 (Assured Guaranty Muni. Corp. Insured) | 65,000 | 66,436 | |
| 4% 12/1/38 (Assured Guaranty Muni. Corp. Insured) | 35,000 | 35,043 | |
| 4% 12/1/39 (Assured Guaranty Muni. Corp. Insured) | 175,000 | 175,431 | |
| Kane, McHenry, Cook & DeKalb Counties Unit School District #300: | |||
| Series 2015 5% 1/1/28 | 155,000 | 157,470 | |
| Series 2017, 5% 1/1/29 | 60,000 | 63,412 | |
| Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2016: | |||
| 5% 2/1/33 | 605,000 | 627,662 | |
| 5% 2/1/34 | 850,000 | 879,649 | |
| 5% 2/1/35 | 605,000 | 624,084 | |
| 5% 2/1/36 | 1,045,000 | 1,072,889 | |
| Macon County School District Series 2020 C: | |||
| 4% 1/1/35 (Assured Guaranty Muni. Corp. Insured) | 400,000 | 407,609 | |
| 4% 1/1/45 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 242,783 | |
| Madison County Cmnty. United School District #007 Series 2017: | |||
| 5% 12/1/28 | 160,000 | 166,594 | |
| 5% 12/1/29 | 165,000 | 171,800 | |
| McHenry County Cmnty. School District #200 Series 2006 B: | |||
| 0% 1/15/24 | 130,000 | 126,753 | |
| 0% 1/15/25 | 250,000 | 234,276 | |
| 0% 1/15/26 | 185,000 | 167,201 | |
| Metropolitan Pier & Exposition: | |||
| (McCormick Place Expansion Proj.): | |||
Series 2002 A: | |||
0% 12/15/30 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 540,000 | 400,376 | |
0% 12/15/32 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,100,000 | 740,774 | |
0% 6/15/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 5,250,000 | 2,977,854 | |
Series 2010 B1: | |||
0% 6/15/43 (Assured Guaranty Muni. Corp. Insured) | 12,510,000 | 4,864,539 | |
0% 6/15/45 (Assured Guaranty Muni. Corp. Insured) | 4,390,000 | 1,530,859 | |
0% 6/15/46 (Assured Guaranty Muni. Corp. Insured) | 515,000 | 170,205 | |
0% 6/15/47 (Assured Guaranty Muni. Corp. Insured) | 1,190,000 | 372,735 | |
Series 2012 B, 0% 12/15/51 | 3,225,000 | 748,976 | |
Series A: | |||
0% 6/15/34 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,100,000 | 694,919 | |
0% 12/15/37 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 1,000,000 | 517,819 | |
0% 6/15/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 900,000 | 450,278 | |
| Series 1994, 0% 6/15/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 810,000 | 665,850 | |
| Series 1996 A, 0% 6/15/24 | 370,000 | 354,503 | |
| Series 1998 B, 5.5% 6/15/29 | 1,220,000 | 1,274,212 | |
| Series 2002 A: | |||
0% 12/15/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 11,715,000 | 7,545,671 | |
0% 6/15/35 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 4,255,000 | 2,558,305 | |
| Series 2002, 0% 12/15/36 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 7,840,000 | 4,305,047 | |
| Series 2010 B1, 0% 6/15/26 (Assured Guaranty Muni. Corp. Insured) | 510,000 | 454,133 | |
| Series 2012 B, 0% 12/15/50 | 800,000 | 196,388 | |
| Series 2015 A: | |||
0% 12/15/52 (Assured Guaranty Muni. Corp. Insured) | 800,000 | 187,330 | |
5% 6/15/53 | 895,000 | 895,724 | |
| Series 2017 A: | |||
0% 12/15/56 | 1,090,000 | 208,122 | |
0% 12/15/56 (Build America Mutual Assurance Insured) | 500,000 | 95,469 | |
5% 6/15/57 | 3,680,000 | 3,659,175 | |
| Series 2017 B: | |||
0% 12/15/54 (Build America Mutual Assurance Insured) | 2,400,000 | 507,370 | |
5% 12/15/25 | 120,000 | 122,923 | |
5% 12/15/26 | 405,000 | 419,111 | |
5% 12/15/27 | 40,000 | 41,798 | |
5% 12/15/28 | 110,000 | 114,752 | |
5% 12/15/31 | 80,000 | 83,543 | |
5% 12/15/32 | 50,000 | 52,098 | |
5% 12/15/34 | 50,000 | 51,861 | |
| Series 2020 A: | |||
4% 6/15/50 | 5,090,000 | 4,511,860 | |
5% 12/15/45 | 105,000 | 106,063 | |
5% 6/15/50 | 15,765,000 | 15,830,975 | |
| Series 2020 B, 5% 6/15/42 | 1,805,000 | 1,836,753 | |
| Series 2022 A: | |||
0% 12/15/35 | 200,000 | 114,703 | |
0% 6/15/36 | 625,000 | 347,790 | |
0% 12/15/36 | 215,000 | 116,045 | |
0% 6/15/37 | 200,000 | 104,675 | |
0% 12/15/38 | 420,000 | 202,253 | |
0% 6/15/39 | 455,000 | 212,116 | |
0% 12/15/39 | 1,235,000 | 562,205 | |
0% 6/15/40 | 555,000 | 244,334 | |
0% 12/15/40 | 1,040,000 | 446,958 | |
0% 6/15/41 | 570,000 | 237,283 | |
0% 12/15/41 | 775,000 | 314,877 | |
4% 12/15/42 | 4,195,000 | 3,898,394 | |
4% 12/15/47 | 4,920,000 | 4,427,641 | |
4% 6/15/52 | 17,640,000 | 15,491,503 | |
| Northern Illinois Univ. Revs.: | |||
| Series 2020 B: | |||
4% 4/1/36 (Build America Mutual Assurance Insured) | 215,000 | 210,522 | |
4% 4/1/38 (Build America Mutual Assurance Insured) | 230,000 | 217,883 | |
4% 4/1/40 (Build America Mutual Assurance Insured) | 195,000 | 180,975 | |
4% 4/1/41 | 65,000 | 59,793 | |
5% 4/1/34 (Build America Mutual Assurance Insured) | 955,000 | 1,007,322 | |
| Series 2021: | |||
4% 10/1/39 | 85,000 | 79,632 | |
4% 10/1/41 | 80,000 | 73,503 | |
4% 10/1/43 | 50,000 | 45,436 | |
| Railsplitter Tobacco Settlement Auth. Rev. Series 2017: | |||
| 5% 6/1/27 | 3,085,000 | 3,234,198 | |
| 5% 6/1/28 | 335,000 | 351,983 | |
| Rock Island County Pub. Bldg. Commission Series 2016, 5% 12/1/36 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 524,697 | |
| Romeoville Gen. Oblig. Rev.: | |||
| (Lewis Univ. Proj.) Series 2015, 5% 10/1/42 | 360,000 | 349,150 | |
| Series 2018 B: | |||
4.125% 10/1/41 | 240,000 | 204,692 | |
4.125% 10/1/46 | 240,000 | 195,425 | |
5% 10/1/39 | 295,000 | 291,862 | |
| Rosemont Gen. Oblig. Series 2016 A, 5% 12/1/40 (Assured Guaranty Muni. Corp. Insured) | 1,300,000 | 1,347,297 | |
| Sales Tax Securitization Corp.: | |||
| Series 2017 A, 5% 1/1/28 | 750,000 | 802,656 | |
| Series 2018 A: | |||
4% 1/1/48 | 1,500,000 | 1,365,140 | |
5% 1/1/48 | 2,830,000 | 2,892,488 | |
| Series 2018 C: | |||
5.25% 1/1/34 | 1,500,000 | 1,624,002 | |
5.25% 1/1/48 (Build America Mutual Assurance Insured) | 2,500,000 | 2,636,827 | |
| Series 2020 A, 4% 1/1/39 | 130,000 | 123,697 | |
| Series 2021 A, 5% 1/1/32 | 850,000 | 950,026 | |
| Series 2023 C, 5% 1/1/31 (h) | 2,410,000 | 2,641,100 | |
| Series 2023 D, 5% 1/1/36 (h) | 1,690,000 | 1,841,222 | |
| Sangamon County Wtr. Reclamation District Series 2019 A, 4% 1/1/49 | 250,000 | 238,738 | |
| Schaumburg Village Gen. Oblig. Series 2013 A, 4% 12/1/41 | 5,300,000 | 5,299,721 | |
| Southern Illinois Univ. Rev. Series 2021 A: | |||
| 4% 4/1/28 | 160,000 | 162,544 | |
| 4% 4/1/29 | 85,000 | 86,549 | |
| 4% 4/1/31 | 200,000 | 199,822 | |
| 4% 4/1/34 | 190,000 | 186,847 | |
| 4% 4/1/36 | 135,000 | 129,182 | |
| 4% 4/1/38 | 210,000 | 196,247 | |
| Southwestern Dev. Auth. Heath Facility Rev. Series 2013, 7.125% 11/1/43 (Pre-Refunded to 11/1/23 @ 100) | 245,000 | 248,332 | |
| Univ. of Illinois Rev.: | |||
| Series 2013: | |||
6% 10/1/42 | 780,000 | 786,802 | |
6.25% 10/1/38 | 765,000 | 772,421 | |
| Series 2018 A: | |||
5% 4/1/29 | 225,000 | 243,253 | |
5% 4/1/30 | 505,000 | 546,647 | |
| Series 2020 A: | |||
4% 4/1/32 | 470,000 | 474,697 | |
4% 4/1/35 | 630,000 | 621,999 | |
4% 4/1/36 | 320,000 | 315,108 | |
4% 4/1/38 | 410,000 | 400,958 | |
4% 4/1/44 | 210,000 | 201,878 | |
| Upper Illinois River Valley Dev. Auth. Edl. Facility Rev. (Cambridge Lakes Learning Ctr. Proj.) Series 2017 A: | |||
| 5% 12/1/32 (f) | 590,000 | 554,669 | |
| 5.25% 12/1/47 (f) | 1,135,000 | 991,048 | |
| Upper Illinois River Valley Dev. Auth. Rev. Series 2018, 5% 12/1/43 | 400,000 | 402,476 | |
| Western Illinois Econ. Dev. Auth. (City of Quincy Proj.) Series 2019 B: | |||
| 4% 12/1/29 | 140,000 | 143,306 | |
| 4% 12/1/30 | 180,000 | 184,061 | |
| 4% 12/1/32 | 250,000 | 255,206 | |
| 4% 12/1/34 | 370,000 | 373,671 | |
| 4% 12/1/36 | 425,000 | 425,104 | |
| Will County Cmnty. Unit School District #365-U Series 2007 B, 0% 11/1/26 (Assured Guaranty Muni. Corp. Insured) | 925,000 | 814,358 | |
| Will County Illinois Series 2016: | |||
| 5% 11/15/32 (Pre-Refunded to 11/15/25 @ 100) | 150,000 | 155,741 | |
| 5% 11/15/33 (Pre-Refunded to 11/15/25 @ 100) | 185,000 | 192,081 | |
| 5% 11/15/34 (Pre-Refunded to 11/15/25 @ 100) | 185,000 | 192,081 | |
| Will County School District Series 2022, 5.5% 1/1/49 | 300,000 | 332,246 | |
| Yorkville Svc. Area 2004-106 Tax Series 2016, 5% 3/1/32 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 774,407 | |
TOTAL ILLINOIS | 791,968,645 | ||
| Indiana - 0.6% | |||
| Ball State Univ. Series 2019 S: | |||
| 4% 7/1/36 | 435,000 | 439,283 | |
| 4% 7/1/37 | 180,000 | 180,269 | |
| 4% 7/1/38 | 195,000 | 194,166 | |
| Beech Grove School Bldg. Corp. Series 1996, 5.625% 7/5/24 (Escrowed to Maturity) | 40,000 | 40,374 | |
| East Chicago Solid Waste Disp. Rev. Series 1998, 5.5% 9/1/28 (d) | 245,000 | 229,062 | |
| Greater Clark Bldg. Corp. Ind. Series 2022, 6% 7/15/38 | 300,000 | 357,614 | |
| Hammond Multi-School Bldg. Corp. Series 2018, 5% 7/15/35 | 120,000 | 126,657 | |
| Indiana Dev. Fin. Auth. Envir. Rev.: | |||
| (United States Steel Corp. Proj.) Series 2021 A, 4.125% 12/1/26 | 1,945,000 | 1,912,387 | |
| Bonds (Fulcrum Centerpoint, LLC Proj.) Series 2022, 4.5%, tender 11/15/23 (d) | 2,500,000 | 2,491,725 | |
| Indiana Fin. Auth. Econ. Dev. Rev. Bonds (Republic Svcs., Inc. Proj.): | |||
| Series 2012, 4%, tender 6/1/23 (b)(d) | 5,000,000 | 5,000,000 | |
| Series A, 4%, tender 6/1/23 (b)(d) | 8,800,000 | 8,800,000 | |
| Indiana Fin. Auth. Edl. Facilities Rev.: | |||
| (Depauw Univ. Proj.) Series 2022 A, 5.5% 7/1/52 | 4,600,000 | 4,763,976 | |
| (Valparaiso Univ. Proj.) Series 2021: | |||
5% 10/1/28 | 50,000 | 51,940 | |
5% 10/1/33 | 35,000 | 36,824 | |
| Indiana Fin. Auth. Envir. Facilities Rev. Bonds (Indianapolis Pwr. & Lt. Co. Proj.): | |||
| Series 2020 A, 0.75%, tender 4/1/26 (b) | 210,000 | 185,793 | |
| Series 2020 B, 0.95%, tender 4/1/26 (b)(d) | 945,000 | 843,408 | |
| Indiana Fin. Auth. Exempt Facilities Rev. (Resources Polyflow Indiana Proj.) Series 2019, 7% 3/1/39 (d)(f) | 350,000 | 263,705 | |
| Indiana Fin. Auth. Health Facilities Rev. Series 2017 A, 5% 8/15/51 | 1,270,000 | 1,291,929 | |
| Indiana Fin. Auth. Health Sys. Rev. Bonds Series 2019 B, 2.25%, tender 7/1/25 (b) | 35,000 | 33,932 | |
| Indiana Fin. Auth. Hosp. Rev.: | |||
| (Parkview Health Sys. Proj.) Series 2017 A: | |||
5% 11/1/28 | 25,000 | 27,398 | |
5% 11/1/29 | 80,000 | 89,200 | |
5% 11/1/30 | 20,000 | 22,641 | |
| Series 2015 A, 4% 12/1/40 | 1,000,000 | 958,109 | |
| Series 2020 A, 4% 7/1/45 | 1,205,000 | 1,144,122 | |
| Series 2022: | |||
4.25% 1/1/47 | 535,000 | 513,537 | |
5% 1/1/52 | 1,500,000 | 1,552,192 | |
| Indiana Fin. Auth. Midwestern Disaster Relief Rev. Series 2012 A, 4.25% 11/1/30 | 4,095,000 | 4,010,718 | |
| Indiana Fin. Auth. Poll. Cont. Rev. Series 2010 B, 2.5% 11/1/30 | 385,000 | 331,826 | |
| Indiana Fin. Auth. Rev.: | |||
| (Butler Univ. Proj.) Series 2019, 4% 2/1/44 | 145,000 | 131,153 | |
| (Greencroft Obligated Group) Series 2013 A, 7% 11/15/43 | 1,125,000 | 1,138,143 | |
| (Marquette Proj.) Series 2015 A: | |||
5% 3/1/30 | 110,000 | 110,302 | |
5% 3/1/39 | 285,000 | 274,450 | |
| (Ohio River Bridges East End Crossing Proj.) Series 2013 A: | |||
5% 7/1/35 (Pre-Refunded to 7/1/23 @ 100) (d) | 465,000 | 465,492 | |
5% 7/1/40 (Pre-Refunded to 7/1/23 @ 100) (d) | 1,205,000 | 1,206,276 | |
5.25% 1/1/51 (Pre-Refunded to 7/1/23 @ 100) (d) | 3,715,000 | 3,719,669 | |
| (Rose-Hulman Institute of Technology Proj.) Series 2021: | |||
4% 6/1/33 | 45,000 | 45,896 | |
4% 6/1/34 | 50,000 | 50,856 | |
5% 6/1/27 | 35,000 | 36,899 | |
5% 6/1/32 | 85,000 | 93,223 | |
| Series 2013 A, 6% 11/15/41 (Pre-Refunded to 11/15/23 @ 100) | 605,000 | 610,856 | |
| Series 2015 A, 5.25% 2/1/32 | 1,025,000 | 1,056,442 | |
| Series 2015, 5% 3/1/36 | 1,515,000 | 1,549,210 | |
| Series 2016: | |||
5% 9/1/26 | 160,000 | 168,580 | |
5% 9/1/27 | 185,000 | 194,966 | |
5% 9/1/28 | 375,000 | 395,111 | |
5% 9/1/29 | 185,000 | 194,672 | |
5% 9/1/30 | 170,000 | 178,710 | |
5% 9/1/31 | 100,000 | 104,965 | |
| Series 2018 A: | |||
5% 11/15/48 | 250,000 | 221,738 | |
5% 11/15/53 | 250,000 | 218,031 | |
| Indiana Fin. Auth. Wastewtr. Util. Rev.: | |||
| (CWA Auth. Proj.): | |||
Series 2015 A, 5% 10/1/30 | 585,000 | 596,459 | |
Series 2016 A, 5% 10/1/41 | 2,465,000 | 2,545,221 | |
| CWA Auth. Proj. Series 2022 B: | |||
5.25% 10/1/47 | 900,000 | 977,466 | |
5.25% 10/1/52 | 1,000,000 | 1,080,928 | |
| Series 2021 2, 5% 10/1/41 | 1,235,000 | 1,351,123 | |
| Indiana Hsg. & Cmnty. Dev. Auth.: | |||
| (Glasswater Creek of Whitestown Proj.) Series 2020, 5.375% 10/1/40 (f) | 530,000 | 431,869 | |
| Series 2019 B, 3.5% 1/1/49 | 35,000 | 34,216 | |
| Series 2020 B1, 3.25% 7/1/49 | 390,000 | 379,357 | |
| Series 2021 B, 3% 7/1/50 | 445,000 | 426,801 | |
| Series A: | |||
3.75% 1/1/49 | 170,000 | 167,121 | |
5% 1/1/28 | 20,000 | 21,634 | |
5% 7/1/28 | 20,000 | 21,845 | |
5% 1/1/29 | 20,000 | 21,888 | |
5% 7/1/29 | 15,000 | 16,515 | |
| Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series 2017 A: | |||
| 5% 1/1/32 | 225,000 | 244,457 | |
| 5% 1/1/34 | 110,000 | 118,951 | |
| Indiana Secondary Mkt For Ed. L Series 2022 1A, 4.5% 6/1/39 (d) | 1,020,000 | 1,010,691 | |
| Indianapolis Local Pub. Impt.: | |||
| (Courthouse and Jail Proj.) Series 2019 A, 5% 2/1/49 | 995,000 | 1,043,404 | |
| (Indianapolis Arpt. Auth. Proj.): | |||
Series 2015 I, 5% 1/1/28 (d) | 425,000 | 430,952 | |
Series 2019 D: | |||
5% 1/1/27 (d) | 2,345,000 | 2,440,036 | |
5% 1/1/28 (d) | 3,695,000 | 3,883,832 | |
| Series 2016: | |||
4% 1/1/32 (d) | 120,000 | 119,596 | |
4% 1/1/33 (d) | 120,000 | 119,432 | |
4% 1/1/34 (d) | 150,000 | 150,035 | |
4% 1/1/35 (d) | 340,000 | 337,383 | |
5% 1/1/26 (d) | 125,000 | 128,479 | |
| Storemwater Proj. Series 2022 C, 5% 1/1/52 | 500,000 | 535,396 | |
| Indianapolis Wtr. Sys. Rev. Series 2018 A: | |||
| 5% 10/1/32 | 170,000 | 187,624 | |
| 5% 10/1/37 | 1,120,000 | 1,209,730 | |
| Mount Vernon Ind. Envir. Bonds (Southern Indiana Gas & Elec. Co. Proj.) Series 2015, 0.875%, tender 9/1/23 (b)(d) | 845,000 | 838,477 | |
| Northern Indiana Commuter Trans. District Series 2016, 5% 7/1/41 | 600,000 | 615,048 | |
| Purdue Univ. Rev. Series 2018 DD: | |||
| 5% 7/1/34 | 145,000 | 159,139 | |
| 5% 7/1/35 | 285,000 | 311,007 | |
| 5% 7/1/36 | 310,000 | 336,384 | |
| 5% 7/1/37 | 290,000 | 313,032 | |
| Saint Joseph County Econ. Dev. Auth. Rev. (St. Mary's College Proj.): | |||
| Series 2019: | |||
4% 4/1/39 | 55,000 | 51,728 | |
4% 4/1/46 | 125,000 | 111,266 | |
5% 4/1/40 | 125,000 | 129,978 | |
5% 4/1/43 | 1,290,000 | 1,334,427 | |
| Series 2020: | |||
4% 4/1/37 | 680,000 | 659,311 | |
5% 4/1/29 | 60,000 | 64,824 | |
5% 4/1/32 | 50,000 | 53,987 | |
| Saint Joseph County Ind. Edl. Facilities Rev. Series 1996, 6.5% 3/1/26 | 210,000 | 228,303 | |
| Shoals Exempt Facilities Rev. (Nat'l. Gypsum Co. Proj.) Series 2013, 7.25% 11/1/43 (d) | 255,000 | 257,064 | |
| Valparaiso Exempt Facilities Rev. (Pratt Paper (IN), LLC Proj.) Series 2013: | |||
| 6.75% 1/1/34 (d) | 1,630,000 | 1,655,493 | |
| 7% 1/1/44 (d) | 3,390,000 | 3,446,066 | |
| Warrick County Envir. Impt. Rev. Bonds (Southern Indiana Gas and Elec. Co.) Series 2015, 0.875%, tender 9/1/23 (b)(d) | 535,000 | 530,870 | |
| Whiting Envir. Facilities Rev. Bonds: | |||
| (BP Products North America, Inc. Proj.) Series 2019 A, 5%, tender 6/5/26 (b)(d) | 1,600,000 | 1,644,922 | |
| (BP Products North America INC. Proj.) Series 2015, 4.4%, tender 6/10/31 (b)(d) | 2,775,000 | 2,829,939 | |
TOTAL INDIANA | 83,662,133 | ||
| Iowa - 0.2% | |||
| Coralville Gen. Oblig.: | |||
| Series 2017 B, 4.25% 5/1/37 | 35,000 | 31,148 | |
| Series 2022 C, 5% 5/1/42 | 200,000 | 191,510 | |
| Iowa Fin. Auth. Series 2018 A: | |||
| 5% 3/1/33 | 165,000 | 159,066 | |
| 5% 3/1/38 | 130,000 | 118,930 | |
| 5% 3/1/48 | 240,000 | 201,386 | |
| Iowa Fin. Auth. Midwestern Disaster Area Rev.: | |||
| (Iowa Fertilizer Co. Proj.) Series 2022, 5% 12/1/50 | 880,000 | 881,978 | |
| Bonds (Iowa Fertilizer Co. Proj.) Series 2022, 5%, tender 12/1/42 (b) | 5,320,000 | 5,367,973 | |
| Iowa Fin. Auth. Rev.: | |||
| Series 2018 B, 5% 2/15/48 | 205,000 | 210,187 | |
| Series 2019 A, 5% 8/1/35 | 1,090,000 | 1,193,659 | |
| Series 2019 A1, 4% 5/15/55 | 250,000 | 143,260 | |
| Series A: | |||
5% 5/15/43 | 215,000 | 163,269 | |
5% 5/15/48 | 1,510,000 | 1,089,416 | |
| Iowa Fin. Auth. Single Family Mtg.: | |||
| (Mtg.-Backed Securities Prog.): | |||
Series 2021 A, 3% 1/1/47 | 800,000 | 767,274 | |
Series 2021 B, 3% 7/1/51 | 2,025,000 | 1,941,427 | |
| Series 2018 A, 4% 7/1/47 | 135,000 | 133,653 | |
| Iowa Higher Ed. Ln. Auth. Rev. (Des Moines Univ. Proj.): | |||
| Series 2020, 4% 10/1/50 | 250,000 | 212,086 | |
| Series 2022: | |||
4.75% 10/1/42 | 170,000 | 169,362 | |
5% 10/1/47 | 180,000 | 181,766 | |
5.375% 10/1/52 | 200,000 | 206,075 | |
| Iowa State Board of Regents Hosp. Rev. Series 2022 B, 3% 9/1/61 | 250,000 | 174,469 | |
| Iowa Student Ln. Liquidity Corp. Student Ln. Rev.: | |||
| Series 2019 B: | |||
3% 12/1/39 (d) | 75,000 | 69,903 | |
5% 12/1/29 (d) | 740,000 | 799,436 | |
| Series 2019 C, 3.5% 12/1/44 (d) | 1,250,000 | 1,012,523 | |
| Tobacco Settlement Auth. Tobacco Settlement Rev.: | |||
| Series 2021 A2: | |||
4% 6/1/34 | 705,000 | 717,080 | |
4% 6/1/36 | 705,000 | 702,153 | |
4% 6/1/39 | 705,000 | 679,955 | |
4% 6/1/49 | 1,190,000 | 1,059,182 | |
5% 6/1/32 | 635,000 | 698,617 | |
| Series 2021 B1, 4% 6/1/49 | 6,510,000 | 6,364,700 | |
| Series 2021 B2, 0% 6/1/65 | 5,590,000 | 616,267 | |
TOTAL IOWA | 26,257,710 | ||
| Kansas - 0.2% | |||
| City of Topeka Health Care Facilities Rev. Series 2022 A: | |||
| 6.25% 12/1/42 | 340,000 | 334,735 | |
| 6.5% 12/1/52 | 630,000 | 618,649 | |
| Coffeyville Elec. Util. Sys. Rev. Series 2015 B: | |||
| 5% 6/1/38 (Pre-Refunded to 6/1/25 @ 100) (f) | 800,000 | 822,592 | |
| 5% 6/1/42 (Pre-Refunded to 6/1/25 @ 100) (f) | 300,000 | 308,472 | |
| Ellis County Unified School District Series 2022 B, 4% 9/1/52 (Assured Guaranty Muni. Corp. Insured) | 345,000 | 327,469 | |
| Hutchinson Hosp. Facilities Rev. Series 2016: | |||
| 5% 12/1/36 | 275,000 | 263,967 | |
| 5% 12/1/41 | 145,000 | 131,815 | |
| Lenexa Health Care Facilities Rev. Series 2018 A: | |||
| 5% 5/15/30 | 175,000 | 174,488 | |
| 5% 5/15/32 | 160,000 | 158,291 | |
| 5% 5/15/39 | 165,000 | 154,311 | |
| Lyon Unified School District Series 2019: | |||
| 4% 9/1/32 | 25,000 | 25,779 | |
| 4% 9/1/33 | 110,000 | 113,037 | |
| 4% 9/1/34 | 120,000 | 122,733 | |
| 4% 9/1/39 | 640,000 | 626,767 | |
| Overland Park Dev. Corp. Rev. Series 2019: | |||
| 5% 3/1/32 | 215,000 | 208,335 | |
| 5% 3/1/33 | 230,000 | 222,542 | |
| 5% 3/1/34 | 240,000 | 232,640 | |
| 5% 3/1/36 | 265,000 | 257,181 | |
| 5% 3/1/38 | 295,000 | 280,800 | |
| 5% 3/1/44 | 320,000 | 298,255 | |
| 5% 3/1/49 | 715,000 | 659,584 | |
| Overland Park Sales Tax Spl. Oblig. Rev. (Bluhawk Star Bond Proj.) Series 2022 A, 6.5% 11/15/42 (f) | 4,850,000 | 4,938,482 | |
| Sedgwick County Pub. Commission: | |||
| (Board of Trustees of Wichita State Univ. - Experiential Engineering Proj.) Series 2014 3, 5% 2/1/39 | 1,050,000 | 1,069,480 | |
| (Board of trustees of Wichita State Univ. - Experiential Engineering Proj.) Series 2014 3, 5% 2/1/44 | 725,000 | 737,513 | |
| Sedgwick Unified School District Series 2019 A: | |||
| 4% 9/1/31 | 240,000 | 246,776 | |
| 4% 9/1/32 | 180,000 | 184,894 | |
| Univ. of Kansas Hosp. Auth. Health Facilities Rev.: | |||
| Series 2015: | |||
5% 9/1/35 | 250,000 | 257,925 | |
5% 9/1/45 | 905,000 | 920,151 | |
| Series 2019 A, 5% 9/1/48 | 4,640,000 | 4,846,589 | |
| Wichita Health Care Facilities Series 2018 I: | |||
| 4.625% 5/15/41 | 30,000 | 23,847 | |
| 5% 5/15/33 | 30,000 | 27,796 | |
| 5% 5/15/38 | 35,000 | 30,419 | |
| 5% 5/15/47 | 150,000 | 119,485 | |
| Wyandotte County-Kansas City Unified Govt. Sales Tax Spl. Oblig. Rev.: | |||
| (Vacation Village Proj. Area 4 - Major Multi-Sport Athletic Complex Proj.) Series 2015, 0% 9/1/34 (f) | 1,500,000 | 568,404 | |
| Series 2015 A, 5.75% 9/1/32 | 780,000 | 664,864 | |
| Wyandotte County/Kansas City K (Legends Apts. Garage and West Lawn Proj.) Series 2018, 4.5% 6/1/40 | 90,000 | 81,999 | |
| Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev. Series 2016 A: | |||
| 5% 9/1/40 | 480,000 | 489,097 | |
| 5% 9/1/45 | 725,000 | 734,231 | |
TOTAL KANSAS | 22,284,394 | ||
| Kentucky - 0.7% | |||
| Ashland Med. Ctr. Rev.: | |||
| (Ashland Hosp. Corp. d/b/a King's Daughters Med. Ctr. Proj.) Series 2016 A, 5% 2/1/40 | 65,000 | 65,537 | |
| Series 2019: | |||
3% 2/1/40 (Assured Guaranty Muni. Corp. Insured) | 1,110,000 | 882,865 | |
4% 2/1/33 | 170,000 | 167,039 | |
4% 2/1/35 | 135,000 | 131,984 | |
4% 2/1/36 | 50,000 | 47,247 | |
4% 2/1/37 | 35,000 | 32,390 | |
4% 2/1/38 | 195,000 | 177,845 | |
5% 2/1/24 | 75,000 | 75,493 | |
5% 2/1/25 | 60,000 | 60,871 | |
5% 2/1/28 | 5,000 | 5,244 | |
5% 2/1/32 | 100,000 | 104,853 | |
| Boyle County Edl. Facilities Rev. Series 2017, 5% 6/1/37 | 115,000 | 119,194 | |
| Campbellsville Indl. Bldg. Rev. (Capmpbellsville Univ. Proj.) Series 2017, 5% 3/1/39 | 250,000 | 222,396 | |
| Carroll County Poll. Ctlr Rev. Bonds (Kentucky Utils. Co. Proj.) Series 2016 A, 1.55%, tender 9/1/26 (b) | 500,000 | 451,369 | |
| Columbia Edl. Dev. Rev. (Lindsey Wilson College Proj.) Series 2019, 5% 12/1/33 | 250,000 | 251,001 | |
| Econ. Dev. Fin. Auth. Lousiville Arena Proj. Rev.: | |||
| Louisville Arena Auth., Inc. Series 2017 A, 5% 12/1/47 (Assured Guaranty Muni. Corp. Insured) | 190,000 | 189,986 | |
| Series 2017 A, 5% 12/1/45 (Assured Guaranty Muni. Corp. Insured) | 1,390,000 | 1,420,940 | |
| Henderson Rev. (Pratt Paper (KY), LLC Proj.): | |||
| Series 2022 A, 4.7% 1/1/52 (d)(f) | 1,000,000 | 925,976 | |
| Series 2022 B: | |||
4.45% 1/1/42 (d)(f) | 710,000 | 667,167 | |
4.7% 1/1/52 (d)(f) | 1,535,000 | 1,421,373 | |
| Kenton County Arpt. Board Arpt. Rev.: | |||
| Series 2016: | |||
5% 1/1/24 | 45,000 | 45,396 | |
5% 1/1/27 | 85,000 | 88,805 | |
5% 1/1/28 | 195,000 | 204,245 | |
5% 1/1/31 | 185,000 | 193,465 | |
5% 1/1/32 | 185,000 | 193,197 | |
5% 1/1/33 | 75,000 | 78,298 | |
| Series 2019: | |||
5% 1/1/38 | 45,000 | 48,090 | |
5% 1/1/39 | 45,000 | 47,793 | |
5% 1/1/44 | 125,000 | 131,352 | |
5% 1/1/49 | 160,000 | 166,791 | |
| Kentucky Econ. Dev. Fin. Auth.: | |||
| (Masonic Home Independent Living II, Inc. - The Meadow Proj. and Grove Pointe Proj.) Series 2016 A: | |||
5% 5/15/46 | 995,000 | 733,138 | |
5% 5/15/51 | 520,000 | 369,244 | |
| Series 2019 A1: | |||
5% 8/1/33 | 55,000 | 58,680 | |
5% 8/1/44 | 1,510,000 | 1,553,833 | |
| Series 2019 A2: | |||
5% 8/1/44 | 500,000 | 514,514 | |
5% 8/1/49 | 2,590,000 | 2,639,373 | |
| Kentucky Econ. Dev. Fin. Auth. Healthcare Facilities Rev.: | |||
| (Baptist Life Cmntys. Proj.) Series 2016 A: | |||
6.25% 11/15/46 | 590,000 | 452,565 | |
6.375% 11/15/51 | 820,000 | 622,294 | |
| Series 2012: | |||
5.375% 11/15/42 | 635,000 | 519,828 | |
5.5% 11/15/45 | 330,000 | 267,988 | |
| Kentucky Econ. Dev. Fin. Auth. Hosp. Rev.: | |||
| Series 2015 A: | |||
5% 6/1/25 | 5,000 | 5,086 | |
5% 6/1/26 | 5,000 | 5,081 | |
5% 6/1/27 | 5,000 | 5,079 | |
5% 6/1/28 | 5,000 | 5,079 | |
5% 6/1/29 | 5,000 | 5,076 | |
5% 6/1/30 | 5,000 | 5,068 | |
5.25% 6/1/50 | 3,405,000 | 3,424,436 | |
| Series 2017 A: | |||
5% 6/1/37 | 1,570,000 | 1,577,123 | |
5% 6/1/41 | 1,560,000 | 1,534,811 | |
5% 6/1/45 | 2,920,000 | 2,840,866 | |
5.25% 6/1/41 | 2,005,000 | 2,046,329 | |
| Series 2017 B: | |||
5% 8/15/32 | 150,000 | 157,784 | |
5% 8/15/33 | 75,000 | 78,836 | |
5% 8/15/35 | 85,000 | 88,881 | |
5% 8/15/37 | 125,000 | 129,455 | |
5% 8/15/41 (Escrowed to Maturity) | 900,000 | 924,677 | |
5% 8/15/46 | 570,000 | 581,982 | |
| Kentucky Higher Ed. Student Ln. Corp. Rev. Series 2019 B1, 5% 6/1/36 (d) | 1,380,000 | 1,412,064 | |
| Kentucky Muni. Pwr. Agcy. Pwr. Sys. Rev. (Prairie State Proj.) Series 2019 A, 4% 9/1/45 | 500,000 | 444,494 | |
| Kentucky Pub. Trans. Infrastructure Auth. First Tier Toll Rev. (Downtown Crossing Proj.) Series 2013 A: | |||
| 5.75% 7/1/49 (Pre-Refunded to 7/1/23 @ 100) | 405,000 | 405,536 | |
| 6% 7/1/53 (Pre-Refunded to 7/1/23 @ 100) | 1,405,000 | 1,407,113 | |
| Kentucky State Property & Buildings Commission Rev.: | |||
| (Proj. No. 112) Series 2016 B, 5% 11/1/27 | 70,000 | 74,143 | |
| (Proj. No. 119) Series 2018: | |||
5% 5/1/26 | 125,000 | 130,978 | |
5% 5/1/28 | 65,000 | 70,308 | |
5% 5/1/29 | 765,000 | 829,721 | |
5% 5/1/30 | 70,000 | 75,872 | |
5% 5/1/31 | 30,000 | 32,725 | |
5% 5/1/32 | 190,000 | 205,866 | |
5% 5/1/33 | 170,000 | 184,180 | |
5% 5/1/34 | 190,000 | 205,110 | |
5% 5/1/35 | 115,000 | 122,851 | |
5% 5/1/36 | 100,000 | 106,058 | |
5% 5/1/38 | 255,000 | 267,434 | |
| Series 2017: | |||
5% 4/1/25 | 220,000 | 227,060 | |
5% 4/1/26 | 225,000 | 235,695 | |
| Series A: | |||
4% 11/1/34 | 80,000 | 81,174 | |
4% 11/1/35 | 25,000 | 25,338 | |
4% 11/1/36 | 65,000 | 65,467 | |
4% 11/1/37 | 80,000 | 80,185 | |
4% 11/1/38 | 35,000 | 34,576 | |
5% 8/1/27 | 25,000 | 25,854 | |
5% 11/1/29 | 285,000 | 311,283 | |
5% 11/1/30 | 120,000 | 130,843 | |
| Series B: | |||
5% 8/1/23 | 850,000 | 852,104 | |
5% 8/1/25 | 190,000 | 196,531 | |
5% 8/1/26 | 125,000 | 131,466 | |
5% 5/1/27 | 130,000 | 138,386 | |
| Kentucky State Univ. Ctfs. of Prtn. (Kentucky State Univ. Proj.) Series 2021: | |||
| 4% 11/1/36 | 15,000 | 15,287 | |
| 4% 11/1/38 | 30,000 | 29,607 | |
| 4% 11/1/41 | 25,000 | 24,287 | |
| 4% 11/1/51 | 50,000 | 47,203 | |
| Kentucky Tpk. Auth. Econ. Dev. Road Rev. (Revitalization Projs.) Series 2013 A, 5% 7/1/32 (Pre-Refunded to 7/1/23 @ 100) | 425,000 | 425,520 | |
| Kentucky, Inc. Pub. Energy: | |||
| Bonds: | |||
Series 2018 A, 4%, tender 4/1/24 (b) | 2,900,000 | 2,896,098 | |
Series 2018 B, 4%, tender 1/1/25 (b) | 4,375,000 | 4,370,923 | |
Series 2018 C2, 4.673%, tender 6/1/25 (b) | 1,500,000 | 1,503,407 | |
Series 2019 C, 4%, tender 2/1/28 (b) | 5,580,000 | 5,531,465 | |
Series 2022 A2, U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.200% 4.59%, tender 8/1/30 (b)(c) | 1,950,000 | 1,845,839 | |
Series A, 4%, tender 6/1/26 (b) | 15,955,000 | 15,898,739 | |
Series C1, 4%, tender 6/1/25 (b) | 11,070,000 | 11,038,543 | |
| Series A: | |||
4% 6/1/23 | 40,000 | 40,000 | |
4% 6/1/24 | 355,000 | 355,175 | |
4% 12/1/24 | 30,000 | 30,034 | |
4% 6/1/25 | 40,000 | 39,967 | |
| Louisville & Jefferson County: | |||
| Bonds: | |||
Series 2020 C, 5%, tender 10/1/26 (b) | 420,000 | 434,066 | |
Series 2020 D, 5%, tender 10/1/29 (b) | 505,000 | 538,322 | |
| Series 2013 A, 5.5% 10/1/33 | 485,000 | 486,250 | |
| Series 2016 A: | |||
5% 10/1/31 | 360,000 | 374,034 | |
5% 10/1/32 | 435,000 | 451,759 | |
5% 10/1/33 | 245,000 | 254,261 | |
| Series 2020 A: | |||
3% 10/1/43 | 3,575,000 | 2,713,664 | |
4% 10/1/39 | 335,000 | 317,419 | |
4% 10/1/40 | 65,000 | 60,958 | |
5% 10/1/37 | 1,525,000 | 1,589,053 | |
5% 10/1/38 | 360,000 | 373,831 | |
| Louisville & Jefferson County Metropolitan Govt. Hosp. Rev. (UOFL Health Proj.) Series 2022 A, 5% 5/15/47 (Assured Guaranty Muni. Corp. Insured) | 1,200,000 | 1,259,269 | |
| Louisville/Jefferson County Metropolitan Govt. Poll. Cont. Rev. Bonds Series 2019 A, 1.75%, tender 7/1/26 (b) | 1,385,000 | 1,302,623 | |
| Owen County Wtr. Facilities Rev. Bonds (Kentucky-American Wtr. Co. Proj.) Series 2020, 0.7%, tender 9/1/23 (b) | 350,000 | 347,013 | |
| Owensboro Elec. Lt. & Pwr. Rev. Series 2019: | |||
| 4% 1/1/25 | 540,000 | 543,850 | |
| 5% 1/1/26 | 290,000 | 301,615 | |
| 5% 1/1/27 | 725,000 | 765,824 | |
| Trimble County Poll. Cont. Rev. Bonds (Louisville Gas and Elec. Co. Proj.) Series 2016 A, 1.3%, tender 9/1/27 (b)(d) | 2,500,000 | 2,091,428 | |
TOTAL KENTUCKY | 96,573,056 | ||
| Louisiana - 0.5% | |||
| East Baton Rouge Sewerage Commission Rev. Bonds Series 2021 A, 1.3%, tender 2/1/28 (b) | 2,010,000 | 1,691,068 | |
| Jefferson Parish Econ. Dev. & Port District Rev. Series 2018 A: | |||
| 5.5% 6/15/38 (f) | 335,000 | 331,282 | |
| 5.625% 6/15/48 (f) | 395,000 | 376,902 | |
| Lafayette Parish School Board Sales Tax Rev. Series 2023: | |||
| 4% 4/1/48 | 1,900,000 | 1,832,919 | |
| 4% 4/1/53 | 1,900,000 | 1,811,112 | |
| Louisiana Local Govt. Envir. Facilities: | |||
| (CDF Healthcare of Louisiana, LLC Proj.) Series 2015 A, 5.625% 6/1/45 | 1,005,000 | 824,865 | |
| (St. James Place of Baton Rouge Proj.) Series 2015 A: | |||
6% 11/15/35 | 120,000 | 114,926 | |
6.25% 11/15/45 | 605,000 | 559,112 | |
| Louisiana Local Govt. Envir. Facilities and Cmnty. Dev. Auth.: | |||
| (Provident Group - ULM Properties LLC - Univ. of Louisana at Monroe Proj.) Series 2019 A: | |||
5% 7/1/39 (f) | 255,000 | 213,813 | |
5% 7/1/54 (f) | 410,000 | 309,533 | |
| (Provident Group - ULM Properties LLC - Univ. of Louisiana at Monroe Proj.) Series 2019 A, 5% 7/1/29 (f) | 100,000 | 95,550 | |
| (Ragin' Cajun Facilities, Inc. - Student Hsg. and Parking Proj.) Series 2018: | |||
5% 10/1/43 (Assured Guaranty Muni. Corp. Insured) | 125,000 | 128,018 | |
5% 10/1/48 (Assured Guaranty Muni. Corp. Insured) | 545,000 | 554,063 | |
| (Westlake Chemical Corp. Projs.) Series 2017, 3.5% 11/1/32 | 3,230,000 | 3,065,258 | |
| Louisiana Local Govt. Envir. Facilities And Cmnty. Dev. Auth. Facilities Rev. (The Glen Retirement Sys. Proj.) Series 2019 A, 5% 1/1/49 | 595,000 | 407,126 | |
| Louisiana Offshore Term. Auth. Deepwater Port Rev. Bonds (LOOP LLC Proj.): | |||
| Series 2007 A, 1.65%, tender 12/1/23 (b) | 1,795,000 | 1,771,584 | |
| Series 2013 A: | |||
1.65%, tender 12/1/23 (b) | 2,565,000 | 2,531,539 | |
1.65%, tender 12/1/23 (b) | 670,000 | 661,260 | |
| Louisiana Pub. Facilities Auth. Hosp. Rev.: | |||
| (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2017 A, 5% 7/1/47 | 580,000 | 585,762 | |
| Series 2020 A, 3% 6/1/50 (Assured Guaranty Muni. Corp. Insured) | 2,190,000 | 1,598,068 | |
| Louisiana Pub. Facilities Auth. Lease Rev. (Provident Group - Flagship Properties LLC - Louisiana State Univ. Nicholson Gateway Proj.) Series 2016 A, 5% 7/1/46 | 1,145,000 | 1,158,811 | |
| Louisiana Pub. Facilities Auth. Rev.: | |||
| (Loyola Univ. Proj.): | |||
Series 2017, 0% 10/1/46 (e) | 2,110,000 | 2,061,542 | |
Series 2021: | |||
5% 10/1/34 | 120,000 | 128,934 | |
5% 10/1/35 | 315,000 | 335,311 | |
| (Ochsner Clinic Foundation Proj.): | |||
Series 2015, 5% 5/15/47 | 250,000 | 252,547 | |
Series 2017, 5% 5/15/27 | 55,000 | 57,736 | |
| (Provident Group - HSC Properties, Inc. LSU Health Foundation) Series 2020 A1: | |||
5.1% 1/1/57 (f) | 1,980,000 | 1,746,913 | |
5.375% 1/1/40 (f) | 860,000 | 838,326 | |
5.5% 1/1/50 (f) | 590,000 | 565,357 | |
| (Tulane Univ. of Louisiana Proj.): | |||
Series 2016 A: | |||
5% 12/15/24 | 185,000 | 189,099 | |
5% 12/15/25 | 405,000 | 422,901 | |
5% 12/15/26 | 150,000 | 159,717 | |
5% 12/15/27 | 110,000 | 116,803 | |
5% 12/15/28 | 245,000 | 259,675 | |
5% 12/15/29 | 240,000 | 254,319 | |
5% 12/15/30 | 340,000 | 360,428 | |
Series 2020 A, 5% 4/1/45 | 1,045,000 | 1,103,131 | |
| Loyola Univ. Proj. Series 2021, 4% 10/1/41 | 235,000 | 214,963 | |
| Series 2018 E: | |||
5% 7/1/32 | 95,000 | 102,245 | |
5% 7/1/33 | 75,000 | 80,583 | |
5% 7/1/34 | 90,000 | 96,502 | |
| Louisiana Stadium and Exposition District: | |||
| Series 2013 A: | |||
5% 7/1/23 | 280,000 | 280,234 | |
5% 7/1/24 | 270,000 | 270,257 | |
5% 7/1/25 | 210,000 | 210,121 | |
| Series 2020, 5% 7/3/23 | 2,270,000 | 2,271,903 | |
| New Orleans Aviation Board Series 2018 A: | |||
| 5% 10/1/43 (Assured Guaranty Muni. Corp. Insured) | 155,000 | 162,137 | |
| 5% 10/1/48 (Assured Guaranty Muni. Corp. Insured) | 255,000 | 264,999 | |
| New Orleans Aviation Board Rev.: | |||
| (North Term. Proj.): | |||
Series 2015 A, 5% 1/1/40 | 685,000 | 694,169 | |
Series 2015 B: | |||
5% 1/1/29 (d) | 630,000 | 639,326 | |
5% 1/1/31 (d) | 305,000 | 309,761 | |
5% 1/1/34 (d) | 1,180,000 | 1,197,482 | |
5% 1/1/40 (d) | 140,000 | 140,851 | |
Series 2017 A: | |||
5% 1/1/43 | 550,000 | 566,305 | |
5% 1/1/48 | 1,255,000 | 1,286,301 | |
Series 2017 B: | |||
5% 1/1/27 (d) | 50,000 | 52,026 | |
5% 1/1/28 (d) | 30,000 | 31,058 | |
5% 1/1/32 (d) | 50,000 | 51,962 | |
5% 1/1/33 (d) | 85,000 | 88,296 | |
5% 1/1/34 (d) | 25,000 | 25,968 | |
5% 1/1/35 (d) | 50,000 | 51,881 | |
5% 1/1/37 (d) | 705,000 | 724,650 | |
5% 1/1/43 (d) | 280,000 | 284,569 | |
5% 1/1/48 (d) | 1,760,000 | 1,780,569 | |
| Series 2017 D2: | |||
5% 1/1/27 (d) | 60,000 | 62,432 | |
5% 1/1/28 (d) | 90,000 | 93,173 | |
5% 1/1/31 (d) | 170,000 | 176,711 | |
5% 1/1/33 (d) | 125,000 | 129,847 | |
5% 1/1/34 (d) | 265,000 | 275,265 | |
5% 1/1/35 (d) | 90,000 | 93,264 | |
5% 1/1/36 (d) | 115,000 | 118,681 | |
5% 1/1/37 (d) | 185,000 | 190,156 | |
5% 1/1/38 (d) | 365,000 | 374,245 | |
| New Orleans Gen. Oblig.: | |||
| Series 2021 A, 5% 12/1/40 | 250,000 | 265,154 | |
| Series 2021, 4% 10/1/34 | 500,000 | 513,971 | |
| New Orleans Swr. Svc. Rev. Series 2015: | |||
| 5% 6/1/33 (Pre-Refunded to 6/1/25 @ 100) | 205,000 | 212,393 | |
| 5% 6/1/40 (Pre-Refunded to 6/1/25 @ 100) | 825,000 | 854,754 | |
| 5% 6/1/45 (Pre-Refunded to 6/1/25 @ 100) | 645,000 | 668,262 | |
| New Orleans Wtr. Series 2015: | |||
| 5% 12/1/40 (Pre-Refunded to 12/1/25 @ 100) | 170,000 | 177,297 | |
| 5% 12/1/45 (Pre-Refunded to 12/1/25 @ 100) | 2,400,000 | 2,503,014 | |
| Saint James Parish Gen. Oblig.: | |||
| (Nustar Logistics, L.P. Proj.) Series 2010, 6.35% 7/1/40 (f) | 750,000 | 806,874 | |
| Bonds (Nustar Logistics, L.P. Proj.): | |||
Series 2008, 6.1%, tender 6/1/30 (b)(f) | 740,000 | 794,333 | |
Series 2010 B, 6.1%, tender 6/1/30 (b)(f) | 975,000 | 1,046,587 | |
Series 2011, 5.85%, tender 6/1/25 (b)(f) | 1,410,000 | 1,443,266 | |
| Shreveport Gen. Oblig. Series 2017, 5% 8/1/30 | 1,000,000 | 1,054,384 | |
| Shreveport Wtr. & Swr. Rev.: | |||
| Series 2017 A, 5% 12/1/41 (Assured Guaranty Muni. Corp. Insured) | 565,000 | 601,228 | |
| Series 2019 B: | |||
4% 12/1/44 (Assured Guaranty Muni. Corp. Insured) | 210,000 | 196,527 | |
4% 12/1/49 (Assured Guaranty Muni. Corp. Insured) | 265,000 | 239,644 | |
| St. John Baptist Parish Rev.: | |||
| (Marathon Oil Corp.) Series 2017, 2.2% 6/1/37 (b) | 2,320,000 | 2,180,788 | |
| Bonds: | |||
(Marathon Oil Corp. Proj.) Series 2017 B1, 2.125%, tender 7/1/24 (b) | 1,040,000 | 1,017,418 | |
(Marathon Oil Corp.) Series 2017: | |||
2.1%, tender 7/1/24 (b) | 230,000 | 224,946 | |
4.05%, tender 7/1/26 (b) | 2,000,000 | 1,985,659 | |
Series 2017 B2, 2.375%, tender 7/1/26 (b) | 2,090,000 | 1,975,035 | |
TOTAL LOUISIANA | 61,629,736 | ||
| Maine - 0.1% | |||
| Maine Fin. Auth. Rev. (Go Lab. Madison, LLC Proj.) Series 2021, 8% 12/1/51 (d)(f) | 900,000 | 587,650 | |
| Maine Fin. Auth. Solid Waste Disposable Rev.: | |||
| (Casella Waste Sys., Inc. Proj.) Series 2005 R3, 5.25% 1/1/25 (d)(f) | 120,000 | 120,572 | |
| Bonds (Casella Waste Systems, Inc. Proj.) Series 2015 R2, 4.375%, tender 8/1/25 (b)(d)(f) | 240,000 | 237,283 | |
| Maine Fin. Auth. Student Ln. Rev. (Supplemental Ed. Ln. Prog.) Series 2021 A1: | |||
| 5% 12/1/28 (Assured Guaranty Muni. Corp. Insured) (d) | 105,000 | 112,016 | |
| 5% 12/1/29 (Assured Guaranty Muni. Corp. Insured) (d) | 105,000 | 113,433 | |
| 5% 12/1/30 (Assured Guaranty Muni. Corp. Insured) (d) | 105,000 | 114,659 | |
| Maine Health & Higher Edl. Facilities Auth. Rev.: | |||
| (Eastern Maine Healthcare Systems Proj.) Series 2013, 5% 7/1/43 (Pre-Refunded to 7/1/23 @ 100) | 570,000 | 570,627 | |
| Series 2013, 5% 7/1/33 (Pre-Refunded to 7/1/23 @ 100) | 250,000 | 250,275 | |
| Series 2016 A: | |||
4% 7/1/41 | 350,000 | 306,216 | |
4% 7/1/46 | 490,000 | 407,560 | |
5% 7/1/41 | 1,290,000 | 1,251,329 | |
5% 7/1/46 | 3,395,000 | 3,081,982 | |
| Series 2017 A, 5% 7/1/47 | 2,645,000 | 2,707,725 | |
| Series 2017 B: | |||
4% 7/1/25 | 55,000 | 55,402 | |
4% 7/1/31 | 85,000 | 86,347 | |
4% 7/1/32 | 60,000 | 60,802 | |
4% 7/1/34 | 125,000 | 125,556 | |
5% 7/1/26 | 40,000 | 41,637 | |
5% 7/1/28 | 65,000 | 68,862 | |
5% 7/1/29 | 50,000 | 53,001 | |
5% 7/1/33 | 140,000 | 147,925 | |
5% 7/1/35 | 90,000 | 94,332 | |
| Series 2018 A: | |||
5% 7/1/30 | 65,000 | 69,215 | |
5% 7/1/31 | 60,000 | 63,814 | |
5% 7/1/34 | 110,000 | 116,720 | |
5% 7/1/35 | 155,000 | 163,684 | |
5% 7/1/36 | 180,000 | 189,020 | |
5% 7/1/37 | 170,000 | 177,588 | |
5% 7/1/38 | 125,000 | 130,229 | |
5% 7/1/43 | 250,000 | 257,784 | |
| Series 2020 A: | |||
4% 7/1/36 | 315,000 | 315,524 | |
4% 7/1/37 | 255,000 | 250,434 | |
4% 7/1/38 | 265,000 | 257,406 | |
4% 7/1/39 | 330,000 | 318,728 | |
4% 7/1/40 | 465,000 | 446,907 | |
4% 7/1/50 | 1,660,000 | 1,503,570 | |
| Series 2021 A, 4% 7/1/51 | 1,000,000 | 882,941 | |
| Maine Hsg. Auth. Mtg.: | |||
| Series 2020 C, 4% 11/15/50 | 565,000 | 558,461 | |
| Series C, 3.5% 11/15/46 | 100,000 | 98,880 | |
| Maine Hsg. Auth. Mtg. Purchase Rev. Series 2014 C1, 3.5% 11/15/44 (d) | 115,000 | 113,626 | |
| Maine Muni. Bond Bank Series 2016 B, 3.5% 11/1/29 | 735,000 | 742,677 | |
| Maine Tpk. Auth. Tpk. Rev.: | |||
| Series 2015: | |||
5% 7/1/32 | 125,000 | 128,954 | |
5% 7/1/36 | 320,000 | 328,695 | |
5% 7/1/38 | 80,000 | 81,948 | |
| Series 2018: | |||
5% 7/1/33 | 40,000 | 43,825 | |
5% 7/1/34 | 55,000 | 60,173 | |
5% 7/1/35 | 60,000 | 65,269 | |
5% 7/1/36 | 110,000 | 118,773 | |
5% 7/1/47 | 30,000 | 31,481 | |
TOTAL MAINE | 18,111,517 | ||
| Maryland - 1.2% | |||
| Anne Arundel Cny Series 2023, 5% 10/1/46 | 2,195,000 | 2,454,287 | |
| Anne Arundel County Gen. Oblig. Series 2021, 3% 10/1/37 | 2,540,000 | 2,310,938 | |
| Baltimore Convention Ctr. Hotel Rev. Series 2017: | |||
| 5% 9/1/25 | 305,000 | 300,746 | |
| 5% 9/1/26 | 100,000 | 98,537 | |
| 5% 9/1/33 | 210,000 | 208,721 | |
| 5% 9/1/34 | 765,000 | 757,709 | |
| 5% 9/1/36 | 870,000 | 842,686 | |
| 5% 9/1/42 | 1,135,000 | 1,052,845 | |
| 5% 9/1/46 | 3,685,000 | 3,348,306 | |
| Baltimore County Gen. Oblig.: | |||
| Series 2015, 3.5% 8/1/29 | 1,265,000 | 1,274,434 | |
| Series 2016, 5% 2/1/41 | 400,000 | 414,511 | |
| Series 2021, 5% 3/1/34 | 470,000 | 542,664 | |
| Baltimore Gen. Oblig.: | |||
| (East Baltimore Research Park Proj.) Series 2017 A, 5% 9/1/38 | 330,000 | 329,113 | |
| Series 2022, 5% 6/1/51 | 600,000 | 563,989 | |
| Baltimore Proj. Rev.: | |||
| (Wastewtr. Projs.) Series 2014 C, 5% 7/1/33 | 945,000 | 968,512 | |
| (Wtr. Projs.): | |||
Series 2013 B: | |||
5% 7/1/28 (Pre-Refunded to 1/1/24 @ 100) | 440,000 | 444,148 | |
5% 7/1/30 (Pre-Refunded to 1/1/24 @ 100) | 670,000 | 676,316 | |
Series 2014 C, 5% 7/1/31 | 635,000 | 651,588 | |
Series 2017 A, 5% 7/1/41 | 1,065,000 | 1,107,426 | |
Series 2019 A, 4% 7/1/49 | 1,385,000 | 1,326,550 | |
Series 2020 A: | |||
4% 7/1/45 | 1,415,000 | 1,370,847 | |
5% 7/1/50 | 1,555,000 | 1,661,258 | |
| Series 2019 A, 4% 7/1/39 | 320,000 | 321,088 | |
| Brunswick Spl. Oblig. Series 2019: | |||
| 4% 7/1/29 | 80,000 | 77,849 | |
| 5% 7/1/36 | 85,000 | 85,657 | |
| City of Westminster Series 2016: | |||
| 5% 11/1/27 | 315,000 | 326,980 | |
| 5% 11/1/28 | 335,000 | 348,473 | |
| 5% 11/1/29 | 355,000 | 369,961 | |
| 5% 11/1/30 | 375,000 | 390,366 | |
| 5% 11/1/31 | 110,000 | 114,422 | |
| Frederick County Tax Increment and Spl. Tax Series 2020 B, 4.625% 7/1/43 (f) | 205,000 | 197,312 | |
| Gaithersburg Eco Dev. Rev. Bd Series 2018 A: | |||
| 5% 1/1/27 | 210,000 | 210,241 | |
| 5% 1/1/28 | 280,000 | 279,873 | |
| 5% 1/1/33 | 1,750,000 | 1,716,087 | |
| 5% 1/1/36 | 85,000 | 81,397 | |
| Howard County Spl. Oblig. (Downtown Columbia Proj.) Series 2017 A, 4.5% 2/15/47 (f) | 235,000 | 210,654 | |
| Hsg. Opportunities Commission of Montgomery County Series 2021 C, 0.8% 7/1/25 | 375,000 | 351,051 | |
| Maryland Cmnty. Dev. Admin Dept. Hsg. & Cmnty. Dev.: | |||
| Series 2014 C, 4% 9/1/44 | 140,000 | 139,285 | |
| Series 2018 A, 4.5% 9/1/48 | 770,000 | 770,723 | |
| Series 2019 C: | |||
3.5% 3/1/50 | 105,000 | 102,508 | |
5% 9/1/27 | 45,000 | 47,993 | |
5% 9/1/28 | 5,000 | 5,423 | |
| Series 2020 D, 3.25% 9/1/50 | 1,900,000 | 1,839,972 | |
| Series 2021 A, 3% 9/1/51 | 1,630,000 | 1,564,615 | |
| Series 2021 B, 3% 9/1/51 | 1,790,000 | 1,711,603 | |
| Maryland Dept. of Trans.: | |||
| Series 2021 A, 3% 10/1/33 | 750,000 | 717,411 | |
| Series 2021 B: | |||
4% 8/1/37 (d) | 485,000 | 473,455 | |
4% 8/1/38 (d) | 575,000 | 559,075 | |
4% 8/1/41 (d) | 295,000 | 280,029 | |
4% 8/1/51 (d) | 1,270,000 | 1,166,791 | |
5% 8/1/36 (d) | 295,000 | 316,794 | |
5% 8/1/46 (d) | 5,765,000 | 5,989,958 | |
| Maryland Econ. Dev. Auth. Rev.: | |||
| (Ports America Chesapeake LLC. Proj.) Series 2017 A: | |||
5% 6/1/23 | 140,000 | 140,000 | |
5% 6/1/24 | 145,000 | 146,759 | |
5% 6/1/25 | 150,000 | 151,608 | |
5% 6/1/27 | 140,000 | 143,759 | |
5% 6/1/30 | 530,000 | 550,095 | |
5% 6/1/32 | 145,000 | 150,359 | |
5% 6/1/35 | 1,085,000 | 1,118,502 | |
| (Trans. Facilities Proj.) Series 2017 A, 5% 6/1/28 | 210,000 | 217,480 | |
| Series 2022 A: | |||
5% 12/31/42 | 1,000,000 | 1,026,427 | |
5.25% 12/31/47 | 500,000 | 519,425 | |
5.25% 6/30/53 | 1,000,000 | 1,033,590 | |
| Maryland Econ. Dev. Corp.: | |||
| (Port Covington Proj.) Series 2020: | |||
4% 9/1/40 | 485,000 | 422,733 | |
4% 9/1/50 | 340,000 | 275,270 | |
| (Purple Line Lt. Rail Proj.): | |||
Series 2022 A, 5% 11/12/28 (d) | 2,750,000 | 2,814,947 | |
Series 2022 B: | |||
5.25% 6/30/52 (d) | 1,000,000 | 1,016,123 | |
5.25% 6/30/55 (d) | 11,120,000 | 11,272,732 | |
| (SSA Baltimore Proj.) Series 2021, 3.997% 4/1/34 | 250,000 | 201,914 | |
| Purple Line Lt. Rail Proj. Series 2022 B, 5.25% 6/30/47 (d) | 1,000,000 | 1,018,142 | |
| Maryland Econ. Dev. Corp. Rev. Bonds (Constellation Energy Group INC. Proj.) Series 2006 B, 4.1%, tender 4/3/28 (b) | 800,000 | 810,831 | |
| Maryland Econ. Dev. Corp. Sr. Parking Facilities Rev.: | |||
| (Baltimore City Proj.): | |||
Series 2018 A, 5% 6/1/58 | 715,000 | 656,629 | |
Series 2018 C: | |||
4% 6/1/48 | 115,000 | 86,257 | |
4% 6/1/58 | 340,000 | 239,850 | |
| Series 2018 C, 4% 6/1/38 | 35,000 | 29,180 | |
| Maryland Econ. Dev. Corp. Student Hsg. Rev.: | |||
| (Bowie State Univ. Proj.) Series 2015: | |||
5% 6/1/25 (f) | 240,000 | 243,180 | |
5% 6/1/29 (f) | 335,000 | 345,527 | |
5% 6/1/33 (f) | 360,000 | 369,769 | |
| (Univ. of Maryland, College Park Projs.) Series 2016: | |||
5% 6/1/35 (Assured Guaranty Muni. Corp. Insured) | 645,000 | 671,619 | |
5% 6/1/43 (Assured Guaranty Muni. Corp. Insured) | 240,000 | 245,149 | |
| Maryland Gen. Oblig.: | |||
| Series 2016, 4% 6/1/30 | 1,400,000 | 1,409,645 | |
| Series 2018 A, 5% 3/15/26 | 1,605,000 | 1,690,370 | |
| Series 2021 2A, 5% 8/1/28 | 4,040,000 | 4,470,421 | |
| Series 2022 2C, 4% 3/1/29 | 3,030,000 | 3,228,294 | |
| Series 2022 A: | |||
5% 6/1/33 | 750,000 | 884,690 | |
5% 6/1/37 | 1,000,000 | 1,143,653 | |
| Series C, 5% 8/1/24 | 2,605,000 | 2,657,350 | |
| Maryland Health & Higher Edl.: | |||
| Series 2021 A: | |||
3% 7/1/51 | 2,815,000 | 1,988,701 | |
4% 6/1/38 | 500,000 | 471,422 | |
4% 6/1/46 | 1,050,000 | 927,850 | |
4% 6/1/51 | 1,640,000 | 1,404,810 | |
4% 6/1/55 | 1,545,000 | 1,297,724 | |
5% 6/1/29 | 125,000 | 132,819 | |
5% 6/1/31 | 20,000 | 21,588 | |
5% 6/1/33 | 320,000 | 342,740 | |
| Series 2021 B, 4% 1/1/51 | 500,000 | 416,051 | |
| Series 2021, 5% 1/1/36 | 155,000 | 157,591 | |
| Maryland Health & Higher Edl. Facilities Auth. Rev.: | |||
| (Medstar Health, Inc. Proj.) Series 2017 A, 5% 5/15/45 | 1,930,000 | 1,974,476 | |
| Series 2013 A, 6.75% 7/1/44 | 290,000 | 290,389 | |
| Series 2014: | |||
5% 7/1/39 (Pre-Refunded to 7/1/24 @ 100) | 1,475,000 | 1,499,538 | |
5.25% 7/1/34 (Pre-Refunded to 7/1/24 @ 100) | 2,415,000 | 2,457,660 | |
| Series 2015: | |||
5% 8/15/25 | 1,370,000 | 1,399,919 | |
5% 7/1/27 | 900,000 | 916,436 | |
5% 7/1/29 | 370,000 | 377,963 | |
5% 8/15/33 | 1,325,000 | 1,357,198 | |
5% 7/1/40 | 110,000 | 111,263 | |
5% 7/1/45 | 1,915,000 | 1,930,021 | |
| Series 2016 A: | |||
4% 7/1/42 | 255,000 | 232,381 | |
5% 7/1/32 | 85,000 | 87,478 | |
5% 7/1/33 | 215,000 | 221,176 | |
5% 7/1/34 | 255,000 | 262,534 | |
5% 7/1/35 | 425,000 | 436,233 | |
5% 7/1/36 | 210,000 | 214,786 | |
5% 7/1/38 | 65,000 | 65,831 | |
5% 1/1/45 | 140,000 | 141,994 | |
5.5% 1/1/36 | 2,475,000 | 2,545,205 | |
5.5% 1/1/46 | 5,150,000 | 5,200,576 | |
| Series 2017 A: | |||
5% 7/1/33 | 370,000 | 382,826 | |
5% 7/1/34 | 230,000 | 237,520 | |
5% 7/1/38 | 1,030,000 | 1,042,105 | |
| Series 2020 B: | |||
5% 4/15/24 | 45,000 | 45,519 | |
5% 4/15/25 | 60,000 | 61,632 | |
| Maryland Stadium Auth. Series 2022 A: | |||
| 5% 6/1/47 | 5,050,000 | 5,508,814 | |
| 5% 6/1/52 | 1,195,000 | 1,295,261 | |
| Maryland Stadium Auth. Built to Learn Rev.: | |||
| Series 2021, 4% 6/1/46 | 3,235,000 | 3,087,579 | |
| Series 2022 A: | |||
4% 6/1/35 | 160,000 | 164,799 | |
4% 6/1/37 | 135,000 | 136,387 | |
4% 6/1/38 | 145,000 | 145,662 | |
4% 6/1/47 | 1,665,000 | 1,586,282 | |
| Maryland Stadium Auth. Rev.: | |||
| Series 2018 A, 5% 5/1/42 | 2,710,000 | 2,843,347 | |
| Series 2018 B, 5% 5/1/35 | 1,180,000 | 1,276,617 | |
| Series 2020 B, 5% 5/1/47 | 740,000 | 822,988 | |
| Series 2022 C: | |||
0% 5/1/51 | 1,355,000 | 368,231 | |
0% 5/1/52 | 2,040,000 | 525,564 | |
0% 5/1/53 | 1,010,000 | 246,634 | |
0% 5/1/54 | 1,490,000 | 346,049 | |
0% 5/1/55 | 925,000 | 204,282 | |
| Maryland Trans. Auth. Passenger Facility Charge Rev. Series 2019, 4% 6/1/33 (d) | 960,000 | 958,839 | |
| Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2020: | |||
| 4% 7/1/50 | 605,000 | 578,327 | |
| 5% 7/1/40 | 315,000 | 344,102 | |
| Montgomery County Econ. Dev. Rev. Series 2018 A, 5.375% 7/1/48 | 915,000 | 759,037 | |
| Prince Georges County Ctfs. of Prtn. Series 2021: | |||
| 5% 10/1/27 | 1,740,000 | 1,880,351 | |
| 5% 10/1/28 | 2,545,000 | 2,803,262 | |
| Prince Georges County Rev. Auth. Spl. Oblig. (Suitland-Naylor Road Proj.) Series 2016: | |||
| 4.75% 7/1/36 (f) | 245,000 | 245,521 | |
| 5% 7/1/46 (f) | 350,000 | 350,728 | |
| Prince Georges County Spl. Oblig. (Westphalia Town Ctr. Proj.) Series 2018: | |||
| 5.125% 7/1/39 (f) | 115,000 | 112,591 | |
| 5.25% 7/1/48 (f) | 115,000 | 111,763 | |
| Rockville Mayor & Council Econ. Dev.: | |||
| (Ingleside at King Farm Proj.): | |||
Series 2017 A1, 5% 11/1/31 | 210,000 | 197,861 | |
Series 2017 A2: | |||
5% 11/1/29 | 70,000 | 67,177 | |
5% 11/1/31 | 85,000 | 80,087 | |
5% 11/1/32 | 70,000 | 65,351 | |
Series 2017 B: | |||
4.25% 11/1/37 | 55,000 | 43,928 | |
4.5% 11/1/43 | 275,000 | 216,965 | |
5% 11/1/47 | 1,005,000 | 834,479 | |
| (Rfdg.-Ingleside King Farm Proj.) Series 2017: | |||
5% 11/1/35 | 140,000 | 127,289 | |
5% 11/1/37 | 315,000 | 281,792 | |
5% 11/1/42 | 1,280,000 | 1,097,582 | |
| Washington County Econ. Dev. Rev. (Homewood Maryland Obligated Group Proj.) Series 2021: | |||
| 4% 5/1/26 | 245,000 | 236,111 | |
| 4% 5/1/27 | 255,000 | 241,513 | |
| 4% 5/1/30 | 285,000 | 254,906 | |
| 4% 5/1/31 | 155,000 | 136,135 | |
| 4% 5/1/36 | 985,000 | 798,107 | |
| 4% 5/1/42 | 2,010,000 | 1,494,086 | |
| Washington Metropolitan Area Transit Auth.: | |||
| Series 2020 A: | |||
4% 7/15/40 | 180,000 | 180,674 | |
5% 7/15/38 | 740,000 | 814,813 | |
5% 7/15/39 | 1,625,000 | 1,783,154 | |
| Series 2021 A, 5% 7/15/41 | 895,000 | 987,238 | |
| Westminster Proj. Rev.: | |||
| Series 2014 A: | |||
5% 7/1/24 | 120,000 | 120,224 | |
6.25% 7/1/44 | 510,000 | 513,081 | |
| Series 2014: | |||
5.125% 7/1/34 (Pre-Refunded to 7/1/24 @ 100) | 635,000 | 645,383 | |
5.5% 7/1/44 (Pre-Refunded to 7/1/24 @ 100) | 635,000 | 647,884 | |
TOTAL MARYLAND | 154,098,248 | ||
| Massachusetts - 1.5% | |||
| Boston Gen. Oblig. Series 2022 A: | |||
| 5% 11/1/37 | 935,000 | 1,078,149 | |
| 5% 11/1/41 | 2,335,000 | 2,652,173 | |
| Massachusetts Bay Trans. Auth. Sales Tax Rev.: | |||
| Series 2015 A, 5% 7/1/45 | 360,000 | 368,202 | |
| Series 2021 A1, 5% 7/1/34 | 2,640,000 | 3,038,725 | |
| Series 2021 A2: | |||
5% 7/1/41 | 1,385,000 | 1,495,613 | |
5% 7/1/42 | 480,000 | 516,950 | |
| Massachusetts Clean Wtr. Trust Series 2021 23A, 5% 2/1/39 | 1,965,000 | 2,199,924 | |
| Massachusetts Commonwealth Trans. Fund Rev.: | |||
| (Accelerated Bridge Prog.): | |||
Series 2013 A, 5% 6/1/23 | 560,000 | 560,000 | |
Series 2014 A, 5% 6/1/44 | 2,250,000 | 2,270,352 | |
| (Rail Enhacement Prog.) Series 2022 A, 5% 6/1/50 | 4,700,000 | 5,087,087 | |
| (Rail Enhancement Prog.) Series 2021 B, 5% 6/1/37 | 3,900,000 | 4,187,587 | |
| Series 2017 A, 5% 6/1/43 | 1,980,000 | 2,087,397 | |
| Series 2021 A: | |||
4% 6/1/50 | 1,800,000 | 1,754,620 | |
5% 6/1/51 | 6,265,000 | 6,718,250 | |
| Series 2022 B, 5% 6/1/52 | 1,800,000 | 1,959,576 | |
| Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Series 2019 A, 5% 1/1/32 | 2,315,000 | 2,559,193 | |
| Massachusetts Dev. Fin. Agcy. Rev.: | |||
| (Lesley Univ. Proj.) Series 2016, 5% 7/1/39 | 255,000 | 255,956 | |
| (Newbridge On The Charles Proj.) Series 2017: | |||
5% 10/1/37 (f) | 635,000 | 604,357 | |
5% 10/1/47 (f) | 1,255,000 | 1,121,864 | |
5% 10/1/57 (f) | 2,930,000 | 2,562,845 | |
| (Partners Healthcare Sys., Inc. Proj.): | |||
Series 2017 S: | |||
5% 7/1/30 | 475,000 | 513,217 | |
5% 7/1/32 | 270,000 | 291,336 | |
5% 7/1/34 | 510,000 | 549,028 | |
Series 2017, 4% 7/1/41 | 1,215,000 | 1,181,609 | |
| (UMass Memorial Health Care Proj.) Series K, 5% 7/1/38 | 275,000 | 279,952 | |
| (Univ. of Massachusetts Health Cr., Inc. Proj.) Series 2017 L: | |||
4% 7/1/44 | 680,000 | 612,092 | |
5% 7/1/44 | 250,000 | 251,960 | |
| (Wentworth Institute of Technology Proj.) Series 2017: | |||
5% 10/1/27 | 125,000 | 127,452 | |
5% 10/1/28 | 125,000 | 127,684 | |
5% 10/1/29 | 135,000 | 137,997 | |
5% 10/1/30 | 65,000 | 66,414 | |
5% 10/1/31 | 150,000 | 153,112 | |
5% 10/1/32 | 155,000 | 158,002 | |
5% 10/1/33 | 75,000 | 76,330 | |
5% 10/1/46 | 240,000 | 233,715 | |
| Caregroup, Inc. Series 2015 H-1, 5% 7/1/25 | 90,000 | 92,409 | |
| Series 1999 P, 5.45% 5/15/59 (Assured Guaranty Corp. Insured) | 355,000 | 401,176 | |
| Series 2013 G, 5% 7/1/37 | 570,000 | 559,298 | |
| Series 2014 F: | |||
5.625% 7/15/36 | 85,000 | 85,015 | |
5.75% 7/15/43 | 920,000 | 920,197 | |
| Series 2015 D, 5% 7/1/44 | 145,000 | 146,519 | |
| Series 2015 F, 5% 8/15/30 | 210,000 | 217,692 | |
| Series 2015 O2, 5% 7/1/27 | 300,000 | 311,245 | |
| Series 2015: | |||
5% 4/15/25 | 30,000 | 30,001 | |
5% 1/1/31 | 190,000 | 192,966 | |
5% 5/1/41 | 250,000 | 253,363 | |
| Series 2016 A: | |||
5% 1/1/47 | 390,000 | 390,258 | |
5.25% 1/1/42 | 50,000 | 50,665 | |
| Series 2016 B, 4% 10/1/46 | 165,000 | 134,774 | |
| Series 2016: | |||
5% 10/1/29 | 120,000 | 125,854 | |
5% 10/1/30 | 185,000 | 193,938 | |
5% 7/1/31 | 205,000 | 212,453 | |
5% 10/1/31 | 200,000 | 209,585 | |
5% 7/1/36 | 305,000 | 312,926 | |
5% 1/1/40 | 530,000 | 545,754 | |
5% 10/1/43 | 1,810,000 | 1,755,059 | |
5% 7/1/46 | 465,000 | 466,501 | |
5% 10/1/48 | 1,975,000 | 1,858,710 | |
| Series 2017 A, 5% 1/1/36 | 155,000 | 158,880 | |
| Series 2017 B: | |||
5% 7/1/42 | 580,000 | 561,988 | |
5% 9/1/42 | 2,135,000 | 2,212,486 | |
| Series 2017: | |||
5% 7/1/33 | 125,000 | 129,286 | |
5% 7/1/34 | 150,000 | 154,961 | |
5% 7/1/47 | 60,000 | 59,431 | |
| Series 2018 J1, 5% 7/1/48 | 640,000 | 659,323 | |
| Series 2018: | |||
5% 11/15/38 (f) | 380,000 | 384,522 | |
5% 1/1/43 | 85,000 | 85,479 | |
5% 10/1/48 | 250,000 | 227,919 | |
5% 10/1/54 | 400,000 | 357,157 | |
5.125% 11/15/46 (f) | 820,000 | 826,202 | |
| Series 2019 A: | |||
4% 7/1/44 | 475,000 | 396,427 | |
5% 7/1/39 | 395,000 | 390,423 | |
5% 7/1/44 | 885,000 | 856,394 | |
| Series 2019 K: | |||
5% 7/1/25 | 55,000 | 56,472 | |
5% 7/1/26 | 70,000 | 72,928 | |
5% 7/1/27 | 85,000 | 89,926 | |
5% 7/1/31 | 240,000 | 261,498 | |
5% 7/1/32 | 240,000 | 261,286 | |
| Series 2019: | |||
5% 7/1/25 | 40,000 | 40,589 | |
5% 7/1/26 | 25,000 | 25,612 | |
5% 7/1/28 | 35,000 | 36,583 | |
5% 7/1/29 | 30,000 | 31,652 | |
5% 9/1/59 | 3,760,000 | 3,902,853 | |
| Series 2020 A: | |||
4% 7/1/45 | 3,055,000 | 2,642,463 | |
5% 10/15/29 | 3,530,000 | 4,016,460 | |
5% 10/15/30 | 3,530,000 | 4,086,993 | |
| Series 2020 C: | |||
4% 10/1/45 (Assured Guaranty Muni. Corp. Insured) | 400,000 | 376,377 | |
5% 10/1/32 (Assured Guaranty Muni. Corp. Insured) | 180,000 | 196,018 | |
5% 10/1/33 (Assured Guaranty Muni. Corp. Insured) | 110,000 | 119,620 | |
| Series 2021 V, 5% 7/1/55 | 4,180,000 | 4,807,722 | |
| Series 2021: | |||
4% 9/1/48 | 335,000 | 268,781 | |
4% 7/1/51 | 1,110,000 | 922,654 | |
5% 7/1/41 (f) | 250,000 | 209,507 | |
| Series 2022 B, 5% 11/15/32 | 2,125,000 | 2,540,448 | |
| Series 2022: | |||
5% 10/1/38 | 1,000,000 | 1,131,303 | |
5% 10/1/44 | 3,500,000 | 3,877,901 | |
5.125% 1/1/40 | 105,000 | 95,121 | |
5.25% 1/1/50 | 655,000 | 560,064 | |
| Series 2023 G: | |||
4.375% 7/1/52 | 785,000 | 736,938 | |
5.25% 7/1/52 | 3,450,000 | 3,587,885 | |
| Series BB1, 5% 10/1/46 | 1,205,000 | 1,240,422 | |
| Series J2, 5% 7/1/53 | 7,175,000 | 7,365,930 | |
| Series M: | |||
4% 10/1/50 | 3,070,000 | 2,521,499 | |
5% 10/1/45 | 2,315,000 | 2,324,939 | |
| Series N 2016, 5% 12/1/41 | 1,500,000 | 1,541,178 | |
| Massachusetts Edl. Fing. Auth. Rev.: | |||
| Series 2012 J: | |||
4.7% 7/1/26 (d) | 105,000 | 105,012 | |
4.9% 7/1/28 (d) | 110,000 | 110,016 | |
| Series 2016 J, 3.5% 7/1/33 (d) | 630,000 | 602,848 | |
| Series 2016, 5% 7/1/24 (d) | 990,000 | 998,915 | |
| Series 2018 C, 4.125% 7/1/46 (d) | 2,180,000 | 1,892,324 | |
| Series 2019 B: | |||
3% 7/1/35 (d) | 150,000 | 149,834 | |
5% 7/1/27 (d) | 475,000 | 494,631 | |
| Series 2019 C, 3.75% 7/1/47 (d) | 1,955,000 | 1,622,578 | |
| Series 2020 B, 2.625% 7/1/36 (d) | 55,000 | 52,570 | |
| Series 2021 B, 2% 7/1/37 (d) | 90,000 | 75,206 | |
| Series 2021 C, 3% 7/1/51 (d) | 700,000 | 468,265 | |
| Series 2022 C, 4.125% 7/1/52 (d) | 2,210,000 | 1,825,286 | |
| Massachusetts Gen. Oblig.: | |||
| Series 2004 A, 5.5% 8/1/30 | 1,305,000 | 1,514,719 | |
| Series 2016 H, 5% 12/1/26 | 2,135,000 | 2,280,341 | |
| Series 2017 A, 5% 4/1/37 | 550,000 | 583,289 | |
| Series 2017 D, 5% 7/1/25 | 1,500,000 | 1,556,017 | |
| Series 2017 F, 5% 11/1/39 | 1,350,000 | 1,432,336 | |
| Series 2018 B, 5% 7/1/30 | 750,000 | 859,879 | |
| Series 2019 A, 5% 1/1/49 | 705,000 | 746,082 | |
| Series 2019 C, 5% 5/1/49 | 1,205,000 | 1,278,961 | |
| Series 2019 D, 3% 5/1/35 | 1,000,000 | 934,193 | |
| Series 2020 C, 3% 3/1/49 | 2,335,000 | 1,796,545 | |
| Series 2021 B: | |||
3% 4/1/47 | 1,200,000 | 939,025 | |
3% 4/1/49 | 3,150,000 | 2,422,670 | |
| Series 2022 B, 3% 2/1/48 | 5,250,000 | 4,074,617 | |
| Series 2022 C, 5% 10/1/52 | 1,750,000 | 1,901,257 | |
| Series D, 5% 7/1/45 | 3,790,000 | 4,099,632 | |
| Series E: | |||
5% 11/1/45 | 1,125,000 | 1,220,678 | |
5% 11/1/50 | 470,000 | 504,362 | |
| Massachusetts Hsg. Fin. Auth.: | |||
| Series 2021 221, 3% 12/1/50 | 750,000 | 719,290 | |
| Series 2021 223, 3% 6/1/47 | 2,015,000 | 1,930,783 | |
| Massachusetts Muni. Wholesale Elec. Co. Series 2021 A, 4% 7/1/46 | 480,000 | 459,421 | |
| Massachusetts Port Auth. Rev.: | |||
| Series 2016 A: | |||
5% 7/1/33 | 255,000 | 269,905 | |
5% 7/1/34 | 130,000 | 137,395 | |
5% 7/1/38 | 190,000 | 198,366 | |
| Series 2016 B, 5% 7/1/43 (d) | 1,045,000 | 1,061,329 | |
| Series 2019 A: | |||
5% 7/1/34 (d) | 1,005,000 | 1,081,172 | |
5% 7/1/35 (d) | 1,000,000 | 1,068,096 | |
5% 7/1/36 (d) | 170,000 | 180,387 | |
5% 7/1/37 (d) | 835,000 | 880,610 | |
5% 7/1/38 (d) | 1,045,000 | 1,100,923 | |
5% 7/1/39 (d) | 2,060,000 | 2,159,259 | |
5% 7/1/40 (d) | 1,580,000 | 1,651,098 | |
| Series 2021 E: | |||
5% 7/1/37 (d) | 2,895,000 | 3,105,697 | |
5% 7/1/41 (d) | 4,915,000 | 5,196,206 | |
5% 7/1/46 (d) | 2,680,000 | 2,792,995 | |
5% 7/1/51 (d) | 6,355,000 | 6,580,117 | |
| Massachusetts Port Auth. Spl. Facilities Rev.: | |||
| (BOSfuel Proj.) Series 2019 A: | |||
5% 7/1/35 (d) | 105,000 | 111,739 | |
5% 7/1/36 (d) | 210,000 | 222,014 | |
5% 7/1/37 (d) | 305,000 | 320,483 | |
5% 7/1/38 (d) | 35,000 | 36,680 | |
| (Bosfuel Proj.) Series 2019 A, 5% 7/1/49 (d) | 1,050,000 | 1,077,638 | |
| Massachusetts School Bldg. Auth. Dedicated Sales Tax Rev.: | |||
| Series 2015 C, 5% 8/15/31 (Pre-Refunded to 8/15/25 @ 100) | 180,000 | 187,461 | |
| Series 2016 B, 5% 11/15/33 | 1,625,000 | 1,729,979 | |
| Series 2020 A, 4% 8/15/45 | 250,000 | 244,639 | |
| Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 2016 C, 4% 8/1/40 | 2,710,000 | 2,695,130 | |
| Natick Gen. Oblig. Series 2018, 4% 7/15/36 | 700,000 | 715,530 | |
| Univ. of Massachusetts Bldg. Auth. Rev. Series 2017 3, 5% 11/1/36 | 1,895,000 | 2,037,319 | |
| Worcester Gen. Oblig. Series 2022, 3% 2/1/37 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 225,050 | |
TOTAL MASSACHUSETTS | 191,434,377 | ||
| Michigan - 1.0% | |||
| Byron Ctr. Pub. Schools Series 2023 II, 5.25% 5/1/53 | 1,000,000 | 1,082,803 | |
| Calhoun County Hosp. Fin. Auth. Rev. Series 2016: | |||
| 5% 2/15/37 | 140,000 | 139,996 | |
| 5% 2/15/41 | 800,000 | 776,295 | |
| 5% 2/15/47 | 2,235,000 | 2,102,335 | |
| Detroit Downtown Dev. Auth. Tax: | |||
| Series 2018 A: | |||
5% 7/1/43 | 1,335,000 | 1,339,315 | |
5% 7/1/48 (Assured Guaranty Muni. Corp. Insured) | 1,645,000 | 1,649,801 | |
| Series A, 5% 7/1/37 (Assured Guaranty Muni. Corp. Insured) | 355,000 | 356,705 | |
| Detroit Gen. Oblig.: | |||
| Series 2018: | |||
5% 4/1/27 | 235,000 | 240,151 | |
5% 4/1/29 | 105,000 | 107,735 | |
5% 4/1/30 | 95,000 | 97,386 | |
5% 4/1/31 | 105,000 | 107,534 | |
5% 4/1/32 | 120,000 | 122,831 | |
5% 4/1/33 | 170,000 | 173,623 | |
5% 4/1/37 | 295,000 | 296,191 | |
5% 4/1/38 | 195,000 | 195,076 | |
| Series 2020: | |||
5.5% 4/1/32 | 175,000 | 185,812 | |
5.5% 4/1/34 | 95,000 | 100,744 | |
5.5% 4/1/36 | 130,000 | 136,152 | |
5.5% 4/1/38 | 290,000 | 300,160 | |
5.5% 4/1/40 | 205,000 | 210,803 | |
5.5% 4/1/45 | 145,000 | 147,560 | |
5.5% 4/1/50 | 295,000 | 298,384 | |
| Series 2021 A: | |||
5% 4/1/46 | 500,000 | 481,233 | |
5% 4/1/50 | 585,000 | 554,674 | |
| Detroit School District School Bldg. and Site Impt. Series 2020 A: | |||
| 5% 5/1/30 | 205,000 | 230,509 | |
| 5% 5/1/31 | 255,000 | 285,146 | |
| 5% 5/1/32 | 395,000 | 440,029 | |
| 5% 5/1/34 | 745,000 | 823,872 | |
| 5% 5/1/36 | 210,000 | 229,166 | |
| 5% 5/1/37 | 230,000 | 248,907 | |
| Downriver Util. Wastewtr. Auth. Swr. Sys. Rev. Series 2018, 5% 4/1/38 (Assured Guaranty Muni. Corp. Insured) | 95,000 | 99,986 | |
| Flint Hosp. Bldg. Auth. Rev. Series 2020: | |||
| 4% 7/1/41 | 70,000 | 58,272 | |
| 5% 7/1/25 | 30,000 | 30,104 | |
| 5% 7/1/26 | 25,000 | 25,231 | |
| 5% 7/1/27 | 40,000 | 40,641 | |
| 5% 7/1/28 | 60,000 | 61,438 | |
| Gerald R. Ford Int'l. Arpt. Auth. Rev. Series 2021, 5% 1/1/51 (d) | 895,000 | 934,807 | |
| Grand Rapids Econ. Dev. Corp. Econ. Dev. Rev. (Beacon Hill at Eastgate Proj.) Series 2017 A: | |||
| 5% 11/1/32 | 300,000 | 274,399 | |
| 5% 11/1/37 | 165,000 | 141,919 | |
| 5% 11/1/47 | 390,000 | 302,704 | |
| 5% 11/1/52 | 165,000 | 124,735 | |
| Grand Rapids Pub. Schools Series 2019, 5% 11/1/26 (Assured Guaranty Muni. Corp. Insured) | 60,000 | 63,292 | |
| Grand Traverse County Hosp. Fin. Auth. Series 2021, 3% 7/1/51 | 1,625,000 | 1,121,028 | |
| Great Lakes Wtr. Auth. Sew Disp. Sys.: | |||
| Series 2016 B, 5% 7/1/34 | 2,790,000 | 2,948,707 | |
| Series 2016 C: | |||
5% 7/1/30 | 135,000 | 141,539 | |
5% 7/1/36 | 4,345,000 | 4,529,466 | |
| Series 2018 A: | |||
5% 7/1/43 | 380,000 | 396,587 | |
5% 7/1/48 | 1,645,000 | 1,699,969 | |
| Series 2022 A, 5.25% 7/1/47 | 3,225,000 | 3,473,718 | |
| Great Lakes Wtr. Auth. Wtr. Supply Sys. Rev.: | |||
| Series 2016 A, 5% 7/1/46 | 4,265,000 | 4,354,522 | |
| Series 2016 B: | |||
5% 7/1/46 | 1,225,000 | 1,276,932 | |
5% 7/1/46 | 3,205,000 | 3,270,418 | |
| Series 2016 C: | |||
5% 7/1/35 | 650,000 | 681,377 | |
5.25% 7/1/34 | 2,425,000 | 2,572,567 | |
| Series 2016 D, 5% 7/1/36 | 670,000 | 698,445 | |
| Series 2022 A, 5.25% 7/1/47 | 3,000,000 | 3,243,122 | |
| Jackson County Series 2019: | |||
| 4% 5/1/32 (Build America Mutual Assurance Insured) | 120,000 | 125,706 | |
| 4% 5/1/33 (Build America Mutual Assurance Insured) | 125,000 | 130,307 | |
| Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016, 5% 5/15/28 | 365,000 | 379,534 | |
| Karegnondi Wtr. Auth. Genesee, Lapeer and Sanilac Wtr. Supply Sys. Series 2014 A, 5.25% 11/1/40 | 2,810,000 | 2,814,603 | |
| Kentwood Econ. Dev. Corp.: | |||
| Series 2019, 5% 11/15/41 | 250,000 | 222,578 | |
| Series 2022: | |||
4% 11/15/31 | 265,000 | 242,105 | |
4% 11/15/43 | 365,000 | 273,662 | |
| Lake Orion Cmnty. School District Series 2019, 5% 5/1/24 | 30,000 | 30,422 | |
| Lansing Cmnty. College Series 2019, 5% 5/1/44 | 325,000 | 346,091 | |
| Lincoln Consolidated School District Series 2016 A, 5% 5/1/28 | 250,000 | 262,097 | |
| Livonia Pub. School District Series 2006 II, 5% 5/1/40 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 773,427 | |
| Michigan Bldg. Auth. Rev.: | |||
| (Facilities Prog.): | |||
Series 1A, 5.25% 10/15/47 | 990,000 | 995,982 | |
Series 2019 I, 4% 10/15/49 | 595,000 | 579,140 | |
| Series 2015 I: | |||
5% 4/15/30 | 580,000 | 608,159 | |
5% 4/15/30 (Pre-Refunded to 10/15/25 @ 100) | 30,000 | 31,275 | |
| Series 2022 I, 4% 10/15/52 | 370,000 | 354,644 | |
| Michigan Fin. Auth. Rev.: | |||
| (Charter County of Wayne Criminal Justice Ctr. Proj.) Series 2018: | |||
4% 11/1/48 | 250,000 | 230,453 | |
5% 11/1/43 | 485,000 | 507,175 | |
| (College for Creative Studies Proj.) Series 2015, 5% 12/1/45 | 250,000 | 247,389 | |
| (Henry Ford Health Sys. Proj.) Series 2016, 5% 11/15/25 | 270,000 | 277,679 | |
| (Local Govt. Ln. Prog.) Series 2014 D, 5% 7/1/37 (Assured Guaranty Muni. Corp. Insured) | 120,000 | 120,841 | |
| (Trinity Health Proj.) Series 2017, 5% 12/1/37 | 65,000 | 68,097 | |
| Bonds: | |||
Series 2015 D1, 1.2%, tender 4/13/28 (b) | 540,000 | 468,192 | |
Series 2015 D2, 1.2%, tender 4/13/28 (b) | 680,000 | 589,575 | |
Series 2019 MI2, 5%, tender 2/1/25 (b) | 45,000 | 46,091 | |
| Series 2013 MI2, 4% 12/1/36 | 1,120,000 | 1,124,901 | |
| Series 2014 C3, 5% 7/1/33 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 506,617 | |
| Series 2014 C7, 5% 7/1/32 | 620,000 | 628,665 | |
| Series 2014 D1, 5% 7/1/35 (Assured Guaranty Muni. Corp. Insured) | 300,000 | 303,398 | |
| Series 2014 D6, 5% 7/1/36 | 1,250,000 | 1,261,124 | |
| Series 2014 F: | |||
3.875% 10/1/23 | 145,000 | 144,717 | |
4% 10/1/24 | 180,000 | 178,573 | |
| Series 2015 B, 5% 5/15/35 | 1,475,000 | 1,507,671 | |
| Series 2015 C: | |||
5% 7/1/33 | 170,000 | 173,900 | |
5% 7/1/34 | 580,000 | 592,372 | |
5% 7/1/35 | 5,280,000 | 5,379,934 | |
| Series 2015 D1, 5% 7/1/34 | 240,000 | 247,299 | |
| Series 2015 D2, 5% 7/1/34 | 1,210,000 | 1,235,811 | |
| Series 2015 MI, 5% 12/1/24 | 540,000 | 553,056 | |
| Series 2015: | |||
5% 11/15/28 | 70,000 | 71,024 | |
5% 11/15/28 (Pre-Refunded to 5/15/25 @ 100) | 20,000 | 20,624 | |
| Series 2016: | |||
5% 11/15/26 | 55,000 | 57,402 | |
5% 11/15/32 | 270,000 | 280,756 | |
5% 11/15/34 | 950,000 | 983,809 | |
5% 11/15/37 | 1,030,000 | 1,055,747 | |
5% 11/15/41 | 520,000 | 528,906 | |
| Series 2017 MI: | |||
5% 12/1/30 | 210,000 | 224,569 | |
5% 12/1/31 | 425,000 | 452,749 | |
| Series 2019 A: | |||
3% 12/1/49 | 1,715,000 | 1,242,095 | |
4% 12/1/49 | 50,000 | 46,743 | |
4% 11/15/50 | 1,035,000 | 912,597 | |
5% 2/15/37 | 410,000 | 427,070 | |
5% 2/15/38 | 590,000 | 610,317 | |
5% 2/15/39 | 2,950,000 | 3,037,538 | |
5% 12/1/41 | 540,000 | 562,828 | |
5% 11/15/48 | 110,000 | 112,657 | |
5% 5/15/54 | 3,000,000 | 2,949,420 | |
| Series 2019 MI1, 5% 12/1/48 | 785,000 | 801,215 | |
| Series 2020 A, 4% 6/1/49 | 715,000 | 634,443 | |
| Series 2020 B, 0% 6/1/45 | 1,200,000 | 277,422 | |
| Series 2020 B1, 5% 6/1/49 | 1,250,000 | 1,269,517 | |
| Series 2020 B2, 0% 6/1/65 | 3,750,000 | 367,200 | |
| Series 2020, 5% 6/1/40 | 30,000 | 31,123 | |
| Series 2021: | |||
4% 9/1/39 | 425,000 | 401,617 | |
4% 9/1/40 | 425,000 | 397,475 | |
4% 9/1/41 | 355,000 | 329,155 | |
| Series 2022 A, 5% 12/1/32 | 1,705,000 | 1,902,352 | |
| Series 2022, 5% 4/15/28 | 1,750,000 | 1,891,362 | |
| Michigan Hosp. Fin. Auth. Rev. Series 2008 C: | |||
| 5% 12/1/32 | 175,000 | 187,273 | |
| 5% 12/1/32 (Pre-Refunded to 12/1/27 @ 100) | 20,000 | 21,748 | |
| Michigan Hsg. Dev. Auth. Single Family Mtg. Rev. Series A, 3.5% 12/1/50 | 390,000 | 380,355 | |
| Michigan State Hsg. Dev. Auth.: | |||
| Series 2023 A, 5.15% 10/1/58 | 2,945,000 | 3,039,750 | |
| Series 2023, 3.75% 4/1/27 | 1,500,000 | 1,494,612 | |
| Michigan Strategic Fund Ltd. Oblig. Rev.: | |||
| (I-75 Impt. Proj.) Series 2018: | |||
4.125% 6/30/35 (Assured Guaranty Muni. Corp. Insured) (d) | 1,030,000 | 998,290 | |
5% 12/31/43 (d) | 1,855,000 | 1,854,858 | |
5% 6/30/48 (d) | 1,465,000 | 1,438,080 | |
| Bonds (Consumer Energy Co. Proj.) Series 2019, 1.8%, tender 10/1/24 (b)(d) | 3,255,000 | 3,148,863 | |
| Michigan Tobacco Settlement Fin. Auth. Tobacco Settlement Asset Rev.: | |||
| Series 2007 B, 0% 6/1/52 | 3,580,000 | 410,066 | |
| Series 2008, 0% 6/1/46 | 7,000,000 | 707,282 | |
| Michigan Trunk Line Fund Rev. Series 2021 A, 4% 11/15/44 | 3,750,000 | 3,667,884 | |
| Oakland Univ. Rev.: | |||
| Series 2016, 5% 3/1/41 | 50,000 | 50,752 | |
| Series 2019 A, 5% 3/1/31 | 35,000 | 38,400 | |
| Series 2019: | |||
5% 3/1/32 | 40,000 | 43,753 | |
5% 3/1/33 | 40,000 | 43,506 | |
5% 3/1/34 | 45,000 | 48,805 | |
5% 3/1/35 | 45,000 | 48,594 | |
5% 3/1/36 | 50,000 | 53,654 | |
5% 3/1/37 | 60,000 | 63,799 | |
5% 3/1/38 | 85,000 | 89,637 | |
5% 3/1/39 | 60,000 | 63,062 | |
5% 3/1/40 | 720,000 | 755,306 | |
5% 3/1/41 | 760,000 | 795,510 | |
5% 3/1/44 | 1,485,000 | 1,549,239 | |
5% 3/1/50 | 2,400,000 | 2,490,003 | |
| Portage Pub. Schools Series 2016: | |||
| 5% 11/1/30 | 345,000 | 361,205 | |
| 5% 11/1/31 | 305,000 | 318,290 | |
| 5% 11/1/33 | 55,000 | 57,180 | |
| 5% 11/1/36 | 100,000 | 103,458 | |
| 5% 11/1/37 | 55,000 | 56,871 | |
| Royal Oak Hosp. Fin. Auth. Hosp. Rev. Series 2014 D, 5% 9/1/23 (Escrowed to Maturity) | 35,000 | 35,131 | |
| Univ. of Michigan Rev. Series 2020 A: | |||
| 4% 4/1/45 | 1,060,000 | 1,036,017 | |
| 5% 4/1/50 | 255,000 | 275,694 | |
| Warren Consolidated School District Series 2016: | |||
| 5% 5/1/28 | 230,000 | 241,129 | |
| 5% 5/1/29 | 235,000 | 246,038 | |
| Wayne County Arpt. Auth. Rev.: | |||
| Series 2012 A, 5% 12/1/42 | 305,000 | 305,122 | |
| Series 2014 B: | |||
5% 12/1/39 (Build America Mutual Assurance Insured) | 130,000 | 131,576 | |
5% 12/1/44 | 525,000 | 529,023 | |
| Series 2014 C: | |||
5% 12/1/39 (d) | 100,000 | 100,348 | |
5% 12/1/44 (d) | 215,000 | 215,291 | |
| Series 2015 D: | |||
5% 12/1/30 | 75,000 | 77,741 | |
5% 12/1/31 | 130,000 | 134,734 | |
5% 12/1/40 (Assured Guaranty Muni. Corp. Insured) | 1,515,000 | 1,557,039 | |
| Series 2015 G: | |||
5% 12/1/28 (d) | 670,000 | 685,332 | |
5% 12/1/31 | 85,000 | 88,095 | |
5% 12/1/32 | 85,000 | 88,067 | |
5% 12/1/33 | 110,000 | 113,893 | |
| Series 2015, 5% 12/1/29 | 90,000 | 93,261 | |
| Series 2017 A: | |||
4% 12/1/33 (Assured Guaranty Muni. Corp. Insured) | 180,000 | 183,435 | |
4% 12/1/34 (Assured Guaranty Muni. Corp. Insured) | 150,000 | 152,451 | |
4% 12/1/35 (Assured Guaranty Muni. Corp. Insured) | 145,000 | 146,551 | |
4% 12/1/36 (Assured Guaranty Muni. Corp. Insured) | 150,000 | 151,149 | |
5% 12/1/28 | 35,000 | 37,547 | |
5% 12/1/29 | 30,000 | 32,112 | |
5% 12/1/30 | 40,000 | 42,752 | |
5% 12/1/31 | 45,000 | 48,085 | |
5% 12/1/32 | 45,000 | 48,059 | |
5% 12/1/33 | 20,000 | 21,465 | |
5% 12/1/34 | 85,000 | 90,652 | |
5% 12/1/35 | 80,000 | 84,716 | |
5% 12/1/37 | 30,000 | 31,429 | |
5% 12/1/37 | 70,000 | 73,453 | |
| Series 2017 B: | |||
5% 12/1/29 (d) | 75,000 | 78,649 | |
5% 12/1/30 (d) | 85,000 | 89,146 | |
5% 12/1/31 (d) | 100,000 | 104,854 | |
5% 12/1/32 (d) | 65,000 | 68,502 | |
5% 12/1/32 (d) | 80,000 | 83,837 | |
5% 12/1/34 (d) | 75,000 | 78,678 | |
5% 12/1/35 (d) | 80,000 | 83,499 | |
5% 12/1/37 (d) | 100,000 | 103,469 | |
5% 12/1/42 (d) | 120,000 | 122,813 | |
| Series 2017 C, 5% 12/1/28 | 60,000 | 64,575 | |
| Series 2018 B, 5% 12/1/48 (d) | 705,000 | 719,562 | |
| Series 2018 D: | |||
5% 12/1/29 (d) | 565,000 | 602,611 | |
5% 12/1/31 (d) | 530,000 | 564,936 | |
5% 12/1/32 (d) | 550,000 | 585,868 | |
| Wayne County Arpt. Rev. Series 2017 C, 5% 12/1/37 (Assured Guaranty Muni. Corp. Insured) (d)(f) | 2,950,000 | 3,060,910 | |
TOTAL MICHIGAN | 130,359,228 | ||
| Minnesota - 0.2% | |||
| Apple Valley Sr. Living (Minnesota Sr. Living LLC Proj.): | |||
| Series 2016 B, 5% 1/1/47 | 565,000 | 347,996 | |
| Series 2016 D, 7.25% 1/1/52 | 610,000 | 396,143 | |
| City of White Bear Lake (YMCA of Greater Twin Cities Proj.) Series 2018: | |||
| 5% 6/1/23 | 35,000 | 35,000 | |
| 5% 6/1/27 | 30,000 | 31,174 | |
| Deephaven Charter School Lease Rev. Series 2017 A: | |||
| 5% 10/1/37 | 70,000 | 63,017 | |
| 5% 10/1/49 | 140,000 | 117,054 | |
| Duluth Econ. Dev. Auth. Series 2021 A: | |||
| 4% 7/1/31 | 215,000 | 195,228 | |
| 4% 7/1/36 | 355,000 | 294,668 | |
| 4% 7/1/41 | 145,000 | 112,185 | |
| Duluth Econ. Dev. Auth. Health Care Facilities Rev. Series 2018 A: | |||
| 4.25% 2/15/43 | 595,000 | 573,384 | |
| 4.25% 2/15/48 | 700,000 | 662,950 | |
| 5% 2/15/43 | 570,000 | 581,672 | |
| 5% 2/15/48 | 1,075,000 | 1,090,620 | |
| 5% 2/15/53 | 700,000 | 708,165 | |
| 5% 2/15/58 | 660,000 | 666,036 | |
| 5.25% 2/15/53 | 1,500,000 | 1,547,818 | |
| Duluth Independent School District #709 Ctfs. of Prtn.: | |||
| Series 2019 A: | |||
4% 3/1/32 | 240,000 | 230,046 | |
4.2% 3/1/34 | 65,000 | 62,384 | |
| Series 2019 B: | |||
5% 2/1/25 | 50,000 | 51,244 | |
5% 2/1/26 | 160,000 | 166,614 | |
5% 2/1/28 | 45,000 | 48,390 | |
| Elk River Independent School District #728 Series 2020 A, 2.5% 2/1/38 | 1,735,000 | 1,397,947 | |
| Hennepin County Reg'l. Railroad Auth. Series 2019, 5% 12/1/28 | 135,000 | 151,515 | |
| Maple Grove Health Care Sys. Rev.: | |||
| Series 2015: | |||
5% 9/1/27 | 70,000 | 71,732 | |
5% 9/1/29 | 345,000 | 353,535 | |
| Series 2017: | |||
5% 5/1/24 | 65,000 | 65,571 | |
5% 5/1/25 | 100,000 | 101,718 | |
| Metropolitan Council Gen. Oblig. Rev.: | |||
| Series 2019 A, 3% 3/1/29 | 900,000 | 894,794 | |
| Series 2021 B, 5% 12/1/23 | 1,115,000 | 1,124,161 | |
| Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2017 A, 5% 11/15/25 | 75,000 | 77,792 | |
| Minneapolis & Saint Paul Metropolitan Arpts. Commission Arpt. Rev.: | |||
| Series 2016 C: | |||
5% 1/1/41 | 530,000 | 549,137 | |
5% 1/1/46 | 640,000 | 659,529 | |
| Series 2022 B: | |||
5% 1/1/35 (d) | 645,000 | 701,508 | |
5% 1/1/37 (d) | 1,580,000 | 1,686,280 | |
| Minneapolis Taxable Charter Schools Lease Rev. (Twin cities Int'l. Schools Proj.) Series 2017 A, 5% 12/1/47 (f) | 250,000 | 229,204 | |
| Minnesota Higher Ed. Facilities Auth. Rev.: | |||
| Series 2016 A, 5% 5/1/46 | 95,000 | 85,427 | |
| Series 2018 A: | |||
5% 10/1/29 | 55,000 | 58,302 | |
5% 10/1/30 | 90,000 | 95,339 | |
5% 10/1/32 | 40,000 | 42,222 | |
5% 10/1/33 | 50,000 | 52,647 | |
5% 10/1/45 | 260,000 | 264,502 | |
| Minnesota Hsg. Fin. Agcy.: | |||
| Series 2015 A, 4% 1/1/41 (d) | 30,000 | 29,853 | |
| Series 2018 E, 4.25% 1/1/49 | 430,000 | 427,729 | |
| Series 2021 D, 3% 1/1/52 | 1,385,000 | 1,325,597 | |
| Series 2021, 3% 7/1/51 | 1,340,000 | 1,284,863 | |
| Series B, 4% 8/1/41 | 75,000 | 73,585 | |
| Series D: | |||
4% 8/1/38 | 135,000 | 135,251 | |
4% 8/1/40 | 145,000 | 143,144 | |
4% 8/1/41 | 95,000 | 93,207 | |
4% 8/1/43 | 110,000 | 106,147 | |
| Minnesota Muni. Gas Agcy. Rev. Series 2022 A, 4% 12/1/26 | 570,000 | 571,153 | |
| Minnesota Office of Higher Ed. Series 2020, 2.65% 11/1/38 (d) | 485,000 | 396,481 | |
| Moorhead Edl. Facilities Rev. (The Concordia College Corp. Proj.) Series 2016, 5% 12/1/25 | 110,000 | 111,271 | |
| Rice County Minn Series 2022 A, 5% 2/1/44 | 830,000 | 923,293 | |
| Rochester Health Cr.&Hsg. Rev. Series 2013 A, 6.875% 12/1/48 | 290,000 | 284,703 | |
| Rochester Health Care Facilities Rev. Series 2022: | |||
| 4% 11/15/39 | 2,000,000 | 2,044,879 | |
| 5% 11/15/57 | 1,260,000 | 1,355,380 | |
| Saint Cloud Health Care Rev. Series 2019: | |||
| 4% 5/1/49 | 230,000 | 208,562 | |
| 5% 5/1/48 | 285,000 | 291,414 | |
| Shakopee Sr. Hsg. Rev. Bonds Series 2018, 5.85%, tender 11/1/25 (b)(f) | 1,070,000 | 1,050,427 | |
| St. Paul Hsg. & Redev. Auth. Health Care Facilities Rev. Series 2015 A, 5% 7/1/29 | 145,000 | 149,262 | |
| Western Minnesota Muni. Pwr. Agcy. Pwr. Supply Rev. Series 2014 A, 5% 1/1/46 (Pre-Refunded to 1/1/24 @ 100) | 1,920,000 | 1,938,099 | |
| White Bear Lake Independent School District #624 Gen. Oblig. Series 2020 A: | |||
| 2.5% 2/1/39 | 1,345,000 | 1,057,872 | |
| 3% 2/1/43 | 750,000 | 625,029 | |
| Woodbury Charter School Lease Rev. (Woodbury Leadership Academy Proj.) Series 2021 A: | |||
| 4% 7/1/41 | 120,000 | 94,856 | |
| 4% 7/1/51 | 95,000 | 68,341 | |
| 4% 7/1/56 | 80,000 | 55,460 | |
TOTAL MINNESOTA | 31,490,508 | ||
| Mississippi - 0.2% | |||
| Med. Ctr. Edl. Bld Corp. Rev. Series 2023 A: | |||
| 4% 6/1/48 (h) | 2,820,000 | 2,653,807 | |
| 4% 6/1/53 (h) | 2,145,000 | 1,993,142 | |
| Mississippi Bus. Fin. Corp. Rev. (Sys. Energy Resources, Inc. Proj.) Series 2021, 2.375% 6/1/44 | 250,000 | 156,742 | |
| Mississippi Bus. finance Corp. Exempt Facilities Rev. Bonds (Enviva, Inc. Proj.) Series 2022, 7.75%, tender 7/15/32 (b)(d) | 7,500,000 | 6,072,828 | |
| Mississippi Dev. Bank Series 2010 A, 5.25% 1/1/34 | 520,000 | 598,623 | |
| Mississippi Dev. Bank Spl. Oblig.: | |||
| (City of Jackson, Mississippi Wtr. And Swr. Sys. Rev. Bond Proj.) Series 2013: | |||
6.75% 12/1/30 (Assured Guaranty Muni. Corp. Insured) | 240,000 | 243,681 | |
6.875% 12/1/40 (Assured Guaranty Muni. Corp. Insured) | 105,000 | 106,412 | |
| (Jackson, Mississippi Sales Tax Rev. Infrastructure Proj.): | |||
Series 2019 A, 5% 9/1/26 | 210,000 | 214,684 | |
Series 2020, 5% 9/1/25 | 85,000 | 86,264 | |
| (Vicksburg Warren School District Gen. Oblig. Bond Proj.) Series 2019, 5% 3/1/48 | 850,000 | 871,653 | |
| Mississippi Gen. Oblig. Series 2016 B: | |||
| 5% 12/1/32 (Pre-Refunded to 12/1/26 @ 100) | 530,000 | 566,444 | |
| 5% 12/1/33 (Pre-Refunded to 12/1/26 @ 100) | 530,000 | 566,444 | |
| 5% 12/1/34 (Pre-Refunded to 12/1/26 @ 100) | 1,065,000 | 1,138,232 | |
| Mississippi Home Corp.: | |||
| Series 2018 A, 4% 12/1/44 | 245,000 | 242,372 | |
| Series 2021 B: | |||
3% 6/1/51 | 1,935,000 | 1,854,451 | |
5% 6/1/27 | 510,000 | 542,568 | |
5% 6/1/28 | 40,000 | 43,239 | |
| Mississippi Hosp. Equip. & Facilities Auth.: | |||
| (Forest County Gen. Hosp. Rfdg. Proj.) Series 2019 A: | |||
4% 1/1/36 | 180,000 | 181,136 | |
4% 1/1/37 | 160,000 | 157,962 | |
4% 1/1/39 | 160,000 | 155,008 | |
4% 1/1/40 | 90,000 | 86,672 | |
| Bonds Series II, 5%, tender 3/1/27 (b) | 40,000 | 41,668 | |
| Series 2016 A, 5% 9/1/46 | 405,000 | 401,428 | |
| Series 2020 IV: | |||
5% 10/1/33 | 70,000 | 74,766 | |
5% 10/1/35 | 255,000 | 269,437 | |
| Series I: | |||
5% 10/1/23 | 35,000 | 35,128 | |
5% 10/1/24 | 35,000 | 35,539 | |
5% 10/1/26 | 40,000 | 41,708 | |
5% 10/1/28 | 65,000 | 69,638 | |
| Series IV, 5% 10/1/39 | 180,000 | 185,739 | |
| Mississippi State Univ. Edl. Bldg. Corp. Rev. (Mississippi State Univ. Rfdg. and Impt. Proj.) Series 2013, 5.25% 8/1/38 (Pre-Refunded to 8/1/23 @ 100) | 265,000 | 265,776 | |
| Univ. of Southern Mississippi Edl. Bldg. Corp. Rev. (Facilities Refing. Proj.) Series 2015 A, 5% 3/1/28 | 230,000 | 235,267 | |
TOTAL MISSISSIPPI | 20,188,458 | ||
| Missouri - 0.5% | |||
| Cape Girardeau County Indl. Dev. Auth.: | |||
| (Southeast Hosp. Proj.) Series 2017 A: | |||
5% 3/1/30 | 85,000 | 86,924 | |
5% 3/1/31 | 200,000 | 204,240 | |
5% 3/1/36 | 390,000 | 395,543 | |
| Series 2017 A, 5% 3/1/29 | 80,000 | 81,858 | |
| Series 2021, 4% 3/1/46 | 240,000 | 194,338 | |
| Conley Road Trans. Dev. District Series 2017, 5.375% 5/1/47 | 245,000 | 227,430 | |
| Hanley Road Corridor Trans. Dev. District Series 2020, 2% 10/1/39 | 180,000 | 175,322 | |
| Jackson County Spl. Oblig. Series 2023 A, 5.25% 12/1/58 | 3,750,000 | 3,993,318 | |
| Kansas City Indl. Dev. Auth.: | |||
| (Kansas City Int'l. Arpt. Term. Modernization Proj.) Series 2019 B: | |||
5% 3/1/37 (d) | 1,085,000 | 1,137,119 | |
5% 3/1/38 (d) | 355,000 | 370,281 | |
5% 3/1/46 (d) | 3,170,000 | 3,259,869 | |
5% 3/1/54 (d) | 705,000 | 719,092 | |
5% 3/1/55 (Assured Guaranty Muni. Corp. Insured) (d) | 1,210,000 | 1,234,186 | |
| (Kansas City Int'l. Arpt. Term. modernization Proj.) Series 2020 A, 4% 3/1/50 (Assured Guaranty Muni. Corp. Insured) (d) | 350,000 | 322,089 | |
| (Kansas City Int'l. Arpt. Term. Modernization Proj.) Series 2020 A: | |||
4% 3/1/57 (Assured Guaranty Muni. Corp. Insured) (d) | 2,635,000 | 2,365,705 | |
5% 3/1/57 (Assured Guaranty Muni. Corp. Insured) (d) | 3,220,000 | 3,312,794 | |
| Kansas City Land Clearance for Redev. Auth. Series 2018 B, 5% 2/1/40 (f) | 300,000 | 235,528 | |
| Kansas City San. Swr. Sys. Rev. Series 2018 B: | |||
| 5% 1/1/26 | 15,000 | 15,726 | |
| 5% 1/1/28 | 30,000 | 32,772 | |
| 5% 1/1/33 | 25,000 | 27,292 | |
| Kansas City Wtr. Rev. Series 2020 A: | |||
| 4% 12/1/32 | 45,000 | 47,571 | |
| 4% 12/1/34 | 25,000 | 26,284 | |
| 4% 12/1/36 | 45,000 | 46,314 | |
| 4% 12/1/37 | 30,000 | 30,591 | |
| 4% 12/1/39 | 70,000 | 70,650 | |
| 4% 12/1/40 | 30,000 | 30,166 | |
| 5% 12/1/28 | 35,000 | 38,884 | |
| 5% 12/1/29 | 20,000 | 22,670 | |
| 5% 12/1/30 | 40,000 | 46,090 | |
| 5% 12/1/35 | 40,000 | 45,567 | |
| Kirkwood Indl. Dev. Retirement Commission Series 2017 A: | |||
| 5.25% 5/15/37 | 280,000 | 238,125 | |
| 5.25% 5/15/42 | 240,000 | 191,580 | |
| 5.25% 5/15/50 | 565,000 | 422,930 | |
| Maryland Heights Indl. Dev. Auth. Rev. (Saint Louis Cmnty. Ice Ctr. Proj.) Series 2018 A, 5% 3/15/49 | 250,000 | 204,736 | |
| Metropolitan St. Louis Swr. District Wastewtr. Sys. Rev. Series 2022 B, 5.25% 5/1/52 | 1,715,000 | 1,900,658 | |
| Missouri Dev. Fin. Board Infrastructure Facilities Rev.: | |||
| (City of Independence, Missouri - Crackerneck Creek Proj.) Series 2021: | |||
4% 3/1/37 | 80,000 | 74,115 | |
4% 3/1/41 | 100,000 | 88,985 | |
| Series 2021: | |||
4% 3/1/36 | 255,000 | 241,750 | |
4% 3/1/51 | 290,000 | 242,813 | |
| Missouri Health & Edl. Facilities Auth. Rev.: | |||
| (Lutheran Sr. Svcs. Proj.) Series 2016 B, 5% 2/1/46 | 915,000 | 829,680 | |
| (Lutheran Sr. Svcs. Projs.): | |||
Series 2016 B, 5% 2/1/35 | 155,000 | 149,935 | |
Series 2021, 4% 2/1/42 | 250,000 | 198,845 | |
| Series 2019 A, 5% 2/1/42 | 675,000 | 624,011 | |
| Missouri Health & Edl. Facilities Rev.: | |||
| Series 2014 A, 5% 6/1/31 (Pre-Refunded to 6/1/24 @ 100) | 555,000 | 561,571 | |
| Series 2014, 5% 10/1/39 (Pre-Refunded to 10/1/23 @ 100) | 155,000 | 155,758 | |
| Series 2015 B: | |||
3.125% 2/1/27 | 140,000 | 138,547 | |
3.25% 2/1/28 | 140,000 | 138,919 | |
5% 2/1/29 | 150,000 | 154,088 | |
5% 2/1/31 | 315,000 | 323,499 | |
5% 2/1/33 | 350,000 | 358,842 | |
5% 2/1/34 | 175,000 | 179,480 | |
5% 2/1/36 | 395,000 | 403,827 | |
| Series 2017 A, 5% 10/1/42 | 150,000 | 157,228 | |
| Series 2018 A: | |||
5% 6/1/30 | 1,065,000 | 1,152,449 | |
5% 6/1/31 | 675,000 | 728,131 | |
| Series 2019 A: | |||
4% 2/15/44 | 490,000 | 458,855 | |
4% 10/1/48 | 425,000 | 415,838 | |
4% 2/15/49 | 1,065,000 | 964,764 | |
4% 2/15/54 | 970,000 | 861,786 | |
5% 10/1/46 | 265,000 | 282,127 | |
| Series 2020, 4% 6/1/53 | 3,065,000 | 2,795,808 | |
| Series 2022 A, 5% 6/1/27 | 1,300,000 | 1,379,014 | |
| Missouri Hsg. Dev. Commission Single Family Mtg. Rev.: | |||
| (First Place Homeownership Ln. Prog.): | |||
Series 2018 A, 4.25% 5/1/49 | 700,000 | 696,284 | |
Series 2018 B, 4.75% 5/1/49 | 370,000 | 372,424 | |
Series 2019 A, 4.25% 5/1/47 | 130,000 | 129,294 | |
| Series 2015 A, 3.75% 5/1/38 | 50,000 | 49,462 | |
| Series 2019, 4% 5/1/50 | 120,000 | 118,611 | |
| Series 2021 A, 3% 5/1/52 | 2,940,000 | 2,811,444 | |
| Missouri Joint Muni. Elec. Util. Commission Pwr. Proj. Rev.: | |||
| (Iatan 2 Proj.) Series 2014 A, 5% 1/1/33 | 590,000 | 593,124 | |
| (Plum Point Proj.) Series 2014 A, 5% 1/1/33 | 1,475,000 | 1,497,143 | |
| (Prairie State Proj.) Series 2016 A, 5% 12/1/40 | 2,500,000 | 2,540,796 | |
| Plaza at Noah's Ark Cmnty. Impt. District Series 2021: | |||
| 3% 5/1/30 | 65,000 | 58,672 | |
| 3.125% 5/1/35 | 45,000 | 37,460 | |
| Poplar Bluff Reg'l. Transn De Series 2023 B, 4% 12/1/37 | 295,000 | 285,324 | |
| Saint Louis Arpt. Rev.: | |||
| Series 2019 A: | |||
5% 7/1/44 | 80,000 | 83,815 | |
5% 7/1/49 | 65,000 | 67,622 | |
| Series 2019 C: | |||
5% 7/1/26 | 90,000 | 94,489 | |
5% 7/1/27 | 155,000 | 165,749 | |
| Series A, 5.25% 7/1/26 (Assured Guaranty Muni. Corp. Insured) | 350,000 | 370,948 | |
| Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev.: | |||
| Series 2015 A: | |||
5% 12/1/35 | 280,000 | 263,364 | |
5.125% 12/1/45 | 545,000 | 488,395 | |
| Series 2017, 5% 9/1/48 | 2,140,000 | 1,774,040 | |
| Series 2018 A: | |||
5% 9/1/38 | 890,000 | 805,941 | |
5.125% 9/1/48 | 3,085,000 | 2,605,536 | |
5.25% 9/1/53 | 3,485,000 | 2,943,443 | |
| Saint Louis Muni. Fin. Corp. Leasehold Rev. (Convention Ctr. Expansion And Impt. Projs.) Series 2020, 5% 10/1/49 (Assured Guaranty Muni. Corp. Insured) | 635,000 | 656,617 | |
| St Louis Indl. Dev. Auth. Dev. Fing. Rev. (Ballpark Village Dev. Proj.) Series 2017 A: | |||
| 3.875% 11/15/29 | 180,000 | 155,593 | |
| 4.375% 11/15/35 | 710,000 | 565,933 | |
| 4.75% 11/15/47 | 1,045,000 | 768,341 | |
| St Louis Land Clearance Redev. Auth. Annual Appropriation Redev. Rev.: | |||
| (Nat'l. Geospatial-Intelligence Agcy. Offsite Neighborhood Impts. Proj.) Series 2022 C, 5% 6/1/41 | 1,750,000 | 1,767,633 | |
| (Nat'l. Geospatial-Intelligence Agcy. Site Impt. Proj.) Series 2017 A: | |||
5.125% 6/1/46 | 730,000 | 734,883 | |
5.375% 6/1/43 | 2,060,000 | 2,099,026 | |
| St. Louis County Indl. Dev. Auth. Health Facilities Rev. Series 2015 A: | |||
| 5% 8/15/30 | 165,000 | 156,559 | |
| 5% 8/15/35 | 95,000 | 85,937 | |
| 5.125% 8/15/45 | 295,000 | 246,855 | |
| Taney County Indl. Dev. Auth. Sa (Big Cedar Infrastructure project) Series 2023, 6% 10/1/49 (f) | 775,000 | 754,929 | |
| The Indl. Dev. Auth. of Hannibal (Hannibal Reg'l. Healthcare Sys. Proj.) Series 2017: | |||
| 5% 10/1/42 | 190,000 | 193,095 | |
| 5% 10/1/47 | 120,000 | 121,490 | |
TOTAL MISSOURI | 62,975,178 | ||
| Montana - 0.1% | |||
| Kalispell Hsg. and Healthcare Facilities Rev. (Immanuel Lutheran Corp. Proj.) Series 2017 A: | |||
| 5.25% 5/15/37 | 95,000 | 84,692 | |
| 5.25% 5/15/47 | 1,020,000 | 821,049 | |
| 5.25% 5/15/52 | 1,060,000 | 830,029 | |
| Montana Board Hsg. Single Family: | |||
| Series 2017 B, 4% 12/1/48 (d) | 70,000 | 69,543 | |
| Series 2019 B, 4% 6/1/50 | 80,000 | 79,073 | |
| Series 2020 B, 4% 12/1/50 | 805,000 | 795,683 | |
| Montana Board of Hsg. Series 2014 A2, 3% 12/1/43 (d) | 50,000 | 49,630 | |
| Montana Board of Regents Higher Ed. Rev. Series 2022, 5.25% 11/15/52 | 4,800,000 | 5,261,973 | |
| Montana Facility Fin. Auth.: | |||
| Series 2018 B, 5% 7/1/48 | 250,000 | 249,607 | |
| Series 2021 A, 3% 6/1/50 | 1,750,000 | 1,214,792 | |
| Yellowstone County School District # 26 Series 2018: | |||
| 5% 7/1/29 | 250,000 | 274,492 | |
| 5% 7/1/30 | 500,000 | 549,468 | |
| 5% 7/1/31 | 750,000 | 824,314 | |
| 5% 7/1/32 | 750,000 | 823,742 | |
TOTAL MONTANA | 11,928,087 | ||
| Nebraska - 0.3% | |||
| Central Plains Energy Proj. Gas Supply Bonds Series 2019, 4%, tender 8/1/25 (b) | 5,775,000 | 5,781,912 | |
| Central Plains Energy Proj. Rev.: | |||
| (Proj. No. 3) Series 2017 A, 5% 9/1/30 | 490,000 | 513,283 | |
| Bonds: | |||
(Proj. No. 4) Series 2018 A, 5%, tender 1/1/24 (b) | 5,500,000 | 5,525,844 | |
Series 2022 1, 5%, tender 10/1/29 (b) | 4,255,000 | 4,428,141 | |
| Series 2017 A: | |||
5% 9/1/31 | 345,000 | 363,283 | |
5% 9/1/34 | 180,000 | 192,766 | |
5% 9/1/37 | 350,000 | 365,604 | |
| Douglas County Hosp. Auth. #2 Health Facilities Rev.: | |||
| Series 2020 A: | |||
4% 11/15/39 | 290,000 | 282,276 | |
4% 11/15/50 | 240,000 | 224,920 | |
| Series 2020, 4% 11/15/37 | 255,000 | 252,132 | |
| Douglas County Neb Edl. Facilities Rev.: | |||
| (Creighton Univ. Proj.) Series 2017: | |||
4% 7/1/34 | 120,000 | 121,847 | |
5% 7/1/36 | 85,000 | 89,600 | |
| (Creighton Univ. Projs.): | |||
Series 2017, 4% 7/1/33 | 45,000 | 45,730 | |
Series 2021 A, 3% 7/1/51 | 785,000 | 554,576 | |
| Lincoln Elec. Sys. Rev. Series 2018: | |||
| 5% 9/1/31 | 110,000 | 117,733 | |
| 5% 9/1/32 | 210,000 | 224,496 | |
| 5% 9/1/33 | 125,000 | 133,445 | |
| Metropolitan Utils. District Omaha Series 2015, 3.4% 12/1/30 | 1,260,000 | 1,248,552 | |
| Nebraska Invt. Fin. Auth. Single Family Hsg. Rev.: | |||
| Series 2014 A, 4% 9/1/44 | 75,000 | 74,598 | |
| Series 2018 C, 4% 9/1/48 | 125,000 | 123,654 | |
| Series 2019 B, 4% 9/1/49 (d) | 295,000 | 289,794 | |
| Series 2019 E, 3.75% 9/1/49 (d) | 300,000 | 294,072 | |
| Series 2020 A, 3.5% 9/1/50 | 70,000 | 68,191 | |
| Nebraska Pub. Pwr. District Rev.: | |||
| Series 2016 A: | |||
5% 1/1/32 | 95,000 | 98,187 | |
5% 1/1/34 | 55,000 | 56,503 | |
| Series 2016 B: | |||
5% 1/1/32 | 280,000 | 289,393 | |
5% 1/1/37 | 300,000 | 307,829 | |
5% 1/1/40 | 140,000 | 143,274 | |
| Series 2016 D, 5% 1/1/46 | 965,000 | 984,007 | |
| Omaha Arpt. Auth. Arpt. Rev. Series 2017 A: | |||
| 5% 12/15/25 (d) | 25,000 | 25,681 | |
| 5% 12/15/25 (Escrowed to Maturity) (d) | 25,000 | 25,996 | |
| 5% 12/15/26 (d) | 95,000 | 98,951 | |
| 5% 12/15/26 (Escrowed to Maturity) (d) | 80,000 | 84,729 | |
| 5% 12/15/27 (d) | 65,000 | 67,605 | |
| 5% 12/15/27 (Pre-Refunded to 12/15/26 @ 100) (d) | 55,000 | 58,251 | |
| 5% 12/15/30 (d) | 105,000 | 109,380 | |
| 5% 12/15/30 (Pre-Refunded to 12/15/26 @ 100) (d) | 80,000 | 84,729 | |
| 5% 12/15/31 (d) | 55,000 | 57,190 | |
| 5% 12/15/31 (Pre-Refunded to 12/15/26 @ 100) (d) | 40,000 | 42,365 | |
| 5% 12/15/33 (d) | 55,000 | 57,110 | |
| 5% 12/15/33 (Pre-Refunded to 12/15/26 @ 100) (d) | 45,000 | 47,660 | |
| 5% 12/15/35 (d) | 135,000 | 139,433 | |
| 5% 12/15/35 (Pre-Refunded to 12/15/26 @ 100) (d) | 110,000 | 116,503 | |
| 5% 12/15/36 (d) | 35,000 | 36,017 | |
| 5% 12/15/36 (Pre-Refunded to 12/15/26 @ 100) (d) | 25,000 | 26,478 | |
| Omaha Pub. Pwr. District Elec. Rev.: | |||
| Series 2021 A: | |||
4% 2/1/51 | 3,000,000 | 2,830,537 | |
5% 2/1/46 | 3,600,000 | 3,886,239 | |
| Series 2021 B, 4% 2/1/46 | 2,000,000 | 1,937,787 | |
| Series 2022 A, 5% 2/1/47 | 3,500,000 | 3,837,638 | |
| Series 2915 C, 5% 2/1/43 | 890,000 | 901,490 | |
TOTAL NEBRASKA | 37,667,411 | ||
| Nevada - 0.4% | |||
| Carson City Hosp. Rev. (Carson Tahoe Hosp. Proj.) Series 2017: | |||
| 5% 9/1/37 | 150,000 | 152,743 | |
| 5% 9/1/42 | 370,000 | 375,775 | |
| Clark County Arpt. Rev.: | |||
| Series 2014 A2, 5% 7/1/30 | 370,000 | 376,054 | |
| Series 2019 A, 5% 7/1/26 | 1,445,000 | 1,525,754 | |
| Series 2021 B, 5% 7/1/26 (d) | 2,290,000 | 2,370,218 | |
| Clark County Fuel Tax Series 2018 A: | |||
| 5% 6/1/43 | 1,010,000 | 1,067,975 | |
| 5% 5/1/48 | 4,820,000 | 5,065,153 | |
| Clark County Hwy. Impt. Rev. Series 2022, 4% 7/1/40 (Assured Guaranty Muni. Corp. Insured) | 3,500,000 | 3,471,997 | |
| Clark County School District: | |||
| Series 2015 C, 5% 6/15/26 | 190,000 | 198,021 | |
| Series 2016 B, 5% 6/15/26 | 105,000 | 110,307 | |
| Series 2017 A: | |||
5% 6/15/24 | 15,000 | 15,220 | |
5% 6/15/25 | 380,000 | 391,957 | |
5% 6/15/26 | 15,000 | 15,758 | |
| Series 2020 A: | |||
4% 6/15/37 (Assured Guaranty Muni. Corp. Insured) | 190,000 | 190,712 | |
4% 6/15/39 (Assured Guaranty Muni. Corp. Insured) | 420,000 | 417,489 | |
| Series 2021 B, 3% 6/15/36 | 2,275,000 | 2,047,290 | |
| Series A, 5% 6/15/27 | 85,000 | 90,988 | |
| Director of the State of Nevada Dept. of Bus. & Industry Charter School Lease Rev.: | |||
| Series 2015 A: | |||
5% 12/15/35 (f) | 130,000 | 127,390 | |
5.125% 12/15/45 (f) | 160,000 | 146,134 | |
| Series 2018 A: | |||
5% 12/15/38 (f) | 270,000 | 257,097 | |
5% 12/15/48 (f) | 765,000 | 673,799 | |
| Henderson Pub. Impt. Trust Touro College & Univ. Sys. Obligated Group Rev. Series 2014 A: | |||
| 5.5% 1/1/34 (Pre-Refunded to 7/1/24 @ 100) | 245,000 | 250,233 | |
| 5.5% 1/1/39 (Pre-Refunded to 7/1/24 @ 100) | 370,000 | 377,903 | |
| 5.5% 1/1/44 (Pre-Refunded to 7/1/24 @ 100) | 525,000 | 536,213 | |
| Las Vegas Convention & Visitors Auth.: | |||
| Series 2017 A, 4% 7/1/40 | 250,000 | 242,008 | |
| Series 2017 B, 4% 7/1/39 | 250,000 | 243,926 | |
| Series 2018 B: | |||
4% 7/1/49 | 5,500,000 | 5,050,725 | |
5% 7/1/43 | 4,580,000 | 4,762,851 | |
| Series 2019 B, 5% 7/1/33 | 620,000 | 682,338 | |
| Series 2022 B, 5.25% 7/1/49 | 1,060,000 | 1,144,130 | |
| Las Vegas Redev. Agcy., Tax Increment Rev. Series 2016: | |||
| 5% 6/15/30 | 60,000 | 61,990 | |
| 5% 6/15/40 | 1,580,000 | 1,607,346 | |
| 5% 6/15/45 | 1,870,000 | 1,893,663 | |
| Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig.: | |||
| Series 2015, 5% 6/1/33 | 1,400,000 | 1,430,350 | |
| Series 2016 A, 5% 6/1/46 | 2,390,000 | 2,451,257 | |
| Series 2016 B, 5% 6/1/36 | 700,000 | 728,361 | |
| Nevada Dept. of Bus. & Industry Bonds (Republic Svcs., Inc. Proj.) Series 2001, 3.75%, tender 6/1/23 (b)(d)(f) | 1,500,000 | 1,500,000 | |
| Nevada Hsg. Division Single Family Mtg. Rev.: | |||
| Series 2019 A, 4% 4/1/49 | 105,000 | 103,845 | |
| Series 2019 B, 4% 10/1/49 | 215,000 | 212,529 | |
| Series 2021 A, 3% 4/1/51 | 605,000 | 577,785 | |
| Series 2021 B, 3% 10/1/51 | 6,360,000 | 6,045,996 | |
| Reno Cap. Impt. Rev. Series 2019 A1, 4% 6/1/46 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 227,691 | |
| Reno Sales Tax Rev.: | |||
| (Retrac-Reno Trans. Rail Access Corridor Proj.) Series 2018 A: | |||
5% 6/1/36 | 35,000 | 36,955 | |
5% 6/1/37 | 70,000 | 73,481 | |
5% 6/1/48 | 70,000 | 72,132 | |
| (ReTRAC-Reno Trans. Rail Access Corridor Proj.) Series 2018 B, 4% 6/1/48 (Assured Guaranty Muni. Corp. Insured) | 95,000 | 85,402 | |
| (Retrac-Reno Trans. Rail Access Corridor Proj.): | |||
Series 2018 B: | |||
4.125% 6/1/58 (Assured Guaranty Muni. Corp. Insured) | 120,000 | 106,873 | |
5% 6/1/33 (Assured Guaranty Muni. Corp. Insured) | 25,000 | 26,971 | |
5% 6/1/38 (Assured Guaranty Muni. Corp. Insured) | 35,000 | 36,961 | |
Series 2018 C, 0% 7/1/58 (f) | 4,500,000 | 568,738 | |
| Sparks Tourism Impt. District No. 1 Sr. Sales Tax Anticipation Rev. Series 2019 A, 2.5% 6/15/24 (f) | 130,000 | 129,951 | |
| Tahoe-Douglas Visitors Auth. Series 2020, 5% 7/1/51 | 170,000 | 162,770 | |
TOTAL NEVADA | 50,519,205 | ||
| New Hampshire - 0.3% | |||
| Nat'l. Fin. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2021 B: | |||
| 3% 8/15/51 (Assured Guaranty Muni. Corp. Insured) | 1,755,000 | 1,240,682 | |
| 5% 8/15/26 | 465,000 | 481,512 | |
| Nat'l. Fin. Auth. Rev.: | |||
| (The Lawrenceville School Proj.) Series 2021 A, 4% 7/1/51 | 2,140,000 | 2,070,029 | |
| (The Vista Proj.) Series 2019 A: | |||
5.25% 7/1/39 (f) | 220,000 | 197,255 | |
5.625% 7/1/46 (f) | 125,000 | 111,736 | |
5.75% 7/1/54 (f) | 310,000 | 274,991 | |
| Bonds Series 2020 B, 3.75%, tender 7/2/40 (b)(d)(f) | 1,195,000 | 922,918 | |
| Nat'l. Fin. Auth. Solid Bonds (Waste Mgmt., Inc. Proj.): | |||
| Series 2019 A2, 2.15%, tender 7/1/24 (b)(d) | 600,000 | 588,056 | |
| Series 2019 A3, 2.15%, tender 7/1/24 (b)(d) | 965,000 | 945,791 | |
| Nat'l. Fin. Auth. Sr. Living Rev. (Springpoint Sr. Living Proj.) Series 2021, 4% 1/1/41 | 225,000 | 184,612 | |
| Nat'l. Finnance Auth.: | |||
| Series 2020 1, 4.125% 1/20/34 | 5,411,336 | 5,200,026 | |
| Series 2022 1, 4.375% 9/20/36 | 2,596,894 | 2,503,378 | |
| New Hampshire Bus. Fin. Auth. Wtr. Facility (Pennichuck Wtr. Works, Inc. Proj.) Series 2020 A, 4% 4/1/50 (d) | 910,000 | 794,612 | |
| New Hampshire Health & Ed. Facilities Auth.: | |||
| (Dartmouth-Hitchcock Oblgtd Grp Proj.) Series 2018 A: | |||
5% 8/1/28 | 150,000 | 158,997 | |
5% 8/1/29 | 130,000 | 138,206 | |
5% 8/1/30 | 120,000 | 127,459 | |
| (Dartmouth-Hitchcock Oblgtd Grp Proj.): | |||
Series 2018 A: | |||
5% 8/1/31 | 75,000 | 79,534 | |
5% 8/1/32 | 15,000 | 15,870 | |
5% 8/1/34 | 190,000 | 200,308 | |
5% 8/1/36 | 110,000 | 114,858 | |
5% 8/1/37 | 135,000 | 140,308 | |
Series 2018, 5% 8/1/35 | 155,000 | 162,687 | |
| (Partners Healthcare Sys., Inc. Proj.) Series 2017: | |||
5% 7/1/30 | 310,000 | 334,942 | |
5% 7/1/32 | 465,000 | 501,746 | |
5% 7/1/33 | 425,000 | 457,934 | |
5% 7/1/34 | 650,000 | 699,741 | |
5% 7/1/35 | 680,000 | 728,840 | |
5% 7/1/36 | 715,000 | 762,428 | |
5% 7/1/37 | 630,000 | 668,585 | |
5% 7/1/41 | 115,000 | 119,969 | |
| Series 2017 A: | |||
6.125% 7/1/37 (f)(i) | 200,349 | 44,077 | |
6.125% 7/1/52 (f)(i) | 492,524 | 108,355 | |
6.25% 7/1/42 (f)(i) | 300,523 | 66,115 | |
| Series 2017: | |||
5% 7/1/36 | 65,000 | 66,022 | |
5% 7/1/44 | 1,855,000 | 1,747,980 | |
| New Hampshire Health & Ed. Facilities Auth. Rev.: | |||
| Series 2012: | |||
4% 7/1/23 | 55,000 | 54,987 | |
4% 7/1/32 | 385,000 | 383,425 | |
5% 7/1/24 | 120,000 | 120,088 | |
5% 7/1/25 | 145,000 | 145,117 | |
5% 7/1/27 | 60,000 | 60,052 | |
| Series 2015, 5% 7/1/40 | 1,250,000 | 1,269,914 | |
| Series 2016: | |||
4% 10/1/38 | 360,000 | 321,066 | |
5% 10/1/23 | 10,000 | 10,031 | |
5% 10/1/24 | 260,000 | 263,737 | |
5% 10/1/25 | 255,000 | 262,652 | |
5% 10/1/28 | 170,000 | 175,730 | |
5% 10/1/29 | 810,000 | 836,105 | |
5% 10/1/31 | 630,000 | 646,610 | |
5% 10/1/32 | 290,000 | 296,609 | |
5% 10/1/33 | 490,000 | 499,295 | |
5% 10/1/36 | 115,000 | 114,009 | |
5% 10/1/38 | 1,120,000 | 1,119,949 | |
5% 10/1/40 | 545,000 | 531,395 | |
5% 10/1/46 | 860,000 | 815,232 | |
| New Hampshire Nat'l. Fin. Auth. Series 2022 2, 4% 10/20/36 | 10,177,135 | 9,470,557 | |
TOTAL NEW HAMPSHIRE | 40,357,119 | ||
| New Jersey - 3.2% | |||
| Atlantic City Board of Ed. Series 2021: | |||
| 4% 4/1/30 | 35,000 | 36,578 | |
| 4% 4/1/31 | 30,000 | 31,181 | |
| 4% 4/1/32 | 60,000 | 62,059 | |
| 4% 4/1/34 | 55,000 | 56,520 | |
| Atlantic City Gen. Oblig.: | |||
| Series 2017 A: | |||
5% 3/1/32 | 1,050,000 | 1,118,905 | |
5% 3/1/42 | 125,000 | 129,922 | |
| Series 2017 B: | |||
5% 3/1/32 | 1,105,000 | 1,177,514 | |
5% 3/1/37 | 355,000 | 372,850 | |
| Atlantic County Impt. Auth.: | |||
| (Atlantic City Campus Phase II Proj.) Series 2021 A: | |||
4% 7/1/38 (Assured Guaranty Muni. Corp. Insured) | 50,000 | 48,622 | |
4% 7/1/39 (Assured Guaranty Muni. Corp. Insured) | 45,000 | 43,412 | |
4% 7/1/40 (Assured Guaranty Muni. Corp. Insured) | 65,000 | 62,168 | |
4% 7/1/47 (Assured Guaranty Muni. Corp. Insured) | 810,000 | 766,958 | |
5% 7/1/35 (Assured Guaranty Muni. Corp. Insured) | 30,000 | 33,149 | |
| (Atlantic City Campus Proj.) Series 2016 A: | |||
5% 7/1/28 (Assured Guaranty Muni. Corp. Insured) | 125,000 | 131,673 | |
5% 7/1/30 (Assured Guaranty Muni. Corp. Insured) | 305,000 | 322,155 | |
5% 7/1/31 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 792,479 | |
5% 7/1/32 (Assured Guaranty Muni. Corp. Insured) | 150,000 | 158,517 | |
5% 7/1/33 (Assured Guaranty Muni. Corp. Insured) | 160,000 | 169,014 | |
| Camden County Impt. Auth. (KIPP Cooper Norcross Academy 2022 Proj.) Series 2022: | |||
| 6% 6/15/42 | 60,000 | 64,196 | |
| 6% 6/15/47 | 165,000 | 175,056 | |
| 6% 6/15/52 | 155,000 | 163,575 | |
| 6% 6/15/62 | 510,000 | 535,197 | |
| Camden County Impt. Auth. Charter School Rev. (Camden Prep High School Proj.) Series 2022: | |||
| 5% 7/15/52 (f) | 435,000 | 421,614 | |
| 5% 7/15/62 (f) | 80,000 | 76,067 | |
| Camden County Impt. Auth. Health Care Redev. Rev. Series 2014 A, 5% 2/15/26 | 65,000 | 65,282 | |
| Edison Township Gen. Oblig. Series 2021, 2% 3/15/36 | 950,000 | 730,150 | |
| Essex County Impt. Auth. (CHF-Newark, L.L.C. - NJIT Student Hsg. Proj.) Series 2021 A, 4% 8/1/46 | 355,000 | 338,237 | |
| Essex County Impt. Auth. Charter School Rev.: | |||
| (North Star Academy Charter School of Newark, INC. - 2020 Proj.) Series 2020, 4% 7/15/50 (f) | 300,000 | 251,165 | |
| (North Star Academy Charter School of Newark, New Jersey Hazelwood & Broad Proj.) Series 2020 A, 4% 8/1/60 (f) | 250,000 | 199,861 | |
| (The Friends o Team Charter Schools, Inc. - 2021 Proj.) Series 2021, 4% 6/15/46 | 275,000 | 236,466 | |
| (The Friends of Team Charter Schools, Inc. - 2021 Proj.) Series 2021, 4% 6/15/56 | 365,000 | 296,271 | |
| Hudson County Impt. Auth. (Hudson County Courthouse Proj.) Series 2020, 4% 10/1/33 | 590,000 | 622,195 | |
| Jersey City Redev. Agcy. (Bayfront Redev. Proj.) Series 2022, 4% 12/15/31 | 1,815,000 | 1,940,868 | |
| Monmouth County Impt. Lease Rev. Series 2021, 5% 10/1/23 | 1,505,000 | 1,513,505 | |
| New Brunswick Parking Auth. Rev.: | |||
| Series 2016 A: | |||
5% 9/1/30 | 1,000,000 | 1,053,444 | |
5% 9/1/31 | 1,100,000 | 1,158,775 | |
5% 9/1/39 | 965,000 | 1,001,020 | |
| Series 2017, 5% 9/1/42 | 540,000 | 566,472 | |
| New Jersey Econ. Dev. Auth.: | |||
| (White Horse HMT Urban Renewal LLC Proj.) Series 2020, 5% 1/1/40 (f) | 160,000 | 113,909 | |
| Series 2015: | |||
5.25% 6/15/27 | 955,000 | 982,474 | |
5.25% 6/15/27 (Pre-Refunded to 6/15/25 @ 100) | 1,110,000 | 1,156,207 | |
| Series 2020 A: | |||
4% 11/1/38 | 295,000 | 289,028 | |
4% 11/1/44 | 3,520,000 | 3,319,802 | |
5% 11/1/32 | 565,000 | 617,440 | |
| Series 2023 RRR, 5% 3/1/25 | 5,980,000 | 6,106,754 | |
| Series 2024 SSS: | |||
5.25% 6/15/36 (h) | 645,000 | 693,393 | |
5.25% 6/15/37 (h) | 145,000 | 154,297 | |
5.25% 6/15/38 (h) | 195,000 | 206,315 | |
5.25% 6/15/39 (h) | 175,000 | 184,326 | |
| Series A: | |||
5% 11/1/31 | 1,775,000 | 1,935,902 | |
5% 11/1/34 | 1,325,000 | 1,431,724 | |
5% 11/1/36 | 2,075,000 | 2,206,635 | |
| Series QQQ: | |||
4% 6/15/34 | 45,000 | 46,014 | |
4% 6/15/36 | 60,000 | 60,243 | |
4% 6/15/39 | 55,000 | 53,312 | |
4% 6/15/41 | 55,000 | 52,554 | |
4% 6/15/46 | 1,790,000 | 1,679,082 | |
4% 6/15/50 | 840,000 | 778,863 | |
5% 6/15/31 | 60,000 | 66,638 | |
5% 6/15/33 | 10,000 | 11,051 | |
| Series WW, 5.25% 6/15/40 (Pre-Refunded to 6/15/25 @ 100) | 3,100,000 | 3,229,047 | |
| New Jersey Econ. Dev. Auth. Energy Facility Rev. (Umm Energy Partners, LLC Proj.) Series 2012 A: | |||
| 5% 6/15/37 (d) | 175,000 | 175,019 | |
| 5.125% 6/15/43 (d) | 245,000 | 245,015 | |
| New Jersey Econ. Dev. Auth. Lease Rev.: | |||
| (State House Proj.) Series 2017 B: | |||
5% 6/15/26 | 65,000 | 67,883 | |
5% 6/15/35 | 35,000 | 37,237 | |
| (State House Proj.) Series 2017 B, 5% 6/15/43 | 810,000 | 839,664 | |
| Series 2018 A: | |||
5% 6/15/33 | 1,555,000 | 1,650,243 | |
5% 6/15/42 | 1,675,000 | 1,725,647 | |
| Series 2018 C, 5% 6/15/42 | 970,000 | 999,330 | |
| New Jersey Econ. Dev. Auth. Motor Vehicle Rev.: | |||
| Series 2017 A: | |||
5% 7/1/28 | 1,970,000 | 2,100,976 | |
5% 7/1/33 | 100,000 | 105,117 | |
| Series 2017 B, 3.125% 7/1/29 | 180,000 | 170,434 | |
| New Jersey Econ. Dev. Auth. Rev.: | |||
| (Black Horse EHT Urban Renewal LLC Proj.) Series 2019 A, 5% 10/1/39 (f) | 130,000 | 93,279 | |
| (Goethals Bridge Replacement Proj.) Series 2013: | |||
5.125% 1/1/34 (d) | 1,600,000 | 1,609,920 | |
5.375% 1/1/43 (d) | 1,695,000 | 1,699,748 | |
| (Lions Gate Proj.) Series 2014: | |||
4.375% 1/1/24 | 35,000 | 34,883 | |
4.875% 1/1/29 | 145,000 | 143,012 | |
5% 1/1/34 | 280,000 | 273,030 | |
5.25% 1/1/44 | 685,000 | 636,153 | |
| (Provident Group - Rowan Properties L.L.C. - Rowan Univ. Student Hsg. Proejct) Series 2015 A, 5% 1/1/48 | 2,065,000 | 1,862,410 | |
| (Provident Group - Rowan Properties L.L.C. - Rowan Univ. Student Hsg. Proj.) Series 2015 A, 5% 1/1/30 | 510,000 | 504,634 | |
| (Provident Group - Rowan Properties LLC - Rowan Univ. Student Hsg. Proj.) Series 2015 A, 5% 1/1/35 | 335,000 | 326,936 | |
| (Provident Montclair Proj.) Series 2017: | |||
5% 6/1/25 (Assured Guaranty Muni. Corp. Insured) | 65,000 | 66,810 | |
5% 6/1/28 (Assured Guaranty Muni. Corp. Insured) | 5,000 | 5,281 | |
5% 6/1/29 (Assured Guaranty Muni. Corp. Insured) | 5,000 | 5,256 | |
| (The Goethals Bridge Replacement Proj.) Series 2013: | |||
5% 1/1/28 (d) | 100,000 | 100,605 | |
5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) (d) | 1,015,000 | 1,022,146 | |
5.125% 1/1/39 (Assured Guaranty Muni. Corp. Insured) (d) | 360,000 | 361,520 | |
5.125% 7/1/42 (Assured Guaranty Muni. Corp. Insured) (d) | 655,000 | 656,998 | |
5.5% 1/1/27 (d) | 100,000 | 100,866 | |
5.625% 1/1/52 (d) | 2,990,000 | 3,000,948 | |
| Series 1997 A, 0% 7/1/26 (Escrowed to Maturity) | 350,000 | 316,493 | |
| Series 2005 N1, 5.5% 9/1/26 (AMBAC Insured) | 750,000 | 797,397 | |
| Series 2014 PP, 5% 6/15/26 | 1,175,000 | 1,194,818 | |
| Series 2014 RR, 5% 6/15/32 (Pre-Refunded to 6/15/24 @ 100) | 190,000 | 193,205 | |
| Series 2014 UU, 5% 6/15/30 (Pre-Refunded to 6/15/24 @ 100) | 230,000 | 233,879 | |
| Series 2015 WW, 5.25% 6/15/30 (Pre-Refunded to 6/15/25 @ 100) | 3,135,000 | 3,265,504 | |
| Series 2016 A, 5% 7/15/27 | 65,000 | 67,719 | |
| Series 2016 AAA, 5% 6/15/41 (Pre-Refunded to 12/15/26 @ 100) | 140,000 | 149,727 | |
| Series 2016 BBB, 5.5% 6/15/31 (Pre-Refunded to 12/15/26 @ 100) | 940,000 | 1,020,991 | |
| Series 2017 DDD, 5% 6/15/42 (Pre-Refunded to 6/15/27 @ 100) | 605,000 | 655,884 | |
| Series 2018 EEE: | |||
5% 6/15/28 | 40,000 | 43,017 | |
5% 6/15/34 (Pre-Refunded to 12/15/28 @ 100) | 95,000 | 105,764 | |
| Series 2018, 5% 1/1/39 | 495,000 | 440,256 | |
| Series 2019 LLL: | |||
5% 6/15/36 | 250,000 | 266,808 | |
5% 6/15/49 | 250,000 | 259,591 | |
| Series LLL: | |||
4% 6/15/44 | 190,000 | 178,800 | |
4% 6/15/49 | 330,000 | 304,995 | |
5% 6/15/44 | 805,000 | 843,568 | |
| Series MMM: | |||
4% 6/15/35 | 75,000 | 75,895 | |
4% 6/15/36 | 75,000 | 75,268 | |
| New Jersey Econ. Dev. Auth. School Rev. Series 2019 A, 5% 6/15/49 (f) | 100,000 | 90,937 | |
| New Jersey Econ. Dev. Auth. Spl. Facilities Rev.: | |||
| (Continental Airlines, Inc. Proj.): | |||
Series 2000 A, 5.625% 11/15/30 (d) | 445,000 | 450,888 | |
Series 2000 B, 5.625% 11/15/30 (d) | 4,675,000 | 4,736,857 | |
Series 2003, 5.5% 6/1/33 (d) | 1,205,000 | 1,217,773 | |
| (Port Newark Container Term. LLC. Proj.) Series 2017: | |||
5% 10/1/37 (d) | 3,840,000 | 3,887,418 | |
5% 10/1/47 (d) | 4,585,000 | 4,521,114 | |
| Series 1999: | |||
5.125% 9/15/23 (d) | 40,000 | 40,016 | |
5.25% 9/15/29 (d) | 1,480,000 | 1,483,332 | |
| New Jersey Econ. Dev. Auth. Wtr. Facilities Rev.: | |||
| (Middlesex Wtr. Co. Proj.): | |||
Series 2012 A, 5% 10/1/23 | 725,000 | 728,160 | |
Series 2019, 5% 8/1/59 (d) | 580,000 | 593,893 | |
| (New Jersey-American Wtr. Co., Inc. Proj.) Series 2020 E, 0.85% 12/1/25 (d) | 415,000 | 372,034 | |
| Bonds (New Jersey-American Wtr. Co., Inc.) Series 2020, 1.2%, tender 6/1/23 (b)(d) | 5,650,000 | 5,650,000 | |
| New Jersey Edl. Facilities Auth. Rev. Series 2022 A: | |||
| 5% 7/1/31 (Assured Guaranty Muni. Corp. Insured) | 160,000 | 182,333 | |
| 5% 7/1/32 (Assured Guaranty Muni. Corp. Insured) | 210,000 | 242,011 | |
| 5% 7/1/33 (Assured Guaranty Muni. Corp. Insured) | 95,000 | 108,634 | |
| New Jersey Edl. Facility: | |||
| Series 2016 A: | |||
5% 7/1/29 | 1,000,000 | 1,039,823 | |
5% 7/1/29 | 145,000 | 150,260 | |
5% 7/1/31 | 255,000 | 263,970 | |
5% 7/1/32 | 295,000 | 305,243 | |
| Series A: | |||
5% 7/1/40 | 1,000,000 | 1,030,343 | |
5% 7/1/45 | 845,000 | 861,698 | |
| New Jersey Gen. Oblig.: | |||
| Series 2020 A: | |||
4% 6/1/23 | 3,000,000 | 3,000,000 | |
4% 6/1/30 | 1,000,000 | 1,060,695 | |
4% 6/1/31 | 3,400,000 | 3,620,742 | |
4% 6/1/32 | 395,000 | 421,260 | |
5% 6/1/24 | 1,000,000 | 1,014,879 | |
5% 6/1/25 | 2,500,000 | 2,580,848 | |
5% 6/1/26 | 2,055,000 | 2,160,955 | |
5% 6/1/27 | 575,000 | 615,949 | |
5% 6/1/28 | 6,580,000 | 7,182,581 | |
5% 6/1/29 | 1,040,000 | 1,155,024 | |
| Series 2021: | |||
2% 6/1/32 | 2,110,000 | 1,782,104 | |
2% 6/1/34 | 1,020,000 | 829,692 | |
5% 6/1/38 | 1,500,000 | 1,636,190 | |
5% 6/1/41 | 1,840,000 | 1,984,896 | |
| New Jersey Health Care Facilities Fing. Auth. Rev.: | |||
| (Hosp. Asset Transformation Prog.) Series 2017: | |||
5% 10/1/31 | 445,000 | 473,747 | |
5% 10/1/32 | 445,000 | 473,454 | |
5% 10/1/33 | 375,000 | 398,929 | |
5% 10/1/34 | 380,000 | 402,995 | |
5% 10/1/35 | 335,000 | 353,351 | |
5% 10/1/36 | 390,000 | 409,179 | |
5% 10/1/37 | 645,000 | 671,731 | |
| Bonds: | |||
Series 2019 B2, 5%, tender 7/1/25 (b) | 105,000 | 108,023 | |
Series 2019 B3, 5%, tender 7/1/26 (b) | 110,000 | 114,340 | |
| Series 2013 A, 5.5% 7/1/43 | 565,000 | 565,311 | |
| Series 2014 A, 5% 7/1/44 | 985,000 | 994,190 | |
| Series 2015 A, 5% 7/1/46 (Assured Guaranty Muni. Corp. Insured) | 2,250,000 | 2,266,938 | |
| Series 2016 A: | |||
5% 7/1/25 (Escrowed to Maturity) | 60,000 | 62,081 | |
5% 7/1/25 (Escrowed to Maturity) | 275,000 | 284,259 | |
5% 7/1/26 (Escrowed to Maturity) | 135,000 | 142,422 | |
5% 7/1/26 (Escrowed to Maturity) | 50,000 | 52,674 | |
5% 7/1/27 | 90,000 | 94,731 | |
5% 7/1/27 (Pre-Refunded to 7/1/26 @ 100) | 75,000 | 79,011 | |
5% 7/1/28 | 45,000 | 47,457 | |
5% 7/1/28 (Pre-Refunded to 7/1/26 @ 100) | 40,000 | 42,139 | |
5% 7/1/29 (Pre-Refunded to 7/1/26 @ 100) | 85,000 | 89,673 | |
5% 7/1/29 (Pre-Refunded to 7/1/26 @ 100) | 60,000 | 63,209 | |
5% 7/1/30 | 175,000 | 184,685 | |
5% 7/1/30 (Pre-Refunded to 7/1/26 @ 100) | 100,000 | 105,348 | |
5% 7/1/43 | 3,425,000 | 3,512,217 | |
| Series 2016: | |||
4% 7/1/48 | 470,000 | 383,674 | |
5% 7/1/28 | 75,000 | 76,831 | |
5% 7/1/41 | 565,000 | 554,524 | |
| Series 2017 A: | |||
5% 7/1/37 | 420,000 | 441,969 | |
5% 7/1/38 | 1,700,000 | 1,783,649 | |
5.25% 7/1/57 | 590,000 | 607,661 | |
| Series 2019: | |||
4% 7/1/35 | 140,000 | 139,504 | |
5% 7/1/31 | 140,000 | 153,670 | |
| Series 2021 A: | |||
3% 7/1/51 | 3,000,000 | 2,191,174 | |
4% 7/1/45 | 1,475,000 | 1,420,757 | |
4% 7/1/51 | 2,065,000 | 1,934,965 | |
| Series 2021, 3% 7/1/39 | 1,520,000 | 1,242,389 | |
| New Jersey Higher Ed. Student Assistance Auth. Student Ln. Rev.: | |||
| Series 2017 1A, 5% 12/1/26 (d) | 645,000 | 666,122 | |
| Series 2018 B: | |||
5% 12/1/25 (d) | 510,000 | 522,031 | |
5% 12/1/26 (d) | 740,000 | 764,233 | |
| Series 2019 A: | |||
5% 12/1/23 | 235,000 | 236,699 | |
5% 12/1/24 | 160,000 | 163,304 | |
5% 12/1/25 | 310,000 | 321,268 | |
| Series 2019 B, 3.25% 12/1/39 (d) | 965,000 | 909,242 | |
| Series 2020 B, 3.5% 12/1/39 (d) | 1,340,000 | 1,271,826 | |
| Series 2020: | |||
5% 12/1/24 (d) | 1,025,000 | 1,038,694 | |
5% 12/1/24 (d) | 485,000 | 491,479 | |
5% 12/1/27 (d) | 405,000 | 422,667 | |
5% 12/1/28 (d) | 705,000 | 743,127 | |
| Series 2021 A: | |||
5% 12/1/28 (d) | 85,000 | 89,597 | |
5% 12/1/29 (d) | 115,000 | 122,658 | |
| Series 2021 B: | |||
2.5% 12/1/40 (d) | 455,000 | 377,378 | |
5% 12/1/28 (d) | 305,000 | 321,495 | |
5% 12/1/29 (d) | 300,000 | 319,622 | |
| Series 2021 C, 3.25% 12/1/51 (d) | 185,000 | 131,856 | |
| Series 2022 A, 5% 12/1/26 (d) | 495,000 | 511,210 | |
| Series 2022 B: | |||
4% 12/1/41 (d) | 3,130,000 | 3,079,582 | |
5% 12/1/26 (d) | 5,050,000 | 5,215,377 | |
| Series 2023 A, 5% 12/1/30 (d) | 1,250,000 | 1,339,514 | |
| Series 2023 B, 5% 12/1/33 (d) | 10,750,000 | 11,724,629 | |
| New Jersey Hsg. & Mtg. Fin. Agcy. Rev.: | |||
| Series 2019 C, 4.75% 10/1/50 | 695,000 | 699,504 | |
| Series 2021 H, 3% 10/1/52 | 2,175,000 | 2,063,874 | |
| New Jersey Institute of Technology Series 2015 A: | |||
| 5% 7/1/40 | 1,030,000 | 1,049,083 | |
| 5% 7/1/45 | 4,215,000 | 4,280,469 | |
| New Jersey Tobacco Settlement Fing. Corp.: | |||
| Series 2018 A: | |||
5% 6/1/28 | 65,000 | 69,735 | |
5% 6/1/30 | 750,000 | 804,832 | |
5% 6/1/32 | 640,000 | 684,406 | |
5% 6/1/33 | 1,740,000 | 1,856,090 | |
5% 6/1/34 | 640,000 | 680,645 | |
5% 6/1/35 | 630,000 | 666,032 | |
5% 6/1/36 | 1,050,000 | 1,102,716 | |
5% 6/1/46 | 11,915,000 | 12,207,498 | |
5.25% 6/1/46 | 3,610,000 | 3,755,010 | |
| Series 2018 B, 5% 6/1/46 | 14,940,000 | 15,005,489 | |
| New Jersey Tpk. Auth. Tpk. Rev.: | |||
| Series 2014 A: | |||
5% 1/1/28 | 1,175,000 | 1,193,197 | |
5% 1/1/32 | 250,000 | 253,998 | |
| Series 2015 E: | |||
5% 1/1/34 | 605,000 | 620,970 | |
5% 1/1/45 | 735,000 | 746,707 | |
| Series 2016 A, 5% 1/1/35 | 1,180,000 | 1,229,387 | |
| Series 2017 D1, 1 month U.S. LIBOR + 0.700% 4.224% 1/1/24 (b)(c) | 5,350,000 | 5,348,186 | |
| Series 2017 G, 5% 1/1/36 | 5,365,000 | 5,766,205 | |
| Series 2019 A, 5% 1/1/48 | 1,205,000 | 1,270,196 | |
| Series 2021 A: | |||
4% 1/1/42 | 3,000,000 | 2,971,582 | |
4% 1/1/51 | 3,515,000 | 3,355,548 | |
| Series 2022 B, 5.25% 1/1/52 | 8,950,000 | 9,835,784 | |
| Series D, 5% 1/1/28 | 595,000 | 626,259 | |
| New Jersey Trans. Trust Fund Auth.: | |||
| (Trans. Prog.) Series 2019 AA: | |||
5% 6/15/46 | 1,325,000 | 1,367,314 | |
5.25% 6/15/43 | 15,300,000 | 16,047,241 | |
| Series 2006 C: | |||
0% 12/15/27 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 2,870,000 | 2,450,056 | |
0% 12/15/28 | 2,585,000 | 2,135,006 | |
0% 12/15/29 (Assured Guaranty Muni. Corp. Insured) | 3,350,000 | 2,656,305 | |
0% 12/15/30 (FGIC Insured) | 3,560,000 | 2,696,722 | |
0% 12/15/31 (FGIC Insured) | 2,420,000 | 1,758,517 | |
0% 12/15/32 (Assured Guaranty Muni. Corp. Insured) | 710,000 | 503,376 | |
0% 12/15/34 | 4,100,000 | 2,683,459 | |
0% 12/15/35 | 795,000 | 486,599 | |
0% 12/15/36 (AMBAC Insured) | 2,075,000 | 1,201,440 | |
| Series 2008 A: | |||
0% 12/15/28 | 2,110,000 | 1,729,473 | |
0% 12/15/37 | 5,335,000 | 2,928,477 | |
| Series 2009 A, 0% 12/15/39 | 2,850,000 | 1,413,475 | |
| Series 2010 A, 0% 12/15/27 | 2,150,000 | 1,831,322 | |
| Series 2014 BB2: | |||
5% 6/15/33 | 3,085,000 | 3,427,979 | |
5% 6/15/34 | 320,000 | 353,246 | |
| Series 2015 AA: | |||
5% 6/15/45 | 1,205,000 | 1,214,515 | |
5.25% 6/15/41 | 3,205,000 | 3,254,415 | |
| Series 2016 A: | |||
5% 6/15/27 | 385,000 | 401,966 | |
5% 6/15/29 | 470,000 | 491,347 | |
| Series 2018 A: | |||
5% 6/15/28 | 750,000 | 783,902 | |
5% 6/15/29 | 2,380,000 | 2,488,097 | |
5% 6/15/31 | 2,490,000 | 2,596,087 | |
5% 12/15/32 | 205,000 | 220,039 | |
5% 12/15/34 | 140,000 | 149,407 | |
| Series 2019 BB: | |||
4% 6/15/36 | 1,870,000 | 1,875,758 | |
4% 6/15/38 | 205,000 | 200,926 | |
4% 6/15/50 | 1,395,000 | 1,291,404 | |
5% 6/15/44 | 2,170,000 | 2,245,701 | |
| Series 2021 A: | |||
4% 6/15/34 | 1,155,000 | 1,182,508 | |
4% 6/15/35 | 365,000 | 370,216 | |
4% 6/15/36 | 1,530,000 | 1,536,535 | |
4% 6/15/38 | 1,795,000 | 1,759,330 | |
5% 6/15/32 | 200,000 | 223,176 | |
5% 6/15/33 | 345,000 | 383,356 | |
| Series 2022 A: | |||
4% 6/15/39 | 995,000 | 964,461 | |
4% 6/15/40 | 1,600,000 | 1,534,149 | |
4% 6/15/41 | 3,250,000 | 3,105,435 | |
4% 6/15/42 | 675,000 | 643,823 | |
| Series 2022 AA: | |||
5% 6/15/29 | 1,150,000 | 1,254,744 | |
5% 6/15/30 | 4,030,000 | 4,453,853 | |
5% 6/15/31 | 305,000 | 340,698 | |
5% 6/15/32 | 1,665,000 | 1,878,555 | |
5% 6/15/33 | 955,000 | 1,072,483 | |
5% 6/15/35 | 475,000 | 524,288 | |
5% 6/15/36 | 2,155,000 | 2,351,653 | |
5% 6/15/37 | 1,995,000 | 2,155,003 | |
5% 6/15/38 | 250,000 | 267,834 | |
| Series 2022 BB: | |||
4% 6/15/42 | 955,000 | 910,890 | |
4% 6/15/46 | 5,220,000 | 4,900,644 | |
4% 6/15/50 | 4,255,000 | 3,942,961 | |
| Series 2022 CC, 5.5% 6/15/50 | 3,680,000 | 4,011,522 | |
| Series 2023 A: | |||
4.25% 6/15/40 | 2,025,000 | 2,002,152 | |
5% 6/15/37 | 3,000,000 | 3,262,396 | |
| Series 2023 AA: | |||
4.25% 6/15/44 | 245,000 | 240,479 | |
5% 6/15/40 | 3,480,000 | 3,740,178 | |
| Series A: | |||
0% 12/15/31 | 110,000 | 79,598 | |
4% 12/15/39 | 120,000 | 116,237 | |
4.25% 12/15/38 | 300,000 | 301,035 | |
5% 12/15/24 | 1,805,000 | 1,837,948 | |
5% 12/15/25 | 855,000 | 887,289 | |
5% 12/15/26 | 1,000,000 | 1,053,111 | |
| Series AA: | |||
4% 6/15/36 | 670,000 | 672,708 | |
4% 6/15/37 | 1,120,000 | 1,110,907 | |
4% 6/15/38 | 755,000 | 739,997 | |
4% 6/15/39 | 65,000 | 63,005 | |
4% 6/15/40 | 340,000 | 326,007 | |
4% 6/15/45 | 10,215,000 | 9,577,468 | |
4% 6/15/50 | 5,225,000 | 4,844,712 | |
5% 6/15/35 | 225,000 | 244,978 | |
5% 6/15/36 | 75,000 | 80,863 | |
5% 6/15/37 | 170,000 | 181,690 | |
5% 6/15/38 | 1,075,000 | 1,140,797 | |
5% 6/15/39 | 725,000 | 768,559 | |
5% 6/15/40 | 225,000 | 238,246 | |
5% 6/15/44 | 1,900,000 | 1,900,670 | |
5% 6/15/50 | 615,000 | 640,994 | |
| Series BB: | |||
4% 6/15/44 | 1,805,000 | 1,703,326 | |
5% 6/15/33 | 3,035,000 | 3,256,486 | |
5% 6/15/50 | 1,205,000 | 1,238,597 | |
| Newark Gen. Oblig.: | |||
| Series 2020 A, 5% 10/1/24 | 160,000 | 163,406 | |
| Series 2020 B: | |||
5% 10/1/23 | 210,000 | 211,068 | |
5% 10/1/25 | 105,000 | 108,341 | |
| Newark Port Auth. Hsg. Auth. Rev. Series 2007, 5.25% 1/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 65,000 | 66,850 | |
| Rutgers State Univ. Rev. Series 2016 M, 5% 5/1/33 | 965,000 | 1,004,599 | |
| South Jersey Port Corp. Rev.: | |||
| (New Jersey Gen. Oblig. Proj.) Series 2017 B: | |||
5% 1/1/42 (d) | 1,880,000 | 1,899,112 | |
5% 1/1/48 (d) | 2,075,000 | 2,084,116 | |
| Series 2017 A, 5% 1/1/49 | 110,000 | 111,298 | |
| South Jersey Trans. Auth. Trans. Sys. Rev.: | |||
| Series 2019 A: | |||
5% 11/1/31 (Assured Guaranty Muni. Corp. Insured) | 275,000 | 300,923 | |
5% 11/1/32 (Assured Guaranty Muni. Corp. Insured) | 540,000 | 590,120 | |
5% 11/1/33 (Assured Guaranty Muni. Corp. Insured) | 150,000 | 163,600 | |
| Series 2020 A: | |||
4% 11/1/50 | 600,000 | 579,961 | |
5% 11/1/45 | 250,000 | 265,756 | |
| Series 2022 A: | |||
4.625% 11/1/47 | 500,000 | 505,564 | |
5% 11/1/37 | 500,000 | 552,470 | |
5% 11/1/41 | 1,355,000 | 1,424,684 | |
5.25% 11/1/52 | 740,000 | 803,112 | |
| The Board of Ed. of Newark Series 2021, 4% 7/15/34 (Build America Mutual Assurance Insured) | 80,000 | 81,534 | |
| The Poll. Cont. Fin. Auth. of Gloucester County Poll. Cont. Rev. (Logan Proj.) Series 2014 A, 5% 12/1/24 (Escrowed to Maturity) (d) | 295,000 | 296,736 | |
| Union County Impt. Auth. Solid Waste Disp. Rev. (Aries Linden, LLC Proj.) Series 2019, 6.75% 12/1/41 (d)(f) | 460,000 | 299,531 | |
TOTAL NEW JERSEY | 418,676,008 | ||
| New Mexico - 0.1% | |||
| Albuquerque Wtr. Util. Auth. Series 2018, 5% 7/1/28 | 65,000 | 68,711 | |
| Farmington Poll. Cont. Rev. Bonds (Pub. Svc. Co. of New Mexico San Juan Proj.) Series 2010 C, 1.15%, tender 6/1/24 (b) | 590,000 | 569,499 | |
| Los Ranchos de Albuquerque Edl. Facilities Rev. (Albuquerque Academy Proj.) Series 2020, 4% 9/1/40 | 110,000 | 103,620 | |
| New Mexico Edl. Assistance Foundation Series 2021 1A: | |||
| 5% 9/1/23 (d) | 1,280,000 | 1,282,753 | |
| 5% 9/1/24 (d) | 705,000 | 713,794 | |
| 5% 9/1/26 (d) | 2,280,000 | 2,361,645 | |
| 5% 9/1/27 (d) | 1,075,000 | 1,126,935 | |
| 5% 9/1/29 (d) | 425,000 | 455,355 | |
| New Mexico Hosp. Equip. Ln. Council Rev.: | |||
| Bonds Series 2019 B, 5%, tender 8/1/25 (b) | 95,000 | 97,724 | |
| Series 2017 A, 4% 8/1/37 | 750,000 | 732,146 | |
| New Mexico Mtg. Fin. Auth.: | |||
| Series 2018 A1, 4% 1/1/49 | 200,000 | 197,820 | |
| Series 2018 C, 4% 1/1/49 | 415,000 | 410,536 | |
| Series 2019 C, 4% 1/1/50 | 50,000 | 49,425 | |
| Series 2019 D, 3.75% 1/1/50 | 325,000 | 319,203 | |
| New Mexico Muni. Energy Acquisition Auth. Gas Supply Rev.: | |||
| Bonds Series 2019 A, 5%, tender 5/1/25 (b) | 1,520,000 | 1,552,015 | |
| Series 2019 A: | |||
4% 11/1/23 | 15,000 | 15,015 | |
4% 5/1/24 | 45,000 | 45,088 | |
| Santa Fe Retirement Fac. Series 2019 A: | |||
| 5% 5/15/34 | 120,000 | 112,850 | |
| 5% 5/15/39 | 90,000 | 79,321 | |
| 5% 5/15/44 | 95,000 | 80,251 | |
| 5% 5/15/49 | 215,000 | 174,352 | |
TOTAL NEW MEXICO | 10,548,058 | ||
| New York - 6.0% | |||
| Brooklyn Arena Local Dev. Corp. Series 2016 A, 5% 7/15/42 | 1,415,000 | 1,411,467 | |
| Broome County Local Dev. Corp. Rev. (United Health Svcs. Hospitals, Inc. Proj.) Series 2020: | |||
| 3% 4/1/36 (Assured Guaranty Muni. Corp. Insured) | 380,000 | 325,240 | |
| 3% 4/1/37 (Assured Guaranty Muni. Corp. Insured) | 320,000 | 268,036 | |
| 4% 4/1/34 (Assured Guaranty Muni. Corp. Insured) | 210,000 | 213,482 | |
| 4% 4/1/38 (Assured Guaranty Muni. Corp. Insured) | 265,000 | 252,733 | |
| 4% 4/1/39 (Assured Guaranty Muni. Corp. Insured) | 285,000 | 268,419 | |
| 5% 4/1/31 (Assured Guaranty Muni. Corp. Insured) | 195,000 | 210,314 | |
| 5% 4/1/32 (Assured Guaranty Muni. Corp. Insured) | 210,000 | 226,330 | |
| 5% 4/1/33 (Assured Guaranty Muni. Corp. Insured) | 220,000 | 236,937 | |
| Build NYC Resource Corp. Rev.: | |||
| (Albert Einstein School of Medicine, Inc. Proj.) Series 2015, 5.5% 9/1/45 (f) | 4,075,000 | 4,035,398 | |
| (Classical Charter School Proj.) Series 2023 A, 4.75% 6/15/58 | 725,000 | 661,910 | |
| (East Harlem Scholars Academy Charter School Proj.) Series 2022, 5.75% 6/1/52 (f) | 600,000 | 605,496 | |
| (Friends of Hellenic Classical Charter Schools, Inc. Proj.): | |||
Series 2021 A: | |||
5% 12/1/51 (f) | 130,000 | 107,903 | |
5% 12/1/55 (f) | 100,000 | 81,180 | |
Series 2021 A1, 5% 12/1/41 (f) | 115,000 | 101,435 | |
| (Grand Concourse Academy Charter School Proj.): | |||
Series 2022 A, 5% 7/1/52 | 80,000 | 79,077 | |
Series 2022 B, 5% 7/1/62 | 595,000 | 571,443 | |
| (KIPP NYC Pub. School Facilities - Canal West Proj.) Series 2022, 5.25% 7/1/57 | 440,000 | 445,405 | |
| (Richmond Preparatory Charter School Proj.) Series 2021 A, 5% 6/1/51 (f) | 350,000 | 313,104 | |
| (Shefa School Proj.) Series 2021 A, 5% 6/15/51 (f) | 1,910,000 | 1,624,901 | |
| Series 2022, 5.25% 7/1/62 | 545,000 | 549,722 | |
| Build NYC Resource Corp. Solid Waste Disp. Rev. (Pratt Paper NY, Inc. Proj.) Series 2014, 5% 1/1/35 (d)(f) | 2,200,000 | 2,224,889 | |
| City of Long Beach Series 2022 B, 4.625% 7/15/52 | 2,230,000 | 2,215,661 | |
| Dorm. Auth. New York Univ. Rev.: | |||
| (Fordham Univ. Proj.) Series 2017: | |||
4% 7/1/33 | 150,000 | 153,810 | |
4% 7/1/34 | 150,000 | 153,569 | |
| (Memorial Sloan-Kettring Cancer Ctr.) Series 2017 1, 5% 7/1/42 | 85,000 | 89,280 | |
| Series 2011 A, 5% 10/1/25 | 15,000 | 15,014 | |
| Series 2016 A: | |||
5% 7/1/25 | 5,000 | 5,134 | |
5% 7/1/32 | 140,000 | 146,124 | |
5% 7/1/37 | 765,000 | 788,480 | |
| Series 2017 A, 5% 7/1/46 (Pre-Refunded to 7/1/27 @ 100) | 80,000 | 86,439 | |
| Series 2017: | |||
5% 12/1/23 (f) | 100,000 | 99,884 | |
5% 12/1/24 (f) | 100,000 | 99,984 | |
5% 12/1/25 (f) | 100,000 | 99,981 | |
5% 12/1/27 (f) | 2,200,000 | 2,214,858 | |
5% 12/1/30 (f) | 200,000 | 201,370 | |
5% 12/1/31 (f) | 200,000 | 201,330 | |
5% 12/1/34 (f) | 300,000 | 300,934 | |
5% 12/1/36 (f) | 200,000 | 197,240 | |
5% 12/1/37 (f) | 800,000 | 780,943 | |
| Dutchess County Local Dev. Corp. Rev. Series 2020 A, 5% 7/1/45 | 300,000 | 298,712 | |
| Erie County Tobacco Asset Securitization Corp.: | |||
| Series 2005 B, 0% 6/1/47 | 2,000,000 | 387,262 | |
| Series 2006 A, 0% 6/1/60 (f) | 10,070,000 | 560,838 | |
| Glen Cove Local Econ. Assistance Corp. Rev. (Garvies Point Pub. Impt. Proj.): | |||
| Series 2016 A, 5% 1/1/56 | 1,125,000 | 966,189 | |
| Series 2016 B, 0% 1/1/45 | 6,855,000 | 1,731,062 | |
| Series 2016 C, 0% 1/1/55 (e) | 1,645,000 | 1,419,093 | |
| Hudson Yards Infrastructure Corp. New York Rev.: | |||
| Series 2017 A: | |||
5% 2/15/33 | 200,000 | 211,884 | |
5% 2/15/35 | 1,445,000 | 1,526,276 | |
5% 2/15/39 | 950,000 | 994,459 | |
5% 2/15/42 | 785,000 | 818,050 | |
| Series 2022 A, 4% 2/15/37 | 300,000 | 305,988 | |
| Huntington Local Dev. Corp. Rev. (Gurwin Independent Hsg., Inc. / Fountaingate Gardens Proj.) Series 2021 B, 4% 7/1/27 | 250,000 | 236,799 | |
| Jefferson County Civic Facility Dev. Corp. Rev. (Samaritan Med. Ctr. Proj.) Series 2017 A, 4% 11/1/32 | 100,000 | 93,003 | |
| Liberty Dev. Corp. Rev. Series 2005, 5.25% 10/1/35 | 6,045,000 | 6,769,204 | |
| Long Island Pwr. Auth. Elec. Sys. Rev.: | |||
| Bonds: | |||
Series 2019 B, 1.65%, tender 9/1/24 (b) | 165,000 | 160,033 | |
Series 2021 B, 1.5%, tender 9/1/26 (b) | 1,510,000 | 1,391,082 | |
| Series 2014 A: | |||
5% 9/1/34 | 390,000 | 395,864 | |
5% 9/1/39 | 1,500,000 | 1,514,336 | |
| Series 2015 B, 5% 9/1/45 | 1,400,000 | 1,418,125 | |
| Series 2016 B, 5% 9/1/35 | 2,905,000 | 3,058,027 | |
| Series 2017: | |||
5% 9/1/33 | 30,000 | 32,392 | |
5% 9/1/35 | 110,000 | 118,261 | |
5% 9/1/36 | 65,000 | 69,548 | |
5% 9/1/47 | 195,000 | 205,665 | |
| Series 2018, 5% 9/1/36 | 15,000 | 16,307 | |
| Series 2019 A, 4% 9/1/38 | 1,000,000 | 998,183 | |
| MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56 | 4,090,000 | 4,090,200 | |
| Nassau County Gen. Oblig. Series 2018 B, 5% 7/1/42 (Assured Guaranty Muni. Corp. Insured) | 120,000 | 127,393 | |
| Nassau County Indl. Dev. Agcy.: | |||
| Series 2021 A, 9% 1/1/41 (f) | 1,580,000 | 1,311,400 | |
| Series 2021 B, 5% 1/1/58 (j) | 3,260,000 | 1,466,994 | |
| New York City Edl. Construction Fund Series 2021 B, 5% 4/1/46 | 2,235,000 | 2,389,383 | |
| New York City Gen. Oblig.: | |||
| Series 2014 E, 5.5% 8/1/25 | 250,000 | 250,804 | |
| Series 2014 J, 5% 8/1/30 | 1,275,000 | 1,297,984 | |
| Series 2017 A, 4% 8/1/32 | 1,000,000 | 1,028,064 | |
| Series 2017 B: | |||
5% 12/1/37 | 545,000 | 573,755 | |
5% 12/1/41 | 745,000 | 779,299 | |
| Series 2018 B1: | |||
5% 10/1/38 | 750,000 | 796,691 | |
5.25% 10/1/33 | 1,300,000 | 1,430,123 | |
| Series 2018 E1, 5% 3/1/44 | 605,000 | 638,244 | |
| Series 2018 F, 5% 4/1/45 | 345,000 | 363,744 | |
| Series 2019 A1: | |||
3% 8/1/36 | 1,950,000 | 1,797,888 | |
4% 8/1/40 | 1,445,000 | 1,435,665 | |
| Series 2019 D1, 5% 12/1/42 | 1,475,000 | 1,571,899 | |
| Series 2020 A1, 5% 8/1/27 | 1,575,000 | 1,696,381 | |
| Series 2020 C, 5% 8/1/42 | 750,000 | 806,945 | |
| Series 2020 D1: | |||
4% 3/1/50 | 2,750,000 | 2,642,004 | |
5% 3/1/43 | 2,000,000 | 2,140,283 | |
| Series 2021 A1: | |||
3% 8/1/50 | 500,000 | 384,599 | |
4% 8/1/38 | 1,400,000 | 1,409,912 | |
| Series 2021 F1: | |||
4% 3/1/40 | 595,000 | 591,096 | |
5% 3/1/37 | 960,000 | 1,062,870 | |
5% 3/1/39 | 960,000 | 1,049,694 | |
5% 3/1/43 | 1,000,000 | 1,078,411 | |
| Series 2022 A1, 5% 8/1/47 | 2,455,000 | 2,631,785 | |
| Series 2022 D, 4.5% 5/1/49 | 500,000 | 513,038 | |
| Series 2022 D1: | |||
4.25% 5/1/40 | 750,000 | 759,419 | |
5.5% 5/1/44 | 925,000 | 1,052,289 | |
5.5% 5/1/46 | 625,000 | 708,500 | |
| Series 2023 A, 5% 9/1/37 | 750,000 | 840,694 | |
| Series A: | |||
5% 8/1/26 | 705,000 | 745,604 | |
5% 8/1/39 | 1,130,000 | 1,217,600 | |
| Series B, 5% 10/1/42 | 2,885,000 | 3,081,463 | |
| New York City Hsg. Dev. Corp. Series 2019 A1, 4.15% 11/1/38 | 2,750,000 | 2,658,825 | |
| New York City Hsg. Dev. Corp. Multi-family Mtg. Rev.: | |||
| Series 2014 E, 3.5% 2/15/48 | 1,247,985 | 1,220,244 | |
| Series 2014 F, 4.5% 2/15/48 | 6,161,389 | 6,023,854 | |
| New York City Hsg. Dev. Corp. Multifamily Hsg.: | |||
| Bonds: | |||
Series 2021 C2, 0.7%, tender 7/1/25 (b) | 935,000 | 868,145 | |
Series 2021 K2, 0.9%, tender 1/1/26 (b) | 6,315,000 | 5,751,708 | |
Series 2021, 0.6%, tender 7/1/25 (b) | 1,315,000 | 1,209,048 | |
| Series 2021 F1, 2.4% 11/1/46 | 1,200,000 | 788,066 | |
| New York City Indl. Dev. Agcy. Series 2012 A, 5% 7/1/28 (d) | 530,000 | 530,087 | |
| New York City Indl. Dev. Agcy. Rev.: | |||
| (Yankee Stadium Proj.) Series 2020 A: | |||
3% 3/1/40 (Assured Guaranty Muni. Corp. Insured) | 845,000 | 700,732 | |
3% 3/1/49 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 371,275 | |
4% 3/1/45 | 615,000 | 559,517 | |
4% 3/1/45 (Assured Guaranty Muni. Corp. Insured) | 1,265,000 | 1,187,885 | |
| Series 2020 A, 3% 3/1/49 | 250,000 | 185,637 | |
| New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: | |||
| Series 2013 2, 5% 6/15/47 | 255,000 | 255,139 | |
| Series 2015 HH, 5% 6/15/39 | 4,000,000 | 4,109,976 | |
| Series 2017 AA, 5% 6/15/38 | 250,000 | 265,650 | |
| Series 2017 CC1, 5% 6/15/46 | 1,495,000 | 1,540,852 | |
| Series 2018 AA, 5% 6/15/37 | 1,250,000 | 1,330,819 | |
| Series 2018 CC, 5% 6/15/48 | 3,095,000 | 3,249,168 | |
| Series 2018 DD1, 5% 6/15/48 | 750,000 | 792,582 | |
| Series 2018 EE, 5% 6/15/40 | 1,400,000 | 1,494,970 | |
| Series 2018 FF, 5% 6/15/38 | 1,250,000 | 1,343,084 | |
| Series 2020 AA 2, 4% 6/15/42 | 250,000 | 249,684 | |
| Series 2020 DD 1, 3% 6/15/50 | 250,000 | 186,732 | |
| Series 2020, 4% 6/15/43 | 900,000 | 896,267 | |
| Series 2021 AA 1, 4% 6/15/51 | 5,540,000 | 5,383,062 | |
| Series 2021 AA1, 3% 6/15/50 | 4,325,000 | 3,230,456 | |
| Series 2021 BB1, 3% 6/15/44 | 2,415,000 | 1,929,528 | |
| Series 2021 CC1, 5% 6/15/51 | 2,600,000 | 2,785,956 | |
| Series 2021 DD, 4% 6/15/36 | 1,285,000 | 1,329,901 | |
| Series 2022 AA1, 5.25% 6/15/52 | 11,450,000 | 12,722,996 | |
| Series 2022 CC1, 5% 6/15/52 | 1,060,000 | 1,138,695 | |
| Series 2022 CC2, 5% 6/15/26 | 395,000 | 404,467 | |
| Series 2022 EE, 5% 6/15/45 | 10,350,000 | 11,268,792 | |
| Series 2023 DD, 4.125% 6/15/46 | 2,000,000 | 1,988,367 | |
| Series BB, 5% 6/15/49 | 1,985,000 | 2,115,815 | |
| Series FF2, 4% 6/15/41 | 1,025,000 | 1,027,247 | |
| Series GG 1, 5% 6/15/48 | 13,915,000 | 14,839,236 | |
| New York City Transitional Fin. Auth. Bldg. Aid Rev.: | |||
| (New York State Gen. Oblig. Proj.) Series 2015 S-1, 5% 7/15/35 | 450,000 | 461,436 | |
| Series 2015 S1: | |||
5% 7/15/33 | 1,000,000 | 1,027,166 | |
5% 7/15/36 | 1,550,000 | 1,586,929 | |
| Series 2015 S2, 5% 7/15/35 | 215,000 | 222,439 | |
| Series 2018 S2, 5% 7/15/35 | 70,000 | 75,407 | |
| Series 2018 S3, 5% 7/15/43 | 1,690,000 | 1,793,139 | |
| Series 2019 S1, 5% 7/15/45 | 1,000,000 | 1,058,248 | |
| Series 2019 S3, 5% 7/15/37 | 305,000 | 327,715 | |
| Series 2020 S1: | |||
3% 7/15/49 | 3,000,000 | 2,325,298 | |
4% 7/15/40 | 1,445,000 | 1,437,096 | |
| Series 2022 S1A, 4% 7/15/36 | 1,000,000 | 1,024,564 | |
| New York City Transitional Fin. Auth. Rev.: | |||
| Series 2014 A1, 5% 11/1/42 | 1,220,000 | 1,222,460 | |
| Series 2016 A, 5% 5/1/40 | 110,000 | 114,112 | |
| Series 2017 A, 5% 8/1/34 | 1,150,000 | 1,242,585 | |
| Series 2017 A1, 5% 5/1/33 | 1,525,000 | 1,604,435 | |
| Series 2017 B, 5% 8/1/40 | 110,000 | 114,547 | |
| Series 2017 F, 5% 5/1/32 | 750,000 | 806,660 | |
| Series 2018 A2, 5% 8/1/39 | 1,530,000 | 1,632,432 | |
| Series 2018 B, 5% 8/1/45 | 8,285,000 | 8,779,273 | |
| Series 2019 A, 5% 8/1/40 | 1,700,000 | 1,814,937 | |
| Series 2019 B1: | |||
5% 8/1/34 | 110,000 | 120,387 | |
5% 8/1/36 | 2,050,000 | 2,218,940 | |
5% 8/1/38 | 1,475,000 | 1,582,285 | |
| Series 2020 A3, 4% 5/1/44 | 815,000 | 803,030 | |
| Series 2020 B 1, 3% 11/1/47 | 1,000,000 | 769,015 | |
| Series 2020 B1: | |||
4% 11/1/39 | 1,000,000 | 1,002,437 | |
4% 11/1/41 | 2,200,000 | 2,183,341 | |
| Series 2020 C1: | |||
4% 5/1/36 | 425,000 | 436,752 | |
4% 5/1/39 | 745,000 | 747,063 | |
4% 5/1/45 | 845,000 | 828,234 | |
| Series 2021 A: | |||
4% 11/1/34 | 210,000 | 220,543 | |
4% 11/1/38 | 700,000 | 705,833 | |
| Series 2021 B1, 4% 8/1/45 | 1,885,000 | 1,847,307 | |
| Series 2021 C: | |||
4% 5/1/41 | 1,600,000 | 1,588,108 | |
4% 5/1/45 | 4,635,000 | 4,543,036 | |
| Series 2021 C1, 4% 5/1/39 | 1,475,000 | 1,479,084 | |
| Series 2021 E1: | |||
4% 2/1/39 | 250,000 | 250,709 | |
4% 2/1/46 | 3,150,000 | 3,078,882 | |
5% 2/1/37 | 930,000 | 1,034,032 | |
| Series 2021 F1: | |||
4% 11/1/36 | 145,000 | 148,629 | |
4% 11/1/37 | 440,000 | 446,525 | |
5% 11/1/23 | 5,000,000 | 5,033,704 | |
| Series 2021, 4% 11/1/38 | 790,000 | 797,338 | |
| Series 2022 A, 5.25% 8/1/40 | 1,000,000 | 1,128,249 | |
| Series 2022 A1, 5% 11/1/28 | 540,000 | 596,047 | |
| Series 2022 C1, 4% 2/1/41 | 1,635,000 | 1,622,938 | |
| Series 2022 F1, 5% 2/1/47 | 1,000,000 | 1,080,289 | |
| Series 2023 D1, 5.5% 11/1/45 | 3,000,000 | 3,426,282 | |
| Series 2023 F1, 5.25% 2/1/40 | 2,000,000 | 2,268,233 | |
| Series A, 4% 11/1/35 | 210,000 | 217,369 | |
| Series E, 5% 2/1/43 | 645,000 | 679,324 | |
| New York City Trust Cultural Resources Rev. Series 2021, 5% 7/1/31 | 2,630,000 | 3,056,393 | |
| New York Convention Ctr. Dev. Corp. Rev.: | |||
| Series 2015: | |||
5% 11/15/28 | 400,000 | 414,356 | |
5% 11/15/29 | 280,000 | 289,630 | |
| Series 2016 B: | |||
0% 11/15/36 | 250,000 | 141,275 | |
0% 11/15/55 | 410,000 | 82,848 | |
| New York Dorm. Auth. Personal Income Tax Rev. Series 2015 E, 5% 3/15/34 | 6,775,000 | 7,035,492 | |
| New York Dorm. Auth. Rev.: | |||
| Bonds: | |||
Series 2019 B2, 5%, tender 5/1/24 (b) | 55,000 | 55,255 | |
Series 2019 B3, 5%, tender 5/1/26 (b) | 40,000 | 41,095 | |
| Series 2019 D, 5% 7/1/35 | 125,000 | 151,488 | |
| Series 2020 A: | |||
3% 7/1/48 | 1,500,000 | 1,081,224 | |
4% 7/1/50 | 3,250,000 | 2,975,146 | |
4% 7/1/53 | 250,000 | 225,354 | |
5% 10/1/30 (Pre-Refunded to 10/1/28 @ 100) | 5,000 | 5,533 | |
5% 7/1/36 | 235,000 | 254,654 | |
5% 7/1/40 | 270,000 | 288,126 | |
| Series 2022 1B, 4% 7/1/51 | 3,000,000 | 2,792,765 | |
| Series 2022 A: | |||
4% 5/1/45 | 1,185,000 | 1,117,406 | |
5% 7/1/33 | 40,000 | 45,068 | |
5% 7/1/34 | 80,000 | 89,658 | |
5% 7/1/36 | 50,000 | 54,842 | |
5% 10/1/36 | 3,080,000 | 3,407,181 | |
5% 7/15/37 | 340,000 | 349,719 | |
5% 7/1/38 | 105,000 | 112,108 | |
5% 7/1/40 | 65,000 | 68,317 | |
5% 7/1/41 | 65,000 | 68,097 | |
5% 7/1/42 | 70,000 | 73,063 | |
5% 7/15/42 | 960,000 | 967,680 | |
5% 7/15/50 | 2,485,000 | 2,457,120 | |
5% 5/1/52 | 2,000,000 | 2,094,228 | |
| Series 2022: | |||
4% 7/1/36 | 1,065,000 | 1,074,948 | |
4% 7/1/38 | 345,000 | 339,060 | |
4% 7/1/40 | 565,000 | 544,521 | |
5% 7/1/30 | 105,000 | 111,272 | |
5% 7/1/31 | 110,000 | 117,148 | |
5% 7/1/34 | 705,000 | 801,679 | |
5% 7/1/35 | 705,000 | 795,402 | |
5% 7/1/37 | 1,165,000 | 1,290,573 | |
5% 7/1/38 | 55,000 | 56,455 | |
5% 7/1/39 | 355,000 | 389,148 | |
5% 7/1/39 | 85,000 | 86,889 | |
5% 7/1/40 | 190,000 | 193,263 | |
5% 7/1/41 | 630,000 | 685,882 | |
5% 7/1/41 | 200,000 | 202,782 | |
5% 7/1/42 | 105,000 | 106,069 | |
5% 7/1/57 | 5,705,000 | 5,569,005 | |
| New York Dorm. Auth. Sales Tax Rev.: | |||
| Series 2016 A: | |||
5% 3/15/32 | 110,000 | 116,334 | |
5% 3/15/35 | 1,785,000 | 1,878,653 | |
| Series 2017 A, 5% 3/15/39 | 1,960,000 | 2,063,581 | |
| Series 2018 A: | |||
5% 3/15/40 | 3,450,000 | 3,669,123 | |
5% 3/15/42 | 645,000 | 683,775 | |
5% 3/15/43 | 2,410,000 | 2,552,617 | |
| Series 2018 C: | |||
5% 3/15/38 | 465,000 | 497,601 | |
5% 3/15/40 | 2,400,000 | 2,552,434 | |
5% 3/15/41 | 3,150,000 | 3,345,183 | |
| Series 2018 E, 5% 3/15/44 | 495,000 | 526,221 | |
| New York Envir. Facilities Corp. Clean Wtr. & Drinking Wtr. Series 2019 B, 3% 6/15/38 | 915,000 | 805,499 | |
| New York Liberty Dev. Corp.: | |||
| (3 World Trade Ctr. Proj.) Series 2014: | |||
5% 11/15/44 (f) | 11,430,000 | 11,179,580 | |
5.15% 11/15/34 (f) | 1,840,000 | 1,843,261 | |
5.375% 11/15/40 (f) | 6,065,000 | 6,073,615 | |
| (7 World Trade Ctr. Proj.) Series 2022 A, 3.125% 9/15/50 | 400,000 | 310,651 | |
| (Bank of America Tower at One Bryant Park Proj.) Series 2019 1, 2.45% 9/15/69 | 1,800,000 | 1,634,129 | |
| (Bank of America Tower At One Bryant Park Proj.) Series 2019 3, 2.8% 9/15/69 | 840,000 | 762,152 | |
| (World Trade Ctr. Proj.) Series 2014, 7.25% 11/15/44 (f) | 2,000,000 | 2,024,788 | |
| Series 2021 1WTC, 3% 2/15/42 | 2,000,000 | 1,578,388 | |
| Series 2021 A, 3% 11/15/51 (Build America Mutual Assurance Insured) | 250,000 | 180,037 | |
| Series 2021: | |||
2.75% 2/15/44 | 2,250,000 | 1,656,319 | |
3% 2/15/42 | 2,400,000 | 1,909,214 | |
4% 2/15/43 | 1,325,000 | 1,278,605 | |
4% 2/15/43 | 750,000 | 733,529 | |
4% 2/15/43 | 1,500,000 | 1,454,063 | |
| New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev.: | |||
| Series 2012 A, 0% 11/15/32 | 355,000 | 246,222 | |
| Series 2016 A, 5.25% 11/15/31 | 1,475,000 | 1,574,487 | |
| Series 2016 B1, 5% 11/15/36 | 2,550,000 | 2,681,680 | |
| Series 2017 A, 5% 11/15/47 | 1,805,000 | 1,881,487 | |
| Series 2022 A: | |||
5% 11/15/46 | 2,630,000 | 2,849,086 | |
5% 11/15/48 | 250,000 | 270,218 | |
5% 11/15/49 | 250,000 | 270,065 | |
| New York Metropolitan Trans. Auth. Rev.: | |||
| Bonds: | |||
Series 2002 D2: | |||
0.550% x U.S. Secured Overnight Fin. Rate (SOFR) Index 3.94%, tender 6/1/23 (Assured Guaranty Muni. Corp. Insured) (b)(c) | 5,470,000 | 5,444,914 | |
0.550% x U.S. Secured Overnight Fin. Rate (SOFR) Index 3.94%, tender 6/1/23 (Assured Guaranty Muni. Corp. Insured) (b)(c) | 495,000 | 492,730 | |
Series 2015 A2, 5%, tender 5/15/30 (b) | 2,195,000 | 2,350,849 | |
| Series 2006 B, 5.25% 11/15/26 (Assured Guaranty Muni. Corp. Insured) | 1,180,000 | 1,256,199 | |
| Series 2013 C: | |||
5% 11/15/38 | 1,200,000 | 1,200,158 | |
5% 11/15/42 | 1,475,000 | 1,475,030 | |
| Series 2013 E, 5% 11/15/43 | 250,000 | 250,116 | |
| Series 2014 B: | |||
5% 11/15/44 | 1,215,000 | 1,216,030 | |
5.25% 11/15/35 | 500,000 | 503,539 | |
| Series 2015 A1: | |||
5% 11/15/29 | 375,000 | 382,235 | |
5% 11/15/40 | 750,000 | 755,490 | |
5% 11/15/45 | 905,000 | 906,102 | |
| Series 2015 C, 5% 11/15/35 | 750,000 | 764,191 | |
| Series 2015 D1, 5% 11/15/26 | 500,000 | 514,424 | |
| Series 2015 F, 5% 11/15/24 | 330,000 | 335,507 | |
| Series 2016 A1: | |||
5% 11/15/24 | 350,000 | 355,841 | |
5% 11/15/41 | 900,000 | 909,169 | |
| Series 2016 A2, 5% 11/15/27 | 250,000 | 259,414 | |
| Series 2016 C 2A, 4% 11/15/38 | 360,000 | 347,882 | |
| Series 2016 C1, 5% 11/15/56 | 110,000 | 109,723 | |
| Series 2016 D, 5% 11/15/27 | 250,000 | 259,414 | |
| Series 2017 A, 4% 11/15/37 | 785,000 | 761,854 | |
| Series 2017 A1, 5% 11/15/51 | 480,000 | 481,454 | |
| Series 2017 C-2: | |||
0% 11/15/29 | 125,000 | 97,035 | |
0% 11/15/33 | 315,000 | 201,602 | |
| Series 2017 C1: | |||
5% 11/15/27 | 1,035,000 | 1,088,429 | |
5% 11/15/30 | 2,380,000 | 2,530,790 | |
5% 11/15/34 | 95,000 | 100,232 | |
| Series 2017 D: | |||
5% 11/15/30 | 5,980,000 | 6,358,875 | |
5% 11/15/33 | 345,000 | 365,426 | |
5% 11/15/35 | 130,000 | 136,306 | |
| Series 2019 C, 5% 11/15/44 | 2,300,000 | 2,388,074 | |
| Series 2020 A, 5% 11/15/47 | 850,000 | 868,792 | |
| Series 2020 A1: | |||
4% 11/15/46 | 500,000 | 461,043 | |
4% 11/15/50 (Assured Guaranty Muni. Corp. Insured) | 450,000 | 429,350 | |
5% 11/15/49 | 2,750,000 | 2,805,791 | |
| Series 2020 C1: | |||
5% 11/15/50 | 3,000,000 | 3,059,913 | |
5.25% 11/15/55 | 1,280,000 | 1,320,378 | |
| Series 2020 D: | |||
4% 11/15/46 | 11,005,000 | 10,147,554 | |
4% 11/15/47 | 130,000 | 119,204 | |
4% 11/15/50 | 2,600,000 | 2,349,527 | |
5% 11/15/44 | 2,650,000 | 2,724,773 | |
| Series 2020 E: | |||
4% 11/15/45 | 2,350,000 | 2,173,345 | |
5% 11/15/29 | 725,000 | 774,510 | |
5% 11/15/33 | 540,000 | 584,219 | |
| Series 2021 A1, 4% 11/15/45 | 500,000 | 462,414 | |
| New York Pwr. Auth.: | |||
| Series 2020 A, 4% 11/15/50 | 3,075,000 | 3,001,643 | |
| Series 2022 A, 4% 11/15/47 (Assured Guaranty Muni. Corp. Insured) | 420,000 | 404,453 | |
| New York State Dorm. Auth.: | |||
| Series 2012 A, 4% 3/15/37 | 1,250,000 | 1,271,864 | |
| Series 2017 A: | |||
5% 2/15/31 | 65,000 | 69,666 | |
5% 2/15/38 | 835,000 | 881,096 | |
| Series 2017, 5% 2/15/41 | 2,265,000 | 2,396,729 | |
| Series 2019 A: | |||
5% 3/15/36 | 1,500,000 | 1,639,367 | |
5% 3/15/45 | 2,450,000 | 2,592,362 | |
| Series 2019 D: | |||
3% 2/15/49 | 3,295,000 | 2,507,714 | |
4% 2/15/37 | 1,260,000 | 1,280,052 | |
4% 2/15/39 | 1,865,000 | 1,869,690 | |
4% 2/15/40 | 4,085,000 | 4,067,901 | |
4% 2/15/47 | 7,485,000 | 7,296,020 | |
| Series 2019 E, 5% 2/15/35 | 655,000 | 730,608 | |
| Series 2020 A: | |||
3% 3/15/39 | 3,500,000 | 2,988,564 | |
4% 3/15/36 | 1,185,000 | 1,217,701 | |
4% 3/15/37 | 250,000 | 254,128 | |
| Series 2021 A, 4% 3/15/41 | 510,000 | 505,579 | |
| Series 2021 E: | |||
3% 3/15/41 | 950,000 | 786,212 | |
3% 3/15/50 | 3,275,000 | 2,471,970 | |
4% 3/15/38 | 3,815,000 | 3,848,852 | |
4% 3/15/39 | 1,000,000 | 1,003,183 | |
4% 3/15/42 | 5,425,000 | 5,347,527 | |
4% 3/15/45 | 5,890,000 | 5,773,433 | |
4% 3/15/47 | 260,000 | 253,422 | |
4% 3/15/49 | 2,000,000 | 1,934,310 | |
| Series 2022 A: | |||
4% 3/15/34 | 795,000 | 847,098 | |
4% 3/15/35 | 2,150,000 | 2,248,842 | |
4% 3/15/39 | 2,745,000 | 2,753,737 | |
4% 3/15/49 | 550,000 | 531,935 | |
5% 3/15/46 | 3,430,000 | 3,704,381 | |
| New York State Gen. Oblig. Series 2021 A, 3% 3/15/34 | 630,000 | 615,736 | |
| New York State Hsg. Fin. Agcy. Rev.: | |||
| Bonds Series 2021 J2: | |||
1%, tender 11/1/26 (b) | 915,000 | 825,029 | |
1.1%, tender 5/1/27 (b) | 3,395,000 | 2,992,633 | |
| Series 2020 L2, 0.75% 11/1/25 | 1,705,000 | 1,559,161 | |
| Series 2020 M2, 0.75% 11/1/25 | 740,000 | 677,497 | |
| Series J, 0.75% 5/1/25 | 995,000 | 922,374 | |
| New York State Mtg. Agcy. Homeowner Mtg. Series 221, 3.5% 10/1/32 (d) | 115,000 | 111,542 | |
| New York State Urban Dev. Corp.: | |||
| Series 2020 A: | |||
4% 3/15/39 | 1,280,000 | 1,283,465 | |
4% 3/15/45 | 80,000 | 78,080 | |
4% 3/15/49 | 505,000 | 487,642 | |
| Series 2020 C: | |||
4% 3/15/42 | 2,135,000 | 2,104,511 | |
4% 3/15/49 | 2,175,000 | 2,100,239 | |
5% 3/15/43 | 320,000 | 345,061 | |
5% 3/15/47 | 2,115,000 | 2,260,045 | |
5% 3/15/50 | 250,000 | 266,526 | |
| Series 2020 E: | |||
4% 3/15/37 | 2,255,000 | 2,289,979 | |
4% 3/15/39 | 1,215,000 | 1,218,807 | |
4% 3/15/43 | 250,000 | 245,946 | |
4% 3/15/44 | 8,095,000 | 7,931,999 | |
4% 3/15/45 | 6,525,000 | 6,368,380 | |
4% 3/15/46 | 750,000 | 730,850 | |
| Series 2022 A: | |||
5% 3/15/42 | 750,000 | 823,554 | |
5% 3/15/43 | 10,000,000 | 10,955,386 | |
| New York State Urban Eev Corp.: | |||
| Series 2019 A: | |||
4% 3/15/42 | 1,400,000 | 1,387,246 | |
5% 3/15/36 | 1,145,000 | 1,265,176 | |
5% 3/15/37 | 3,405,000 | 3,727,317 | |
| Series 2021 A: | |||
3% 3/15/40 | 1,250,000 | 1,056,285 | |
3% 3/15/41 | 250,000 | 208,540 | |
3% 3/15/42 | 1,500,000 | 1,233,692 | |
3% 3/15/50 | 250,000 | 190,479 | |
4% 3/15/37 | 1,250,000 | 1,275,750 | |
5% 3/15/25 | 1,900,000 | 1,961,303 | |
| New York Thruway Auth. Gen. Rev.: | |||
| Series 2016 A, 5% 1/1/46 | 3,510,000 | 3,574,835 | |
| Series 2019 B: | |||
4% 1/1/38 | 4,150,000 | 4,154,426 | |
4% 1/1/39 | 2,375,000 | 2,377,085 | |
4% 1/1/45 | 4,085,000 | 3,931,410 | |
4% 1/1/45 | 1,300,000 | 1,264,272 | |
4% 1/1/50 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 240,382 | |
| Series 2020 N: | |||
5% 1/1/35 | 750,000 | 841,153 | |
5% 1/1/36 | 2,350,000 | 2,603,580 | |
| New York Thruway Auth. Personal Income Tax Rev.: | |||
| Series 2021 A1: | |||
3% 3/15/48 | 400,000 | 306,879 | |
3% 3/15/51 | 1,500,000 | 1,125,752 | |
4% 3/15/53 | 2,000,000 | 1,922,788 | |
| Series 2022 A, 5% 3/15/34 | 3,150,000 | 3,676,567 | |
| Series 2022 C: | |||
4.125% 3/15/57 | 1,610,000 | 1,560,280 | |
5% 3/15/53 | 2,210,000 | 2,376,542 | |
| New York Trans. Dev. Corp.: | |||
| (American Airlines, Inc. John F. Kennedy Int'l. Arpt. Proj.): | |||
Series 2016: | |||
5% 8/1/26 (d) | 1,705,000 | 1,707,077 | |
5% 8/1/31 (d) | 2,635,000 | 2,638,534 | |
Series 2020: | |||
5.25% 8/1/31 (d) | 885,000 | 911,166 | |
5.375% 8/1/36 (d) | 1,405,000 | 1,416,101 | |
| (Delta Air Lines, Inc. - Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2020: | |||
4.375% 10/1/45 (d) | 3,885,000 | 3,670,239 | |
5% 10/1/40 (d) | 1,895,000 | 1,916,537 | |
| (Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018: | |||
4% 1/1/36 (d) | 280,000 | 268,377 | |
5% 1/1/27 (d) | 4,000,000 | 4,110,054 | |
| (Delta Air Lines, Inc. LaGuardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/30 (d) | 435,000 | 448,530 | |
| (Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018: | |||
5% 1/1/31 (d) | 1,735,000 | 1,789,150 | |
5% 1/1/32 (d) | 4,005,000 | 4,128,513 | |
5% 1/1/33 (d) | 260,000 | 267,800 | |
| (Delta Air Lines, Inc. LaGuardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/34 (d) | 885,000 | 910,151 | |
| (Delta Air Lines, Inc. Laguardia Arpt. Terminals C&D Redev. Proj.) Series 2018, 5% 1/1/36 (d) | 710,000 | 722,913 | |
| (Delta Air Lines, Inc. LaGuardia Arpt. Terminals C&D Redev. Proj.) Series 2020, 5% 10/1/35 (d) | 2,810,000 | 2,914,324 | |
| (Laguardia Arpt. Term. B Redev. Proj.) Series 2016 A: | |||
5% 7/1/34 (d) | 520,000 | 523,127 | |
5% 7/1/46 (d) | 12,225,000 | 11,890,989 | |
| (Laguardia Arpt. Term. Redev. Proj.) Series 2016 A, 5% 7/1/41 (d) | 1,275,000 | 1,266,167 | |
| (New York State Thruway Svc. Areas Proj.) Series 2021: | |||
4% 10/31/46 (d) | 3,885,000 | 3,335,817 | |
4% 4/30/53 (d) | 825,000 | 681,128 | |
| (Term. 4 JFK Int'l. Arpt. Proj.): | |||
Series 2020 A: | |||
4% 12/1/38 (d) | 40,000 | 37,533 | |
5% 12/1/35 (d) | 65,000 | 68,360 | |
Series 2020 C: | |||
4% 12/1/40 | 480,000 | 458,191 | |
5% 12/1/32 | 375,000 | 412,101 | |
5% 12/1/34 | 295,000 | 321,861 | |
5% 12/1/35 | 480,000 | 520,876 | |
5% 12/1/37 | 290,000 | 310,437 | |
| (Term. 4 John F. Kennedy Int'l. Arpt. Proj.): | |||
Series 2020 A: | |||
4% 12/1/39 (d) | 105,000 | 98,163 | |
5% 12/1/30 (d) | 75,000 | 80,371 | |
5% 12/1/34 (d) | 135,000 | 142,745 | |
5% 12/1/36 (d) | 5,000 | 5,218 | |
5% 12/1/37 (d) | 370,000 | 383,890 | |
Series 2022: | |||
5% 12/1/32 (d) | 995,000 | 1,077,164 | |
5% 12/1/33 (d) | 1,545,000 | 1,663,907 | |
5% 12/1/34 (d) | 1,685,000 | 1,802,863 | |
5% 12/1/35 (d) | 845,000 | 898,214 | |
5% 12/1/36 (d) | 575,000 | 605,515 | |
5% 12/1/37 (d) | 1,535,000 | 1,605,074 | |
5% 12/1/38 (d) | 3,720,000 | 3,880,228 | |
5% 12/1/39 (d) | 3,600,000 | 3,738,966 | |
5% 12/1/40 (d) | 4,410,000 | 4,560,178 | |
5% 12/1/41 (d) | 2,665,000 | 2,746,574 | |
5% 12/1/42 (d) | 1,820,000 | 1,868,533 | |
| Laguardia Arpt. Term. B Redev. Proj. Series 2016 A, 4% 7/1/37 (Assured Guaranty Muni. Corp. Insured) (d) | 750,000 | 722,621 | |
| Series 2016 A, 4% 7/1/35 (Assured Guaranty Muni. Corp. Insured) (d) | 2,950,000 | 2,920,072 | |
| Series 2021: | |||
2.25% 8/1/26 (d) | 155,000 | 144,982 | |
3% 8/1/31 (d) | 565,000 | 489,989 | |
| Series 2022: | |||
5% 12/1/27 (d) | 750,000 | 796,367 | |
5% 12/1/28 (d) | 750,000 | 802,042 | |
5% 12/1/29 (d) | 400,000 | 431,887 | |
5% 12/1/30 (d) | 1,000,000 | 1,071,611 | |
| New York Urban Dev. Corp. Rev.: | |||
| (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/34 | 970,000 | 1,039,253 | |
| Gen. Oblig. (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/32 | 830,000 | 889,274 | |
| Series 2016 A, 5% 3/15/30 | 1,900,000 | 1,994,824 | |
| Series 2017 C: | |||
4% 3/15/43 | 3,440,000 | 3,384,220 | |
4% 3/15/45 | 3,155,000 | 3,079,270 | |
| Series 2019 A, 5% 3/15/37 | 365,000 | 394,335 | |
| Niagara Area Dev. Corp. Rev. (Catholic Health Sys., Inc. Proj.) Series 2022: | |||
| 4.5% 7/1/52 | 2,180,000 | 1,597,862 | |
| 5% 7/1/52 | 325,000 | 244,359 | |
| Oneida County Local Dev. Corp. Rev. (Mohawk Valley Health Sys. Proj.) Series 2019 A: | |||
| 3% 12/1/44 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 182,740 | |
| 4% 12/1/32 (Assured Guaranty Muni. Corp. Insured) | 55,000 | 55,317 | |
| 4% 12/1/49 (Assured Guaranty Muni. Corp. Insured) | 1,000,000 | 884,272 | |
| 5% 12/1/25 (Assured Guaranty Muni. Corp. Insured) | 35,000 | 35,302 | |
| 5% 12/1/26 (Assured Guaranty Muni. Corp. Insured) | 105,000 | 105,921 | |
| 5% 12/1/30 (Assured Guaranty Muni. Corp. Insured) | 85,000 | 93,599 | |
| Onondaga Civic Dev. Corp. (Le Moyne College Proj.): | |||
| Series 2015, 5% 7/1/45 | 1,725,000 | 1,731,401 | |
| Series 2018, 5% 1/1/43 | 120,000 | 121,265 | |
| Onondaga County Trust for Cultural Resources Rev. Series 2019: | |||
| 4% 12/1/41 | 800,000 | 798,069 | |
| 4% 12/1/49 | 2,250,000 | 2,164,376 | |
| 5% 12/1/43 | 3,300,000 | 3,579,402 | |
| 5% 12/1/45 | 300,000 | 324,168 | |
| Orange County N Y Fdg Corp. Assistance (The Hamlet at Wallkill Assisted Living Proj.) Series 2012, 6.5% 1/1/46 | 565,000 | 445,264 | |
| Port Auth. of New York & New Jersey: | |||
| Series 2020 221: | |||
4% 7/15/50 (d) | 4,045,000 | 3,792,361 | |
4% 7/15/55 (d) | 3,870,000 | 3,542,077 | |
| Series 2021 226: | |||
5% 10/15/38 (d) | 635,000 | 680,262 | |
5% 10/15/39 (d) | 470,000 | 500,852 | |
5% 10/15/40 (d) | 725,000 | 768,464 | |
5% 10/15/41 (d) | 420,000 | 443,528 | |
| Series 2022 231, 5.5% 8/1/39 (d) | 1,510,000 | 1,707,486 | |
| Series 2022 234, 5.25% 8/1/47 (d) | 2,100,000 | 2,268,100 | |
| Schenectady County Cap. Resources Corp. Rev.: | |||
| (Union College Proj.) Series 2017, 5% 1/1/40 | 1,895,000 | 1,963,057 | |
| Series 2022, 5.25% 7/1/52 | 145,000 | 155,982 | |
| Suffolk County Econ. Dev. Corp. Rev. Series 2021: | |||
| 4.625% 11/1/31 (f) | 150,000 | 125,846 | |
| 5.125% 11/1/41 (f) | 290,000 | 219,219 | |
| 5.375% 11/1/54 (f) | 870,000 | 620,057 | |
| Suffolk County Gen. Oblig. Series 2019 A, 4% 4/1/32 | 750,000 | 767,456 | |
| Suffolk County Wtr. Auth. Wtrwks. Rev.: | |||
| Series 2012 A, 3.75% 6/1/36 | 2,800,000 | 2,800,410 | |
| Series 2020 B, 3% 6/1/45 | 250,000 | 198,595 | |
| Suffolk Tobacco Asset Securitization Corp. Series 2021 B2, 0% 6/1/66 | 1,810,000 | 196,611 | |
| Syracuse Indl. Dev. Auth. Pilot Rev. (Carousel Ctr. Proj.) Series 2016 A: | |||
| 5% 1/1/28 (d) | 355,000 | 274,047 | |
| 5% 1/1/29 (d) | 520,000 | 400,881 | |
| 5% 1/1/30 (d) | 395,000 | 304,244 | |
| 5% 1/1/31 (d) | 490,000 | 377,184 | |
| 5% 1/1/32 (d) | 910,000 | 700,176 | |
| 5% 1/1/33 (d) | 805,000 | 616,006 | |
| 5% 1/1/34 (d) | 720,000 | 543,450 | |
| 5% 1/1/35 (d) | 960,000 | 714,178 | |
| 5% 1/1/36 (d) | 310,000 | 230,581 | |
| Tobacco Settlement Asset Securitization Corp. Series 2017 A: | |||
| 5% 6/1/34 | 1,300,000 | 1,347,588 | |
| 5% 6/1/35 | 600,000 | 619,114 | |
| 5% 6/1/41 | 575,000 | 584,569 | |
| Tompkins County Dev. Corp. Continuing Care Retirement Cmnty. Rev. (Kendal at Itchaca, Inc. Proj.) Series 2014 A, 5% 7/1/29 | 125,000 | 125,255 | |
| Triborough Brdg & Tunl Auth. Series 2022 A, 5.25% 5/15/52 | 3,500,000 | 3,871,668 | |
| Triborough Bridge & Tunnel Auth.: | |||
| Series 2021 A1, 5% 5/15/51 | 5,290,000 | 5,653,810 | |
| Series 2021 B, 4% 5/15/56 | 115,000 | 107,626 | |
| Series 2021 C 1A, 5% 5/15/51 | 4,745,000 | 5,088,630 | |
| Series 2021 C3: | |||
3% 5/15/51 | 1,250,000 | 931,342 | |
4% 5/15/51 | 2,330,000 | 2,205,187 | |
| Series 2022 A, 5% 5/15/57 | 575,000 | 615,719 | |
| Series 2022 D2: | |||
4.5% 5/15/47 | 1,000,000 | 1,023,317 | |
5.25% 5/15/47 | 4,100,000 | 4,541,426 | |
5.5% 5/15/52 | 4,000,000 | 4,509,949 | |
| Triborough Bridge & Tunnel Auth. Revs.: | |||
| Bonds Series 2005 B 4A, U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 3.77%, tender 6/1/23 (b)(c) | 250,000 | 248,136 | |
| Series 2015 A, 5.25% 11/15/45 | 605,000 | 619,287 | |
| Series 2016 A: | |||
5% 11/15/41 | 250,000 | 256,059 | |
5% 11/15/46 | 250,000 | 254,527 | |
| Series 2017 B, 5% 11/15/37 | 750,000 | 793,060 | |
| Series 2017 C2, 5% 11/15/42 | 2,480,000 | 2,620,638 | |
| Series 2018 A: | |||
5% 11/15/44 | 255,000 | 269,930 | |
5% 11/15/46 | 2,700,000 | 2,850,660 | |
| Series 2019 A: | |||
5% 11/15/42 | 1,180,000 | 1,257,406 | |
5% 11/15/49 | 1,100,000 | 1,161,333 | |
| Series 2019 C: | |||
4% 11/15/41 | 4,000,000 | 3,903,657 | |
4% 11/15/42 | 750,000 | 727,323 | |
| Series 2020 A, 5% 11/15/49 | 3,710,000 | 3,954,453 | |
| Series 2021 A, 4% 11/15/56 | 3,000,000 | 2,801,340 | |
| Troy Cap. Resource Corp. Rev. (Rensselaer Polytechnic Institute Proj.) Series 2020 A: | |||
| 5% 9/1/36 | 240,000 | 258,198 | |
| 5% 9/1/39 | 800,000 | 849,020 | |
| Util. Debt Securitization Auth. Series 2022 TE 1, 5% 12/15/39 | 500,000 | 571,862 | |
| Westchester County Local Dev. Co.: | |||
| (Kendal On Hudson Proj.) Series 2022 B, 5% 1/1/51 | 500,000 | 465,370 | |
| Series 2014 A, 5.5% 5/1/42 | 3,480,000 | 3,484,740 | |
| Yonkers Gen. Oblig.: | |||
| Series 2022 C, 5% 3/15/35 (Assured Guaranty Muni. Corp. Insured) | 335,000 | 384,444 | |
| Series D 2022, 5% 3/15/35 | 260,000 | 298,374 | |
TOTAL NEW YORK | 773,164,630 | ||
| New York And New Jersey - 0.3% | |||
| Port Auth. of New York & New Jersey: | |||
| (H. Lee Moffitt Cancer Ctr. Proj.) Series 2016, 5% 11/15/41 | 320,000 | 330,509 | |
| Series 194, 5.25% 10/15/55 | 860,000 | 885,071 | |
| Series 198, 5% 11/15/46 | 1,205,000 | 1,231,304 | |
| Series 2013 178, 5% 12/1/28 (d) | 1,150,000 | 1,155,435 | |
| Series 2013: | |||
5% 12/1/32 (d) | 250,000 | 251,096 | |
5% 12/1/33 (d) | 1,400,000 | 1,405,999 | |
| Series 2014 185: | |||
5% 9/1/31 (d) | 1,250,000 | 1,262,402 | |
5% 9/1/32 (d) | 1,000,000 | 1,009,558 | |
| Series 2015 193, 5% 10/15/30 (d) | 1,325,000 | 1,356,207 | |
| Series 2015 194: | |||
5% 10/15/34 | 2,410,000 | 2,501,605 | |
5% 10/15/41 | 7,625,000 | 7,842,864 | |
| Series 2021 223: | |||
4% 7/15/40 (d) | 175,000 | 169,414 | |
4% 7/15/46 (d) | 7,360,000 | 6,981,944 | |
| Series 2022 231, 5.5% 8/1/47 (d) | 4,980,000 | 5,488,506 | |
| Series 2022 236, 5% 1/15/47 (d) | 4,000,000 | 4,183,720 | |
| Series 214: | |||
4% 9/1/37 (d) | 470,000 | 469,465 | |
4% 9/1/39 (d) | 195,000 | 190,743 | |
4% 9/1/43 (d) | 890,000 | 851,743 | |
| Series 218, 5% 11/1/44 (d) | 750,000 | 780,190 | |
| Series 221: | |||
4% 7/15/40 (d) | 250,000 | 242,020 | |
4% 7/15/45 (d) | 305,000 | 289,988 | |
| Series 223: | |||
4% 7/15/38 (d) | 595,000 | 587,714 | |
4% 7/15/39 (d) | 1,130,000 | 1,105,483 | |
TOTAL NEW YORK AND NEW JERSEY | 40,572,980 | ||
| Non-State Specific - 0.0% | |||
| Frete 2021-Ml12 Trust Series 2021, 1.2231% 7/25/41 (b) | 3,412,127 | 342,720 | |
| North Carolina - 0.6% | |||
| Cary NC Series 2021, 1.75% 9/1/38 | 750,000 | 541,124 | |
| Charlotte Ctfs. of Prtn. (Convention Facility Projs.) Series 2019 A: | |||
| 4% 6/1/39 | 55,000 | 55,538 | |
| 4% 6/1/49 | 110,000 | 107,396 | |
| 5% 6/1/46 | 980,000 | 1,041,761 | |
| Charlotte Int'l. Arpt. Rev.: | |||
| Series 2017 A: | |||
5% 7/1/30 | 185,000 | 198,433 | |
5% 7/1/33 | 185,000 | 197,869 | |
5% 7/1/35 | 110,000 | 117,094 | |
5% 7/1/37 | 425,000 | 447,560 | |
5% 7/1/42 | 160,000 | 166,456 | |
| Series 2017 B: | |||
5% 7/1/23 (d) | 20,000 | 20,015 | |
5% 7/1/25 (d) | 10,000 | 10,211 | |
5% 7/1/26 (d) | 10,000 | 10,350 | |
5% 7/1/27 (d) | 25,000 | 26,206 | |
5% 7/1/28 (d) | 20,000 | 21,009 | |
5% 7/1/29 (d) | 30,000 | 31,509 | |
5% 7/1/30 (d) | 30,000 | 31,497 | |
5% 7/1/31 (d) | 60,000 | 63,000 | |
5% 7/1/32 (d) | 60,000 | 62,965 | |
5% 7/1/33 (d) | 65,000 | 68,175 | |
5% 7/1/34 (d) | 65,000 | 68,070 | |
5% 7/1/35 (d) | 45,000 | 46,941 | |
5% 7/1/36 (d) | 40,000 | 41,533 | |
5% 7/1/37 (d) | 45,000 | 46,525 | |
5% 7/1/42 (d) | 145,000 | 148,378 | |
| Series 2017 C: | |||
4% 7/1/32 | 175,000 | 178,470 | |
4% 7/1/36 | 85,000 | 85,787 | |
4% 7/1/37 | 85,000 | 85,096 | |
| Series 2019 A: | |||
4% 7/1/44 | 400,000 | 389,139 | |
5% 7/1/49 | 1,805,000 | 1,897,570 | |
| Series 2019 B: | |||
4% 7/1/44 (d) | 550,000 | 519,591 | |
5% 7/1/49 (d) | 565,000 | 580,779 | |
| Durham County Gen. Oblig. Series 2016, 3% 10/1/29 | 750,000 | 742,044 | |
| Greater Asheville Reg'l. Arpt. Auth.: | |||
| Series 2022 A, 5.5% 7/1/47 (Assured Guaranty Muni. Corp. Insured) (d) | 4,170,000 | 4,523,703 | |
| Series 2023, 5.25% 7/1/48 (d) | 190,000 | 203,335 | |
| Mecklenburg County Gen. Oblig.: | |||
| Series 2016 A, 5% 9/1/25 | 1,975,000 | 2,057,700 | |
| Series 2017 A, 5% 4/1/25 | 305,000 | 315,172 | |
| New Hanover County Hosp. Rev. Series 2017: | |||
| 5% 10/1/27 (Escrowed to Maturity) | 65,000 | 70,573 | |
| 5% 10/1/42 (Pre-Refunded to 10/1/27 @ 100) | 30,000 | 32,572 | |
| 5% 10/1/47 (Pre-Refunded to 10/1/27 @ 100) | 400,000 | 434,297 | |
| North Carolina Cap. Facilities Fin. Agcy. Edl. Facilities Rev. Series 2021, 4% 5/1/32 | 210,000 | 214,403 | |
| North Carolina Hsg. Fin. Agcy. Home Ownership Rev.: | |||
| Series 2020 44, 4% 7/1/50 | 290,000 | 286,652 | |
| Series 2021 46A, 3% 7/1/51 | 2,865,000 | 2,745,824 | |
| Series 2022 49: | |||
5% 7/1/47 | 325,000 | 329,987 | |
6% 7/1/53 | 1,500,000 | 1,608,481 | |
| North Carolina Med. Care Commission Health Care Facilities Rev.: | |||
| Bonds Series 2019 C, 2.55%, tender 6/1/26 (b) | 2,190,000 | 2,125,657 | |
| Series 2015: | |||
5% 10/1/25 | 410,000 | 409,704 | |
5% 10/1/30 | 320,000 | 316,501 | |
5% 10/1/35 | 870,000 | 841,178 | |
5% 6/1/40 | 3,730,000 | 3,757,853 | |
5% 6/1/45 | 3,885,000 | 3,901,210 | |
| Series 2019 A: | |||
4% 11/1/52 | 665,000 | 639,808 | |
5% 12/1/29 | 80,000 | 86,525 | |
5% 12/1/30 | 80,000 | 86,579 | |
5% 12/1/32 | 60,000 | 64,874 | |
5% 12/1/33 | 45,000 | 48,589 | |
| Series 2020 A: | |||
3% 7/1/45 | 1,130,000 | 886,154 | |
5% 10/1/40 | 195,000 | 192,539 | |
5% 10/1/45 | 185,000 | 178,475 | |
5% 10/1/50 | 115,000 | 108,772 | |
| Series 2021 A: | |||
4% 3/1/29 | 55,000 | 51,235 | |
4% 3/1/36 | 335,000 | 281,172 | |
4% 3/1/41 | 95,000 | 73,030 | |
4% 3/1/51 | 1,585,000 | 1,084,712 | |
| Series 2021 C: | |||
4% 3/1/36 | 445,000 | 373,497 | |
4% 3/1/42 | 730,000 | 552,702 | |
| North Carolina Med. Care Commission Retirement Facilities Rev.: | |||
| (Salemtowne Proj.) Series 2015: | |||
5.25% 10/1/35 | 295,000 | 277,849 | |
5.25% 10/1/37 | 130,000 | 118,603 | |
5.375% 10/1/45 | 1,655,000 | 1,419,714 | |
| (The Forest at Duke Proj.) Series 2021: | |||
4% 9/1/41 | 150,000 | 126,118 | |
4% 9/1/51 | 1,450,000 | 1,119,268 | |
| (The Pines at Davidson Proj.) Series 2019 A, 5% 1/1/49 | 250,000 | 231,000 | |
| Series 2013, 6.25% 7/1/35 (Pre-Refunded to 7/1/23 @ 100) | 635,000 | 636,316 | |
| Series 2015 A, 5% 9/1/37 (Pre-Refunded to 9/1/24 @ 100) | 315,000 | 321,514 | |
| Series 2015: | |||
4.7% 7/1/37 | 385,000 | 337,185 | |
4.875% 7/1/40 | 755,000 | 653,341 | |
5% 7/1/45 | 625,000 | 528,126 | |
| Series 2016: | |||
5% 10/1/31 | 245,000 | 236,248 | |
5% 10/1/37 | 220,000 | 201,607 | |
| Series 2017 A: | |||
5% 7/1/47 | 165,000 | 137,521 | |
5% 10/1/47 (Pre-Refunded to 10/1/23 @ 103) | 250,000 | 258,637 | |
| Series 2017 C: | |||
5% 9/1/41 (Pre-Refunded to 9/1/23 @ 103) | 310,000 | 320,382 | |
5% 9/1/46 (Pre-Refunded to 9/1/23 @ 103) | 285,000 | 294,545 | |
| Series 2019 A: | |||
5% 7/1/39 | 420,000 | 381,876 | |
5% 7/1/44 | 615,000 | 532,041 | |
5% 7/1/49 | 295,000 | 248,168 | |
| Series 2021 A: | |||
4% 9/1/41 | 150,000 | 123,676 | |
4% 9/1/47 | 135,000 | 104,737 | |
4% 9/1/51 | 135,000 | 101,730 | |
4% 1/1/52 | 370,000 | 262,003 | |
| North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev.: | |||
| Series 2015 A, 5% 1/1/28 | 2,255,000 | 2,336,358 | |
| Series 2015 C, 5% 1/1/29 | 445,000 | 460,857 | |
| North Carolina Tpk. Auth. Monroe Expressway Toll Rev. Series 2016 A: | |||
| 5% 7/1/42 | 595,000 | 604,140 | |
| 5% 7/1/47 | 1,670,000 | 1,688,520 | |
| 5% 7/1/51 | 3,535,000 | 3,568,756 | |
| 5% 7/1/54 | 3,285,000 | 3,313,876 | |
| North Carolina Tpk. Auth. Triangle Expressway Sys.: | |||
| Series 2017: | |||
5% 1/1/27 (Assured Guaranty Muni. Corp. Insured) | 750,000 | 793,271 | |
5% 1/1/30 | 205,000 | 215,394 | |
5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) | 340,000 | 361,142 | |
5% 1/1/32 | 580,000 | 609,493 | |
5% 1/1/39 (Assured Guaranty Muni. Corp. Insured) | 170,000 | 175,292 | |
| Series 2018: | |||
5% 1/1/36 (Assured Guaranty Muni. Corp. Insured) | 3,195,000 | 3,395,993 | |
5% 1/1/40 | 3,255,000 | 3,397,342 | |
| Series 2019: | |||
4% 1/1/55 | 180,000 | 162,409 | |
5% 1/1/43 | 850,000 | 887,211 | |
5% 1/1/44 | 315,000 | 327,967 | |
5% 1/1/49 | 2,575,000 | 2,662,402 | |
5% 1/1/49 (Assured Guaranty Muni. Corp. Insured) | 630,000 | 649,206 | |
| Northern Hosp. District Surry County Series 2017: | |||
| 5% 10/1/27 | 320,000 | 327,111 | |
| 5% 10/1/31 | 265,000 | 269,077 | |
| 5% 10/1/33 | 290,000 | 292,905 | |
| Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2020 A: | |||
| 5% 5/1/27 (d) | 295,000 | 308,501 | |
| 5% 5/1/28 (d) | 400,000 | 422,410 | |
| 5% 5/1/29 (d) | 315,000 | 337,106 | |
| 5% 5/1/30 (d) | 265,000 | 286,280 | |
| 5% 5/1/31 (d) | 285,000 | 308,539 | |
| 5% 5/1/32 (d) | 210,000 | 227,157 | |
| 5% 5/1/33 (d) | 210,000 | 226,996 | |
| 5% 5/1/34 (d) | 635,000 | 685,904 | |
| 5% 5/1/35 (d) | 295,000 | 318,271 | |
| Univ. of North Carolina Hosp. at Chapel Hill Rev. Series 2016, 5% 2/1/46 | 60,000 | 61,504 | |
TOTAL NORTH CAROLINA | 75,585,151 | ||
| North Dakota - 0.2% | |||
| Cass County Health Care Facilities Rev. Series 2018 B, 5.25% 2/15/53 | 250,000 | 257,970 | |
| Grand Forks Health Care Sys. Rev. Series 2021: | |||
| 3% 12/1/46 | 5,650,000 | 4,225,108 | |
| 4% 12/1/35 | 1,270,000 | 1,164,180 | |
| 4% 12/1/36 | 805,000 | 724,977 | |
| 4% 12/1/37 | 970,000 | 855,533 | |
| 4% 12/1/38 | 885,000 | 777,314 | |
| 5% 12/1/33 | 1,325,000 | 1,375,410 | |
| 5% 12/1/34 | 1,590,000 | 1,640,724 | |
| North Dakota Hsg. Fin. Agcy.: | |||
| Series 2021 A, 3% 1/1/52 | 2,570,000 | 2,463,241 | |
| Series 2021 B, 3% 7/1/52 | 2,055,000 | 1,957,418 | |
| Univ. of North Dakota Series 2021 A, 3% 6/1/61 (Assured Guaranty Muni. Corp. Insured) | 2,395,000 | 1,632,613 | |
| Univ. of North Dakota Hsg. and Auxiliary Facilities Rev. Series 2019 A, 4% 4/1/39 (Assured Guaranty Muni. Corp. Insured) | 495,000 | 467,092 | |
| Ward County Health Care Facility Rev. Series 2017 C: | |||
| 5% 6/1/34 | 830,000 | 774,653 | |
| 5% 6/1/38 | 770,000 | 679,981 | |
| 5% 6/1/48 | 740,000 | 595,934 | |
| 5% 6/1/53 | 315,000 | 245,182 | |
TOTAL NORTH DAKOTA | 19,837,330 | ||
| Ohio - 1.7% | |||
| Akron Bath Copley Hosp. District Rev.: | |||
| Series 2016, 5.25% 11/15/46 | 2,695,000 | 2,724,181 | |
| Series 2020, 5% 11/15/31 | 25,000 | 26,839 | |
| Allen County Hosp. Facilities Rev.: | |||
| (Mercy Health) Series 2017 A: | |||
5% 8/1/25 | 365,000 | 376,774 | |
5% 8/1/26 | 245,000 | 257,297 | |
5% 8/1/27 | 305,000 | 325,917 | |
5% 8/1/28 | 345,000 | 372,925 | |
5% 8/1/29 | 640,000 | 688,672 | |
5% 8/1/30 | 515,000 | 554,586 | |
| Series 2020 A, 4% 12/1/40 | 2,825,000 | 2,750,594 | |
| American Muni. Pwr., Inc. (Solar Electricity Prepayment Proj.) Series 2019 A: | |||
| 5% 2/15/38 | 85,000 | 89,516 | |
| 5% 2/15/39 | 55,000 | 57,759 | |
| 5% 2/15/44 | 175,000 | 181,888 | |
| American Muni. Pwr., Inc. Rev.: | |||
| (Greenup Hydroelectric Proj.): | |||
Series 2016 A, 5% 2/15/41 | 290,000 | 294,325 | |
Series 2016, 5% 2/15/46 | 1,675,000 | 1,691,474 | |
| Series 2021 A: | |||
4% 2/15/34 | 3,750,000 | 3,860,690 | |
4% 2/15/36 | 480,000 | 481,969 | |
4% 2/15/38 | 1,675,000 | 1,632,026 | |
5% 2/15/33 | 1,570,000 | 1,753,113 | |
5% 2/15/35 | 845,000 | 938,927 | |
| Buckeye Tobacco Settlement Fing. Auth.: | |||
| Series 2020 A, 0% 6/1/57 | 10,590,000 | 1,176,129 | |
| Series 2020 A2: | |||
3% 6/1/48 | 2,150,000 | 1,585,005 | |
4% 6/1/37 | 765,000 | 739,486 | |
4% 6/1/38 | 1,240,000 | 1,187,275 | |
4% 6/1/39 | 1,365,000 | 1,295,232 | |
4% 6/1/48 | 6,360,000 | 5,640,810 | |
5% 6/1/27 | 125,000 | 131,081 | |
5% 6/1/29 | 3,230,000 | 3,450,410 | |
5% 6/1/32 | 1,650,000 | 1,769,608 | |
5% 6/1/33 | 5,475,000 | 5,851,073 | |
5% 6/1/34 | 70,000 | 74,587 | |
5% 6/1/35 | 95,000 | 100,451 | |
5% 6/1/36 | 1,000,000 | 1,045,601 | |
| Series 2020 B2, 5% 6/1/55 | 46,780,000 | 43,275,893 | |
| Chillicothe Hosp. Facilities Rev. (Adena Health Sys. Oblig. Group Proj.) Series 2017, 5% 12/1/47 | 770,000 | 779,317 | |
| Cleveland Arpt. Sys. Rev.: | |||
| Series 2016 A: | |||
5% 1/1/25 (Assured Guaranty Muni. Corp. Insured) | 45,000 | 46,057 | |
5% 1/1/26 (Assured Guaranty Muni. Corp. Insured) | 30,000 | 30,776 | |
5% 1/1/27 (Assured Guaranty Muni. Corp. Insured) | 120,000 | 123,341 | |
5% 1/1/31 (Assured Guaranty Muni. Corp. Insured) | 55,000 | 56,565 | |
| Series 2018 B, 5% 1/1/48 | 1,750,000 | 1,811,712 | |
| Cleveland Income Tax Rev. Series 2018 A: | |||
| 5% 10/1/35 | 110,000 | 119,159 | |
| 5% 10/1/37 | 70,000 | 75,091 | |
| 5% 10/1/38 | 85,000 | 90,815 | |
| Cleveland-Cuyahoga County Port Auth.: | |||
| (Centers for Dialysis Care Proj.) Series 2017 A, 5% 12/1/42 | 250,000 | 250,603 | |
| (Flats East Bank Proj.): | |||
Series 2021 A, 4% 12/1/55 (f) | 175,000 | 146,296 | |
Series 2021 B, 4.5% 12/1/55 (f) | 100,000 | 86,557 | |
| (Playhouse Square Foundation Proj.) Series 2018: | |||
5.5% 12/1/43 | 240,000 | 242,717 | |
5.5% 12/1/53 | 1,370,000 | 1,367,985 | |
| (The Cleveland Museum of Natural History Proj.) Series 2021: | |||
4% 7/1/40 | 85,000 | 82,420 | |
4% 7/1/41 | 105,000 | 101,044 | |
4% 7/1/46 | 220,000 | 192,552 | |
4% 7/1/51 | 295,000 | 251,716 | |
| Cleveland-Cuyahoga County Port Auth. Rev. (Euclid Avenue Dev. Corp. Proj.): | |||
| Series 2019, 4% 8/1/44 | 300,000 | 278,043 | |
| Series 2022 A: | |||
5% 8/1/39 | 1,145,000 | 1,196,627 | |
5.25% 8/1/40 | 1,205,000 | 1,278,287 | |
5.25% 8/1/41 | 1,270,000 | 1,352,727 | |
5.25% 8/1/42 | 1,340,000 | 1,418,891 | |
| Columbus City School District Series 2016 A: | |||
| 5% 12/1/29 | 255,000 | 269,044 | |
| 5% 12/1/32 | 55,000 | 57,627 | |
| Columbus Gen. Oblig. Series 2016 2, 5% 7/1/25 | 120,000 | 124,481 | |
| Cuyahoga County Hosp. Rev. Series 2017: | |||
| 4.75% 2/15/47 | 865,000 | 826,046 | |
| 5% 2/15/37 | 250,000 | 253,618 | |
| 5% 2/15/42 | 840,000 | 843,331 | |
| 5% 2/15/52 | 675,000 | 660,250 | |
| 5% 2/15/57 | 670,000 | 636,631 | |
| 5.25% 2/15/47 | 735,000 | 741,866 | |
| 5.5% 2/15/52 | 4,220,000 | 4,285,047 | |
| 5.5% 2/15/57 | 7,005,000 | 7,102,870 | |
| Cuyahoga Metropolitan Hsg. Auth. (2045 Initiative Proj.) Series 2021, 2% 12/1/31 | 620,000 | 548,138 | |
| Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013: | |||
| 4.25% 6/15/24 | 25,000 | 24,742 | |
| 5% 6/15/25 | 5,000 | 4,994 | |
| 5% 6/15/26 | 5,000 | 4,986 | |
| 5% 6/15/27 | 5,000 | 4,975 | |
| 5% 6/15/28 | 5,000 | 4,963 | |
| 5.25% 6/15/43 | 280,000 | 252,973 | |
| Franklin County Convention Facilities Auth. (Greater Columbus Convention Ctr. Hotel Expansion Proj.) Series 2019: | |||
| 5% 12/1/44 | 2,015,000 | 1,870,875 | |
| 5% 12/1/46 | 775,000 | 815,587 | |
| 5% 12/1/51 | 2,955,000 | 2,695,301 | |
| 5% 12/1/51 | 1,165,000 | 1,219,386 | |
| Franklin County Hosp. Facilities Rev.: | |||
| (Ohiohealth Corp. Proj.) Series 2015, 5% 5/15/40 | 1,810,000 | 1,839,749 | |
| Series 2018 A, 4% 5/15/47 | 880,000 | 842,228 | |
| Franklin County Rev. (Trinity Health Proj.) Series 2017, 5% 12/1/47 | 1,205,000 | 1,229,363 | |
| Greater Cincinnati Elderly Hsg. Dev. Corp. Series 1994 A, 6.6% 8/1/25 | 40,000 | 40,140 | |
| Hamilton County Healthcare Rev.: | |||
| (Life Enriching Cmntys. Proj.): | |||
Series 2016: | |||
5% 1/1/36 | 440,000 | 420,577 | |
5% 1/1/51 | 65,000 | 54,902 | |
Series 2017 A, 5% 1/1/52 | 295,000 | 248,204 | |
| (Life Enriching Communitites Proj.) Series 2016, 5% 1/1/46 | 1,240,000 | 1,076,636 | |
| Hamilton County Hosp. Facilities Rev. (Trihealth, Inc. Obligated Group Proj.) Series 2017 A, 5% 8/15/33 | 55,000 | 57,923 | |
| Indian Creek Loc Scd Series 2018 A, 5% 11/1/45 | 320,000 | 338,165 | |
| Lake County Hosp. Facilities Rev. Series 2015, 5% 8/15/27 (Pre-Refunded to 8/15/25 @ 100) | 5,000 | 5,147 | |
| Lancaster Port Auth. Gas Rev. Bonds Series 2019, 5%, tender 2/1/25 (b) | 3,665,000 | 3,726,801 | |
| Marion County Health Care Rev. Series 2019: | |||
| 5% 12/1/39 | 230,000 | 202,824 | |
| 5.125% 12/1/49 | 255,000 | 213,491 | |
| Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019: | |||
| 5% 8/1/23 | 30,000 | 30,052 | |
| 5% 8/1/45 | 230,000 | 235,463 | |
| 5% 8/1/49 | 2,100,000 | 2,139,089 | |
| Middleburg Heights Hosp. Rev.: | |||
| Series 2020 A, 4% 8/1/47 | 370,000 | 325,467 | |
| Series 2021 A, 4% 8/1/41 | 2,005,000 | 1,834,746 | |
| Montgomery County Hosp. Rev.: | |||
| (Kettering Health Network Obligated Group Proj.) Series 2021: | |||
4% 8/1/51 | 800,000 | 713,771 | |
5% 8/1/30 | 990,000 | 1,091,163 | |
| Series 2019 A: | |||
4% 11/15/38 | 485,000 | 449,038 | |
4% 11/15/45 | 225,000 | 196,816 | |
5% 11/15/34 | 210,000 | 217,628 | |
| Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013: | |||
| 5% 2/15/27 | 10,000 | 10,000 | |
| 5% 2/15/33 | 540,000 | 539,967 | |
| 5% 2/15/44 | 705,000 | 630,043 | |
| Northeast Ohio Med. Univ. Series 2021 A: | |||
| 4% 12/1/35 | 25,000 | 24,188 | |
| 4% 12/1/45 | 20,000 | 17,517 | |
| Ohio Air Quality Dev. Auth. Exempt Facilities Rev.: | |||
| (AMG Vanadium Proj.) Series 2019, 5% 7/1/49 (d)(f) | 3,290,000 | 2,962,640 | |
| (Pratt Paper (OH), LLC Proj.) Series 2017: | |||
4.25% 1/15/38 (d)(f) | 100,000 | 94,768 | |
4.5% 1/15/48 (d)(f) | 1,240,000 | 1,144,446 | |
| (Pratt Paper, LLC Proj.) Series 2017, 3.75% 1/15/28 (d)(f) | 1,510,000 | 1,474,866 | |
| Ohio Air Quality Dev. Auth. Rev.: | |||
| (Ohio Valley Elec. Corp. Proj.) Series 2019 A, 3.25% 9/1/29 | 1,800,000 | 1,653,813 | |
| Bonds: | |||
(American Elec. Co. Proj.): | |||
Series 2005 D, 2.1%, tender 10/1/24 (b)(d) | 5,965,000 | 5,742,059 | |
Series 2007 B, 2.5%, tender 10/1/29 (b)(d) | 360,000 | 310,667 | |
Series 2014 B, 2.6%, tender 10/1/29 (b)(d) | 985,000 | 854,812 | |
(American Elec. Pwr. Co. Proj.): | |||
Series 2005 C, 2.1%, tender 10/1/24 (b)(d) | 835,000 | 803,792 | |
Series 2014 C, 2.1%, tender 10/1/24 (b)(d) | 1,790,000 | 1,723,099 | |
(Duke Energy Corp. Proj.) Series 2022 B, 4%, tender 6/1/27 (b) | 835,000 | 824,014 | |
Series 2022 B, 4.25%, tender 6/1/27 (b)(d) | 1,975,000 | 1,950,569 | |
| Ohio Gen. Oblig.: | |||
| Series 2021 A: | |||
5% 3/1/29 | 470,000 | 523,724 | |
5% 3/1/29 | 630,000 | 702,013 | |
5% 3/1/30 | 570,000 | 648,571 | |
5% 3/1/30 | 855,000 | 972,857 | |
| Series 2021 B: | |||
5% 2/1/29 | 1,140,000 | 1,268,206 | |
5% 2/1/30 | 950,000 | 1,079,373 | |
| Series 2021 C: | |||
5% 3/15/29 | 1,425,000 | 1,589,129 | |
5% 3/15/30 | 1,425,000 | 1,622,540 | |
| Ohio Higher Ed. Facilities Commission Healthcare Rev. Series 2018, 5.25% 1/1/48 | 250,000 | 193,231 | |
| Ohio Higher Edl. Facility Commission Rev.: | |||
| (Kenyon College 2020 Proj.) Series 2020: | |||
4% 7/1/40 | 45,000 | 43,249 | |
5% 7/1/35 | 170,000 | 185,563 | |
5% 7/1/42 | 290,000 | 306,447 | |
| (Kenyon College, Oh. Proj.) Series 2017, 5% 7/1/42 | 110,000 | 113,434 | |
| (The Univ. of Findlay 2019 Proj.) Series 2019, 5% 3/1/44 | 250,000 | 244,452 | |
| (Tiffin Univ. 2019 Proj.) Series 2019, 4% 11/1/49 | 250,000 | 184,414 | |
| (Univ. of Dayton 2018 Proj.) Series 2018 B, 5% 12/1/34 | 130,000 | 138,604 | |
| (Univ. of Dayton Proj.) Series 2018 B, 5% 12/1/36 | 1,070,000 | 1,129,285 | |
| Series 2016, 5% 11/1/41 | 640,000 | 653,682 | |
| Series 2019, 4% 10/1/44 | 100,000 | 90,601 | |
| Series 2022: | |||
5.125% 12/1/42 | 305,000 | 306,264 | |
5.375% 12/1/52 | 485,000 | 487,829 | |
| Ohio Hosp. Facilities Rev.: | |||
| Series 2017 A: | |||
4% 1/1/39 | 1,500,000 | 1,500,825 | |
5% 1/1/29 | 760,000 | 821,481 | |
5% 1/1/31 | 10,000 | 10,801 | |
| Series 2021 B: | |||
5% 1/1/25 | 845,000 | 866,160 | |
5% 1/1/26 | 990,000 | 1,031,894 | |
5% 1/1/27 | 2,295,000 | 2,435,384 | |
| Ohio Hosp. Rev.: | |||
| Series 2020 A: | |||
4% 1/15/38 | 150,000 | 143,115 | |
4% 1/15/39 | 280,000 | 264,563 | |
4% 1/15/50 | 245,000 | 217,520 | |
5% 1/15/50 | 2,710,000 | 2,781,036 | |
| Series 2020: | |||
3% 1/15/45 | 2,150,000 | 1,578,520 | |
4% 11/15/36 | 135,000 | 127,354 | |
4% 11/15/38 | 130,000 | 120,091 | |
4% 11/15/40 | 125,000 | 112,387 | |
| Series 2021 E: | |||
4% 1/15/37 | 480,000 | 465,347 | |
4% 1/15/41 | 320,000 | 297,554 | |
| Ohio Hsg. Fin. Agcy. Multi-family Hsg. Rev. (Sanctuary at Springboro Proj.) Series 2017, 5.45% 1/1/38 (f) | 250,000 | 190,017 | |
| Ohio Hsg. Fin. Agcy. Residential Mtg. Rev.: | |||
| (Mtg. Backed Securities Prog.) Series 2019 B, 4.5% 3/1/50 | 110,000 | 110,054 | |
| (Mtg.-Backed Secrities Prog.) Series 2023 A: | |||
4.8% 9/1/48 | 2,360,000 | 2,364,941 | |
4.9% 9/1/53 | 1,130,000 | 1,140,056 | |
| (Mtg.-Backed Securities Prog.) Series 2018 A, 4.5% 9/1/48 | 850,000 | 849,862 | |
| Ohio Major New State Infrastructure Rev. Series 2021 1A: | |||
| 5% 12/15/29 | 1,415,000 | 1,599,602 | |
| 5% 12/15/30 | 1,270,000 | 1,459,615 | |
| 5% 12/15/31 | 90,000 | 104,972 | |
| 5% 12/15/32 | 110,000 | 129,532 | |
| Ohio Private Activity Rev. (Portsmouth Bypass Proj.): | |||
| Series 2015 A, 5% 12/31/35 (Assured Guaranty Muni. Corp. Insured) (d) | 1,650,000 | 1,659,282 | |
| Series 2015: | |||
5% 12/31/39 (d) | 565,000 | 561,446 | |
5% 6/30/53 (d) | 400,000 | 385,011 | |
| Ohio Spl. Oblig. Series 2020 A, 5% 2/1/26 | 75,000 | 78,530 | |
| Ohio State Univ. Gen. Receipts Series 2021 A, 4% 12/1/48 | 2,400,000 | 2,310,474 | |
| Ohio Tpk. Commission Tpk. Rev.: | |||
| (Infrastructure Proj.) Series 2005 A, 0% 2/15/42 | 645,000 | 273,042 | |
| (Infrastructure Projs.) Series 2022 A, 5% 2/15/39 | 585,000 | 657,860 | |
| Series A, 5% 2/15/51 | 6,640,000 | 7,152,583 | |
| Ohio Wtr. Dev. Auth. Rev. Series 2006 A, 5.25% 6/1/23 | 1,040,000 | 1,040,000 | |
| Ross County Hosp. Facilities Rev. (Adena Health Sys. Obligated Group Proj.) Series 2019: | |||
| 5% 12/1/23 | 30,000 | 30,173 | |
| 5% 12/1/24 | 35,000 | 35,620 | |
| 5% 12/1/25 | 30,000 | 30,982 | |
| 5% 12/1/26 | 40,000 | 41,976 | |
| Scioto County Hosp. Facilities Rev.: | |||
| Series 2016: | |||
5% 2/15/26 | 125,000 | 128,695 | |
5% 2/15/27 | 105,000 | 108,299 | |
5% 2/15/29 | 340,000 | 349,902 | |
5% 2/15/34 | 55,000 | 56,058 | |
| Series 2019, 5% 2/15/29 | 680,000 | 707,258 | |
| Toledo Hosp. 6.015% 11/15/48 | 500,000 | 345,000 | |
| Toledo-Lucas County Port Auth.: | |||
| (Univ. of Toledo Parking Proj.) Series 2021, 4% 1/1/57 | 250,000 | 184,006 | |
| Series 2014 A, 5% 7/1/46 | 250,000 | 232,524 | |
| Univ. of Akron Gen. Receipts: | |||
| Series 2016 A, 5% 1/1/35 | 545,000 | 554,093 | |
| Series 2019 A: | |||
4% 1/1/28 | 205,000 | 210,188 | |
5% 1/1/26 | 115,000 | 118,915 | |
5% 1/1/30 | 100,000 | 109,665 | |
| Univ. of Cincinnati Gen. Receipts Series 2016 C: | |||
| 5% 6/1/41 | 320,000 | 329,294 | |
| 5% 6/1/46 | 750,000 | 769,010 | |
| Washington County Hosp. Rev. Series 2022: | |||
| 6% 12/1/28 | 660,000 | 665,288 | |
| 6% 12/1/29 | 700,000 | 708,906 | |
| 6% 12/1/30 | 740,000 | 750,258 | |
| 6% 12/1/31 | 790,000 | 800,740 | |
| Worthington City School District Series 2023, 5.5% 12/1/54 | 4,350,000 | 4,913,165 | |
TOTAL OHIO | 218,804,179 | ||
| Oklahoma - 0.1% | |||
| Catoosa Indl. Auth. Series 2018, 4% 10/1/28 | 10,000 | 9,618 | |
| Garfield County Edl. Facilities Auth. (Enid Pub. Schools Proj.) Series 2016 A, 5% 9/1/28 | 1,000,000 | 1,042,954 | |
| Lincoln County Edl. Facilities Rev. (Stroud Pub. Schools Proj.) Series 2016: | |||
| 5% 9/1/28 | 750,000 | 781,981 | |
| 5% 9/1/29 | 250,000 | 260,193 | |
| Norman Reg'l. Hosp. Auth. Hosp. Rev. Series 2019: | |||
| 4% 9/1/45 | 1,165,000 | 963,310 | |
| 5% 9/1/45 | 700,000 | 682,660 | |
| Oklahoma City Arpt. Trust Series 33, 5% 7/1/47 (d) | 275,000 | 280,443 | |
| Oklahoma City Pub. Property Auth. Hotel Tax Rev. Series 2015: | |||
| 5% 10/1/24 | 60,000 | 61,277 | |
| 5% 10/1/28 | 155,000 | 160,776 | |
| 5% 10/1/29 | 170,000 | 176,258 | |
| 5% 10/1/32 | 60,000 | 62,140 | |
| 5% 10/1/36 | 120,000 | 123,981 | |
| 5% 10/1/39 | 245,000 | 252,186 | |
| Oklahoma County Fin. Auth. Rev.: | |||
| (Epworth Villa Proj.): | |||
Series 2004 B, 5.75% 4/1/27 (b)(g) | 90,000 | 45,000 | |
Series 2005 B, 6% 4/1/30 (b) | 115,000 | 57,500 | |
Series 2012 A: | |||
5% 4/1/33 | 435,000 | 217,500 | |
5.125% 4/1/42 | 420,000 | 210,000 | |
| Series 2005 A, 5.875% 4/1/30 | 550,000 | 275,000 | |
| Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.): | |||
| Series 2018 B: | |||
5% 8/15/38 | 240,000 | 221,458 | |
5.25% 8/15/43 | 80,000 | 74,524 | |
5.25% 8/15/48 | 1,490,000 | 1,350,824 | |
5.5% 8/15/52 | 2,110,000 | 1,925,861 | |
5.5% 8/15/57 | 1,945,000 | 1,752,707 | |
| Series 2018 C, 5.45% 8/15/28 | 1,212,000 | 1,032,157 | |
| Oklahoma Dev. Fin. Auth. Rev.: | |||
| (Oklahoma City Univ. Proj.) Series 2019: | |||
5% 8/1/26 | 25,000 | 25,199 | |
5% 8/1/44 | 570,000 | 543,819 | |
| Series 2015, 5% 7/1/42 | 315,000 | 269,263 | |
| Oklahoma Hsg. Fin. Agcy. Single Family Mtg. Rev. (Homeownership Ln. Prog.) Series 2018 A, 4.75% 9/1/48 | 340,000 | 342,022 | |
| Oklahoma Tpk. Auth. Tpk. Rev. Series 2017 C: | |||
| 4% 1/1/42 | 750,000 | 751,396 | |
| 5% 1/1/47 | 385,000 | 399,686 | |
| Payne County Econ. Dev. Auth. Series 2016 A, 6.875% 11/1/46 | 455,845 | 1,140 | |
| Tulsa Indl. Auth. Rev. (Montereau, Inc. Proj.) Series 2017: | |||
| 5% 11/15/31 | 265,000 | 270,394 | |
| 5.25% 11/15/37 | 175,000 | 176,792 | |
| 5.25% 11/15/45 | 1,455,000 | 1,423,055 | |
| Tulsa Int'l. Arpt. Gen. Rev. Series 2015 A, 5% 6/1/45 (Pre-Refunded to 6/1/24 @ 100) (d) | 160,000 | 161,738 | |
| Tulsa Muni. Arpt. Trust Rev. Series 2001 B, 5.5% 12/1/35 (d) | 1,550,000 | 1,550,392 | |
| Weatherford Indl. Trust Edl. Facilities Lease Rev. (Weatherford Pub. Schools Proj.) Series 2019, 5% 3/1/33 | 500,000 | 542,459 | |
TOTAL OKLAHOMA | 18,477,663 | ||
| Oregon - 0.4% | |||
| Beaverton School District Series 2022 A: | |||
| 0% 6/15/37 | 8,000,000 | 4,366,105 | |
| 0% 6/15/38 | 5,000,000 | 2,576,188 | |
| 0% 6/15/39 | 5,000,000 | 2,435,493 | |
| 0% 6/15/40 | 5,000,000 | 2,294,715 | |
| 0% 6/15/41 | 1,250,000 | 543,714 | |
| Clackamas County Hosp. Facility Auth.: | |||
| (Willamette View, Inc.) Series 2017 A, 5% 11/15/47 | 195,000 | 173,116 | |
| (Williamette View Proj.) Series 2017 A, 5% 11/15/32 | 135,000 | 131,039 | |
| (Williamette View, Inc.) Series 2017 A: | |||
5% 11/15/37 | 70,000 | 65,874 | |
5% 11/15/52 | 210,000 | 183,212 | |
| Medford Hosp. Facilities Auth. Rev.: | |||
| (Asante Projs.) Series 2020 A: | |||
4% 8/15/50 | 320,000 | 287,244 | |
5% 8/15/36 | 85,000 | 91,440 | |
5% 8/15/38 | 235,000 | 249,428 | |
5% 8/15/45 | 725,000 | 755,721 | |
| Series 2013 A, 5% 10/1/42 | 250,000 | 246,646 | |
| Multnomah County School District 40 Series 2023 B, 5.5% 6/15/53 | 875,000 | 994,324 | |
| Multnomah County Hosp. Facilities Auth. Rev.: | |||
| Series 2021 A: | |||
4% 12/1/41 | 630,000 | 467,420 | |
4% 12/1/51 | 470,000 | 313,035 | |
| Series 2021 B1, 1.2% 6/1/28 | 165,000 | 138,753 | |
| Series 2021 B2, 0.95% 6/1/27 | 435,000 | 377,336 | |
| Series 2021 C, 1.25% 6/1/26 | 210,000 | 192,024 | |
| Multnomah County School District #1J Portland Series 2023, 5% 6/15/25 | 1,500,000 | 1,555,590 | |
| Oregon Dept. of Trans. Hwy. User Tax Rev. Series 2022 A, 5.25% 11/15/47 | 750,000 | 845,298 | |
| Oregon Facilities Auth. Rev.: | |||
| (Legacy Health Proj.) Series 2016 A, 5% 6/1/46 | 3,235,000 | 3,286,729 | |
| Series 2020 A, 5% 10/1/40 | 745,000 | 757,092 | |
| Series 2022 A, 5% 6/1/52 | 2,200,000 | 2,264,887 | |
| Series 2022 B, 5% 6/1/30 | 675,000 | 738,585 | |
| Oregon Gen. Oblig.: | |||
| Article XI-Q State Projs. Series 2017 A, 5% 5/1/42 | 250,000 | 259,871 | |
| Series 2016, 5% 5/1/30 | 665,000 | 701,920 | |
| Oregon Health and Science Univ. Spl. Rev. Series 2016 B, 5% 7/1/34 | 1,600,000 | 1,671,202 | |
| Oregon State Dept. of Administrative Svcs. Lottery Rev. Series 2015 C, 5% 4/1/24 | 500,000 | 506,920 | |
| Oregon State Hsg. & Cmnty. Svcs. Dept.: | |||
| (Single Family Mtg. Prog.) Series A, 3.5% 1/1/51 | 555,000 | 541,043 | |
| Series 2019 A, 4% 7/1/50 | 1,780,000 | 1,760,886 | |
| Polk Marion & Benton School District # 13J Series B, 0% 12/15/38 | 120,000 | 62,824 | |
| Port of Portland Arpt. Rev.: | |||
| Series 2017 24B, 5% 7/1/42 (d) | 1,170,000 | 1,193,389 | |
| Series 2020 26B: | |||
5% 7/1/37 | 170,000 | 186,098 | |
5% 7/1/40 | 145,000 | 156,042 | |
| Series 2020 26C, 5% 7/1/28 (d) | 265,000 | 280,482 | |
| Series 2020 27A: | |||
4% 7/1/39 (d) | 1,475,000 | 1,417,981 | |
4% 7/1/50 (d) | 1,580,000 | 1,439,424 | |
5% 7/1/45 (d) | 1,895,000 | 1,958,990 | |
| Series 2020, 5% 7/1/37 (d) | 1,700,000 | 1,799,665 | |
| Series 2022 28: | |||
5% 7/1/41 (d) | 4,240,000 | 4,461,501 | |
5% 7/1/52 (d) | 3,555,000 | 3,671,171 | |
| Portland Swr. Sys. Rev. Series 2023 A, 5% 12/1/47 | 1,000,000 | 1,103,559 | |
| Salem Hosp. Facility Auth. Rev.: | |||
| (Cap. Manor Proj.) Series 2022: | |||
4% 5/15/40 | 100,000 | 80,180 | |
4% 5/15/47 | 660,000 | 482,666 | |
4% 5/15/57 | 135,000 | 92,410 | |
| (Salem Health Projs.) Series 2019 A, 3% 5/15/49 | 2,605,000 | 1,826,807 | |
| Series 2016 A, 4% 5/15/41 | 620,000 | 596,994 | |
| Washington, Multnomah & Yamhill County School District #1J Series 2017: | |||
| 5% 6/15/33 | 60,000 | 64,274 | |
| 5% 6/15/35 | 175,000 | 186,099 | |
| 5% 6/15/36 | 170,000 | 179,925 | |
| 5% 6/15/38 | 170,000 | 178,746 | |
| Yamhill County Hosp. Auth. Rev.: | |||
| Series 2016 A: | |||
4% 11/15/26 | 40,000 | 37,454 | |
5% 11/15/31 | 50,000 | 46,035 | |
5% 11/15/36 | 65,000 | 55,818 | |
5% 11/15/46 | 370,000 | 281,171 | |
| Series 2021 A: | |||
5% 11/15/36 | 155,000 | 133,106 | |
5% 11/15/46 | 365,000 | 277,371 | |
5% 11/15/51 | 155,000 | 113,816 | |
5% 11/15/56 | 895,000 | 640,294 | |
| Series 2021 B1, 2.5% 11/15/28 | 185,000 | 153,278 | |
| Series 2021 B2, 2.125% 11/15/27 | 70,000 | 62,780 | |
| Series 2021 B3, 1.75% 11/15/26 | 105,000 | 97,708 | |
TOTAL OREGON | 55,090,908 | ||
| Pennsylvania - 3.1% | |||
| Allegheny County Arpt. Auth. Rev.: | |||
| Series 2021 A: | |||
4% 1/1/46 (Assured Guaranty Muni. Corp. Insured) (d) | 1,000,000 | 931,631 | |
5% 1/1/51 (d) | 6,560,000 | 6,754,758 | |
5% 1/1/56 (d) | 3,980,000 | 4,068,284 | |
| Series 2021 B: | |||
5% 1/1/51 | 830,000 | 881,988 | |
5% 1/1/56 | 700,000 | 738,857 | |
| Allegheny County Hosp. Dev. Auth. Rev.: | |||
| Series 2018 A: | |||
4% 4/1/44 | 400,000 | 380,660 | |
4% 4/1/44 | 1,410,000 | 1,261,541 | |
5% 4/1/47 | 230,000 | 232,754 | |
| Series 2019 A: | |||
4% 7/15/36 | 140,000 | 140,166 | |
4% 7/15/37 | 1,085,000 | 1,074,359 | |
4% 7/15/39 | 1,325,000 | 1,296,252 | |
| Allegheny County Indl. Dev. Auth. Enviromental Impt. Rev. (United States Steel Corp. Proj.) Series 2019, 4.875% 11/1/24 | 170,000 | 170,719 | |
| Allegheny County Indl. Dev. Auth. Rev. Series 2021: | |||
| 3.5% 12/1/31 | 430,000 | 354,451 | |
| 4% 12/1/41 | 935,000 | 682,297 | |
| 4.25% 12/1/50 | 1,040,000 | 715,907 | |
| Allentown Neighborhood Impt. Zone Dev. Auth. Tax Rev.: | |||
| (615 Waterfront Proj.) Series 2021, 6% 5/1/42 (f) | 300,000 | 305,078 | |
| (City Ctr. Proj.) Series 2018, 5.125% 5/1/32 (f) | 300,000 | 303,490 | |
| (City Ctr. Rfdg. Proj.): | |||
Series 2017: | |||
5% 5/1/27 (f) | 1,205,000 | 1,223,175 | |
5% 5/1/32 (f) | 490,000 | 495,703 | |
5% 5/1/42 (f) | 1,665,000 | 1,617,722 | |
Series 2018: | |||
5% 5/1/33 (f) | 490,000 | 495,506 | |
5% 5/1/42 (f) | 1,150,000 | 1,117,077 | |
5.375% 5/1/42 (f) | 1,340,000 | 1,339,143 | |
| Series 2022: | |||
5% 5/1/25 | 500,000 | 506,748 | |
5% 5/1/28 | 25,000 | 25,845 | |
5% 5/1/30 | 25,000 | 26,046 | |
5% 5/1/31 | 95,000 | 99,174 | |
5% 5/1/32 | 135,000 | 141,100 | |
5% 5/1/33 | 115,000 | 120,092 | |
5% 5/1/34 | 105,000 | 109,475 | |
5% 5/1/35 | 120,000 | 123,951 | |
5% 5/1/42 | 2,420,000 | 2,390,903 | |
5.25% 5/1/42 (f) | 1,420,000 | 1,393,234 | |
| Allentown School District Series 2019 C: | |||
| 4% 2/1/35 | 245,000 | 251,699 | |
| 4% 2/1/36 | 230,000 | 234,352 | |
| Armstrong School District Series 2019 A: | |||
| 4% 3/15/35 | 105,000 | 107,668 | |
| 4% 3/15/36 | 225,000 | 229,459 | |
| 4% 3/15/37 | 105,000 | 106,382 | |
| 4% 3/15/38 | 105,000 | 105,392 | |
| 4% 3/15/41 | 530,000 | 524,327 | |
| Beaver County Econ. Dev. Auth. Series 2020: | |||
| 4% 11/15/35 | 485,000 | 497,295 | |
| 4% 11/15/36 | 180,000 | 183,460 | |
| Berks County Indl. Dev. Auth. Health Sys. Rev.: | |||
| (Tower Health Proj.) Series 2017: | |||
5% 11/1/28 | 240,000 | 136,978 | |
5% 11/1/37 | 200,000 | 114,206 | |
5% 11/1/47 | 310,000 | 177,081 | |
| (Tower Heatlh Proj.) Series 2017: | |||
5% 11/1/29 | 840,000 | 479,441 | |
5% 11/1/30 | 430,000 | 245,442 | |
| Berks County Muni. Auth. Rev.: | |||
| (The Reading Hosp. and Med. Ctr. Proj.) Series 2012, 5% 11/1/44 | 1,635,000 | 933,889 | |
| Bonds (Tower Health Proj.): | |||
Series 2020 B2, 5%, tender 2/1/27 (b) | 2,110,000 | 1,202,743 | |
Series 2020 B3, 5%, tender 2/1/30 (b) | 895,000 | 510,849 | |
| Bucks County Indl. Dev. Auth. Hosp. Rev.: | |||
| (Grand View Hosp. Proj.) Series 2021, 4% 7/1/51 | 250,000 | 177,966 | |
| (St. Luke's Univ. Health Network Proj.) Series 2019: | |||
4% 8/15/44 | 190,000 | 173,330 | |
4% 8/15/50 | 955,000 | 849,381 | |
| Series 2021: | |||
5% 7/1/32 | 355,000 | 340,618 | |
5% 7/1/34 | 40,000 | 38,067 | |
5% 7/1/36 | 40,000 | 37,679 | |
5% 7/1/37 | 80,000 | 74,778 | |
5% 7/1/38 | 1,035,000 | 961,392 | |
5% 7/1/39 | 165,000 | 152,346 | |
| Bucks County Wtr. & Swr. Auth. Sys. Rev. Series 2022 A: | |||
| 4.25% 12/1/47 (Assured Guaranty Muni. Corp. Insured) | 1,000,000 | 991,683 | |
| 5.25% 12/1/47 (Assured Guaranty Muni. Corp. Insured) | 465,000 | 514,879 | |
| Butler County Hosp. Auth. Hosp. Rev. (Butler Health Sys. Proj.) Series 2015 A: | |||
| 5% 7/1/35 | 2,935,000 | 2,870,590 | |
| 5% 7/1/39 | 670,000 | 625,958 | |
| Canon McMillan School District Series 2019: | |||
| 4% 6/1/46 | 625,000 | 601,975 | |
| 4% 6/1/48 | 925,000 | 883,723 | |
| Cap. Region Wtr. Wtr. Rev. Series 2018: | |||
| 5% 7/15/26 | 55,000 | 57,950 | |
| 5% 7/15/27 | 120,000 | 128,895 | |
| 5% 7/15/29 | 190,000 | 207,241 | |
| 5% 7/15/32 | 120,000 | 130,154 | |
| 5% 7/15/38 | 55,000 | 57,809 | |
| Chartiers Valley School District Series 2021 A, 3% 10/15/49 | 3,585,000 | 2,670,922 | |
| Chester County Health & Ed. Auth. Rev. (Simpson Sr. Svcs. Proj.) Series 2019, 5% 12/1/51 | 420,000 | 335,993 | |
| Chester County Indl. Dev. Auth. Rev.: | |||
| (Collegium Charter School Proj.) Series 2022, 5.875% 10/15/47 (f) | 1,560,000 | 1,514,670 | |
| (Longwood Gardens, Inc. Proj.) Series 2021: | |||
4% 12/1/46 | 670,000 | 643,794 | |
4% 12/1/51 | 1,000,000 | 945,360 | |
| Series 2017 A: | |||
4.75% 12/15/37 | 235,000 | 228,760 | |
5% 12/15/47 | 110,000 | 106,252 | |
5% 12/15/51 | 135,000 | 128,649 | |
| Chichester School District Series 2022: | |||
| 4% 9/15/30 | 180,000 | 188,685 | |
| 4% 9/15/31 | 105,000 | 109,657 | |
| 4% 9/15/32 | 105,000 | 109,229 | |
| Coatesville Area School District Series 2017, 5% 8/1/23 (Assured Guaranty Muni. Corp. Insured) | 25,000 | 25,057 | |
| Commonwealth Fing. Auth. Rev.: | |||
| Series 2019 B, 5% 6/1/26 | 45,000 | 47,136 | |
| Series 2020 A: | |||
5% 6/1/26 | 1,235,000 | 1,293,631 | |
5% 6/1/28 | 670,000 | 726,502 | |
5% 6/1/29 | 110,000 | 121,277 | |
5% 6/1/32 | 190,000 | 211,252 | |
| Commonwealth Fing. Auth. Tobacco: | |||
| Series 2018 A, 5% 6/1/31 | 1,550,000 | 1,671,424 | |
| Series 2018: | |||
4% 6/1/39 (Assured Guaranty Muni. Corp. Insured) | 1,000,000 | 961,510 | |
5% 6/1/31 | 480,000 | 514,174 | |
5% 6/1/32 | 420,000 | 449,589 | |
5% 6/1/34 | 250,000 | 267,176 | |
| Cumberland County Muni. Auth. Rev.: | |||
| Series 2015: | |||
4% 1/1/33 | 165,000 | 154,590 | |
4% 1/1/33 (Pre-Refunded to 1/1/25 @ 100) | 65,000 | 65,656 | |
4% 1/1/33 (Pre-Refunded to 1/1/25 @ 100) | 225,000 | 227,269 | |
5% 1/1/38 | 1,230,000 | 1,230,318 | |
5% 1/1/38 (Pre-Refunded to 1/1/25 @ 100) | 240,000 | 246,085 | |
5% 1/1/38 (Pre-Refunded to 1/1/25 @ 100) | 1,005,000 | 1,030,479 | |
| Series 2019: | |||
4% 11/1/35 | 240,000 | 240,277 | |
4% 11/1/37 | 480,000 | 465,084 | |
4% 11/1/49 | 910,000 | 814,211 | |
| Series 2021 A: | |||
4.5% 1/1/36 (f) | 555,000 | 471,221 | |
4.5% 1/1/40 (f) | 1,945,000 | 1,584,426 | |
4.5% 1/1/41 (f) | 590,000 | 475,356 | |
| Dallas Area Muni. Auth. Univ. Rev. (Misericordia Univ. Proj.) Series 2019, 5% 5/1/48 | 105,000 | 96,708 | |
| Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A: | |||
| 5% 6/1/28 | 130,000 | 135,269 | |
| 5% 6/1/29 | 215,000 | 223,524 | |
| 5% 6/1/34 | 75,000 | 77,721 | |
| Dauphin County Gen. Auth. Rev. (The Harrisburg Univ. of Science and Technology Proj.): | |||
| Series 2017: | |||
5% 10/15/34 (f) | 300,000 | 281,389 | |
5.125% 10/15/41 (f) | 300,000 | 270,688 | |
| Series 2020: | |||
5.875% 10/15/40 (f) | 300,000 | 296,600 | |
6.25% 10/15/53 (f) | 300,000 | 300,243 | |
| Dauphin County Indl. Dev. Auth. Series 1992 A, 6.9% 6/1/24 (d) | 580,000 | 597,437 | |
| Delaware County Auth. Rev.: | |||
| (Cabrini College) Series 2017, 5% 7/1/47 | 2,075,000 | 1,958,910 | |
| Series 2017: | |||
5% 7/1/26 | 65,000 | 65,211 | |
5% 7/1/28 | 250,000 | 252,686 | |
5% 7/1/29 | 965,000 | 978,419 | |
5% 7/1/30 | 90,000 | 91,317 | |
| Delaware Valley Reg'l. Fin. Auth. Local Govt. Rev. Series 2007 C, 3 month U.S. LIBOR + 0.750% 4.075% 6/1/37 (b)(c) | 1,560,000 | 1,385,179 | |
| Doylestown Hosp. Auth. Hosp. Rev.: | |||
| Series 2016 A, 5% 7/1/46 | 220,000 | 180,591 | |
| Series 2019: | |||
4% 7/1/45 | 120,000 | 84,972 | |
5% 7/1/49 | 1,965,000 | 1,569,949 | |
| Dubois Hosp. Auth. Hosp. Rev. (Penn Highlands Healthcare Proj.) Series 2018: | |||
| 4% 7/15/33 | 305,000 | 305,623 | |
| 4% 7/15/35 | 315,000 | 314,025 | |
| 4% 7/15/37 | 605,000 | 585,804 | |
| 5% 7/15/25 | 50,000 | 51,051 | |
| 5% 7/15/26 | 150,000 | 155,112 | |
| 5% 7/15/27 | 260,000 | 271,583 | |
| 5% 7/15/28 | 190,000 | 200,197 | |
| 5% 7/15/29 | 200,000 | 210,589 | |
| 5% 7/15/30 | 270,000 | 283,932 | |
| 5% 7/15/31 | 185,000 | 194,323 | |
| 5% 7/15/32 | 190,000 | 199,450 | |
| 5% 7/15/34 | 210,000 | 220,072 | |
| 5% 7/15/36 | 610,000 | 632,415 | |
| 5% 7/15/38 | 730,000 | 746,587 | |
| 5% 7/15/43 | 850,000 | 868,208 | |
| East Hempfield Township Indl. Dev. Auth. Rev.: | |||
| Series 2014: | |||
5% 7/1/34 (Pre-Refunded to 7/1/24 @ 100) | 140,000 | 142,254 | |
5% 7/1/39 (Pre-Refunded to 7/1/24 @ 100) | 240,000 | 243,865 | |
5% 7/1/46 (Pre-Refunded to 7/1/24 @ 100) | 270,000 | 274,348 | |
| Series 2015: | |||
5% 7/1/30 (Pre-Refunded to 7/1/25 @ 100) | 190,000 | 196,591 | |
5% 7/1/35 (Pre-Refunded to 7/1/25 @ 100) | 250,000 | 258,672 | |
5% 7/1/47 (Pre-Refunded to 7/1/25 @ 100) | 1,705,000 | 1,764,142 | |
| Erie Higher Ed. Bldg. Auth. Series 2016: | |||
| 5% 9/15/37 (f) | 160,000 | 148,844 | |
| 5% 9/15/37 (Pre-Refunded to 9/15/26 @ 100) (f) | 35,000 | 36,787 | |
| Erie Wtr. Auth. Rev. Series 2016, 5% 12/1/43 (Pre-Refunded to 12/1/26 @ 100) | 480,000 | 512,182 | |
| Franklin County Indl. Dev. Auth. (Menno-Haven, Inc. Proj.) Series 2018: | |||
| 5% 12/1/38 | 295,000 | 255,562 | |
| 5% 12/1/43 | 170,000 | 138,690 | |
| 5% 12/1/48 | 185,000 | 144,375 | |
| 5% 12/1/53 | 195,000 | 148,088 | |
| Geisinger Auth. Health Sys. Rev. Series 2020 A, 4% 4/1/39 | 705,000 | 678,029 | |
| Huntingdon County Gen. Auth. Rev. (Aicup Fing. Prog. - Juniata College Proj.) Series 2016 OO2, 5% 5/1/46 | 250,000 | 248,827 | |
| Lancaster County Hosp. Auth. Health Ctr. Rev.: | |||
| Series 2015: | |||
5.25% 7/1/35 | 35,000 | 33,401 | |
5.5% 7/1/45 | 140,000 | 128,921 | |
| Series 2016 B, 5% 8/15/46 | 1,000,000 | 1,018,144 | |
| Series 2021: | |||
5% 11/1/46 | 3,615,000 | 3,738,113 | |
5% 11/1/51 | 185,000 | 189,452 | |
| Lehigh County Auth. Wtr. and Swr. Rev.: | |||
| Series 2013 A, 5% 12/1/43 (Pre-Refunded to 12/1/23 @ 100) | 1,100,000 | 1,108,875 | |
| Series 2013 B, 0% 12/1/36 | 2,580,000 | 1,425,709 | |
| Lehigh County Gen. Purp. Auth. Rev. (Muhlenberg College Proj.) Series 2017, 5% 2/1/39 | 315,000 | 324,470 | |
| Lehigh County Gen. Purp. Hosp. Rev. Series 2019 A: | |||
| 4% 7/1/37 | 110,000 | 107,001 | |
| 4% 7/1/38 | 120,000 | 116,042 | |
| 4% 7/1/39 | 140,000 | 134,588 | |
| 4% 7/1/49 | 4,195,000 | 3,762,102 | |
| 5% 7/1/23 | 60,000 | 60,051 | |
| 5% 7/1/24 | 110,000 | 111,467 | |
| 5% 7/1/26 | 120,000 | 124,984 | |
| 5% 7/1/27 | 130,000 | 137,484 | |
| 5% 7/1/28 | 135,000 | 145,150 | |
| 5% 7/1/44 | 140,000 | 142,378 | |
| Luzerne County Series 2017 A: | |||
| 5% 12/15/23 (Assured Guaranty Muni. Corp. Insured) | 140,000 | 141,017 | |
| 5% 12/15/24 (Assured Guaranty Muni. Corp. Insured) | 145,000 | 148,300 | |
| 5% 12/15/26 (Assured Guaranty Muni. Corp. Insured) | 130,000 | 137,082 | |
| Maxatawny Township Muni. Auth. Rev. Series 2022 A: | |||
| 4.5% 1/1/45 | 545,000 | 469,817 | |
| 5% 1/1/39 | 60,000 | 58,043 | |
| 5% 1/1/40 | 205,000 | 196,082 | |
| 5% 1/1/41 | 150,000 | 142,420 | |
| 5% 1/1/42 | 155,000 | 146,216 | |
| Monroe County Hosp. Auth. Rev. Series 2016: | |||
| 5% 7/1/26 | 120,000 | 124,735 | |
| 5% 7/1/27 | 120,000 | 125,018 | |
| 5% 7/1/28 | 120,000 | 125,009 | |
| 5% 7/1/34 | 450,000 | 461,851 | |
| 5% 7/1/36 | 655,000 | 667,083 | |
| Monroeville Fin. Auth. UPMC Rev. Series 2012, 5% 2/15/26 | 95,000 | 98,302 | |
| Montgomery County Indl. Dev. Auth. Bonds Series 2023 A, 4.1%, tender 4/3/28 (b) | 1,475,000 | 1,494,970 | |
| Montgomery County Higher Ed. & Health Auth. Rev.: | |||
| (Philadelphia Presbytery Homes, Inc. Proj.) Series 2017, 4% 12/1/48 | 400,000 | 293,700 | |
| Series 2014 A: | |||
5% 10/1/23 | 180,000 | 179,925 | |
5% 10/1/24 | 140,000 | 140,085 | |
5% 10/1/25 | 125,000 | 124,983 | |
5% 10/1/27 | 60,000 | 60,111 | |
| Series 2016 A: | |||
5% 10/1/28 | 185,000 | 186,006 | |
5% 10/1/29 | 325,000 | 327,296 | |
5% 10/1/30 | 245,000 | 246,772 | |
5% 10/1/31 | 555,000 | 558,979 | |
5% 10/1/32 | 10,000 | 10,067 | |
5% 10/1/36 | 1,255,000 | 1,233,029 | |
5% 10/1/40 | 795,000 | 738,776 | |
| Series 2018 A: | |||
4% 9/1/49 | 490,000 | 433,847 | |
5% 9/1/32 | 560,000 | 595,062 | |
5% 9/1/33 | 425,000 | 451,191 | |
5% 9/1/34 | 810,000 | 858,508 | |
5% 9/1/37 | 740,000 | 772,173 | |
5% 9/1/43 | 710,000 | 731,387 | |
| Series 2019: | |||
4% 9/1/36 | 50,000 | 48,629 | |
4% 9/1/37 | 50,000 | 48,204 | |
4% 9/1/38 | 110,000 | 105,271 | |
4% 9/1/39 | 70,000 | 66,722 | |
4% 9/1/44 | 725,000 | 664,981 | |
4% 9/1/49 | 1,000,000 | 935,135 | |
4% 9/1/49 | 400,000 | 354,161 | |
4% 9/1/51 | 805,000 | 705,667 | |
5% 9/1/23 | 30,000 | 30,081 | |
5% 9/1/24 | 45,000 | 45,699 | |
5% 9/1/31 | 145,000 | 156,333 | |
| Series 2020: | |||
5% 4/1/24 | 25,000 | 25,105 | |
5% 4/1/25 | 20,000 | 20,201 | |
5% 4/1/26 | 20,000 | 20,343 | |
5% 4/1/27 | 40,000 | 41,061 | |
| Series 2022, 3.125% 5/1/53 (Assured Guaranty Muni. Corp. Insured) | 650,000 | 477,733 | |
| Montgomery County Indl. Dev. Auth. Series 2015 A: | |||
| 5.25% 1/15/36 (Pre-Refunded to 1/15/25 @ 100) | 70,000 | 72,034 | |
| 5.25% 1/15/45 (Pre-Refunded to 1/15/25 @ 100) | 3,510,000 | 3,612,004 | |
| Montgomery County Indl. Dev. Auth. Rev.: | |||
| Series 2015: | |||
5% 1/1/30 | 210,000 | 202,351 | |
5.25% 1/1/40 | 490,000 | 440,767 | |
5.375% 1/1/50 | 2,930,000 | 2,486,024 | |
| Series 2016, 5% 11/15/36 | 250,000 | 248,302 | |
| Series 2020 C, 5% 11/15/45 | 650,000 | 609,959 | |
| Moon Indl. Dev. Auth. Rev. Series 2015, 6.125% 7/1/50 | 580,000 | 470,535 | |
| Northampton County Gen. Purp. Auth. Hosp. Rev.: | |||
| (St. Luke's Univ. Health Network Proj.): | |||
Series 2016 A, 5% 8/15/36 | 90,000 | 92,710 | |
Series 2018 A, 4% 8/15/48 | 1,950,000 | 1,737,357 | |
| Series 2016 A, 5% 8/15/46 | 3,650,000 | 3,654,603 | |
| Northeastern Pennsylvania Hosp. and Ed. Auth. (King's College Proj.) Series 2019: | |||
| 5% 5/1/32 | 95,000 | 97,579 | |
| 5% 5/1/33 | 125,000 | 128,380 | |
| 5% 5/1/44 | 275,000 | 269,912 | |
| 5% 5/1/49 | 170,000 | 164,720 | |
| Pennsylvania Ctfs. Prtn. Series 2018 A: | |||
| 5% 7/1/35 | 40,000 | 43,333 | |
| 5% 7/1/37 | 45,000 | 47,306 | |
| 5% 7/1/38 | 40,000 | 42,365 | |
| 5% 7/1/43 | 110,000 | 114,771 | |
| Pennsylvania Econ. Dev.: | |||
| Series 2013 B2: | |||
0% 1/1/35 | 320,000 | 192,354 | |
0% 1/1/36 | 340,000 | 192,814 | |
0% 1/1/37 | 325,000 | 173,323 | |
0% 1/1/38 | 335,000 | 166,825 | |
0% 1/1/39 | 370,000 | 173,609 | |
0% 1/1/40 | 355,000 | 156,427 | |
0% 1/1/41 | 340,000 | 140,788 | |
0% 1/1/42 | 325,000 | 126,819 | |
0% 1/1/43 | 310,000 | 114,536 | |
0% 1/1/46 | 745,000 | 241,883 | |
0% 1/1/47 | 775,000 | 238,081 | |
| Series 2013, 0% 1/1/49 | 1,555,000 | 272,129 | |
| Pennsylvania Econ. Dev. Fing. Auth.: | |||
| (The Penndot Major Bridges Package One Proj.) Series 2022: | |||
5% 12/31/57 (Assured Guaranty Muni. Corp. Insured) (d) | 4,670,000 | 4,767,311 | |
5.25% 6/30/53 (d) | 11,600,000 | 11,871,345 | |
5.75% 6/30/48 (d) | 11,215,000 | 12,204,780 | |
5.75% 12/31/62 (Assured Guaranty Muni. Corp. Insured) (d) | 5,000,000 | 5,498,226 | |
6% 6/30/61 (d) | 4,325,000 | 4,779,126 | |
| Series 2017 A, 4% 11/15/36 | 750,000 | 748,598 | |
| Series 2020 A: | |||
5% 4/15/24 | 35,000 | 35,404 | |
5% 4/15/25 | 50,000 | 51,360 | |
5% 4/15/26 | 160,000 | 165,998 | |
| Series 2020: | |||
4% 1/1/26 | 235,000 | 233,598 | |
4% 1/1/27 | 160,000 | 158,532 | |
4% 1/1/28 | 165,000 | 163,201 | |
| Series 2023 A2, 4% 5/15/53 | 1,960,000 | 1,784,956 | |
| Pennsylvania Econ. Dev. Fing. Auth. Indl. Dev. Rev. (The Pennsylvania Rapid Bridge Replacement Proj.) Series 2015: | |||
| 4.125% 12/31/38 (d) | 355,000 | 324,916 | |
| 5% 12/31/38 (d) | 3,965,000 | 3,986,248 | |
| Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev.: | |||
| (Covanta Proj.) Series 2019 A, 3.25% 8/1/39 (d)(f) | 580,000 | 423,201 | |
| Bonds: | |||
(Consol Energy, Inc. Proj.) Series 2021 A, 9%, tender 4/13/28 (b)(d)(f) | 1,620,000 | 1,812,151 | |
(Waste Mgmt., Inc. Proj.) Series 2013, 3.875%, tender 8/1/23 (b)(d) | 5,600,000 | 5,597,073 | |
(Waste Mgmt., Inc. Proj.) Series 2017 A, 0.58%, tender 8/1/24 (b)(d) | 430,000 | 413,199 | |
Series 2011, 2.15%, tender 7/1/24 (b)(d) | 3,955,000 | 3,876,272 | |
| Pennsylvania Gen. Oblig.: | |||
| Series 2013 1: | |||
4% 4/1/31 | 1,375,000 | 1,375,810 | |
4% 4/1/32 | 2,500,000 | 2,501,670 | |
| Series 2013, 4% 10/15/28 | 1,250,000 | 1,250,039 | |
| Pennsylvania Higher Ed. Assistance Agcy. Rev.: | |||
| Series 2021 A: | |||
2.625% 6/1/42 (d) | 285,000 | 239,032 | |
5% 6/1/30 (d) | 50,000 | 53,365 | |
| Series 2022 A, 4.5% 6/1/43 (d) | 220,000 | 219,246 | |
| Series 2023 A, 4% 6/1/44 (d)(h) | 2,510,000 | 2,401,532 | |
| Pennsylvania Higher Edl. Facilities Auth. Rev.: | |||
| (Drexel Univ. Proj.): | |||
Series 2016, 5% 5/1/35 | 515,000 | 533,806 | |
Series 2017: | |||
5% 5/1/35 | 150,000 | 157,395 | |
5% 5/1/37 | 190,000 | 197,116 | |
5% 5/1/41 | 860,000 | 882,943 | |
| Series 2007 A, 3 month U.S. LIBOR + 0.650% 4.118% 7/1/39 (XL Cap. Assurance, Inc. Insured) (b)(c) | 1,180,000 | 1,049,503 | |
| Series 2012, 5% 11/1/42 | 90,000 | 87,390 | |
| Series 2014, 5% 7/15/38 | 335,000 | 336,431 | |
| Series 2015 A, 5% 9/1/39 | 440,000 | 446,464 | |
| Series 2016: | |||
5% 5/1/28 | 60,000 | 62,538 | |
5% 5/1/29 | 55,000 | 57,391 | |
5% 5/1/31 | 55,000 | 57,269 | |
5% 5/1/32 | 150,000 | 156,043 | |
5% 5/1/33 | 210,000 | 218,331 | |
5% 5/1/34 | 105,000 | 109,129 | |
| Series 2018 A, 5% 2/15/48 | 1,625,000 | 1,708,824 | |
| Series 2019 A: | |||
5% 3/1/38 | 210,000 | 220,024 | |
5% 3/1/39 | 50,000 | 52,082 | |
| Series 2019: | |||
4% 8/15/49 | 2,250,000 | 2,081,150 | |
5% 8/15/49 | 550,000 | 565,013 | |
| Series 2020: | |||
5% 6/15/23 | 4,585,000 | 4,587,302 | |
5% 6/15/25 (Assured Guaranty Muni. Corp. Insured) | 2,500,000 | 2,583,649 | |
| Series 2021 A, 4% 8/15/43 | 960,000 | 917,545 | |
| Pennsylvania Hsg. Fin. Agcy.: | |||
| Series 2020 13 2A, 3.5% 4/1/51 | 260,000 | 255,102 | |
| Series 2021 134 A, 3% 10/1/49 | 2,615,000 | 2,526,210 | |
| Series 2021 134B, 5% 4/1/27 (d) | 945,000 | 986,715 | |
| Series 2021 135A, 3% 10/1/51 | 1,865,000 | 1,801,871 | |
| Series 2021 135B: | |||
5% 4/1/28 (d) | 500,000 | 528,513 | |
5% 4/1/29 (d) | 510,000 | 545,168 | |
5% 10/1/29 (d) | 510,000 | 548,403 | |
5% 4/1/30 (d) | 515,000 | 555,205 | |
5% 10/1/30 (d) | 295,000 | 319,601 | |
| Series 2021 137, 3% 10/1/51 | 2,940,000 | 2,777,051 | |
| Series 2023 141A, 5.75% 10/1/53 | 13,450,000 | 14,266,034 | |
| Pennsylvania Pub. School Bldg. Auth. School Rev. (The School District of The City of Harrisburg Proj.) Series 2016 A: | |||
| 5% 12/1/29 | 270,000 | 284,610 | |
| 5% 12/1/29 (Pre-Refunded to 12/1/26 @ 100) | 45,000 | 47,940 | |
| Pennsylvania State Univ.: | |||
| Series 2019 A, 5% 9/1/48 | 1,640,000 | 1,747,422 | |
| Series 2020 A, 4% 9/1/50 | 95,000 | 90,063 | |
| Pennsylvania Tpk. Commission Oil Franchise Tax Rev. Series 2021 A, 4% 12/1/51 | 2,245,000 | 2,147,121 | |
| Pennsylvania Tpk. Commission Tpk. Rev.: | |||
| Series 2015 A1, 5% 12/1/40 | 2,000,000 | 2,044,414 | |
| Series 2016, 5% 6/1/36 | 130,000 | 134,148 | |
| Series 2017 A1: | |||
5% 12/1/42 | 600,000 | 625,740 | |
5% 12/1/47 | 960,000 | 990,446 | |
| Series 2018 A2: | |||
5% 12/1/43 | 245,000 | 257,844 | |
5% 12/1/48 | 2,590,000 | 2,684,236 | |
| Series 2019 A: | |||
5% 12/1/34 | 1,095,000 | 1,192,821 | |
5% 12/1/44 | 1,070,000 | 1,122,879 | |
| Series 2020 B, 5% 12/1/45 | 4,015,000 | 4,243,982 | |
| Series 2021 A: | |||
4% 12/1/39 | 1,205,000 | 1,205,771 | |
4% 12/1/43 | 190,000 | 184,728 | |
4% 12/1/46 | 320,000 | 305,605 | |
4% 12/1/50 | 1,320,000 | 1,225,773 | |
| Series 2021 B: | |||
4% 12/1/46 | 950,000 | 907,265 | |
4% 12/1/51 | 400,000 | 368,331 | |
5% 12/1/46 | 6,355,000 | 6,739,669 | |
| Series 2021 C: | |||
4% 12/1/51 | 725,000 | 687,695 | |
5% 12/1/27 | 530,000 | 574,698 | |
5% 12/1/28 | 510,000 | 564,129 | |
| Series 2022 B, 5.25% 12/1/52 | 1,575,000 | 1,705,213 | |
| Philadelphia Arpt. Rev.: | |||
| Series 2017 A: | |||
5% 7/1/25 | 120,000 | 123,747 | |
5% 7/1/26 | 120,000 | 125,985 | |
5% 7/1/27 | 100,000 | 106,935 | |
5% 7/1/28 | 30,000 | 32,077 | |
5% 7/1/29 | 30,000 | 31,918 | |
5% 7/1/30 | 30,000 | 31,882 | |
5% 7/1/31 | 35,000 | 37,200 | |
5% 7/1/32 | 30,000 | 31,868 | |
5% 7/1/33 | 35,000 | 37,091 | |
5% 7/1/42 | 135,000 | 139,624 | |
| Series 2017 B: | |||
5% 7/1/23 (d) | 185,000 | 185,109 | |
5% 7/1/26 (d) | 365,000 | 377,356 | |
5% 7/1/27 (d) | 305,000 | 319,011 | |
5% 7/1/28 (d) | 365,000 | 380,189 | |
5% 7/1/29 (d) | 270,000 | 281,913 | |
5% 7/1/32 (d) | 365,000 | 381,065 | |
5% 7/1/33 (d) | 1,170,000 | 1,220,840 | |
5% 7/1/34 (d) | 535,000 | 557,798 | |
5% 7/1/37 (d) | 545,000 | 560,987 | |
5% 7/1/42 (d) | 1,640,000 | 1,671,455 | |
5% 7/1/42 (d) | 2,385,000 | 2,440,565 | |
5% 7/1/47 (d) | 4,355,000 | 4,416,006 | |
| Series 2021: | |||
4% 7/1/46 (d) | 500,000 | 464,700 | |
5% 7/1/26 (d) | 9,065,000 | 9,371,877 | |
5% 7/1/27 (d) | 12,490,000 | 13,087,848 | |
5% 7/1/28 (d) | 1,325,000 | 1,402,408 | |
5% 7/1/34 (d) | 2,650,000 | 2,880,849 | |
5% 7/1/35 (d) | 1,425,000 | 1,538,132 | |
5% 7/1/51 (d) | 2,400,000 | 2,475,160 | |
| Philadelphia Auth. for Indl. Dev.: | |||
| (First Philadelphia Preparatory Charter School Proj.) Series 2014 A, 7.25% 6/15/43 | 300,000 | 308,407 | |
| (Saint Joseph's Univ. Proj.) Series 2022: | |||
5.25% 11/1/52 | 1,750,000 | 1,853,053 | |
5.5% 11/1/60 | 1,915,000 | 2,053,144 | |
| Series 2015 1, 5% 4/1/33 | 35,000 | 35,660 | |
| Series 2016 2, 5% 4/1/34 | 2,265,000 | 2,305,310 | |
| Series 2016 A, 5.375% 8/1/51 | 325,000 | 329,049 | |
| Series 2016 B: | |||
5.625% 8/1/36 | 65,000 | 66,437 | |
5.75% 8/1/46 | 215,000 | 217,829 | |
6% 8/1/51 | 225,000 | 228,924 | |
| Series 2017 A: | |||
5% 9/1/35 | 220,000 | 228,987 | |
5% 9/1/42 | 2,305,000 | 2,359,385 | |
| Series 2017 I: | |||
5% 12/1/37 | 435,000 | 445,264 | |
5% 12/1/58 | 1,770,000 | 1,713,249 | |
5.5% 12/1/58 (f) | 105,000 | 94,227 | |
| Series 2017: | |||
5% 3/15/45 (f) | 225,000 | 188,467 | |
5% 3/15/45 (Pre-Refunded to 3/15/28 @ 100) (f) | 25,000 | 27,228 | |
5% 11/1/47 | 1,645,000 | 1,647,918 | |
| Series 2022 A: | |||
5.25% 6/15/52 | 100,000 | 90,888 | |
5.375% 6/15/57 | 145,000 | 130,946 | |
| Philadelphia Auth. for Indl. Dev. Sr. Living Facilities Rev. Series 2017 A: | |||
| 5% 7/1/37 | 560,000 | 483,845 | |
| 5% 7/1/42 | 710,000 | 584,903 | |
| 5% 7/1/49 | 860,000 | 678,623 | |
| Philadelphia Auth. Indl. Dev. Lease Rev. Series 2019, 5% 10/1/30 | 1,625,000 | 1,831,634 | |
| Philadelphia Gas Works Rev.: | |||
| Series 16 A, 4% 8/1/45 (Assured Guaranty Muni. Corp. Insured) | 130,000 | 125,880 | |
| Series 2015: | |||
5% 8/1/26 | 55,000 | 56,496 | |
5% 8/1/27 | 55,000 | 56,554 | |
5% 8/1/28 | 110,000 | 113,154 | |
| Series 2016, 5% 10/1/33 | 620,000 | 652,441 | |
| Philadelphia Gen. Oblig.: | |||
| Series 2019 A, 5% 8/1/26 | 75,000 | 79,111 | |
| Series 2019 B: | |||
5% 2/1/32 | 1,120,000 | 1,238,006 | |
5% 2/1/33 | 90,000 | 99,360 | |
5% 2/1/34 | 145,000 | 158,940 | |
5% 2/1/35 | 995,000 | 1,090,093 | |
5% 2/1/36 | 720,000 | 782,693 | |
5% 2/1/37 | 685,000 | 740,181 | |
5% 2/1/38 | 540,000 | 578,065 | |
| Series 2021 A, 5% 5/1/32 | 750,000 | 857,129 | |
| Philadelphia Hospitals & Higher Ed. Facilities Auth. Health Systems Rev. Series 2022: | |||
| 5% 7/1/35 (Assured Guaranty Muni. Corp. Insured) | 370,000 | 404,201 | |
| 5% 7/1/36 (Assured Guaranty Muni. Corp. Insured) | 530,000 | 573,263 | |
| Philadelphia Hospitals & Higher Ed. Facilities Auth. Hosp. Rev. Series 2017: | |||
| 5% 7/1/28 | 705,000 | 726,818 | |
| 5% 7/1/30 | 140,000 | 144,200 | |
| Philadelphia Redev. Auth. Rev. Series 2012, 5% 4/15/24 | 405,000 | 405,382 | |
| Philadelphia School District: | |||
| Series 2015 A: | |||
5% 9/1/30 | 650,000 | 669,503 | |
5% 9/1/34 | 195,000 | 199,706 | |
5% 9/1/35 | 290,000 | 296,622 | |
| Series 2016 D: | |||
5% 9/1/25 | 1,070,000 | 1,104,209 | |
5% 9/1/26 | 1,115,000 | 1,170,575 | |
5% 9/1/27 | 1,180,000 | 1,238,444 | |
5% 9/1/28 | 985,000 | 1,033,167 | |
| Series 2016 F: | |||
5% 9/1/28 | 1,700,000 | 1,779,398 | |
5% 9/1/29 | 1,300,000 | 1,359,088 | |
5% 9/1/37 | 215,000 | 219,469 | |
| Series 2016, 5% 9/1/38 | 50,000 | 50,963 | |
| Series 2018 A: | |||
5% 9/1/26 | 90,000 | 94,486 | |
5% 9/1/34 | 80,000 | 85,895 | |
5% 9/1/35 | 55,000 | 59,090 | |
5% 9/1/36 | 310,000 | 331,138 | |
5% 9/1/37 | 215,000 | 228,523 | |
5% 9/1/38 | 290,000 | 306,409 | |
| Series 2018 B, 5% 9/1/43 | 635,000 | 666,274 | |
| Series 2019 A: | |||
4% 9/1/35 | 1,135,000 | 1,145,862 | |
4% 9/1/36 | 110,000 | 109,686 | |
4% 9/1/37 | 260,000 | 256,308 | |
4% 9/1/38 | 375,000 | 365,542 | |
4% 9/1/39 | 210,000 | 200,657 | |
5% 9/1/23 | 40,000 | 40,112 | |
5% 9/1/26 | 130,000 | 136,480 | |
5% 9/1/30 | 1,050,000 | 1,146,826 | |
5% 9/1/31 | 830,000 | 899,219 | |
5% 9/1/32 | 65,000 | 70,822 | |
5% 9/1/33 | 115,000 | 126,659 | |
5% 9/1/33 | 385,000 | 422,888 | |
5% 9/1/34 | 480,000 | 520,020 | |
5% 9/1/44 | 1,925,000 | 2,028,722 | |
| Series 2019 B: | |||
5% 9/1/25 | 85,000 | 87,718 | |
5% 9/1/26 | 70,000 | 73,489 | |
| Series F, 5% 9/1/30 | 825,000 | 859,665 | |
| Philadelphia Wtr. & Wastewtr. Rev.: | |||
| Series 2015 A, 5% 7/1/45 (Pre-Refunded to 7/1/24 @ 100) | 1,445,000 | 1,470,580 | |
| Series 2018 A: | |||
5% 10/1/34 | 2,535,000 | 2,761,798 | |
5% 10/1/43 | 1,205,000 | 1,266,977 | |
| Series 2020 A, 5% 11/1/45 | 1,000,000 | 1,053,187 | |
| Series 2022 C, 5.5% 6/1/52 | 2,500,000 | 2,752,045 | |
| Pittsburgh & Allegheny County Parking Sys. Series 2017: | |||
| 5% 12/15/35 | 65,000 | 69,381 | |
| 5% 12/15/37 | 30,000 | 31,821 | |
| Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev.: | |||
| Series 2013 B, 5.25% 9/1/40 | 750,000 | 751,639 | |
| Series 2019 A: | |||
5% 9/1/38 (Assured Guaranty Muni. Corp. Insured) | 480,000 | 515,902 | |
5% 9/1/44 (Assured Guaranty Muni. Corp. Insured) | 30,000 | 31,735 | |
| Series 2019 B, 5% 9/1/32 (Assured Guaranty Muni. Corp. Insured) | 110,000 | 127,879 | |
| Pocono Mountains Indl. Park Auth. (St. Luke's Hosp. - Monroe Proj.) Series 2015 A, 5% 8/15/40 | 100,000 | 100,781 | |
| Scranton Redev. Auth. Series 2016 A, 5% 11/15/28 | 220,000 | 216,190 | |
| South Western School District York Series 2022, 4.25% 11/15/49 | 3,000,000 | 2,995,482 | |
| Southcentral Pennsylvania Gen. Auth. Rev.: | |||
| (York Academy Reg'l. Charter School Proj.) Series 2018 A, 6.5% 7/15/48 (f) | 300,000 | 309,162 | |
| Series 2019 A: | |||
4% 6/1/44 | 435,000 | 413,885 | |
4% 6/1/49 | 2,170,000 | 2,017,390 | |
5% 6/1/44 | 755,000 | 786,927 | |
5% 6/1/49 | 1,205,000 | 1,247,907 | |
| State Pub. School Bldg. Auth. (Northampton County Area Cmnty. College Proj.) Series 2022: | |||
| 4% 6/15/31 | 190,000 | 199,670 | |
| 4% 6/15/32 | 125,000 | 130,684 | |
| 4% 6/15/33 | 135,000 | 140,413 | |
| 4% 6/15/34 | 135,000 | 140,443 | |
| State Pub. School Bldg. Auth. College Rev. (Cmnty. College of Philadelphia Proj.) Series 2015, 5% 6/15/28 | 1,000,000 | 1,022,950 | |
| State Pub. School Bldg. Auth. Lease Rev. (The School District of Philadelphia Proj.): | |||
| Series 2015 A, 5% 6/1/26 | 195,000 | 199,976 | |
| Series 2016 A: | |||
5% 6/1/30 | 425,000 | 446,993 | |
5% 6/1/31 | 5,370,000 | 5,638,853 | |
5% 6/1/32 (Assured Guaranty Muni. Corp. Insured) | 3,200,000 | 3,353,760 | |
5% 6/1/33 | 7,280,000 | 7,617,600 | |
| Trinity Area School District Series 2021: | |||
| 4% 11/1/41 | 125,000 | 124,605 | |
| 4% 11/1/43 | 130,000 | 129,116 | |
| 4% 11/1/46 | 225,000 | 220,859 | |
| 4% 11/1/51 | 320,000 | 308,684 | |
| Union County Hosp. Auth. Rev. Series 2018 B: | |||
| 5% 8/1/33 | 55,000 | 56,967 | |
| 5% 8/1/38 | 180,000 | 183,757 | |
| 5% 8/1/43 | 680,000 | 683,619 | |
| 5% 8/1/48 | 1,410,000 | 1,405,744 | |
| Univ. of Pittsburgh Commonwealth Sys. of Higher Ed. Series 2019, 3.77% 2/15/24 (b) | 1,205,000 | 1,205,016 | |
| Upper Darby School District Series 2021 A, 4% 4/1/46 | 125,000 | 121,375 | |
| Washington Redev. Auth. (Victory Centre Tax Increment Fing. Proj.) Series 2018: | |||
| 4% 7/1/23 | 5,000 | 4,998 | |
| 5% 7/1/35 | 15,000 | 14,628 | |
| West Shore Area Auth. Rev. (Messiah Village Proj.) Series 2015 A: | |||
| 5% 7/1/30 | 95,000 | 93,717 | |
| 5% 7/1/35 | 90,000 | 86,754 | |
TOTAL PENNSYLVANIA | 407,272,339 | ||
| Pennsylvania, New Jersey - 0.0% | |||
| Delaware River Port Auth. Pennsylvania & New Jersey Rev. Series 2013, 5% 1/1/37 | 2,000,000 | 2,014,471 | |
| Puerto Rico - 2.2% | |||
| Children's Trust Fund Tobacco Settlement: | |||
| Series 2002, 5.625% 5/15/43 | 900,000 | 905,100 | |
| Series 2005 A, 0% 5/15/50 | 2,000,000 | 356,698 | |
| Series 2008 B, 0% 5/15/57 | 2,000,000 | 110,451 | |
| GDB Debt Recovery Auth. Series 2018, 7.5% 8/20/40 | 2,880,160 | 2,376,132 | |
| Puerto Rico Commonwealth Aqueduct & Swr. Auth.: | |||
| Series 2008 A, 6.125% 7/1/24 | 165,000 | 166,914 | |
| Series 2020 A: | |||
5% 7/1/25 (f) | 3,185,000 | 3,226,908 | |
5% 7/1/30 (f) | 2,810,000 | 2,851,712 | |
5% 7/1/35 (f) | 5,730,000 | 5,729,760 | |
5% 7/1/47 (f) | 19,575,000 | 18,780,517 | |
| Series 2021 A: | |||
4% 7/1/42 (f) | 1,705,000 | 1,450,010 | |
5% 7/1/33 (f) | 760,000 | 764,990 | |
| Series 2021 B: | |||
4% 7/1/42 (f) | 1,785,000 | 1,518,046 | |
4% 7/1/47 (f) | 1,000,000 | 824,281 | |
5% 7/1/25 (f) | 485,000 | 491,382 | |
5% 7/1/29 (f) | 1,560,000 | 1,586,093 | |
5% 7/1/33 (f) | 2,130,000 | 2,143,985 | |
5% 7/1/37 (f) | 5,085,000 | 5,034,141 | |
| Series 2021 C, 3.5% 7/1/26 (f) | 250,000 | 238,447 | |
| Series 2022 A: | |||
4% 7/1/42 (f) | 9,285,000 | 7,896,390 | |
4% 7/1/47 (f) | 780,000 | 642,939 | |
5% 7/1/25 (f) | 760,000 | 770,000 | |
5% 7/1/28 (f) | 775,000 | 789,928 | |
5% 7/1/29 (f) | 540,000 | 549,032 | |
5% 7/1/33 (f) | 6,425,000 | 6,469,641 | |
5% 7/1/37 (f) | 6,865,000 | 6,796,338 | |
| Puerto Rico Commonwealth Hwys & Tra: | |||
| Series 2022 A, 5% 7/1/62 | 6,057,355 | 5,807,489 | |
| Series 2022 B, 0% 7/1/32 | 4,486,000 | 2,852,154 | |
| Series 2022 C, 0% 7/1/53 | 5,462,736 | 3,318,593 | |
| Puerto Rico Commonwealth Pub. Impt. Gen. Oblig.: | |||
| Series 2021 A1: | |||
0% 7/1/24 | 707,248 | 674,044 | |
0% 7/1/33 | 10,330,725 | 6,054,725 | |
4% 7/1/33 | 10,355,896 | 9,504,743 | |
4% 7/1/35 | 7,384,553 | 6,596,747 | |
4% 7/1/37 | 10,574,057 | 9,174,169 | |
4% 7/1/46 | 4,016,858 | 3,234,354 | |
5.25% 7/1/23 | 1,165,194 | 1,166,377 | |
5.625% 7/1/27 | 5,509,148 | 5,758,500 | |
5.625% 7/1/29 | 6,265,770 | 6,636,865 | |
5.75% 7/1/31 | 5,593,928 | 6,023,760 | |
| Series 2022 A1: | |||
4% 7/1/41 | 3,363,018 | 2,806,585 | |
5.375% 7/1/25 | 6,913,021 | 7,059,156 | |
| Series 2022: | |||
0% 11/1/43 (b) | 10,663,877 | 5,198,640 | |
0% 11/1/51 | 3,960,000 | 1,910,700 | |
| Puerto Rico Elec. Pwr. Auth. Pwr. Rev.: | |||
| Series 2003 NN, 4.75% 7/1/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 155,000 | 150,759 | |
| Series 2004 PP, 5% 7/1/25 (FGIC Insured) | 40,000 | 40,009 | |
| Series 2004: | |||
5% 7/1/23 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 250,000 | 249,950 | |
5% 7/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 530,000 | 530,116 | |
| Series 2005 RR, 5% 7/1/28 (CIFG North America Insured) | 20,000 | 20,134 | |
| Series 2005 SS: | |||
4.375% 7/1/30 | 95,000 | 92,113 | |
5% 7/1/24 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 705,000 | 705,166 | |
| Series 2007 UU: | |||
3 month U.S. LIBOR + 0.520% 3.988% 7/1/29 (Assured Guaranty Muni. Corp. Insured) (b)(c) | 250,000 | 230,456 | |
4.25% 7/1/27 (CIFG North America Insured) | 295,000 | 288,094 | |
5% 7/1/23 (Assured Guaranty Muni. Corp. Insured) | 250,000 | 251,677 | |
| Series 2007 V, 5.25% 7/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 495,000 | 488,436 | |
| Series 2007 VV: | |||
5.25% 7/1/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 55,000 | 54,397 | |
5.25% 7/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 625,000 | 618,754 | |
5.25% 7/1/30 (FGIC Insured) | 655,000 | 648,028 | |
5.25% 7/1/34 (FGIC Insured) | 95,000 | 93,649 | |
| Series 2007: | |||
5% (i) | 10,000 | 7,025 | |
5% (i) | 155,000 | 108,888 | |
5% (i) | 415,000 | 291,538 | |
5% 7/1/23 | 360,000 | 256,500 | |
5% 7/1/24 | 205,000 | 205,130 | |
5% 7/1/24 | 625,000 | 445,313 | |
5% 7/1/24 (Assured Guaranty Muni. Corp. Insured) | 500,000 | 503,354 | |
5% 7/1/25 | 195,000 | 138,938 | |
5% 7/1/26 | 5,000 | 5,003 | |
5% 7/1/26 | 240,000 | 171,000 | |
5% 7/1/27 | 740,000 | 529,100 | |
5% 7/1/32 | 1,045,000 | 747,175 | |
5% 7/1/37 | 4,730,000 | 3,381,950 | |
| Series 2008 WW: | |||
5% 7/1/28 | 425,000 | 303,875 | |
5.25% 7/1/25 | 170,000 | 121,125 | |
5.25% 7/1/33 | 1,165,000 | 832,975 | |
5.375% (i) | 75,000 | 52,688 | |
5.5% (i) | 130,000 | 91,325 | |
5.5% 7/1/38 | 1,250,000 | 895,313 | |
| Series 2010 AAA: | |||
5.25% (i) | 180,000 | 126,450 | |
5.25% 7/1/25 | 15,000 | 10,688 | |
5.25% 7/1/27 | 205,000 | 146,575 | |
5.25% 7/1/29 | 705,000 | 504,075 | |
5.25% 7/1/30 | 85,000 | 60,775 | |
| Series 2010 BBB, 5.4% 7/1/28 | 250,000 | 169,375 | |
| Series 2010 CCC: | |||
4.625% 7/1/25 | 5,000 | 3,531 | |
5% (i) | 125,000 | 87,813 | |
5% 7/1/24 | 240,000 | 171,000 | |
5% 7/1/27 | 50,000 | 35,750 | |
5% 7/1/28 | 150,000 | 107,250 | |
5.25% 7/1/26 | 280,000 | 199,500 | |
5.25% 7/1/27 | 2,040,000 | 1,458,600 | |
5.25% 7/1/28 | 545,000 | 389,675 | |
| Series 2010 DDD: | |||
3.3% (i) | 5,000 | 3,438 | |
3.625% (i) | 105,000 | 72,188 | |
3.625% 7/1/23 (Assured Guaranty Muni. Corp. Insured) | 345,000 | 344,655 | |
3.65% 7/1/24 (Assured Guaranty Muni. Corp. Insured) | 405,000 | 399,938 | |
5% (i) | 90,000 | 63,225 | |
5% (i) | 1,705,000 | 1,197,763 | |
5% (i) | 1,375,000 | 965,938 | |
| Series 2010 EEE: | |||
5.95% 7/1/30 | 650,000 | 440,375 | |
6.05% 7/1/32 | 805,000 | 545,388 | |
6.25% 7/1/40 | 250,000 | 169,375 | |
| Series 2010 XX: | |||
4.75% 7/1/26 | 60,000 | 42,450 | |
5.25% 7/1/27 | 55,000 | 39,325 | |
5.25% 7/1/35 | 640,000 | 457,600 | |
5.25% 7/1/40 | 4,930,000 | 3,524,950 | |
5.75% 7/1/36 | 355,000 | 254,713 | |
| Series 2010 YY, 6.125% 7/1/40 | 1,100,000 | 745,250 | |
| Series 2010 ZZ: | |||
3.7% (i) | 35,000 | 23,888 | |
4.75% 7/1/27 | 50,000 | 35,375 | |
5% (i) | 520,000 | 365,300 | |
5% (i) | 350,000 | 245,875 | |
5% (i) | 65,000 | 45,663 | |
5% 7/1/28 | 50,000 | 35,750 | |
5.25% (i) | 475,000 | 333,688 | |
5.25% 7/1/23 | 895,000 | 637,688 | |
5.25% 7/1/24 | 280,000 | 199,500 | |
5.25% 7/1/26 | 1,310,000 | 933,375 | |
| Series 2012 A: | |||
5% 7/1/29 | 4,885,000 | 3,492,775 | |
5% 7/1/42 | 4,230,000 | 3,024,450 | |
5.05% 7/1/42 | 530,000 | 378,950 | |
| Series 2013 A: | |||
6.75% 7/1/36 | 2,305,000 | 1,668,244 | |
7% 7/1/43 | 250,000 | 181,250 | |
| Puerto Rico Indl. Tourist Edl., Med. and Envir. Fing. Auth. Series 2000 A, 5% 7/1/33 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 560,000 | 551,102 | |
| Puerto Rico Muni. Fin. Agcy.: | |||
| Series 2002 A, 5% 8/1/27 (Assured Guaranty Muni. Corp. Insured) | 35,000 | 35,235 | |
| Series 2005 C, 5.25% 8/1/23 (CIFG North America Insured) | 20,000 | 20,055 | |
| Puerto Rico Sales Tax Fing. Corp. Sales Tax Rev.: | |||
| Series 2018 A1: | |||
0% 7/1/24 | 23,000 | 21,978 | |
0% 7/1/27 | 4,414,000 | 3,710,955 | |
0% 7/1/29 | 1,772,000 | 1,356,141 | |
0% 7/1/31 | 7,794,000 | 5,397,105 | |
0% 7/1/33 | 6,585,000 | 4,110,333 | |
0% 7/1/46 | 15,223,000 | 4,094,969 | |
0% 7/1/51 | 39,590,000 | 7,834,920 | |
4.55% 7/1/40 | 2,828,000 | 2,691,430 | |
4.75% 7/1/53 | 24,684,000 | 22,826,766 | |
5% 7/1/58 | 22,744,000 | 21,730,700 | |
| Series 2019 A1, 4.5% 7/1/34 | 84,000 | 84,000 | |
| Series 2019 A2: | |||
4.329% 7/1/40 | 15,295,000 | 14,169,756 | |
4.329% 7/1/40 | 831,000 | 769,864 | |
4.536% 7/1/53 | 448,000 | 399,870 | |
4.784% 7/1/58 | 1,874,000 | 1,721,483 | |
| Univ. of Puerto Rico Series 2006 P, 5% 6/1/25 | 70,000 | 70,079 | |
TOTAL PUERTO RICO | 285,733,529 | ||
| Rhode Island - 0.1% | |||
| Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev.: | |||
| Series 2013 A: | |||
5.5% 9/1/28 (Pre-Refunded to 9/1/23 @ 100) | 420,000 | 421,978 | |
6% 9/1/33 (Pre-Refunded to 9/1/23 @ 100) | 565,000 | 568,318 | |
| Series 2016 B: | |||
5% 9/1/31 | 270,000 | 258,588 | |
5% 9/1/36 | 1,560,000 | 1,440,661 | |
| Series 2016: | |||
5% 5/15/34 | 385,000 | 390,920 | |
5% 5/15/39 | 1,915,000 | 1,917,233 | |
| Rhode Island Health and Edl. Bldg. Corp. Higher Ed. Facility Rev.: | |||
| Series 2009 B, 5.25% 9/15/29 | 285,000 | 285,126 | |
| Series 2021 B: | |||
4% 11/1/37 | 140,000 | 138,919 | |
4% 11/1/38 | 145,000 | 142,388 | |
4% 11/1/39 | 180,000 | 175,837 | |
4% 11/1/40 | 190,000 | 184,549 | |
5% 11/1/34 | 95,000 | 106,167 | |
5% 11/1/35 | 105,000 | 116,479 | |
5% 11/1/36 | 110,000 | 120,982 | |
| Rhode Island Hsg. & Mtg. Fin. Corp.: | |||
| Series 2019 70, 4% 10/1/49 | 245,000 | 242,328 | |
| Series 2021 74, 3% 4/1/49 | 1,840,000 | 1,769,401 | |
| Rhode Island Hsg. & Mtg. Fin. Corp. Rev. Series 72 A, 3.5% 10/1/50 | 405,000 | 394,943 | |
| Rhode Island Student Ln. Auth. Student Ln. Rev.: | |||
| Series 2020 A, 3.625% 12/1/37 (d) | 990,000 | 917,929 | |
| Series 2021 A: | |||
2.25% 12/1/39 (d) | 485,000 | 406,242 | |
5% 12/1/28 (d) | 185,000 | 197,362 | |
5% 12/1/29 (d) | 145,000 | 156,646 | |
5% 12/1/30 (d) | 135,000 | 146,956 | |
| Series 2022 1, 4.125% 12/1/41 (d) | 1,395,000 | 1,357,373 | |
| Series 2023 A, 4.125% 12/1/42 (d)(h) | 2,040,000 | 1,967,258 | |
| Series A: | |||
3.5% 12/1/34 (d) | 420,000 | 405,496 | |
5% 12/1/24 (d) | 540,000 | 548,392 | |
5% 12/1/28 (d) | 1,200,000 | 1,280,184 | |
| Tobacco Settlement Fing. Corp. Series 2007 A, 0% 6/1/52 | 2,300,000 | 373,287 | |
TOTAL RHODE ISLAND | 16,431,942 | ||
| South Carolina - 0.6% | |||
| Charleston County Arpt. District Series 2019: | |||
| 5% 7/1/43 | 445,000 | 470,264 | |
| 5% 7/1/48 | 790,000 | 826,997 | |
| Connector 2000 Assoc., Inc. Toll Road Rev. Series 2011 A1: | |||
| 0% 1/1/32 | 1,875,935 | 1,020,097 | |
| 0% 1/1/42 | 6,087,835 | 1,511,617 | |
| 0% 7/22/51 | 14,681,132 | 1,770,414 | |
| Horry County S C Ltd. Oblig. Series 2022, 4.5% 9/1/52 | 3,500,000 | 3,535,151 | |
| Lexington County Health Svcs. District, Inc. Hosp. Rev. Series 2017, 5% 11/1/28 | 135,000 | 143,193 | |
| North Charleston Ltd. Oblig. Series 2017 A, 5% 10/1/40 | 825,000 | 857,376 | |
| Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (b) | 3,910,000 | 3,914,897 | |
| Rock Hill Util. Sys. Rev. Series 2019 A, 4% 1/1/49 | 925,000 | 863,497 | |
| Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015: | |||
| 5% 12/1/25 | 330,000 | 339,675 | |
| 5% 12/1/28 | 690,000 | 710,369 | |
| South Carolina Hsg. Fin. & Dev. Auth. Mtg. Rev.: | |||
| Series 2019 A, 4% 1/1/50 | 390,000 | 385,514 | |
| Series 2022 A: | |||
5% 1/1/29 | 15,000 | 16,217 | |
5% 7/1/29 | 30,000 | 32,683 | |
5% 1/1/30 | 30,000 | 32,807 | |
5% 7/1/30 | 30,000 | 33,014 | |
5% 1/1/31 | 30,000 | 32,891 | |
5% 7/1/31 | 30,000 | 33,057 | |
| Series 2022 B, 5% 1/1/52 | 3,160,000 | 3,254,041 | |
| South Carolina Jobs-Econ. D Bonds (Int'l. Paper Co. Proj.) Series 2023 A, 4%, tender 4/1/26 (b)(d) | 750,000 | 749,768 | |
| South Carolina Jobs-Econ. Dev. Auth.: | |||
| (Green Charter Schools Proj.) Series 2021 A, 4% 6/1/36 (f) | 100,000 | 83,162 | |
| Series 2016, 5.25% 7/1/47 | 1,795,000 | 1,832,304 | |
| Series 2017: | |||
5% 4/1/47 | 555,000 | 462,372 | |
5% 4/1/52 | 255,000 | 206,563 | |
| Series 2018 A: | |||
5% 5/1/35 | 640,000 | 666,070 | |
5% 5/1/36 | 1,475,000 | 1,526,731 | |
5% 4/1/48 | 210,000 | 173,882 | |
5% 5/1/48 | 1,425,000 | 1,437,236 | |
| Series 2019 C: | |||
5% 7/1/32 | 1,305,000 | 1,386,798 | |
5% 7/1/33 | 965,000 | 1,024,702 | |
| South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev.: | |||
| Series 2017, 5.25% 11/15/47 | 250,000 | 226,401 | |
| Series 2022 A, 4% 4/1/52 | 200,000 | 181,206 | |
| South Carolina Jobs-Econ. Dev. Auth. Hosp. Impt. Rev. Series 2020 A, 4% 12/1/44 | 1,310,000 | 1,245,490 | |
| South Carolina Jobs-Econ. Dev. Auth. Solid Waste Disp. Rev.: | |||
| (Repower South Berkeley, LLC Proj.) Series 2017: | |||
6% 2/1/35 (d)(f) | 890,000 | 356,000 | |
6.25% 2/1/45 (d)(f) | 1,795,000 | 718,000 | |
| Series 2019, 8% 12/6/29 | 280,000 | 229,022 | |
| South Carolina Jobs-Economoc Dev. Auth. Retirement Cmnty. Rev. Series 2018 C, 5% 11/15/47 | 570,000 | 534,096 | |
| South Carolina Ports Auth. Ports Rev.: | |||
| Series 2015: | |||
5.25% 7/1/50 (Pre-Refunded to 7/1/25 @ 100) (d) | 655,000 | 674,989 | |
5.25% 7/1/55 (Pre-Refunded to 7/1/25 @ 100) (d) | 135,000 | 139,120 | |
| Series 2018: | |||
5% 7/1/37 (d) | 180,000 | 188,287 | |
5% 7/1/38 (d) | 385,000 | 401,645 | |
5% 7/1/43 (d) | 965,000 | 996,379 | |
5% 7/1/48 (d) | 665,000 | 682,332 | |
| Series 2019 B: | |||
4% 7/1/35 (d) | 725,000 | 721,744 | |
4% 7/1/37 (d) | 1,125,000 | 1,090,852 | |
4% 7/1/39 (d) | 1,115,000 | 1,052,551 | |
5% 7/1/44 (d) | 1,705,000 | 1,766,811 | |
| South Carolina Pub. Svc. Auth. Rev.: | |||
| Series 2014 A, 5% 12/1/49 | 500,000 | 500,145 | |
| Series 2014 C, 5% 12/1/26 | 5,000 | 5,091 | |
| Series 2015 E, 5.25% 12/1/55 | 745,000 | 749,341 | |
| Series 2016 A: | |||
5% 12/1/29 | 365,000 | 378,319 | |
5% 12/1/32 | 1,500,000 | 1,565,282 | |
5% 12/1/33 | 15,000 | 15,447 | |
5% 12/1/38 | 35,000 | 35,624 | |
| Series 2016 B: | |||
5% 12/1/31 | 135,000 | 140,505 | |
5% 12/1/35 | 205,000 | 211,093 | |
5% 12/1/36 | 305,000 | 312,132 | |
5% 12/1/41 | 1,835,000 | 1,856,183 | |
5% 12/1/46 | 1,250,000 | 1,256,984 | |
| Series 2016 C: | |||
5% 12/1/24 | 30,000 | 30,576 | |
5% 12/1/25 | 35,000 | 36,187 | |
5% 12/1/26 | 55,000 | 57,624 | |
| Series 2020 A: | |||
4% 12/1/40 | 550,000 | 546,966 | |
5% 12/1/31 | 600,000 | 663,267 | |
| Series 2021 A, 4% 12/1/36 | 2,000,000 | 1,974,723 | |
| Series 2021 B: | |||
4% 12/1/47 | 1,000,000 | 969,827 | |
5% 12/1/51 | 2,835,000 | 2,929,675 | |
| Series 2022 A, 5% 12/1/36 | 2,250,000 | 2,453,586 | |
| Series 2022 B, 4% 12/1/29 | 741,000 | 760,958 | |
| Series 2022 E: | |||
5% 12/1/52 (Assured Guaranty Muni. Corp. Insured) | 2,750,000 | 2,884,356 | |
5.5% 12/1/42 (Assured Guaranty Muni. Corp. Insured) | 1,250,000 | 1,382,433 | |
| Series A, 5% 12/1/23 (Escrowed to Maturity) | 970,000 | 977,348 | |
| Series B, 5% 12/1/24 | 160,000 | 163,070 | |
| South Carolina Student Ln. Corp. Series 2020 A: | |||
| 2.641% 12/1/26 | 1,705,000 | 1,553,444 | |
| 2.771% 12/1/27 | 790,000 | 706,082 | |
| 2.923% 12/1/28 | 585,000 | 513,857 | |
| 2.993% 12/1/29 | 380,000 | 326,938 | |
| 3.043% 12/1/30 | 120,000 | 101,197 | |
| 3.593% 12/1/39 | 525,000 | 512,902 | |
| South Carolina Trans. Infrastructure Bank Rev. Series 2017 A: | |||
| 5% 10/1/35 (Assured Guaranty Muni. Corp. Insured) | 800,000 | 855,144 | |
| 5% 10/1/36 | 2,050,000 | 2,180,718 | |
| Spartanburg County Reg'l. Health: | |||
| Series 2017 A: | |||
4% 4/15/43 | 2,835,000 | 2,563,154 | |
4% 4/15/48 | 1,975,000 | 1,733,914 | |
5% 4/15/48 | 7,110,000 | 7,241,501 | |
| Series 2020 A, 4% 4/15/45 (Assured Guaranty Muni. Corp. Insured) | 230,000 | 215,250 | |
TOTAL SOUTH CAROLINA | 81,899,127 | ||
| South Dakota - 0.0% | |||
| Sioux Falls Health Facilities Rev. (Dow Rummel Village Proj.) Series 2017: | |||
| 5% 11/1/28 | 200,000 | 192,556 | |
| 5% 11/1/30 | 215,000 | 203,380 | |
| 5% 11/1/32 | 195,000 | 180,986 | |
| 5% 11/1/42 | 280,000 | 237,590 | |
| South Dakota Conservancy District Rev. Series 2018, 5% 8/1/38 | 750,000 | 811,558 | |
| South Dakota Edl. Enhancement Fdg. Corp. Rev.: | |||
| Series 2013 B: | |||
5% 6/1/24 (Pre-Refunded to 6/1/23 @ 100) | 210,000 | 210,000 | |
5% 6/1/25 (Pre-Refunded to 6/1/23 @ 100) | 210,000 | 210,000 | |
5% 6/1/26 (Pre-Refunded to 6/1/23 @ 100) | 295,000 | 295,000 | |
| Series 2021: | |||
0.961% 6/1/24 | 425,000 | 405,198 | |
1.245% 6/1/25 | 745,000 | 688,025 | |
1.495% 6/1/26 | 530,000 | 476,204 | |
| South Dakota Health & Edl. Facilities Auth. Rev.: | |||
| (Avera Health Proj.) Series 2017, 5% 7/1/31 | 80,000 | 85,882 | |
| Bonds Series 2019 A, 5%, tender 7/1/24 (b) | 100,000 | 100,745 | |
| Series 2017: | |||
5% 7/1/26 | 35,000 | 36,610 | |
5% 7/1/28 | 35,000 | 37,590 | |
5% 7/1/29 | 70,000 | 75,362 | |
5% 7/1/30 | 45,000 | 48,482 | |
5% 7/1/35 | 40,000 | 42,220 | |
5% 9/1/40 | 670,000 | 684,742 | |
| Series 2020 A, 3% 9/1/45 | 1,465,000 | 1,114,450 | |
TOTAL SOUTH DAKOTA | 6,136,580 | ||
| Tennessee - 0.8% | |||
| Blount County Health & Edl. Facilities Board Rev. Series 2016 A, 5% 1/1/47 | 1,150,000 | 690,000 | |
| Chattanooga Health Ed. & Hsg. Facility Board Rev.: | |||
| (CDFI Phase I, LLC - Univ. of Tennessee at Chattanooga Proj.) Series 2015, 5% 10/1/35 | 385,000 | 391,149 | |
| Series 2019 A1: | |||
4% 8/1/44 | 1,680,000 | 1,554,108 | |
5% 8/1/25 | 40,000 | 40,854 | |
| Series 2019 A2: | |||
5% 8/1/37 | 50,000 | 52,165 | |
5% 8/1/44 | 210,000 | 216,096 | |
| Chattanooga-Hamilton County Hosp. Auth. Rev. Series 2014 A, 5% 10/1/44 | 250,000 | 248,520 | |
| Clarksville Wtr. Swr. and Gas Rev. Series 2021 A, 4% 2/1/51 | 4,000,000 | 3,811,576 | |
| Greeneville Health & Edl. Facilities Board Series 2018 A, 5% 7/1/36 | 960,000 | 1,004,954 | |
| Jackson Hosp. Rev. Series 2018 A: | |||
| 5% 4/1/27 | 40,000 | 42,013 | |
| 5% 4/1/28 | 25,000 | 26,562 | |
| 5% 4/1/41 | 1,375,000 | 1,406,618 | |
| 5% 4/1/41 (Pre-Refunded to 10/1/28 @ 100) | 65,000 | 71,562 | |
| Knox County Health Edl. & Hsg. Facilities: | |||
| Series 2012 A, 5% 1/1/26 | 385,000 | 386,342 | |
| Series 2016 A, 5% 1/1/42 | 1,495,000 | 1,519,437 | |
| Knox County Health Edl. & Hsg. Facilities Board Rev.: | |||
| Series 2017: | |||
5% 4/1/30 | 165,000 | 171,359 | |
5% 4/1/36 | 595,000 | 611,619 | |
| Series 2020 A: | |||
5% 9/1/30 | 1,230,000 | 1,298,662 | |
5% 9/1/40 | 3,525,000 | 3,527,671 | |
| Memphis-Shelby County Arpt. Auth. Arpt. Rev.: | |||
| Series 2018, 5% 7/1/37 (d) | 565,000 | 588,375 | |
| Series 2021 A: | |||
5% 7/1/31 (d) | 50,000 | 54,581 | |
5% 7/1/32 (d) | 245,000 | 267,529 | |
5% 7/1/33 (d) | 370,000 | 403,630 | |
5% 7/1/34 (d) | 785,000 | 853,384 | |
5% 7/1/35 (d) | 825,000 | 892,880 | |
5% 7/1/36 (d) | 870,000 | 933,740 | |
5% 7/1/37 (d) | 910,000 | 969,098 | |
5% 7/1/38 (d) | 960,000 | 1,018,263 | |
5% 7/1/39 (d) | 1,005,000 | 1,061,967 | |
5% 7/1/40 (d) | 415,000 | 436,830 | |
| Metropolitan Govt. Nashville & Davidson County Wtr. & Swr. Sys. Rev.: | |||
| Series 2017 A, 5% 7/1/42 | 480,000 | 503,058 | |
| Series 2017 B: | |||
5% 7/1/42 | 600,000 | 628,822 | |
5% 7/1/46 | 950,000 | 991,430 | |
| Metropolitan Govt. of Nashville & Davidson County: | |||
| Series 2019, 5% 10/1/34 | 35,000 | 35,697 | |
| Series 2021, 4% 5/1/51 | 400,000 | 359,570 | |
| Metropolitan Nashville Arpt. Auth. Rev.: | |||
| Series 2015 B, 4% 7/1/25 (d) | 310,000 | 310,417 | |
| Series 2019 B: | |||
4% 7/1/49 (d) | 2,500,000 | 2,302,082 | |
5% 7/1/27 (d) | 435,000 | 455,822 | |
5% 7/1/28 (d) | 675,000 | 714,434 | |
5% 7/1/35 (d) | 360,000 | 386,886 | |
5% 7/1/38 (d) | 2,325,000 | 2,453,968 | |
5% 7/1/44 (d) | 3,310,000 | 3,438,745 | |
5% 7/1/54 (d) | 4,300,000 | 4,403,082 | |
| Series 2022 B: | |||
5.25% 7/1/47 (d) | 250,000 | 265,981 | |
5.5% 7/1/41 (d) | 625,000 | 687,351 | |
5.5% 7/1/52 (d) | 4,695,000 | 5,061,218 | |
| Nashville and Davidson County Metropolitan Govt. Gen. Oblig. Series 2021 C, 5% 1/1/30 | 8,475,000 | 9,587,897 | |
| Nashville and Davidson County Metropolitan Govt. Health & Edl. Facilities Board Rev.: | |||
| (Lipscomb Univ. Proj.) Series 2019 A: | |||
4% 10/1/49 | 1,000,000 | 784,456 | |
5.25% 10/1/58 | 765,000 | 727,430 | |
| Series 2016 A: | |||
5% 7/1/35 | 1,400,000 | 1,446,425 | |
5% 7/1/40 | 460,000 | 469,657 | |
5% 7/1/46 | 3,905,000 | 3,959,942 | |
| New Memphis Arena Bldg. Auth. (City of Memphis Proj.) Series 2021: | |||
| 0% 4/1/32 | 120,000 | 83,781 | |
| 0% 4/1/33 | 170,000 | 113,275 | |
| 0% 4/1/34 | 100,000 | 63,737 | |
| 0% 4/1/35 | 130,000 | 78,629 | |
| 0% 4/1/36 | 125,000 | 71,144 | |
| 0% 4/1/37 | 150,000 | 80,038 | |
| 0% 4/1/38 | 125,000 | 62,587 | |
| Shelby County Health Edl. & Hsg. Facilities Board Rev. (Methodist Le Bonheur Health Proj.) Series 2017 A: | |||
| 5% 5/1/25 | 75,000 | 76,914 | |
| 5% 5/1/27 | 70,000 | 74,172 | |
| 5% 5/1/29 | 70,000 | 73,995 | |
| 5% 5/1/30 | 135,000 | 142,831 | |
| 5% 5/1/31 | 70,000 | 74,076 | |
| Shelby County Health Edl. & Hsg. Facility Board Residential Care Facilitiy Mtg. Rev. Series 2014: | |||
| 5% 12/1/34 | 70,000 | 66,817 | |
| 5.25% 12/1/44 | 165,000 | 152,218 | |
| 5.25% 12/1/49 | 470,000 | 425,820 | |
| Tennergy Corp. Gas Rev. Bonds: | |||
| Series 2019 A, 5%, tender 10/1/24 (b) | 130,000 | 131,819 | |
| Series 2022 A, 5.5%, tender 12/1/30 (b) | 5,150,000 | 5,429,834 | |
| Tennessee Energy Acquisition Corp.: | |||
| Bonds: | |||
Series 2018, 4%, tender 11/1/25 (b) | 8,265,000 | 8,229,121 | |
Series 2021 A, 5%, tender 11/1/31 (b) | 225,000 | 234,946 | |
Series 2023 A1, 5%, tender 5/1/28 (b) | 5,000,000 | 5,173,774 | |
| Series 2006 A: | |||
5.25% 9/1/23 | 505,000 | 506,103 | |
5.25% 9/1/24 | 1,995,000 | 2,017,638 | |
5.25% 9/1/26 | 2,270,000 | 2,309,410 | |
| Tennessee Hsg. Dev. Agcy. Residential: | |||
| Series 2014 2C, 4% 1/1/45 | 50,000 | 49,782 | |
| Series 2018 1, 4% 1/1/43 | 260,000 | 257,383 | |
| Series 2018 3, 4.25% 7/1/49 | 320,000 | 318,226 | |
| Series 2018, 4.5% 7/1/49 | 805,000 | 804,869 | |
| Series 2019 1, 3.75% 7/1/39 | 180,000 | 178,577 | |
| Series 2021 1, 3% 7/1/51 | 2,000,000 | 1,920,709 | |
| Series 2021 3A, 3% 1/1/52 | 810,000 | 772,525 | |
| Series 2022 1: | |||
5% 7/1/28 | 425,000 | 459,015 | |
5% 1/1/29 | 230,000 | 249,875 | |
5% 7/1/29 | 400,000 | 438,073 | |
5% 1/1/30 | 465,000 | 511,384 | |
5% 7/1/30 | 470,000 | 520,334 | |
5% 1/1/31 | 220,000 | 244,286 | |
5% 7/1/31 | 500,000 | 558,397 | |
TOTAL TENNESSEE | 97,482,028 | ||
| Texas - 3.7% | |||
| Aldine Independent School District: | |||
| Series 2016, 4% 2/15/31 | 1,120,000 | 1,131,799 | |
| Series 2017, 4% 2/15/30 | 975,000 | 994,052 | |
| Anna Independent School District Series 2023, 4.125% 2/15/53 (h) | 205,000 | 201,068 | |
| Argyle Independent School District Series 2022, 5% 8/15/47 | 2,700,000 | 2,919,330 | |
| Arlington Higher Ed. Fin. Corp.: | |||
| Bonds Series 2021, 4.5%, tender 6/15/26 (b)(f) | 200,000 | 197,931 | |
| Series 2015 A, 5% 2/15/35 | 600,000 | 610,161 | |
| Series 2017 A, 5% 12/1/47 | 565,000 | 581,927 | |
| Series 2022: | |||
4.25% 8/15/47 | 1,730,000 | 1,690,187 | |
5% 8/15/47 | 785,000 | 833,811 | |
5% 8/15/57 | 1,190,000 | 1,254,643 | |
| Arlington Spl. Tax Rev. Series 2018 A: | |||
| 5% 2/15/37 (Assured Guaranty Muni. Corp. Insured) | 255,000 | 269,641 | |
| 5% 2/15/38 (Assured Guaranty Muni. Corp. Insured) | 205,000 | 215,589 | |
| 5% 2/15/43 (Assured Guaranty Muni. Corp. Insured) | 3,170,000 | 3,303,069 | |
| 5% 2/15/48 (Assured Guaranty Muni. Corp. Insured) | 2,260,000 | 2,346,965 | |
| Austin Arpt. Sys. Rev.: | |||
| Series 2014: | |||
5% 11/15/26 (d) | 120,000 | 121,350 | |
5% 11/15/27 (d) | 150,000 | 151,594 | |
5% 11/15/28 (d) | 185,000 | 187,190 | |
5% 11/15/39 (d) | 1,685,000 | 1,690,661 | |
5% 11/15/44 (d) | 2,915,000 | 2,918,758 | |
| Series 2017 B: | |||
5% 11/15/28 (d) | 120,000 | 124,615 | |
5% 11/15/30 (d) | 185,000 | 192,057 | |
5% 11/15/32 (d) | 150,000 | 155,631 | |
5% 11/15/35 (d) | 150,000 | 154,525 | |
5% 11/15/36 (d) | 255,000 | 261,670 | |
5% 11/15/37 (d) | 175,000 | 179,262 | |
5% 11/15/41 (d) | 1,395,000 | 1,418,446 | |
| Series 2019 B: | |||
5% 11/15/31 (d) | 965,000 | 1,039,598 | |
5% 11/15/36 (d) | 1,150,000 | 1,216,290 | |
5% 11/15/44 (d) | 2,320,000 | 2,400,689 | |
| Series 2022: | |||
5% 11/15/39 (d) | 1,260,000 | 1,342,394 | |
5% 11/15/52 (d) | 825,000 | 854,142 | |
5.25% 11/15/47 (d) | 3,565,000 | 3,791,994 | |
| Austin Convention Enterprises, Inc.: | |||
| Series 2017 A: | |||
5% 1/1/28 | 125,000 | 127,025 | |
5% 1/1/29 | 150,000 | 152,739 | |
5% 1/1/30 | 290,000 | 295,593 | |
5% 1/1/31 | 630,000 | 642,390 | |
5% 1/1/32 | 470,000 | 478,975 | |
5% 1/1/33 | 440,000 | 447,915 | |
5% 1/1/34 | 885,000 | 902,061 | |
| Series 2017 B: | |||
5% 1/1/26 | 410,000 | 405,834 | |
5% 1/1/28 | 135,000 | 133,993 | |
5% 1/1/29 | 160,000 | 158,982 | |
5% 1/1/30 | 95,000 | 94,467 | |
5% 1/1/32 | 315,000 | 312,250 | |
5% 1/1/34 | 490,000 | 485,973 | |
| Austin Wtr. & Wastewtr. Sys. Rev.: | |||
| Series 2012, 5% 11/15/27 | 125,000 | 125,152 | |
| Series 2015 A, 3.35% 5/15/29 | 750,000 | 733,358 | |
| Series 2016, 5% 11/15/33 | 130,000 | 137,305 | |
| Belton Independent School District Series 2022, 4% 2/15/52 | 605,000 | 584,987 | |
| Bexar County Health Facilities Dev. Corp. Rev. Series 2016, 4% 7/15/36 | 360,000 | 292,105 | |
| Bexar County Hosp. District Series 2018, 4% 2/15/37 | 750,000 | 752,304 | |
| Board of Managers, Joint Guadalupe County, City of Seguin Hosp. Series 2015: | |||
| 5% 12/1/28 | 195,000 | 194,006 | |
| 5% 12/1/29 | 500,000 | 496,925 | |
| 5% 12/1/30 | 240,000 | 237,790 | |
| 5% 12/1/40 | 965,000 | 900,505 | |
| 5% 12/1/45 | 935,000 | 848,380 | |
| 5.25% 12/1/35 | 290,000 | 288,964 | |
| Brazos Higher Ed. Auth.: | |||
| Series 2020 1A, 2.35% 4/1/40 (d) | 10,000 | 9,888 | |
| Series 2020 1B, 3% 4/1/40 (d) | 190,000 | 143,057 | |
| Series 2021 A, 3.414% 4/1/40 | 15,000 | 14,950 | |
| Calhoun County Navigation Indl. Dev. Auth. (Max Midstream Texas, LLC Proj.): | |||
| Series 2021 A, 3.625% 7/1/26 (d)(f) | 400,000 | 364,180 | |
| Series 2021 B, 6.5% 7/1/26 (f) | 300,000 | 282,670 | |
| Celina Tex Series 2022, 5% 9/1/47 | 400,000 | 433,591 | |
| Central Reg'l. Mobility Auth.: | |||
| Series 2015 A: | |||
5% 1/1/28 | 325,000 | 334,797 | |
5% 1/1/31 (Pre-Refunded to 7/1/25 @ 100) | 55,000 | 57,031 | |
5% 1/1/32 (Pre-Refunded to 7/1/25 @ 100) | 120,000 | 124,432 | |
5% 1/1/40 (Pre-Refunded to 7/1/25 @ 100) | 1,670,000 | 1,731,682 | |
5% 1/1/45 (Pre-Refunded to 7/1/25 @ 100) | 1,085,000 | 1,125,075 | |
| Series 2016, 4% 1/1/41 | 250,000 | 233,516 | |
| Series 2018, 5% 1/1/25 | 65,000 | 66,477 | |
| Series 2020 A, 5% 1/1/49 | 220,000 | 228,742 | |
| Series 2020 B: | |||
4% 1/1/34 | 20,000 | 20,475 | |
4% 1/1/35 | 15,000 | 15,292 | |
4% 1/1/36 | 15,000 | 15,121 | |
4% 1/1/37 | 20,000 | 19,972 | |
4% 1/1/38 | 30,000 | 29,578 | |
4% 1/1/39 | 40,000 | 39,019 | |
4% 1/1/40 | 15,000 | 14,514 | |
5% 1/1/27 | 15,000 | 15,731 | |
5% 1/1/28 | 15,000 | 15,955 | |
5% 1/1/29 | 55,000 | 59,316 | |
5% 1/1/30 | 25,000 | 27,278 | |
5% 1/1/31 | 15,000 | 16,359 | |
5% 1/1/32 | 15,000 | 16,343 | |
5% 1/1/33 | 20,000 | 21,725 | |
5% 1/1/45 | 100,000 | 104,447 | |
| Series 2020 G, 4% 1/1/45 | 1,070,000 | 970,650 | |
| Series 2021 B: | |||
4% 1/1/40 | 105,000 | 101,601 | |
4% 1/1/41 | 80,000 | 76,881 | |
4% 1/1/51 | 2,770,000 | 2,522,866 | |
5% 1/1/30 | 65,000 | 70,921 | |
5% 1/1/32 | 80,000 | 88,115 | |
5% 1/1/34 | 70,000 | 76,883 | |
5% 1/1/39 | 105,000 | 111,409 | |
5% 1/1/46 | 3,340,000 | 3,504,217 | |
| Series 2021 C, 5% 1/1/27 | 2,780,000 | 2,893,941 | |
| Clifton Higher Ed. Fin. Corp. Ed. Rev.: | |||
| Series 2018 D, 6.125% 8/15/48 | 4,450,000 | 4,462,650 | |
| Series 2022 A, 4% 8/15/51 | 250,000 | 214,350 | |
| Series 2022, 4.25% 8/15/52 | 750,000 | 730,682 | |
| College of the Mainland Series 2020, 4% 8/15/44 | 475,000 | 465,423 | |
| Collin County Series 2019, 5% 2/15/26 | 150,000 | 157,502 | |
| Collin County Cmnty. College District Series 2018, 3.5% 8/15/37 | 750,000 | 699,561 | |
| Comal Independent School District Series 2022, 3% 2/1/40 | 2,500,000 | 2,144,206 | |
| Conroe Local Govt. Corp. Hotel Rev. Series 2021 C: | |||
| 4% 10/1/41 | 60,000 | 58,520 | |
| 4% 10/1/46 | 70,000 | 64,579 | |
| Conroe Local Govt. Hotel Rev.: | |||
| Series 2021 A: | |||
2.5% 10/1/31 | 90,000 | 74,915 | |
4% 10/1/50 | 540,000 | 427,006 | |
| Series 2021 B: | |||
3.5% 10/1/31 (f) | 45,000 | 37,857 | |
5% 10/1/50 (f) | 390,000 | 315,369 | |
| Cypress-Fairbanks Independent School District: | |||
| Series 2015 A, 3.3% 2/15/30 | 500,000 | 485,940 | |
| Series 2023, 4% 2/15/48 | 545,000 | 531,720 | |
| Dallas Area Rapid Transit Sales Tax Rev.: | |||
| Series 2020 A, 5% 12/1/45 | 1,430,000 | 1,533,807 | |
| Series 2021 B, 5% 12/1/47 | 1,470,000 | 1,578,356 | |
| Dallas Fort Worth Int'l. Arpt. Rev.: | |||
| Series 2013 E: | |||
5.25% 11/1/33 (d) | 500,000 | 501,721 | |
5.5% 11/1/24 (d) | 4,360,000 | 4,382,991 | |
| Series 2013 F, 5.25% 11/1/30 | 605,000 | 609,181 | |
| Series 2014 A: | |||
5% 11/1/32 (d) | 1,160,000 | 1,162,940 | |
5.25% 11/1/30 (d) | 1,785,000 | 1,791,682 | |
| Series 2020 B: | |||
4% 11/1/34 | 280,000 | 290,500 | |
4% 11/1/35 | 3,710,000 | 3,796,262 | |
4% 11/1/35 | 250,000 | 257,782 | |
| Series 2021 B, 5% 11/1/43 | 200,000 | 215,103 | |
| Dallas Hotel Occupancy Tax Series 2021: | |||
| 4% 8/15/29 | 435,000 | 440,009 | |
| 4% 8/15/30 | 485,000 | 490,204 | |
| 4% 8/15/31 | 245,000 | 247,264 | |
| 4% 8/15/32 | 200,000 | 201,449 | |
| 4% 8/15/33 | 200,000 | 200,985 | |
| 4% 8/15/36 | 625,000 | 613,554 | |
| 4% 8/15/38 | 500,000 | 474,994 | |
| Dallas Independent School District: | |||
| Series 2019: | |||
5% 2/15/24 | 45,000 | 45,496 | |
5% 2/15/25 | 65,000 | 66,836 | |
| Series 2023, 4% 2/15/53 | 1,000,000 | 951,698 | |
| Dallas Wtrwks. & Swr. Sys. Rev. Series 2017, 5% 10/1/46 | 3,375,000 | 3,553,823 | |
| Danbury Higher Ed. Auth., Inc. Series 2019 A, 4% 8/15/49 | 250,000 | 192,801 | |
| Denton County Gen. Oblig. Series 2020, 4% 5/15/27 | 125,000 | 129,403 | |
| Denton Independent School District Bonds Series 2014 B: | |||
| 2%, tender 8/1/24 (b) | 30,000 | 29,339 | |
| 2%, tender 8/1/24 (b) | 5,000 | 4,917 | |
| 2%, tender 8/1/24 (b) | 5,000 | 4,917 | |
| Eagle Pass Rev. Series 2021: | |||
| 4% 3/1/33 (Assured Guaranty Muni. Corp. Insured) | 60,000 | 63,306 | |
| 4% 3/1/34 (Assured Guaranty Muni. Corp. Insured) | 55,000 | 57,785 | |
| 4% 3/1/35 (Assured Guaranty Muni. Corp. Insured) | 50,000 | 52,081 | |
| 4% 3/1/36 (Assured Guaranty Muni. Corp. Insured) | 60,000 | 61,775 | |
| 4% 3/1/38 (Assured Guaranty Muni. Corp. Insured) | 100,000 | 98,656 | |
| East Montgomery County Muni. Util. District No. 3 Series 2022, 4.375% 8/15/45 | 1,325,000 | 1,299,581 | |
| Ector County Hosp. District Series 2020: | |||
| 5% 9/15/23 | 180,000 | 180,314 | |
| 5% 9/15/25 | 90,000 | 90,963 | |
| 5% 9/15/26 | 135,000 | 137,608 | |
| 5% 9/15/27 | 210,000 | 216,074 | |
| 5% 9/15/28 | 225,000 | 233,850 | |
| 5% 9/15/29 | 145,000 | 151,939 | |
| 5% 9/15/30 | 170,000 | 179,426 | |
| 5% 9/15/31 | 230,000 | 241,405 | |
| El Paso Gen. Oblig. Series 2016, 4% 8/15/42 | 3,700,000 | 3,678,583 | |
| El Paso Independent School District Series 2020: | |||
| 5% 8/15/25 | 530,000 | 550,890 | |
| 5% 8/15/26 | 920,000 | 976,043 | |
| El Paso Wtr. & Swr. Rev. Series 2023, 5.25% 3/1/49 (h) | 2,500,000 | 2,755,821 | |
| Elgin Combination Tax and Rev. Series 2021: | |||
| 4% 7/15/32 (Assured Guaranty Muni. Corp. Insured) | 45,000 | 46,594 | |
| 4% 7/15/33 (Assured Guaranty Muni. Corp. Insured) | 50,000 | 51,530 | |
| 4% 7/15/34 (Assured Guaranty Muni. Corp. Insured) | 85,000 | 87,351 | |
| 4% 7/15/35 (Assured Guaranty Muni. Corp. Insured) | 110,000 | 112,189 | |
| 4% 7/15/36 (Assured Guaranty Muni. Corp. Insured) | 70,000 | 70,665 | |
| 4% 7/15/38 (Assured Guaranty Muni. Corp. Insured) | 120,000 | 119,021 | |
| Forney Independent School District Series 2019, 5% 2/15/49 | 395,000 | 409,690 | |
| Fort Bend County Indl. Dev. Corp. (NRG Energy, Inc. Proj.) Series 2012 B, 4.75% 11/1/42 | 705,000 | 672,326 | |
| Fort Bend Grand Parkway Toll Road Auth. Series 2021, 3% 3/1/46 | 745,000 | 583,378 | |
| Fort Bend Independent School District Bonds Series 2021 B, 0.72%, tender 8/1/26 (b) | 1,270,000 | 1,149,658 | |
| Fort Worth Gen. Oblig. Series 2016: | |||
| 5% 3/1/25 | 65,000 | 66,934 | |
| 5% 3/1/27 | 65,000 | 68,243 | |
| Fredericksburg Independent School District Series 2022: | |||
| 4% 2/15/52 | 1,080,000 | 1,011,729 | |
| 5% 2/15/47 | 400,000 | 439,357 | |
| Galveston County Tex Muni. Util. Di Series 2022, 4.5% 6/1/44 (Assured Guaranty Muni. Corp. Insured) | 1,550,000 | 1,555,062 | |
| Garland Elec. Util. Sys. Rev. Series 2021 A: | |||
| 4% 3/1/46 | 100,000 | 91,828 | |
| 4% 3/1/51 | 125,000 | 112,592 | |
| Georgetown Util. Sys. Rev. Series 2022, 5.25% 8/15/52 (Assured Guaranty Muni. Corp. Insured) | 1,800,000 | 1,914,980 | |
| Grand Parkway Trans. Corp.: | |||
| Series 2013 C, 5.125% 10/1/43 | 480,000 | 480,742 | |
| Series 2013, 0% 10/1/34 (e) | 1,205,000 | 1,310,965 | |
| Series 2018 A: | |||
5% 10/1/36 | 280,000 | 300,787 | |
5% 10/1/37 | 560,000 | 598,920 | |
5% 10/1/38 | 390,000 | 415,788 | |
5% 10/1/43 | 305,000 | 320,857 | |
| Series 2020 C, 4% 10/1/49 | 160,000 | 147,433 | |
| Series 2020, 4% 10/1/49 | 3,780,000 | 3,598,524 | |
| Greater Texas Cultural Ed. Facilities Fin. Corp. (Epicenter Multipurpose Facilities Proj.) Series 2021 A, 5% 3/1/32 | 160,000 | 179,627 | |
| Gulf Coast Indl. Dev. Auth. Solid Waste Disp. Rev.: | |||
| (Citgo Petroleum Corp. Proj.) Series 1995, 4.875% 5/1/25 (d) | 2,570,000 | 2,551,631 | |
| Series 1998, 8% 4/1/28 (d) | 1,205,000 | 1,205,958 | |
| Harlandale Independent School District Bonds Series 2021, 2%, tender 8/15/24 (b) | 850,000 | 837,877 | |
| Harlingen Econ. Dev. Corp. Series 2019 A: | |||
| 4% 2/15/30 | 245,000 | 254,489 | |
| 4% 2/15/31 | 325,000 | 338,045 | |
| Harris County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
| (Brazos Presbyterian Homes, Inc. Proj.) Series 2013 A: | |||
5% 1/1/38 | 70,000 | 60,855 | |
5% 1/1/43 | 70,000 | 58,188 | |
| (Texas Childrens Hosp., Proj.) Series 2015-1 5% 10/1/29 | 160,000 | 166,903 | |
| Series 2013 B, 6.375% 1/1/33 | 45,000 | 45,028 | |
| Series 2016 A, 5% 7/1/39 | 5,000,000 | 5,127,931 | |
| Series 2019 A: | |||
4% 10/1/35 | 335,000 | 344,838 | |
4% 10/1/36 | 595,000 | 604,875 | |
4% 10/1/37 | 805,000 | 813,698 | |
4% 10/1/38 | 670,000 | 675,225 | |
| Series 2021 A, 4% 10/1/42 | 2,410,000 | 2,325,001 | |
| Series 2022 A, 4.125% 7/1/52 | 2,125,000 | 1,994,420 | |
| Harris County Cultural Ed. Facilities Fin. Corp. Thermal Util. Rev. (Teco Proj.) Series 2017: | |||
| 5% 11/15/31 | 195,000 | 210,174 | |
| 5% 11/15/33 | 1,940,000 | 2,079,213 | |
| Harris County Flood Cont. District Series 2021 A: | |||
| 5% 10/1/28 | 1,200,000 | 1,328,643 | |
| 5% 10/1/29 | 1,200,000 | 1,354,666 | |
| Harris County Gen. Oblig. Series 2002: | |||
| 0% 8/15/25 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 365,000 | 338,201 | |
| 0% 8/15/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 605,000 | 509,541 | |
| Harris County Health Facilities Dev. Corp. Rev. Series 1997 B, 5.75% 7/1/27 (Escrowed to Maturity) | 425,000 | 447,170 | |
| Harris County Toll Road Rev.: | |||
| (Harris County Toll Road Auth. Proj.) Series 2018 A, 5% 8/15/33 | 110,000 | 119,406 | |
| Series 2018 A: | |||
5% 8/15/27 | 1,455,000 | 1,567,755 | |
5% 8/15/43 | 1,445,000 | 1,515,128 | |
| Harris County-Houston Sports Auth. Rev.: | |||
| Series 2001 A, 0% 11/15/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 800,000 | 348,172 | |
| Series 2014 A, 0% 11/15/41 (Assured Guaranty Muni. Corp. Insured) | 190,000 | 78,776 | |
| Series 2014 C: | |||
5% 11/15/32 | 45,000 | 45,782 | |
5% 11/15/33 | 115,000 | 116,791 | |
| Series 2014: | |||
0% 11/15/46 (Assured Guaranty Muni. Corp. Insured) | 480,000 | 150,934 | |
5% 11/15/27 (Assured Guaranty Muni. Corp. Insured) | 965,000 | 986,188 | |
| Hays Consolidated Independent School District Series 2022, 4% 2/15/47 | 1,500,000 | 1,457,252 | |
| Hidalgo County Reginal Mobility Auth. Series 2022 A: | |||
| 4% 12/1/38 | 385,000 | 352,960 | |
| 4% 12/1/39 | 85,000 | 77,040 | |
| 4% 12/1/40 | 85,000 | 76,240 | |
| 4% 12/1/41 | 195,000 | 173,812 | |
| Highland Park Texas Independent School District Series 2016, 5% 2/15/27 | 1,095,000 | 1,125,925 | |
| Houston Arpt. Sys. Rev.: | |||
| (United Airlines, Inc. Technical Operations Ctr. Proj.) Series 2018, 5% 7/15/28 (d) | 1,785,000 | 1,806,879 | |
| (United Airlines, Inc. Term. E Proj.): | |||
Series 2020 A, 5% 7/1/27 (d) | 140,000 | 141,096 | |
Series 2021 A, 4% 7/1/41 (d) | 1,495,000 | 1,300,620 | |
| (United Airlines, Inc. Term. Impt. Projs.): | |||
Series 2015 B1: | |||
5% 7/15/30 (d) | 1,580,000 | 1,585,360 | |
5% 7/15/35 (d) | 2,085,000 | 2,083,005 | |
Series 2020 B2, 5% 7/15/27 (d) | 190,000 | 191,516 | |
Series 2021 B1, 4% 7/15/41 (d) | 2,310,000 | 2,009,124 | |
| (United Airlines, Inc., Term. E Proj.) Series 2014, 4.75% 7/1/24 (d) | 710,000 | 710,134 | |
| Series 2018 A: | |||
5% 7/1/36 (d) | 325,000 | 340,219 | |
5% 7/1/37 (d) | 630,000 | 655,185 | |
5% 7/1/41 (d) | 3,080,000 | 3,171,889 | |
| Series 2018 C: | |||
5% 7/1/29 (d) | 245,000 | 260,074 | |
5% 7/1/30 (d) | 260,000 | 275,992 | |
5% 7/1/31 (d) | 1,070,000 | 1,135,967 | |
5% 7/1/32 (d) | 1,315,000 | 1,395,108 | |
| Series 2018 D: | |||
5% 7/1/29 | 105,000 | 114,612 | |
5% 7/1/30 | 140,000 | 152,813 | |
5% 7/1/31 | 125,000 | 135,846 | |
5% 7/1/32 | 110,000 | 119,193 | |
5% 7/1/39 | 535,000 | 565,504 | |
| Series 2021 A: | |||
4% 7/1/37 (d) | 420,000 | 410,291 | |
4% 7/1/38 (d) | 480,000 | 466,767 | |
4% 7/1/41 (d) | 480,000 | 455,722 | |
4% 7/1/46 (d) | 2,415,000 | 2,244,500 | |
| Houston City of Higher Ed. Fin. Corp. (Houston Baptist Univ. Proj.) Series 2021: | |||
| 3.375% 10/1/37 | 50,000 | 42,233 | |
| 4% 10/1/51 | 170,000 | 140,748 | |
| Houston Convention and Entertainment Facilities Dept. Hotel Occupancy Tax and Spl. Rev.: | |||
| Series 2014, 5% 9/1/31 | 250,000 | 252,571 | |
| Series 2019, 5% 9/1/33 | 50,000 | 53,972 | |
| Houston Gen. Oblig. Series 2017 A: | |||
| 5% 3/1/28 | 905,000 | 970,745 | |
| 5% 3/1/31 | 645,000 | 692,066 | |
| 5% 3/1/32 | 240,000 | 257,066 | |
| Houston Util. Sys. Rev.: | |||
| Series 2014 D, 5% 11/15/44 | 725,000 | 729,341 | |
| Series 2016 B, 5% 11/15/33 | 420,000 | 446,566 | |
| Series 2017 B, 5% 11/15/35 | 65,000 | 69,723 | |
| Series 2020 C: | |||
4% 11/15/43 | 2,470,000 | 2,415,760 | |
4% 11/15/49 | 2,470,000 | 2,380,254 | |
5% 11/15/28 | 155,000 | 170,727 | |
5% 11/15/45 | 2,470,000 | 2,671,022 | |
| Series 2021 A: | |||
5% 11/15/26 | 25,000 | 26,542 | |
5% 11/15/28 | 100,000 | 110,146 | |
| Irving Hosp. Auth. Hosp. Rev. Series 2017 A: | |||
| 5% 10/15/28 | 55,000 | 57,115 | |
| 5% 10/15/30 | 230,000 | 238,276 | |
| 5% 10/15/32 | 120,000 | 124,010 | |
| 5% 10/15/33 | 60,000 | 61,910 | |
| 5% 10/15/34 | 95,000 | 97,813 | |
| 5% 10/15/35 | 95,000 | 97,436 | |
| 5% 10/15/36 | 80,000 | 81,694 | |
| 5% 10/15/37 | 140,000 | 142,436 | |
| 5% 10/15/38 | 195,000 | 197,995 | |
| 5% 10/15/44 | 565,000 | 563,855 | |
| Irving Hotel Occupancy Tax Rev. Series 2019: | |||
| 5% 8/15/35 | 30,000 | 31,259 | |
| 5% 8/15/37 | 45,000 | 46,112 | |
| 5% 8/15/38 | 50,000 | 50,959 | |
| 5% 8/15/43 | 90,000 | 90,612 | |
| Kaufman County Tex Fresh Wtr. Sup Series 2022, 4.5% 9/1/45 | 1,575,000 | 1,577,260 | |
| Klein Independent School District Series 2015 A, 5% 8/1/27 | 970,000 | 1,004,368 | |
| Lamar Consolidated Independent School District Series 2023: | |||
| 4% 2/15/48 | 2,095,000 | 2,009,552 | |
| 4% 2/15/53 | 1,465,000 | 1,379,265 | |
| 5.5% 2/15/58 | 10,100,000 | 11,352,013 | |
| Leander Independent School District Series 2015 A: | |||
| 5% 8/15/38 | 1,500,000 | 1,533,082 | |
| 5% 8/15/39 | 1,250,000 | 1,275,450 | |
| Love Field Arpt. Modernization Corp. (Southwest Airlines Co. Love Field Modernization Prog. Proj.) Series 2012, 5% 11/1/28 (d) | 965,000 | 965,111 | |
| Love Field Arpt. Modernization Rev.: | |||
| Series 2015: | |||
5% 11/1/26 (d) | 120,000 | 122,325 | |
5% 11/1/27 (d) | 260,000 | 265,374 | |
5% 11/1/28 (d) | 405,000 | 413,905 | |
5% 11/1/29 (d) | 245,000 | 250,666 | |
5% 11/1/32 (d) | 450,000 | 460,368 | |
| Series 2017: | |||
5% 11/1/24 (d) | 120,000 | 121,491 | |
5% 11/1/25 (d) | 120,000 | 123,063 | |
5% 11/1/26 (d) | 120,000 | 124,774 | |
5% 11/1/27 (d) | 120,000 | 124,175 | |
5% 11/1/28 (d) | 210,000 | 217,288 | |
5% 11/1/29 (d) | 150,000 | 155,104 | |
5% 11/1/30 (d) | 120,000 | 124,138 | |
5% 11/1/31 (d) | 270,000 | 279,890 | |
5% 11/1/32 (d) | 315,000 | 325,478 | |
5% 11/1/33 (d) | 290,000 | 299,407 | |
5% 11/1/34 (d) | 120,000 | 123,702 | |
5% 11/1/36 (d) | 290,000 | 296,714 | |
| Series 2021, 4% 11/1/40 (Assured Guaranty Muni. Corp. Insured) (d) | 250,000 | 238,083 | |
| Lower Colorado River Auth. Rev.: | |||
| (LCRA Transmission Svcs. Corp. Proj.): | |||
Series 2018: | |||
5% 5/15/33 | 250,000 | 271,719 | |
5% 5/15/35 | 120,000 | 129,413 | |
5% 5/15/43 | 95,000 | 99,488 | |
5% 5/15/48 | 110,000 | 114,341 | |
Series 2020 A, 5% 5/15/50 | 3,725,000 | 3,915,320 | |
Series 2020: | |||
5% 5/15/25 | 705,000 | 728,151 | |
5% 5/15/26 | 890,000 | 936,087 | |
5% 5/15/27 | 1,060,000 | 1,136,122 | |
5% 5/15/28 | 145,000 | 158,277 | |
Series 2023, 5.5% 5/15/48 (Assured Guaranty Muni. Corp. Insured) | 1,345,000 | 1,494,387 | |
| Series 2015 B: | |||
5% 5/15/30 | 250,000 | 257,621 | |
5% 5/15/31 | 400,000 | 411,853 | |
| Series 2015 D: | |||
5% 5/15/28 | 270,000 | 278,263 | |
5% 5/15/30 | 605,000 | 623,443 | |
| Lubbock Elec. Lt. & Pwr. Sys. Rev. Series 2021: | |||
| 4% 4/15/34 | 365,000 | 377,884 | |
| 4% 4/15/46 | 1,350,000 | 1,289,658 | |
| 4% 4/15/51 | 300,000 | 287,522 | |
| Matagorda County Navigation District No. 1 Poll. Cont. Rev.: | |||
| (AEP Texas Central Co. Proj.) Series 2008 2, 4% 6/1/30 | 845,000 | 818,299 | |
| (Central Pwr. and Lt. Co. Proj.) Series 2001 A, 2.6% 11/1/29 | 1,205,000 | 1,069,688 | |
| Bonds (Central Pwr. and Lt. Co. Proj.) Series 1996, 0.9%, tender 9/1/23 (b)(d) | 560,000 | 553,890 | |
| Midlothian Independent School District Bonds Series 2013 C, 2%, tender 8/1/24 (b) | 35,000 | 34,171 | |
| Mission Econ. Dev. Corp. Rev. (Natgasoline Proj.) Series 2018, 4.625% 10/1/31 (d)(f) | 4,880,000 | 4,720,731 | |
| Mission Econ. Dev. Corp. Solid Waste Disp. Rev. Bonds: | |||
| (Waste Mgmt., Inc. Proj.) Series 2020 A, 3.95%, tender 6/1/23 (b)(d) | 6,700,000 | 6,700,000 | |
| (Waste Mgmt., INC. Proj.) Series 2023 A, 4.25%, tender 6/3/24 (b) | 795,000 | 795,755 | |
| Montgomery County Toll Road Auth. Series 2018: | |||
| 5% 9/15/32 | 105,000 | 106,403 | |
| 5% 9/15/33 | 105,000 | 106,331 | |
| 5% 9/15/34 | 110,000 | 111,421 | |
| 5% 9/15/35 | 280,000 | 282,910 | |
| 5% 9/15/36 | 415,000 | 418,107 | |
| 5% 9/15/37 | 410,000 | 411,965 | |
| 5% 9/15/38 | 305,000 | 306,158 | |
| 5% 9/15/43 | 905,000 | 899,198 | |
| 5% 9/15/48 | 1,595,000 | 1,550,110 | |
| New Hope Cultural Ed. Facilities: | |||
| (Cardinal Bay, Inc. - Village on the Park/Carriage Inn Proj.) Series 2016 A1, 5% 7/1/46 | 30,000 | 20,550 | |
| Series 2019 A1, 5% 12/1/39 | 255,000 | 238,924 | |
| New Hope Cultural Ed. Facilities Corp. Cap. Impt. Rev.: | |||
| (CHF - Collegiate Hsg. Denton, L.L.C. - Texas Woman's Univ. Hsg. Proj.) Series 2018 A1, 5% 7/1/58 (Assured Guaranty Municipal Corp. Insured) | 800,000 | 803,809 | |
| Series 2018 A1, 5% 7/1/38 (Assured Guaranty Muni. Corp. Insured) | 100,000 | 101,919 | |
| New Hope Cultural Ed. Facilities Fin. (Texas A&M Univ. Cain Hall Redev. Proj.) Series 2016 A1, 5% 4/1/46 | 1,325,000 | 1,357,640 | |
| New Hope Cultural Ed. Facilities Fin. Corp.: | |||
| (CHF - Collegiate Hsg. Stephenville III, L.L.C. - Tarleton State Univ. Proj.) Series 2015 A: | |||
5% 4/1/24 (Escrowed to Maturity) | 125,000 | 126,576 | |
5% 4/1/30 (Pre-Refunded to 4/1/25 @ 100) | 145,000 | 149,366 | |
5% 4/1/35 (Pre-Refunded to 4/1/25 @ 100) | 410,000 | 422,344 | |
5% 4/1/47 (Pre-Refunded to 4/1/25 @ 100) | 1,645,000 | 1,694,528 | |
| (CHF Collegiate Hsg. College Station I, LLC Texas A&M Univ. Proj.): | |||
Series 2014 A: | |||
5% 4/1/29 | 820,000 | 814,221 | |
5% 4/1/46 | 2,200,000 | 1,988,938 | |
Series 2017 A, 5% 4/1/46 | 440,000 | 441,303 | |
| (CHF Collegiate Hsg. Island Campus, LLC Texas A&M Univ. Corpus Christi Island Campus Proj.) Series 2017 A: | |||
5% 4/1/37 (Pre-Refunded to 4/1/27 @ 100) | 240,000 | 256,156 | |
5% 4/1/42 (Pre-Refunded to 4/1/27 @ 100) | 280,000 | 298,849 | |
| (Childrens Med. Ctr. of Dallas) Series 2017 A: | |||
5% 8/15/27 | 90,000 | 96,240 | |
5% 8/15/28 | 85,000 | 91,079 | |
5% 8/15/29 | 245,000 | 263,114 | |
5% 8/15/47 | 345,000 | 353,262 | |
| Series 2020 A, 5% 7/1/57 | 1,405,000 | 1,138,407 | |
| New Hope Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev.: | |||
| (MRC Crestview Proj.) Series 2016: | |||
5% 11/15/36 (Pre-Refunded to 11/15/24 @ 102) | 80,000 | 83,259 | |
5% 11/15/46 (Pre-Refunded to 11/15/24 @ 102) | 595,000 | 619,236 | |
| (MRC Sr. Living - The Langford Proj.) Series 2016 A: | |||
5.375% 11/15/36 | 70,000 | 60,960 | |
5.5% 11/15/46 | 140,000 | 113,771 | |
5.5% 11/15/52 | 140,000 | 110,631 | |
| (Presbyterian Village North Proj.) Series 2018: | |||
5% 10/1/31 | 140,000 | 132,053 | |
5% 10/1/32 | 65,000 | 60,754 | |
5% 10/1/33 | 220,000 | 203,703 | |
5% 10/1/34 | 140,000 | 128,273 | |
5% 10/1/35 | 295,000 | 265,714 | |
5% 10/1/39 | 210,000 | 177,260 | |
5.25% 10/1/49 | 1,365,000 | 1,083,478 | |
| Series 2018 A, 5.5% 7/1/54 | 1,160,000 | 890,943 | |
| Series 2021 B, 2% 11/15/61 (j) | 1,317,693 | 536,338 | |
| New Hope Cultural Edl. Facilities Fin. Corp.: | |||
| Series 2020 A: | |||
5% 8/15/40 (f) | 250,000 | 227,378 | |
5% 8/15/50 (f) | 250,000 | 221,222 | |
| Series 2021: | |||
4% 8/15/41 (f) | 250,000 | 201,008 | |
4% 8/15/56 (f) | 250,000 | 176,434 | |
| Newark Higher Ed. Fin. Corp.: | |||
| (Abilene Christian Univ. Proj.) Series 2016 A: | |||
5% 4/1/27 | 90,000 | 93,405 | |
5% 4/1/28 | 100,000 | 104,035 | |
5% 4/1/29 | 115,000 | 119,875 | |
5% 4/1/30 | 415,000 | 432,922 | |
| Series 2021 A: | |||
4% 8/15/31 | 310,000 | 291,522 | |
4% 8/15/41 | 405,000 | 333,216 | |
| Series 2022, 4% 6/15/52 | 370,000 | 343,874 | |
| North Muni. Wtr. District Rws Rev. Series 2022, 4.375% 6/1/52 | 300,000 | 296,174 | |
| North East Texas Independent School District Bonds Series 2019, 2.2%, tender 8/1/24 (b) | 20,000 | 19,622 | |
| North East Texas Reg'l. Mobility Auth. Series 2016 B, 5% 1/1/46 | 250,000 | 246,514 | |
| North Texas Tollway Auth. Rev.: | |||
| (Sr. Lien Proj.) Series 2017 A: | |||
5% 1/1/30 | 80,000 | 83,779 | |
5% 1/1/31 | 120,000 | 125,551 | |
5% 1/1/33 | 145,000 | 153,761 | |
5% 1/1/34 | 240,000 | 254,408 | |
5% 1/1/34 | 365,000 | 428,187 | |
5% 1/1/35 | 345,000 | 364,719 | |
5% 1/1/36 | 795,000 | 836,426 | |
5% 1/1/37 | 2,710,000 | 2,836,946 | |
| (Sub Lien Proj.) Series 2017 B: | |||
5% 1/1/30 | 70,000 | 73,307 | |
5% 1/1/31 | 90,000 | 94,164 | |
5% 1/1/33 | 85,000 | 90,136 | |
| Series 2014, 5% 1/1/24 | 10,000 | 10,086 | |
| Series 2015 A: | |||
5% 1/1/32 | 490,000 | 501,751 | |
5% 1/1/35 | 500,000 | 510,695 | |
5% 1/1/38 | 1,325,000 | 1,352,412 | |
| Series 2015 B, 5% 1/1/45 | 3,450,000 | 3,503,364 | |
| Series 2016 A: | |||
4% 1/1/39 | 1,205,000 | 1,191,504 | |
5% 1/1/27 | 400,000 | 403,310 | |
5% 1/1/30 | 50,000 | 52,362 | |
5% 1/1/32 | 170,000 | 177,533 | |
5% 1/1/36 | 150,000 | 155,427 | |
5% 1/1/39 | 855,000 | 877,509 | |
| Series 2017 A: | |||
5% 1/1/38 | 45,000 | 45,020 | |
5% 1/1/39 | 4,225,000 | 4,447,778 | |
| Series 2018: | |||
0% 1/1/29 (Assured Guaranty Corp. Insured) | 845,000 | 696,183 | |
4% 1/1/37 | 1,500,000 | 1,504,034 | |
4% 1/1/38 | 3,205,000 | 3,180,092 | |
5% 1/1/35 | 30,000 | 32,133 | |
| Series 2019 A, 5% 1/1/38 | 320,000 | 340,806 | |
| Series 2019 B, 5% 1/1/25 | 40,000 | 40,890 | |
| Series 2021 B: | |||
3% 1/1/46 | 500,000 | 398,468 | |
3% 1/1/51 | 2,600,000 | 1,898,068 | |
3% 1/1/51 | 1,585,000 | 1,196,266 | |
4% 1/1/33 | 130,000 | 134,860 | |
| Series 2022 A: | |||
4.125% 1/1/39 | 750,000 | 750,019 | |
4.125% 1/1/40 | 1,500,000 | 1,483,479 | |
5% 1/1/40 | 2,900,000 | 3,145,111 | |
5.25% 1/1/38 | 1,300,000 | 1,447,025 | |
| Northlake Tex Muni. Mgmt. District # Series 2022: | |||
| 4.125% 3/1/48 | 1,340,000 | 1,250,061 | |
| 4.25% 3/1/46 | 1,230,000 | 1,183,980 | |
| Northwest Independent School District Series 2015 B, 5% 2/15/25 | 500,000 | 514,037 | |
| Pasadena Independent School District Bonds Series 2015 B, 1.5%, tender 8/15/24 (b) | 150,000 | 145,437 | |
| Peaster Tex Independent School District Series 2021, 3% 8/15/51 | 710,000 | 530,031 | |
| Pflugerville Gen. Oblig. Series 2023, 4% 8/1/49 (h) | 815,000 | 785,539 | |
| Port Arthur Series 2021: | |||
| 4% 2/15/35 | 130,000 | 132,456 | |
| 4% 2/15/37 | 170,000 | 169,937 | |
| 4% 2/15/38 | 85,000 | 83,898 | |
| 4% 2/15/39 | 60,000 | 59,112 | |
| 4% 2/15/40 | 70,000 | 68,492 | |
| 4% 2/15/41 | 70,000 | 68,276 | |
| Port Beaumont Indl. Dev. Auth. Facility Rev. (Jefferson Gulf Coast Energy Proj.) Series 2021 B, 4.1% 1/1/28 (f) | 4,000,000 | 3,195,406 | |
| Port Beaumont Navigation District (Jefferson Gulf Coast Energy Proj.) Series 2020 B, 6% 1/1/25 (f) | 2,010,000 | 1,891,525 | |
| Port Beaumont Navigation District Dock Facility Rev. (Jefferson Gulf Coast Energy Proj.): | |||
| Series 2020 A: | |||
3.625% 1/1/35 (d)(f) | 970,000 | 766,430 | |
4% 1/1/50 (d)(f) | 1,080,000 | 760,413 | |
| Series 2021 A: | |||
2.75% 1/1/36 (d)(f) | 100,000 | 70,164 | |
3% 1/1/50 (d)(f) | 1,335,000 | 768,979 | |
| Port of Port Arthur Navigation District Series 2017, 4% 3/1/47 (d) | 250,000 | 238,127 | |
| Prosper Independent School District Series 2018, 5% 2/15/48 | 1,250,000 | 1,304,623 | |
| Red River Ed. Fin. Corp. (Houston Baptist Univ. Proj.) Series 2017, 5.5% 10/1/46 | 1,185,000 | 1,207,815 | |
| Rockwall Independent School District: | |||
| Series 2016, 5% 2/15/46 (Pre-Refunded to 2/15/25 @ 100) | 245,000 | 252,178 | |
| Series 2023, 4% 2/15/53 | 590,000 | 578,633 | |
| Sabine-Neches Tex Nav District Series 2022, 5.25% 2/15/52 | 5,000,000 | 5,404,995 | |
| San Antonio Arpt. Sys. Rev. Series 2019 A: | |||
| 5% 7/1/31 (d) | 85,000 | 91,259 | |
| 5% 7/1/31 (d) | 80,000 | 85,801 | |
| 5% 7/1/32 (d) | 95,000 | 101,806 | |
| 5% 7/1/32 (d) | 85,000 | 91,185 | |
| San Antonio Edl. Facilities Corp. Rev. Series 2021 A, 4% 4/1/51 | 250,000 | 201,345 | |
| San Antonio Elec. & Gas Sys. Rev.: | |||
| Bonds Series 2020, 1.75%, tender 12/1/25 (b) | 690,000 | 653,012 | |
| Series 2012, 5.25% 2/1/24 | 305,000 | 308,581 | |
| Series 2015, 5% 2/1/31 | 1,280,000 | 1,343,385 | |
| Series 2016, 4% 2/1/28 | 935,000 | 950,081 | |
| Series 2017: | |||
5% 2/1/32 | 70,000 | 75,559 | |
5% 2/1/34 | 85,000 | 91,588 | |
| San Antonio Independent School District Series 2016, 5% 8/15/31 | 635,000 | 672,286 | |
| San Antonio Wtr. Sys. Rev.: | |||
| Bonds Series 2019 A, 2.625%, tender 5/1/24 (b) | 665,000 | 657,047 | |
| Series 2020 A, 5% 5/15/50 | 1,505,000 | 1,596,824 | |
| Series 2022 B, 5.25% 5/15/52 | 7,250,000 | 7,917,055 | |
| Southwest Higher Ed. Auth. Rev. (Southern Methodist Univ., TX. Proj.) Series 2017: | |||
| 5% 10/1/29 | 55,000 | 59,142 | |
| 5% 10/1/30 | 85,000 | 91,172 | |
| 5% 10/1/31 | 80,000 | 85,635 | |
| 5% 10/1/32 | 40,000 | 42,777 | |
| 5% 10/1/39 | 150,000 | 158,122 | |
| 5% 10/1/40 | 120,000 | 126,310 | |
| 5% 10/1/41 | 85,000 | 89,350 | |
| Tarrant County Series 2022, 5% 7/15/35 | 110,000 | 123,870 | |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev.: | |||
| (Baylor Scott & White Health Proj.) Series 2022 D, 5% 11/15/51 | 1,625,000 | 1,704,540 | |
| Series 2015, 5% 9/1/30 | 280,000 | 285,236 | |
| Series 2020, 5% 12/1/24 | 35,000 | 35,810 | |
| Series 2022: | |||
4% 10/1/41 | 480,000 | 469,679 | |
4% 10/1/42 | 80,000 | 77,383 | |
4% 10/1/47 | 1,085,000 | 1,030,110 | |
4% 10/1/52 | 190,000 | 177,358 | |
5% 10/1/36 | 35,000 | 38,447 | |
5% 10/1/40 | 130,000 | 139,441 | |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Retirement Facility Rev.: | |||
| (Barton Creek Sr. Living Ctr., Inc. Querencia Proj.) Series 2015: | |||
5% 11/15/30 | 245,000 | 241,404 | |
5% 11/15/35 | 295,000 | 281,563 | |
| (Buckner Retirement Svcs., Inc. Proj.): | |||
Series 2016 A: | |||
5% 11/15/28 | 170,000 | 171,872 | |
5% 11/15/37 | 675,000 | 677,022 | |
Series 2016 B, 5% 11/15/46 | 2,150,000 | 2,062,697 | |
| (Buckner Retirement Svcs., Inc.) Series 2016 B, 5% 11/15/40 | 965,000 | 954,537 | |
| (Buckner Sr. Living - Ventana Proj.) Series 2017 A, 6.625% 11/15/37 | 260,000 | 261,644 | |
| (Northwest Sr. Hsg. Corp. Edgemere Proj.): | |||
Series 2015 A, 5% 11/15/45 (i) | 2,300,000 | 920,000 | |
Series 2017, 5.25% 11/15/47 | 285,000 | 114,000 | |
| Series 2020, 5.75% 12/1/54 (g) | 3,043,304 | 1,978,148 | |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.: | |||
| (Trinity Terrace Proj.) Series 2014 A1, 5% 10/1/44 | 675,000 | 656,395 | |
| Series 2016 A: | |||
4% 2/15/35 | 605,000 | 609,861 | |
5% 2/15/41 | 1,320,000 | 1,352,905 | |
5% 2/15/47 | 4,055,000 | 4,136,596 | |
| Series 2018 B, 5% 7/1/43 | 80,000 | 82,348 | |
| Series 2022 A, 4% 7/1/53 | 2,455,000 | 2,239,028 | |
| Tarrant County Tex Hosp. District Series 2023, 4.25% 8/15/53 | 1,160,000 | 1,139,345 | |
| Temple Reinvestment Zone # One Tax Increment Rev. Series 2021 A: | |||
| 4% 8/1/33 | 40,000 | 41,473 | |
| 4% 8/1/34 | 50,000 | 51,763 | |
| 4% 8/1/37 | 40,000 | 40,295 | |
| 4% 8/1/38 | 35,000 | 34,539 | |
| 4% 8/1/41 | 40,000 | 38,637 | |
| Texas Affordable Hsg. Corp. Single Family Mtg. Rev. Series 2023 A, 5.5% 9/1/53 | 1,045,000 | 1,097,829 | |
| Texas Dept. of Hsg. & Cmnty. Affairs Residential Mtg. Rev. Series 2022 A, 3.5% 7/1/52 | 1,580,000 | 1,531,937 | |
| Texas Dept. of Hsg. & Cmnty. Affairs Single Family Mtg. Rev.: | |||
| Series 2019 A, 4% 3/1/50 | 825,000 | 815,522 | |
| Series 2021 A, 3% 3/1/52 | 2,860,000 | 2,724,878 | |
| Series 2022 A, 5.5% 9/1/52 | 1,280,000 | 1,352,077 | |
| Series 2022 B, 6% 3/1/53 | 2,200,000 | 2,389,318 | |
| Series A, 3.5% 3/1/51 | 815,000 | 791,723 | |
| Texas Gen. Oblig.: | |||
| Series 2014, 4% 4/1/33 (Pre-Refunded to 4/1/24 @ 100) | 1,500,000 | 1,507,970 | |
| Series 2015 A: | |||
3.3% 10/1/29 | 1,725,000 | 1,704,936 | |
5% 10/1/32 | 1,500,000 | 1,562,062 | |
| Series 2015 D, 3.4% 5/15/31 | 750,000 | 743,413 | |
| Series 2016 A: | |||
3% 8/1/27 | 250,000 | 244,288 | |
5% 4/1/37 | 1,000,000 | 1,037,916 | |
| Series 2016, 5% 4/1/33 | 1,800,000 | 1,887,548 | |
| Series 2022 B: | |||
5% 8/1/39 | 1,240,000 | 1,275,297 | |
5% 8/1/41 | 250,000 | 256,854 | |
| Texas Muni. Gas Acquisition & Supply Corp. I Gas Supply Rev. Series 2008 D, 6.25% 12/15/26 | 6,585,000 | 6,842,840 | |
| Texas Muni. Gas Acquisition And Supply Corp. Series 2021: | |||
| 5% 12/15/25 | 595,000 | 601,166 | |
| 5% 12/15/26 | 1,155,000 | 1,169,409 | |
| 5% 12/15/27 | 500,000 | 509,567 | |
| 5% 12/15/28 | 250,000 | 256,866 | |
| 5% 12/15/30 | 210,000 | 217,467 | |
| 5% 12/15/31 | 2,385,000 | 2,467,727 | |
| Texas Muni. Gas Acquisition and Supply Corp. II Gas Supply Rev. Series 2012 C, 3.902% 9/15/27 (b) | 7,490,000 | 7,413,007 | |
| Texas Muni. Pwr. Agcy. Rev. Series 2021, 3% 9/1/46 (Assured Guaranty Muni. Corp. Insured) | 3,000,000 | 2,307,757 | |
| Texas Private Activity Bond Surface Trans. Corp.: | |||
| (Blueridge Trans. Group, LLC SH 288 Toll Lanes Proj.) Series 2016: | |||
5% 12/31/45 (d) | 1,030,000 | 1,019,181 | |
5% 12/31/50 (d) | 4,895,000 | 4,782,891 | |
5% 12/31/55 (d) | 1,425,000 | 1,376,338 | |
| (LBJ Infrastructure Group LLC I-635 Managed Lanes Proj.) Series 2020 A: | |||
4% 6/30/35 | 270,000 | 262,496 | |
4% 6/30/36 | 555,000 | 531,893 | |
4% 12/31/36 | 115,000 | 109,390 | |
4% 6/30/37 | 410,000 | 387,178 | |
4% 12/31/37 | 225,000 | 211,405 | |
4% 6/30/38 | 135,000 | 126,548 | |
4% 12/31/38 | 125,000 | 116,994 | |
4% 6/30/39 | 1,270,000 | 1,181,838 | |
4% 12/31/39 | 110,000 | 102,083 | |
4% 6/30/40 | 1,060,000 | 976,519 | |
| (LBJ Infrastucutre Group LLC I-635 Managed Lanes Proj.) Series 2020 A, 4% 12/31/35 | 880,000 | 849,555 | |
| (NTE Mobility Partners LLC North Tarrant Express Managed Lanes Proj.) Series 2019 A, 4% 12/31/38 | 1,000,000 | 926,468 | |
| (NTE Mobility Partners Segments 3 LLC Segment 3C Proj.) Series 2019, 5% 6/30/58 (d) | 14,520,000 | 14,283,354 | |
| Series 2013: | |||
6.75% 6/30/43 (d) | 2,965,000 | 2,981,867 | |
7% 12/31/38 (d) | 2,085,000 | 2,098,905 | |
| Texas Pub. Fin. Auth. Lease Rev. Series 2019: | |||
| 4% 2/1/38 | 1,205,000 | 1,219,629 | |
| 5% 2/1/25 | 75,000 | 77,186 | |
| Texas Pub. Fin. Auth. Rev. Series 2016, 5% 5/1/28 | 210,000 | 218,704 | |
| Texas St Technical College Sys.: | |||
| Series 2022 A: | |||
5.75% 8/1/47 | 580,000 | 657,276 | |
6% 8/1/54 (Assured Guaranty Muni. Corp. Insured) | 555,000 | 634,898 | |
| Series 2022, 5.5% 8/1/42 (Assured Guaranty Muni. Corp. Insured) | 1,655,000 | 1,862,806 | |
| Texas State Univ. Sys. Fing. Rev.: | |||
| Series 2017 A: | |||
5% 3/15/31 | 505,000 | 540,158 | |
5% 3/15/32 | 1,065,000 | 1,137,513 | |
| Series 2019 A: | |||
4% 3/15/34 | 125,000 | 128,652 | |
4% 3/15/35 | 110,000 | 112,390 | |
5% 3/15/25 | 95,000 | 97,898 | |
| Texas Trans. Commission: | |||
| Series 2019 A: | |||
0% 8/1/37 | 95,000 | 46,651 | |
0% 8/1/38 | 70,000 | 32,237 | |
0% 8/1/39 | 80,000 | 34,639 | |
0% 8/1/40 | 80,000 | 32,518 | |
0% 8/1/41 | 250,000 | 95,674 | |
0% 8/1/43 | 175,000 | 59,759 | |
5% 8/1/57 | 4,100,000 | 4,105,963 | |
| Series 2021 A, 0% 8/1/42 | 215,000 | 77,883 | |
| Texas Trans. Commission Central Texas Tpk. Sys. Rev.: | |||
| Series 2015 C: | |||
5% 8/15/34 | 1,300,000 | 1,313,271 | |
5% 8/15/37 | 3,280,000 | 3,299,642 | |
5% 8/15/42 | 3,915,000 | 3,930,604 | |
| Series 2020 A, 5% 8/15/39 | 3,370,000 | 3,601,493 | |
| Texas Trans. Commission Hwy. Impt. Gen. Oblig. Bonds Series 2014 B, 0.65%, tender 4/1/26 (b) | 7,715,000 | 6,951,337 | |
| Texas Trans. Commission State Hwy. Fund Rev. Series 2015, 5% 10/1/25 | 500,000 | 520,916 | |
| Texas Wtr. Dev. Board Rev.: | |||
| Series 2015 A, 5% 10/15/45 | 750,000 | 765,110 | |
| Series 2018 A, 5% 10/15/43 | 1,480,000 | 1,568,318 | |
| Series 2018 B, 5% 4/15/49 | 170,000 | 179,735 | |
| Series 2020, 5% 8/1/30 | 705,000 | 800,552 | |
| Series 2022, 5% 8/1/41 | 1,900,000 | 2,112,473 | |
| Univ. of Houston Univ. Revs. Series 2017 A: | |||
| 5% 2/15/33 | 680,000 | 711,849 | |
| 5% 2/15/34 | 605,000 | 632,856 | |
| 5% 2/15/36 | 365,000 | 380,362 | |
| Univ. of North Texas Univ. Rev. Series 2017 A, 5% 4/15/32 | 255,000 | 273,675 | |
| Univ. of Texas Board of Regents Sys. Rev.: | |||
| Series 2019 B, 5% 8/15/49 | 2,510,000 | 2,919,712 | |
| Series 2020 C, 5% 8/15/31 | 2,120,000 | 2,462,911 | |
| Univ. of Texas Permanent Univ. Fund Rev.: | |||
| Series 2016 B, 5% 7/1/29 | 300,000 | 315,412 | |
| Series 2023 A, 5% 7/1/41 | 1,000,000 | 1,120,275 | |
| Upper Brushy Creek Wtr. Cont. & I Series 2022, 3% 8/15/47 | 250,000 | 194,217 | |
| Van Alstyne Independent School District Series 2022, 5% 2/15/47 | 1,500,000 | 1,654,738 | |
| Weatherford Independent School District Series 2002, 0% 2/15/33 | 850,000 | 601,767 | |
| West Harris County Reg'l. Wtr. Auth. Wtr. Sys. Rev. Series 2019, 4% 12/15/49 | 905,000 | 821,067 | |
| White Settlement Independent School District Series 2022, 4% 8/15/52 | 540,000 | 499,859 | |
| Woodloch Health Facilities Dev. Corp. (Inspired Living at Lewisville Proj.): | |||
| Series 2016 A1, 6.75% 12/1/51 (f)(g) | 615,000 | 448,950 | |
| Series 2016 B, 10% 12/1/51 | 205,000 | 10,250 | |
TOTAL TEXAS | 482,454,963 | ||
| Utah - 0.6% | |||
| Intermountain Pwr. Agcy. Pwr. Supply Rev. Series 2022 A: | |||
| 4% 7/1/36 | 3,795,000 | 3,896,081 | |
| 5% 7/1/32 | 1,750,000 | 2,019,277 | |
| 5% 7/1/33 | 1,300,000 | 1,498,556 | |
| 5% 7/1/45 | 3,000,000 | 3,259,598 | |
| Mida Golf & Equestrian Ctr. Pub. Infrastructure District Series 2021, 4.5% 6/1/51 (f) | 300,000 | 228,159 | |
| Mida Mountain Village Pub. Infrastructure Series 2020 A, 5% 8/1/50 (f) | 250,000 | 202,951 | |
| Military Installation Dev. Auth. Utah Tax Allocation Rev.: | |||
| Series 2021 A1, 4% 6/1/52 | 900,000 | 649,792 | |
| Series 2021 A2, 4% 6/1/52 | 1,805,000 | 1,293,593 | |
| Salt Lake City Arpt. Rev.: | |||
| Series 2017 A: | |||
5% 7/1/25 (d) | 245,000 | 250,423 | |
5% 7/1/27 (d) | 515,000 | 539,850 | |
5% 7/1/29 (d) | 450,000 | 470,893 | |
5% 7/1/30 (d) | 335,000 | 350,419 | |
5% 7/1/31 (d) | 640,000 | 669,532 | |
5% 7/1/33 (d) | 485,000 | 506,820 | |
5% 7/1/35 (d) | 485,000 | 503,872 | |
5% 7/1/36 (d) | 1,810,000 | 1,871,791 | |
5% 7/1/37 (d) | 2,500,000 | 2,574,281 | |
5% 7/1/42 (d) | 6,680,000 | 6,810,617 | |
5% 7/1/47 (d) | 9,205,000 | 9,340,783 | |
| Series 2017 B: | |||
5% 7/1/34 | 90,000 | 95,228 | |
5% 7/1/35 | 85,000 | 89,585 | |
5% 7/1/36 | 85,000 | 89,172 | |
5% 7/1/37 | 55,000 | 57,452 | |
5% 7/1/47 | 380,000 | 391,015 | |
| Series 2018 A: | |||
5% 7/1/33 (d) | 1,170,000 | 1,238,795 | |
5% 7/1/43 (d) | 3,250,000 | 3,339,248 | |
5.25% 7/1/48 (d) | 2,110,000 | 2,174,241 | |
| Series 2021 A: | |||
4% 7/1/41 (d) | 1,250,000 | 1,189,775 | |
5% 7/1/32 (d) | 1,250,000 | 1,364,946 | |
5% 7/1/34 (d) | 1,000,000 | 1,087,113 | |
5% 7/1/46 (d) | 750,000 | 778,518 | |
5% 7/1/51 (d) | 1,105,000 | 1,139,605 | |
| Series 2021 B: | |||
5% 7/1/46 | 470,000 | 504,365 | |
5% 7/1/51 | 1,880,000 | 2,004,345 | |
| Salt Lake City Pub. Utils. Rev. Series 2022, 5% 2/1/52 | 1,400,000 | 1,521,237 | |
| State Board of Regents of the State of Utah Series 1998 A, 5.5% 4/1/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 300,000 | 329,448 | |
| UIPA Crossroad Pub. Infrastructure District Series 2021: | |||
| 4.125% 6/1/41 (f) | 1,000,000 | 870,035 | |
| 4.375% 6/1/52 (f) | 1,520,000 | 1,289,287 | |
| Utah Bldg. Ownership Auth. Lease Rev. (State Facilities Master Lease Prog.) Series 2016, 3% 5/15/29 | 1,925,000 | 1,858,448 | |
| Utah Charter School Fin. Auth.: | |||
| (Syracuse Arts Academy Proj.) Series 2017: | |||
5% 4/15/42 | 1,165,000 | 1,179,846 | |
5% 4/15/47 | 905,000 | 913,407 | |
| (Utah Charter Academies Proj.) Series 2018: | |||
5% 10/15/43 | 275,000 | 279,836 | |
5% 10/15/48 | 290,000 | 293,718 | |
| Series 2017, 5% 4/15/37 | 210,000 | 214,267 | |
| Series 2019 A, 5% 4/15/49 | 390,000 | 395,926 | |
| Series 2020 A, 4% 10/15/54 | 250,000 | 211,347 | |
| Series 2020: | |||
4% 4/15/45 | 625,000 | 560,977 | |
4% 4/15/50 | 250,000 | 218,391 | |
| Utah County Hosp. Rev.: | |||
| Series 2014 A, 5% 5/15/45 | 500,000 | 504,067 | |
| Series 2016 B, 5% 5/15/46 | 1,500,000 | 1,533,618 | |
| Series 2018 A, 5% 5/15/41 | 3,125,000 | 3,216,550 | |
| Series 2020 A: | |||
5% 5/15/43 | 1,065,000 | 1,123,756 | |
5% 5/15/50 | 705,000 | 736,257 | |
| Utah Gen. Oblig.: | |||
| Series 2010 B, 3.539% 7/1/25 | 422,088 | 415,578 | |
| Series 2020: | |||
3% 7/1/33 | 550,000 | 535,085 | |
5% 7/1/26 | 65,000 | 68,633 | |
| Utah Hsg. Corp.: | |||
| Series 2019 G, 4.5% 7/21/49 | 151,967 | 147,964 | |
| Series 2019 H, 4.5% 8/21/49 | 92,890 | 90,443 | |
| Series 2019 I, 4% 9/21/49 | 150,200 | 141,982 | |
| Series 2020 B, 3.5% 2/21/50 | 230,153 | 215,881 | |
| Series 2021 I, 2.5% 8/21/51 | 753,868 | 639,735 | |
| Series 2021 J, 2.5% 9/21/51 | 2,926,776 | 2,477,914 | |
| Series 2022 G, 5% 7/21/52 | 732,370 | 712,231 | |
| Series 2022 H, 5% 8/21/52 | 1,177,888 | 1,170,044 | |
| Utah Infrastructure Agcy.: | |||
| Series 2017 A: | |||
5% 10/15/34 | 250,000 | 252,257 | |
5% 10/15/40 | 250,000 | 240,870 | |
| Series 2018 A, 5.375% 10/15/40 | 250,000 | 250,472 | |
| Series 2019: | |||
4% 10/15/24 | 365,000 | 360,300 | |
4% 10/15/30 | 490,000 | 469,405 | |
4% 10/15/34 | 240,000 | 220,991 | |
4% 10/15/39 | 420,000 | 354,733 | |
5% 10/15/25 | 270,000 | 270,899 | |
| Series 2021, 3% 10/15/45 | 490,000 | 316,151 | |
| Series 2022, 5% 10/15/46 | 410,000 | 380,423 | |
| Utah Infrastructure Agcy. Layton Series 2018, 5% 10/15/41 | 250,000 | 265,953 | |
TOTAL UTAH | 79,729,053 | ||
| Vermont - 0.1% | |||
| Univ. of Vermont and State Agricultural College Series 2019 A, 5% 10/1/49 | 600,000 | 630,161 | |
| Vermont Econ. Dev. Auth. Soli Bonds Series 2013, 4.625%, tender 4/3/28 (b)(d)(f) | 220,000 | 215,833 | |
| Vermont Edl. & Health Bldg. Fin. Agcy. Rev.: | |||
| (Champlain College Proj.) Series 2016 A: | |||
5% 10/15/41 | 695,000 | 662,931 | |
5% 10/15/46 | 845,000 | 783,002 | |
| (Middlebury College Proj.) Series 2020, 5% 11/1/49 | 1,500,000 | 1,577,166 | |
| (Saint Michael's College Proj.) Series 2023, 5.25% 10/1/52 (f) | 585,000 | 533,268 | |
| Vermont Hsg. Fin. Agcy.: | |||
| Series 2021 B, 3% 11/1/51 | 960,000 | 907,237 | |
| Series 2023 A, 6% 11/1/53 | 729,000 | 793,829 | |
| Series A, 3.75% 11/1/50 | 89,000 | 87,412 | |
| Vermont Student Assistant Corp. Ed. Ln. Rev.: | |||
| Series 2018 A: | |||
3.625% 6/15/29 (d) | 50,000 | 49,317 | |
3.75% 6/15/30 (d) | 50,000 | 49,330 | |
4% 6/15/33 (d) | 50,000 | 49,380 | |
4% 6/15/34 (d) | 55,000 | 54,324 | |
| Series 2018 B, 4.375% 6/15/46 (d) | 160,000 | 136,565 | |
| Series 2019 A: | |||
3% 6/15/35 (d) | 1,310,000 | 1,189,753 | |
5% 6/15/27 (d) | 705,000 | 737,228 | |
5% 6/15/29 (d) | 1,200,000 | 1,250,567 | |
| Series 2019 B, 4% 6/15/47 (d) | 265,000 | 215,430 | |
| Series 2019, 3.375% 6/15/36 (d) | 1,130,000 | 1,070,679 | |
| Series 2020 A, 5% 6/15/28 (d) | 705,000 | 730,047 | |
| Series 2021 A: | |||
2.375% 6/15/39 (d) | 215,000 | 186,046 | |
5% 6/15/29 (d) | 105,000 | 110,799 | |
5% 6/15/31 (d) | 120,000 | 127,854 | |
| Series 2022 A, 4.375% 6/15/40 (d) | 385,000 | 383,652 | |
TOTAL VERMONT | 12,531,810 | ||
| Virgin Islands - 0.2% | |||
| Matching Fund Spl. Purp. Securitization Corp. Series 2022 A: | |||
| 5% 10/1/25 | 75,000 | 75,783 | |
| 5% 10/1/26 | 365,000 | 367,978 | |
| 5% 10/1/30 | 2,950,000 | 2,953,384 | |
| 5% 10/1/32 | 3,950,000 | 3,920,683 | |
| 5% 10/1/39 | 12,305,000 | 12,101,814 | |
| Virgin Islands Pub. Fin. Auth.: | |||
| Series 2012 A, 5% 10/1/32 | 400,000 | 357,268 | |
| Series 2014 C: | |||
5% 10/1/30 (f) | 400,000 | 363,986 | |
5% 10/1/39 | 1,500,000 | 1,509,756 | |
5% 10/1/39 (f) | 300,000 | 241,373 | |
| Series 2015, 5% 9/1/30 (f) | 300,000 | 304,364 | |
TOTAL VIRGIN ISLANDS | 22,196,389 | ||
| Virginia - 1.3% | |||
| Alexandria Gen. Oblig. Series 2021 A, 1.875% 12/15/37 | 4,085,000 | 2,983,714 | |
| Arlington County IDA Hosp. Facilities Series 2020: | |||
| 4% 7/1/38 | 205,000 | 204,552 | |
| 4% 7/1/45 | 1,250,000 | 1,197,119 | |
| 5% 7/1/27 | 240,000 | 254,097 | |
| 5% 7/1/36 | 480,000 | 520,025 | |
| Arlington County Indl. Rev. (County Projs.) Series 2017, 5% 2/15/43 | 400,000 | 425,005 | |
| Charles City County Solid Wt Rev. Bonds Series 2002, 1.45%, tender 4/1/27 (b)(d) | 85,000 | 76,666 | |
| Chesapeake Bay Bridge and Tunnel District Gen. Resolution Rev. Series 2016: | |||
| 5% 7/1/41 (Assured Guaranty Muni. Corp. Insured) | 1,265,000 | 1,295,804 | |
| 5% 7/1/46 | 4,380,000 | 4,446,660 | |
| 5% 7/1/51 | 2,985,000 | 3,022,044 | |
| Chesapeake Gen. Oblig. Series 2020 A: | |||
| 5% 8/1/34 | 65,000 | 74,308 | |
| 5% 8/1/35 | 75,000 | 85,184 | |
| Chesapeake Trans. Sys. Toll Road Rev. Series 2012 B, 0% 7/15/40 (e) | 1,055,000 | 1,070,464 | |
| Commonwealth Trans. Board Grant Anticipation Rev.: | |||
| Series 2017 A, 5% 9/15/23 | 1,500,000 | 1,507,176 | |
| Series 2020, 5% 9/15/23 | 2,000,000 | 2,009,568 | |
| Fairfax County Econ. Dev. Auth. Residential Care Facility Rev. Series 2013 A: | |||
| 5% 12/1/32 (Pre-Refunded to 12/1/23 @ 100) | 230,000 | 231,742 | |
| 5% 12/1/42 (Pre-Refunded to 12/1/23 @ 100) | 395,000 | 397,992 | |
| 5% 12/1/47 (Pre-Refunded to 12/1/23 @ 100) | 280,000 | 282,121 | |
| Fairfax County Indl. Dev. Auth. (Inova Health Sys. Proj.): | |||
| Series 2014 A, 5% 5/15/44 | 1,475,000 | 1,484,435 | |
| Series 2016 A, 5% 5/15/31 | 590,000 | 623,313 | |
| Fairfax County Redev. & Hsg. Auth. Rev. Series 2019, 5% 10/1/35 | 830,000 | 899,201 | |
| Farmville Indl. Edl. Facilities Rev. (Longwood Univ. Student Hsg. Projs.): | |||
| Series 2018 A: | |||
5% 1/1/48 | 250,000 | 234,530 | |
5% 1/1/55 | 700,000 | 643,884 | |
| Series 2020 A, 5% 1/1/59 | 250,000 | 227,312 | |
| Freddie Mac Series 2022-ML13 Class XCA, 0.9538% 7/25/36 (b)(k) | 9,934,617 | 498,655 | |
| Fredericksburg Econ. Dev. Auth. Rev. Series 2014: | |||
| 5% 6/15/25 | 570,000 | 574,699 | |
| 5% 6/15/26 | 110,000 | 111,072 | |
| 5% 6/15/30 | 150,000 | 151,396 | |
| Greater Richmond Convention Ctr. Auth. Hotel Tax Rev. Series 2015, 5% 6/15/31 (Pre-Refunded to 6/15/25 @ 100) | 1,370,000 | 1,413,483 | |
| Hampton Roads Trans. Accountability Commission: | |||
| Series 2018 A, 5.5% 7/1/57 (Pre-Refunded to 1/1/28 @ 100) | 5,965,000 | 6,651,661 | |
| Series 2020 A: | |||
5% 7/1/45 | 1,250,000 | 1,354,553 | |
5% 7/1/60 | 1,030,000 | 1,102,845 | |
| Henrico County Econ. Dev. Auth. Residential Care Facility Rev. Series 2022 A: | |||
| 5% 10/1/47 | 575,000 | 583,169 | |
| 5% 10/1/52 | 605,000 | 609,626 | |
| Indl. Dev. Auth. Botetourt County Residential Care Facility Rev. Series 2014 A, 6% 7/1/34 | 1,030,000 | 1,036,562 | |
| James City County Econ. Dev. Auth. Residential Care Facility Rev. Series 2013 A, 6% 6/1/43 (Pre-Refunded to 6/1/23 @ 100) | 318,093 | 318,093 | |
| King George County Indl. Dev. Auth. Solid Waste Disp. Fac. Rev. (King George Landfill, Inc. Proj.) Series 2003 A, 2.5% 6/1/23 (b)(d) | 310,000 | 310,000 | |
| Louisa Indl. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2008 B, 0.75%, tender 9/2/25 (b) | 885,000 | 809,496 | |
| Lynchburg Econ. Dev. Series 2021: | |||
| 3% 1/1/51 | 1,310,000 | 912,153 | |
| 4% 1/1/55 | 2,675,000 | 2,368,847 | |
| Lynchburg Econ. Dev. Auth. (Randolph College Projs.) Series 2018, 5% 9/1/48 | 250,000 | 250,429 | |
| Norfolk Econ. Dev. Auth. Hosp. Facilities Rev. Bonds Series 2018 A, 5%, tender 11/1/28 (b) | 145,000 | 156,951 | |
| Norfolk Redev. & Hsg. Auth. Rev.: | |||
| (Fort Norfolk Retirement Cmnty., Inc. Harbors Edge Proj.) Series 2014: | |||
5% 1/1/35 | 565,000 | 513,016 | |
5% 1/1/46 | 725,000 | 572,641 | |
5.375% 1/1/35 | 880,000 | 826,125 | |
5.375% 1/1/46 | 600,000 | 502,610 | |
| Series 2019 A, 5% 1/1/49 | 455,000 | 351,331 | |
| Northern Transn Auth. Transn Series 2014, 5% 6/1/33 | 340,000 | 344,825 | |
| Peninsula Ccda Spl. Oblig. Series 2018, 4.5% 9/1/45 (f) | 205,000 | 178,859 | |
| Roanoke Econ. Dev. Auth. Edl. Facilities Series 2018 A: | |||
| 4% 9/1/48 | 250,000 | 209,287 | |
| 5% 9/1/27 | 30,000 | 31,068 | |
| Roanoke Econ. Dev. Authority. Series 2020 A, 3% 7/1/45 | 1,000,000 | 788,309 | |
| Salem Econ. Dev. Auth. Series 2020: | |||
| 4% 4/1/38 | 20,000 | 18,357 | |
| 4% 4/1/39 | 15,000 | 13,607 | |
| 4% 4/1/40 | 20,000 | 17,943 | |
| 4% 4/1/45 | 50,000 | 43,110 | |
| 5% 4/1/24 | 20,000 | 20,133 | |
| 5% 4/1/26 | 20,000 | 20,466 | |
| 5% 4/1/27 | 20,000 | 20,666 | |
| 5% 4/1/28 | 30,000 | 31,306 | |
| 5% 4/1/29 | 35,000 | 36,850 | |
| 5% 4/1/49 | 65,000 | 65,109 | |
| Stafford County Econ. Dev. Auth. Hosp. Facilities Rev.: | |||
| (Mary Washington Hosp. Proj.) Series 2016, 3% 6/15/29 | 100,000 | 96,472 | |
| Series 2016: | |||
4% 6/15/37 | 110,000 | 105,111 | |
5% 6/15/27 | 185,000 | 192,610 | |
5% 6/15/28 | 55,000 | 57,260 | |
5% 6/15/30 | 80,000 | 83,142 | |
5% 6/15/33 | 210,000 | 217,912 | |
5% 6/15/34 | 100,000 | 103,568 | |
5% 6/15/35 | 455,000 | 469,564 | |
5% 6/15/36 | 665,000 | 682,919 | |
| Tobacco Settlement Fing. Corp.: | |||
| Series 2007 A1, 6.706% 6/1/46 | 775,000 | 706,060 | |
| Series 2007 C1, 0% 6/1/47 | 6,265,000 | 1,566,128 | |
| Toll Road Investors Partnership II, LP: | |||
| 0% 2/15/25 (f) | 1,704,000 | 1,515,092 | |
| 0% 2/15/26 (f) | 1,295,000 | 1,079,956 | |
| 0% 2/15/27 (f) | 181,000 | 141,342 | |
| 0% 2/15/28 (f) | 528,000 | 384,596 | |
| 0% 2/15/33 (f) | 790,000 | 410,205 | |
| 0% 2/15/43 (f) | 5,200,216 | 1,430,361 | |
| Univ. of Virginia Gen. Rev. Series 2017 A, 5% 4/1/47 | 2,710,000 | 2,859,555 | |
| Virginia College Bldg. Auth. Edl. Facilities Rev.: | |||
| (21St Century Collage and Equip. Programs) Series 2021 A: | |||
4% 2/1/34 | 4,345,000 | 4,562,945 | |
4% 2/1/35 | 6,250,000 | 6,524,791 | |
| (21st Century College and Equip. Programs) Series 2015 D, 3% 2/1/26 | 1,000,000 | 984,290 | |
| (21st CenturyCollege and Equip. Programs) Series 2015 D, 3.15% 2/1/28 | 1,000,000 | 985,641 | |
| (Marymount Univ. Proj.): | |||
Series 2015 A: | |||
5% 7/1/23 (f) | 195,000 | 194,942 | |
5% 7/1/24 (f) | 210,000 | 209,599 | |
5% 7/1/25 (f) | 215,000 | 214,446 | |
5% 7/1/30 (f) | 665,000 | 665,622 | |
5% 7/1/35 (f) | 200,000 | 198,026 | |
5% 7/1/45 (f) | 440,000 | 413,657 | |
Series 2015 B: | |||
5% 7/1/45 (f) | 845,000 | 794,409 | |
5.25% 7/1/30 (f) | 380,000 | 382,584 | |
5.25% 7/1/35 (f) | 405,000 | 406,484 | |
| (Regent Univ. Proj.) Series 2021: | |||
5% 6/1/27 | 80,000 | 81,325 | |
5% 6/1/28 | 85,000 | 86,951 | |
5% 6/1/29 | 85,000 | 87,379 | |
| Virginia College Bldg. Auth. Edl. Facilities Rev. Rfdg. Pub. Higher Ed. Fing. Prog. Series 2023 A, 4% 9/1/42 | 6,375,000 | 6,257,512 | |
| Virginia Commonwealth Trans. Board Rev.: | |||
| (Virginia Gen. Oblig. Proj.) Series 2017 A: | |||
5% 5/15/32 | 130,000 | 141,029 | |
5% 5/15/33 | 110,000 | 119,275 | |
| Series 2019, 3% 5/15/37 | 4,000,000 | 3,586,148 | |
| Series 2022, 4% 5/15/36 | 1,310,000 | 1,364,370 | |
| Virginia Commonwealth Univ. Health Sys. Auth. Series 2017 A, 4% 7/1/40 | 2,805,000 | 2,705,725 | |
| Virginia Hsg. Dev. Auth. Series 2022 G, 5.15% 11/1/52 | 1,350,000 | 1,393,085 | |
| Virginia Port Auth. Port Facilities Rev. Series 2016 B: | |||
| 5% 7/1/41 (d) | 1,530,000 | 1,550,466 | |
| 5% 7/1/45 (d) | 2,345,000 | 2,370,333 | |
| Virginia Pub. Bldg. Auth. Pub. Facilities Rev.: | |||
| Series 2015 A, 3.3% 8/1/28 | 1,250,000 | 1,250,723 | |
| Series 2019 A, 4% 8/1/36 | 1,625,000 | 1,671,227 | |
| Virginia Small Bus. Fing. Auth.: | |||
| (95 Express Lanes LLC Proj.) Series 2022: | |||
4% 7/1/39 (d) | 600,000 | 551,929 | |
4% 1/1/40 (d) | 440,000 | 401,735 | |
4% 1/1/41 (d) | 215,000 | 194,996 | |
4% 1/1/48 (d) | 8,335,000 | 7,183,217 | |
5% 7/1/33 (d) | 820,000 | 872,385 | |
5% 7/1/34 (d) | 270,000 | 286,810 | |
5% 7/1/35 (d) | 305,000 | 321,583 | |
5% 1/1/36 (d) | 335,000 | 349,957 | |
5% 7/1/37 (d) | 190,000 | 196,022 | |
| (Elizabeth River Crossings OPCO, LLC Proj.) Series 2022, 4% 7/1/32 (d) | 785,000 | 775,914 | |
| (Elizabeth River Crossings OpCo, LLC Proj.) Series 2022: | |||
4% 1/1/35 (d) | 2,635,000 | 2,576,630 | |
4% 7/1/35 (d) | 1,740,000 | 1,690,033 | |
4% 1/1/37 (d) | 4,355,000 | 4,138,303 | |
4% 1/1/38 (d) | 2,935,000 | 2,737,714 | |
4% 1/1/39 (d) | 1,180,000 | 1,089,916 | |
4% 1/1/40 (d) | 6,230,000 | 5,694,905 | |
| (I-495 Hot Lanes Proj.) Series 2022: | |||
5% 12/31/42 (d) | 1,000,000 | 1,025,260 | |
5% 12/31/47 (d) | 6,510,000 | 6,589,658 | |
| (I-495 Hot Lanes Projs.) Series 2022, 5% 12/31/57 (d) | 4,015,000 | 4,030,357 | |
| (Transform 66 P3 Proj.) Series 2017: | |||
5% 12/31/47 (d) | 360,000 | 358,975 | |
5% 12/31/49 (d) | 1,845,000 | 1,827,778 | |
5% 12/31/52 (d) | 3,560,000 | 3,511,133 | |
5% 12/31/56 (d) | 10,820,000 | 10,595,387 | |
| Series 2014, 5.25% 10/1/29 | 130,000 | 132,100 | |
| Series 2020 A: | |||
4% 1/1/45 | 400,000 | 349,539 | |
5% 1/1/33 | 400,000 | 426,377 | |
5% 1/1/35 | 655,000 | 696,109 | |
| Virginia Small Bus. Fing. Auth. Health Care Facilities Rev. Series 2020 A, 4% 12/1/49 | 2,460,000 | 2,267,265 | |
| Virginia St Resources Auth. Inf Series 2014 B, 3.75% 11/1/30 | 2,750,000 | 2,763,494 | |
| West Point Indl. Dev. Auth. Series 1994 A, 6.375% (d)(i) | 115,000 | 1 | |
| Winchester Econ. Dev. Auth. Series 2015: | |||
| 5% 1/1/31 | 305,000 | 315,964 | |
| 5% 1/1/34 | 185,000 | 191,088 | |
| 5% 1/1/35 | 185,000 | 190,752 | |
| 5% 1/1/44 | 260,000 | 263,535 | |
| Wise County Indl. Dev. Auth. Waste & Sewage Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2010 A, 1.2%, tender 5/31/24 (b) | 580,000 | 560,559 | |
| York County Econ. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. and Pwr. Co. Proj.) Series 2009 A, 1.9%, tender 6/1/23 (b) | 20,000 | 20,000 | |
TOTAL VIRGINIA | 164,498,441 | ||
| Washington - 1.3% | |||
| Adams County Pub. Hosp. District No. 2 Series 2014, 5.125% 12/1/44 | 375,000 | 375,319 | |
| Central Puget Sound Reg'l. Trans. Auth. Sales & Use Tax Rev. Series 2016 S1, 5% 11/1/41 | 2,775,000 | 2,880,887 | |
| Chelan County Pub. Util. District #1 Columbia River-Rock Island Hydro-Elec. Sys. Rev. Series A, 0% 6/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 85,000 | 71,356 | |
| Energy Northwest Elec. Rev.: | |||
| Series 2014 C, 5% 7/1/28 | 1,610,000 | 1,638,329 | |
| Series 2015 A, 5% 7/1/35 | 250,000 | 257,756 | |
| Series 2020 A: | |||
5% 7/1/33 | 1,105,000 | 1,254,927 | |
5% 7/1/34 | 530,000 | 600,028 | |
5% 7/1/35 | 750,000 | 842,634 | |
5% 7/1/36 | 705,000 | 786,120 | |
5% 7/1/37 | 700,000 | 775,080 | |
| Series 2022 A, 5% 7/1/36 | 2,875,000 | 3,286,674 | |
| Everett Hsg. Auth. Rev. (Huntington Park Apts. Proj.) Series 2022, 4% 7/1/37 | 2,700,000 | 2,525,609 | |
| Grays Hbr. County Gen. Oblig. Series 2018: | |||
| 5% 12/15/33 | 400,000 | 419,702 | |
| 5% 12/15/38 | 510,000 | 524,145 | |
| 5% 12/15/48 | 985,000 | 1,003,526 | |
| King County Gen. Oblig. Series 2019, 5% 1/1/37 | 750,000 | 821,157 | |
| King County Hsg. Auth. Rev. Series 2021: | |||
| 4% 6/1/26 | 400,000 | 403,457 | |
| 4% 6/1/28 | 255,000 | 259,250 | |
| 4% 12/1/29 | 45,000 | 46,028 | |
| North Thurston Pub. Schools (Washington State School District Cr. Enhancement Prog.) Series 2014, 3.5% 12/1/29 | 750,000 | 751,076 | |
| Pend Oreille Pub. Util. District Series 2018, 5% 1/1/48 | 250,000 | 252,938 | |
| Pierce County Wash School District # 4 Series 2016, 5% 12/1/35 | 1,770,000 | 1,858,616 | |
| Port of Seattle Rev.: | |||
| Series 2013: | |||
5% 7/1/28 (d) | 1,500,000 | 1,500,825 | |
5% 7/1/29 (d) | 250,000 | 250,111 | |
| Series 2015 B, 5% 3/1/25 | 225,000 | 229,259 | |
| Series 2015 C, 5% 4/1/34 (d) | 680,000 | 686,604 | |
| Series 2016 B: | |||
5% 10/1/28 (d) | 425,000 | 438,569 | |
5% 10/1/30 (d) | 245,000 | 252,490 | |
| Series 2016: | |||
5% 2/1/25 | 70,000 | 71,742 | |
5% 2/1/28 | 110,000 | 114,919 | |
| Series 2017 C, 5% 5/1/42 (d) | 2,050,000 | 2,081,815 | |
| Series 2019 A, 4% 4/1/44 (d) | 1,380,000 | 1,248,933 | |
| Series 2019: | |||
5% 4/1/33 (d) | 905,000 | 967,975 | |
5% 4/1/34 (d) | 965,000 | 1,030,092 | |
5% 4/1/35 (d) | 5,300,000 | 5,625,139 | |
5% 4/1/38 (d) | 2,135,000 | 2,228,096 | |
5% 4/1/44 (d) | 2,025,000 | 2,102,048 | |
| Series 2021 C: | |||
5% 8/1/24 (d) | 1,380,000 | 1,398,719 | |
5% 8/1/25 (d) | 1,795,000 | 1,841,575 | |
5% 8/1/26 (d) | 2,390,000 | 2,478,641 | |
5% 8/1/27 (d) | 950,000 | 998,123 | |
5% 8/1/28 (d) | 2,650,000 | 2,820,621 | |
5% 8/1/38 (d) | 1,300,000 | 1,380,483 | |
5% 8/1/46 (d) | 500,000 | 521,251 | |
| Series 2022 B: | |||
4% 8/1/47 (d) | 320,000 | 287,776 | |
5% 8/1/40 (d) | 2,000,000 | 2,126,141 | |
5% 8/1/41 (d) | 1,000,000 | 1,059,608 | |
| Seattle Hsg. Auth. Rev. (Northgate Plaza Proj.) Series 2021, 1% 6/1/26 | 1,760,000 | 1,600,948 | |
| Snohomish County Pub. Util. District #1 Series 2015, 5% 12/1/45 | 955,000 | 967,781 | |
| Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev.: | |||
| Series 2013 B: | |||
5% 12/1/25 (Pre-Refunded to 6/1/23 @ 100) | 680,000 | 680,000 | |
5% 12/1/27 (Pre-Refunded to 6/1/23 @ 100) | 500,000 | 500,000 | |
| Series 2017, 5% 12/1/38 | 75,000 | 76,820 | |
| Tacoma Elec. Sys. Rev. Series 2017: | |||
| 5% 1/1/37 | 55,000 | 57,586 | |
| 5% 1/1/38 | 55,000 | 57,548 | |
| Washington Convention Ctr. Pub. Facilities: | |||
| Series 2018, 4% 7/1/58 | 385,000 | 315,663 | |
| Series 2021 A, 5% 7/1/58 | 250,000 | 251,495 | |
| Series 2021 B: | |||
3% 7/1/43 | 500,000 | 376,789 | |
3% 7/1/58 | 275,000 | 177,579 | |
3% 7/1/58 (Assured Guaranty Muni. Corp. Insured) | 5,615,000 | 4,020,572 | |
4% 7/1/58 | 250,000 | 204,976 | |
| Series 2021, 4% 7/1/31 | 10,045,000 | 9,557,892 | |
| Washington Gen. Oblig.: | |||
| Series 2013 D, 4% 7/1/29 | 900,000 | 900,758 | |
| Series 2014 D, 5% 2/1/30 | 400,000 | 404,389 | |
| Series 2014 E: | |||
5% 2/1/33 | 1,850,000 | 1,869,690 | |
5% 2/1/37 | 2,560,000 | 2,580,350 | |
5% 2/1/39 | 1,705,000 | 1,716,656 | |
| Series 2015 E, 5% 7/1/26 | 1,000,000 | 1,027,687 | |
| Series 2016 C, 5% 2/1/39 | 165,000 | 170,120 | |
| Series 2017 D: | |||
5% 2/1/33 | 545,000 | 582,355 | |
5% 2/1/35 | 30,000 | 31,917 | |
| Series 2018 C: | |||
5% 8/1/30 | 810,000 | 873,083 | |
5% 2/1/41 | 65,000 | 68,991 | |
| Series 2020 A: | |||
5% 8/1/40 | 750,000 | 811,237 | |
5% 8/1/44 | 1,050,000 | 1,137,559 | |
| Series 2020 C, 5% 2/1/29 | 1,035,000 | 1,154,265 | |
| Series 2020 R, 4% 7/1/29 | 1,375,000 | 1,453,927 | |
| Series 2021 A, 5% 8/1/43 | 60,000 | 65,141 | |
| Series 2021 C, 5% 2/1/44 | 4,435,000 | 4,827,242 | |
| Series 2021 E: | |||
5% 6/1/37 | 330,000 | 369,553 | |
5% 6/1/43 | 1,640,000 | 1,794,711 | |
| Series 2021 F: | |||
5% 6/1/36 | 2,675,000 | 3,030,079 | |
5% 6/1/39 | 305,000 | 338,782 | |
5% 6/1/40 | 3,535,000 | 3,911,373 | |
| Series 2021 R, 4% 7/1/41 | 3,470,000 | 3,466,112 | |
| Series 2022 A: | |||
5% 8/1/35 | 7,700,000 | 8,802,961 | |
5% 8/1/42 | 5,000,000 | 5,506,178 | |
| Series 2022 C, 5% 2/1/47 | 6,475,000 | 7,069,509 | |
| Series 2022 D: | |||
4% 7/1/36 | 2,050,000 | 2,125,485 | |
4% 7/1/37 | 1,425,000 | 1,458,883 | |
| Series 2022 RB, 5% 2/1/29 | 780,000 | 869,881 | |
| Series 2023 A: | |||
5% 8/1/25 | 1,500,000 | 1,558,563 | |
5% 8/1/35 | 1,800,000 | 2,085,321 | |
5% 8/1/44 | 1,165,000 | 1,285,067 | |
| Series R-2017 A: | |||
5% 8/1/27 | 55,000 | 58,117 | |
5% 8/1/28 | 55,000 | 58,202 | |
5% 8/1/30 | 300,000 | 316,444 | |
| Washington Health Care Facilities Auth. Rev.: | |||
| (Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B: | |||
5% 7/1/25 | 100,000 | 101,017 | |
5% 7/1/27 | 185,000 | 188,933 | |
5% 7/1/28 | 230,000 | 230,770 | |
5% 7/1/29 | 115,000 | 115,223 | |
5% 7/1/30 | 105,000 | 105,159 | |
5% 7/1/31 | 180,000 | 180,295 | |
5% 7/1/32 | 245,000 | 245,149 | |
5% 7/1/33 | 345,000 | 345,006 | |
5% 7/1/34 | 230,000 | 229,402 | |
5% 7/1/35 | 130,000 | 129,214 | |
5% 7/1/36 | 125,000 | 123,784 | |
5% 7/1/42 | 1,715,000 | 1,675,871 | |
| (Providence Health Systems Proj.): | |||
Series 2012 A, 5% 10/1/25 | 625,000 | 625,574 | |
Series 2018 B: | |||
5% 10/1/30 | 65,000 | 68,056 | |
5% 10/1/31 | 85,000 | 88,780 | |
5% 10/1/32 | 60,000 | 62,510 | |
5% 10/1/33 | 140,000 | 145,497 | |
| (Virginia Mason Med. Ctr. Proj.) Series 2017: | |||
5% 8/15/25 | 15,000 | 15,252 | |
5% 8/15/26 | 15,000 | 15,423 | |
5% 8/15/27 | 105,000 | 109,260 | |
| (Virginia Mason Med. Ctr. Proj.) Series 2017: | |||
5% 8/15/29 | 125,000 | 130,431 | |
5% 8/15/30 | 55,000 | 57,428 | |
| Bonds Series 2019 B2, 5%, tender 8/1/25 (b) | 965,000 | 983,371 | |
| Series 2015, 5% 1/1/27 (Pre-Refunded to 7/1/25 @ 100) | 285,000 | 295,177 | |
| Series 2017 A, 4% 7/1/42 | 370,000 | 328,614 | |
| Series 2017 B, 4% 8/15/41 | 405,000 | 376,250 | |
| Series 2017: | |||
4% 8/15/42 | 3,260,000 | 2,842,311 | |
5% 8/15/34 | 400,000 | 409,460 | |
5% 8/15/36 | 30,000 | 30,352 | |
5% 8/15/37 | 365,000 | 366,933 | |
| Series 2019 A 1, 4% 8/1/44 | 180,000 | 166,512 | |
| Series 2019 A1: | |||
5% 8/1/34 | 105,000 | 111,677 | |
5% 8/1/37 | 55,000 | 57,381 | |
| Series 2019 A2: | |||
5% 8/1/35 | 160,000 | 169,036 | |
5% 8/1/39 | 65,000 | 67,415 | |
5% 8/1/44 | 825,000 | 848,949 | |
| Series 2020: | |||
5% 9/1/38 | 130,000 | 137,772 | |
5% 9/1/45 | 1,240,000 | 1,290,468 | |
5% 9/1/50 | 690,000 | 716,872 | |
5% 9/1/55 | 3,705,000 | 3,832,394 | |
| Washington Higher Ed. Facilities Auth. Rev.: | |||
| (Gonzaga Univ. Proj.) Series 2019 A, 3% 4/1/49 | 2,165,000 | 1,580,284 | |
| (Seattle Pacific Univ. Proj.) Series 2020 A, 5% 10/1/45 | 175,000 | 168,197 | |
| (Whitworth Univ. Proj.) Series 2016 A: | |||
5% 10/1/25 | 30,000 | 30,577 | |
5% 10/1/26 | 130,000 | 133,944 | |
5% 10/1/27 | 260,000 | 268,437 | |
5% 10/1/28 | 270,000 | 279,527 | |
5% 10/1/34 | 185,000 | 189,822 | |
5% 10/1/35 | 330,000 | 337,607 | |
5% 10/1/36 | 415,000 | 422,962 | |
5% 10/1/40 | 500,000 | 504,477 | |
| Series 2023, 4% 4/1/41 | 630,000 | 589,866 | |
| Washington Hsg. Fin. Commission: | |||
| Series 2021 1, 3.5% 12/20/35 | 5,870,970 | 5,370,031 | |
| Series 2021 1N, 3% 12/1/49 | 1,420,000 | 1,362,093 | |
| Washington Hsg. Fin. Commission Nonprofit Hsg. Rev.: | |||
| (Eliseo Proj.) Series 2021 A, 4% 1/1/41 (f) | 300,000 | 232,892 | |
| (Judson Park Proj.) Series 2018, 5% 7/1/48 (f) | 295,000 | 235,069 | |
| (Presbyterian Retirement Cmntys. Northwest Projs.) Series 2016 A: | |||
5% 1/1/46 (f) | 455,000 | 340,014 | |
5% 1/1/51 (f) | 1,735,000 | 1,251,183 | |
| (The Hearthstone Proj.) Series 2018 A: | |||
5% 7/1/48 (f) | 405,000 | 292,341 | |
5% 7/1/53 (f) | 100,000 | 70,121 | |
| (Transforming Age Projs.) Series 2019 A, 5% 1/1/55 (f) | 2,350,000 | 1,660,190 | |
| Eliseo Proj. Series 2021 A, 4% 1/1/51 (f) | 300,000 | 208,168 | |
| Series 2015 A, 7% 7/1/45 (Pre-Refunded to 7/1/25 @ 100) (f) | 1,205,000 | 1,282,117 | |
| Whidbey Island Pub. Hosp. District Series 2013, 5.375% 12/1/39 | 250,000 | 203,107 | |
TOTAL WASHINGTON | 173,034,410 | ||
| West Virginia - 0.1% | |||
| Monongalia County West Commission Spl. District Excise Tax Rev.: | |||
| Series 2017 A: | |||
5.5% 6/1/37 (f) | 445,000 | 452,911 | |
5.75% 6/1/43 (f) | 445,000 | 453,567 | |
| Series 2021 A, 4.125% 6/1/43 (f) | 610,000 | 533,894 | |
| Series 2021 B, 4.875% 6/1/43 (f) | 425,000 | 391,088 | |
| West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. Bonds: | |||
| (Appalachian Pwr. Co. Amos Proj.): | |||
Series 2010 A, 0.625%, tender 12/15/25 (b) | 710,000 | 642,184 | |
Series 2011 A, 1%, tender 9/1/25 (b)(d) | 670,000 | 618,301 | |
| (Arch Resources Proj.) Series 2020, 5%, tender 7/1/25 (b)(d) | 420,000 | 420,235 | |
| (Wheeling Pwr. Co. - Mitchell Proj.) Series 2013 A, 3%, tender 6/18/27 (b)(d) | 975,000 | 924,083 | |
| West Virginia Hosp. Fin. Auth. Hosp. Rev.: | |||
| Series 2018 A: | |||
4% 1/1/37 | 250,000 | 235,338 | |
4% 6/1/51 | 1,495,000 | 1,389,660 | |
4.125% 1/1/47 | 300,000 | 265,018 | |
5% 1/1/31 | 200,000 | 205,981 | |
5% 1/1/32 | 160,000 | 164,329 | |
5% 1/1/33 | 105,000 | 107,511 | |
| Series 2019 A: | |||
5% 9/1/38 | 175,000 | 176,676 | |
5% 9/1/39 | 50,000 | 50,193 | |
| West Virginia Hsg. Dev. Fund Series 2018 A: | |||
| 3.45% 11/1/33 | 135,000 | 131,720 | |
| 3.75% 11/1/38 | 125,000 | 117,857 | |
| West Virginia Parkways Auth. Series 2021: | |||
| 5% 6/1/25 | 705,000 | 728,213 | |
| 5% 6/1/26 | 705,000 | 742,381 | |
| 5% 6/1/27 | 705,000 | 757,129 | |
| 5% 6/1/28 | 1,060,000 | 1,161,710 | |
| West Virginia Wtr. Dev. Auth. Series 2016 AII, 5% 11/1/33 | 140,000 | 146,713 | |
| Wheeling Combined Wtrwks. and Sewerage Sys. Series 2021 A, 4% 6/1/46 | 125,000 | 120,573 | |
TOTAL WEST VIRGINIA | 10,937,265 | ||
| Wisconsin - 1.0% | |||
| Blue Ridge Healthcare Pub. Fin. Auth. Series 2020 A, 4% 1/1/45 | 220,000 | 199,573 | |
| Mount Pleasant Tax Increment Rev. Series 2018 A: | |||
| 5% 4/1/43 | 420,000 | 440,890 | |
| 5% 4/1/48 | 2,890,000 | 2,954,353 | |
| Pub. Fin. Auth. Charter School Rev. Series 2020 A: | |||
| 4% 7/1/30 (f) | 55,000 | 50,893 | |
| 5% 7/1/40 (f) | 100,000 | 91,599 | |
| 5% 7/1/55 (f) | 205,000 | 173,906 | |
| Pub. Fin. Auth. Ed. Rev. Mountain Island Charter School: | |||
| Series 2015: | |||
4.95% 3/1/30 (f) | 25,000 | 25,166 | |
5.25% 3/1/35 (f) | 25,000 | 25,262 | |
| Series 2017 A, 5.125% 6/15/47 (f) | 370,000 | 316,927 | |
| Series 2017: | |||
5% 7/1/37 | 115,000 | 115,212 | |
5% 7/1/47 | 280,000 | 271,660 | |
5% 7/1/52 | 605,000 | 577,689 | |
| Series 2019 A: | |||
4% 6/15/29 (f) | 130,000 | 121,109 | |
5% 6/15/39 (f) | 140,000 | 125,972 | |
5% 6/15/49 (f) | 245,000 | 202,598 | |
| Series 2022: | |||
5% 1/1/42 (f) | 500,000 | 453,791 | |
5% 6/15/42 | 130,000 | 123,868 | |
5.25% 6/15/52 | 190,000 | 181,136 | |
5.375% 6/15/57 | 180,000 | 173,105 | |
5.5% 6/15/62 | 285,000 | 274,864 | |
| Series 2023 A, 6.25% 6/15/48 (f)(h) | 705,000 | 699,698 | |
| Pub. Fin. Auth. Edl. Facilities: | |||
| Series 2016, 5.5% 1/1/47 | 250,000 | 250,349 | |
| Series 2018 A: | |||
5.25% 10/1/43 | 1,195,000 | 1,171,464 | |
5.25% 10/1/48 | 1,195,000 | 1,146,330 | |
| Series 2021, 4% 3/1/27 (f) | 795,000 | 747,362 | |
| Series 2022 A: | |||
5.25% 3/1/42 | 770,000 | 772,643 | |
5.25% 3/1/47 | 5,650,000 | 5,627,973 | |
| Pub. Fin. Auth. Edl. Rev. Series 2019: | |||
| 5% 6/15/39 | 40,000 | 40,297 | |
| 5% 6/15/49 | 130,000 | 126,498 | |
| 5% 6/15/53 | 85,000 | 81,818 | |
| Pub. Fin. Auth. Health Care Sys. Rev. Series 2022 A: | |||
| 4% 10/1/52 | 2,030,000 | 1,903,866 | |
| 5% 10/1/52 | 2,000,000 | 2,066,756 | |
| Pub. Fin. Auth. Higher Edcuational Faclities Rev. (Gannon Univ. Proj.) Series 2017: | |||
| 5% 5/1/42 | 235,000 | 226,105 | |
| 5% 5/1/47 | 125,000 | 117,393 | |
| Pub. Fin. Auth. Hosp. Rev.: | |||
| (Renown Reg'l. Med. Ctr. Proj.) Series 2020 A: | |||
5% 6/1/34 | 420,000 | 443,843 | |
5% 6/1/38 | 600,000 | 617,865 | |
| Series 2019 A: | |||
4% 10/1/49 | 1,680,000 | 1,534,217 | |
5% 10/1/44 | 2,100,000 | 2,135,407 | |
| Series 2021 A, 4% 2/1/51 | 180,000 | 153,354 | |
| Pub. Fin. Auth. Hotel Rev. (Grand Hyatt San Antonio Hotel Acquisition Proj.) Series 2022 A: | |||
| 5% 2/1/42 | 795,000 | 787,385 | |
| 5% 2/1/52 | 1,545,000 | 1,464,761 | |
| 5% 2/1/62 | 1,490,000 | 1,389,297 | |
| Pub. Fin. Auth. Hotel/Conference Ctr. Facilities Rev. Series 2021 A: | |||
| 4% 9/1/36 (f) | 400,000 | 355,395 | |
| 4% 9/1/41 (f) | 360,000 | 297,237 | |
| 4% 9/1/51 (f) | 670,000 | 505,467 | |
| 4% 9/1/56 (f) | 355,000 | 260,902 | |
| Pub. Fin. Auth. Ltd. Oblig.: | |||
| (American Dream @ Meadowlands Proj.) Series 2017 A, 6.25% 8/1/27 (f) | 2,810,000 | 2,146,138 | |
| Series 2017, 5.625% 8/1/24 (f)(g) | 1,105,000 | 843,944 | |
| Pub. Fin. Auth. Ltd. Oblig. Pilot Rev. (American Dream Meadowlands Proj.) Series 2017, 7% 12/1/50 (f) | 1,705,000 | 1,463,244 | |
| Pub. Fin. Auth. Retirement Cmntys. Rev. Series 2020 A, 5% 11/15/41 | 635,000 | 606,970 | |
| Pub. Fin. Auth. Rev.: | |||
| (CFP3 - Eastern Michigan Univ. Student Hsg. Proj.) Series 2022 A1: | |||
5.25% 7/1/42 | 1,775,000 | 1,927,080 | |
5.375% 7/1/47 | 1,350,000 | 1,458,273 | |
5.5% 7/1/52 | 1,490,000 | 1,618,983 | |
5.625% 7/1/55 | 1,140,000 | 1,240,111 | |
| (Irving Convention Ctr. Hotel) Series 2017 A2, 7% 1/1/50 (f) | 300,000 | 325,180 | |
| Series 2016 A, 5% 1/1/24 (d) | 520,000 | 521,780 | |
| Series 2016 B, 5% 12/1/25 (d) | 1,140,000 | 1,154,932 | |
| Series 2016 C, 4.3% 11/1/30 (d) | 705,000 | 687,924 | |
| Series 2016 D, 4.05% 11/1/30 | 350,000 | 336,097 | |
| Pub. Fin. Auth. Spl. Facilities Rev.: | |||
| (Sky Harbour Cap. Llc Aviation Facilities Proj.) Series 2021, 4% 7/1/41 (d) | 500,000 | 381,900 | |
| Series 2021, 4.25% 7/1/54 (d) | 1,930,000 | 1,381,317 | |
| Pub. Fin. Auth. Sr. Living Rev.: | |||
| (Mary's Woods At Marylhurst, Inc. Proj.) Series 2017 A: | |||
5% 5/15/25 (f) | 130,000 | 128,879 | |
5% 5/15/28 (f) | 190,000 | 185,363 | |
5.25% 5/15/37 (f) | 455,000 | 425,896 | |
5.25% 5/15/42 (f) | 310,000 | 279,016 | |
5.25% 5/15/47 (f) | 850,000 | 738,483 | |
5.25% 5/15/52 (f) | 965,000 | 822,910 | |
| (Rose Villa Proj.) Series 2014 A: | |||
5.125% 11/15/29 (Pre-Refunded to 11/15/24 @ 100) (f) | 100,000 | 101,905 | |
5.5% 11/15/34 (Pre-Refunded to 11/15/24 @ 100) (f) | 95,000 | 97,308 | |
5.75% 11/15/44 (Pre-Refunded to 11/15/24 @ 100) (f) | 80,000 | 82,224 | |
6% 11/15/49 (Pre-Refunded to 11/15/24 @ 100) (f) | 155,000 | 159,785 | |
| Series 2019 A, 4% 1/1/46 | 500,000 | 390,644 | |
| Pub. Fin. Auth. Student Hsg.: | |||
| (Beyond Boone, LLC - Appalachian State Univ. Proj.) Series 2020 A: | |||
4% 7/1/45 (Assured Guaranty Muni. Corp. Insured) | 170,000 | 157,752 | |
4% 7/1/50 (Assured Guaranty Muni. Corp. Insured) | 145,000 | 131,105 | |
4% 7/1/55 (Assured Guaranty Muni. Corp. Insured) | 165,000 | 145,711 | |
| (CHF - Wilmington, L.L.C. - Univ. of North Carolina at Wilmington Proj.) Series 2018: | |||
5% 7/1/48 (Assured Guaranty Muni. Corp. Insured) | 1,280,000 | 1,318,646 | |
5% 7/1/53 (Assured Guaranty Muni. Corp. Insured) | 760,000 | 780,224 | |
5% 7/1/58 (Assured Guaranty Muni. Corp. Insured) | 1,065,000 | 1,093,340 | |
| (NC A&T Real Estate Estate Foundation, LLC Proj.) Series 2019 A, 5% 6/1/49 | 250,000 | 230,131 | |
| (Univ. of Hawai'i Foundation Proj.): | |||
Series 2021 B, 5.25% 7/1/61 (f) | 355,000 | 269,706 | |
Series 2021, 4% 7/1/61 (f) | 1,505,000 | 1,076,704 | |
| Series 2018, 5% 7/1/36 (Assured Guaranty Muni. Corp. Insured) | 105,000 | 110,460 | |
| Series 2019 A, 5% 7/1/44 (Assured Guaranty Muni. Corp. Insured) | 80,000 | 81,777 | |
| Series 2021 A1, 4% 7/1/51 (f) | 575,000 | 433,651 | |
| Series 2021 A2, 5.35% 7/1/40 (f) | 300,000 | 248,210 | |
| Series 2022 A, 5% 5/1/60 (f) | 195,000 | 168,982 | |
| Series 2022 B, 9% 5/1/71 (f) | 100,000 | 101,325 | |
| Pub. Fin. Auth. Wisconsin Arpt. Facilities Rev. Series 2012 B: | |||
| 5% 7/1/42 (d) | 385,000 | 379,424 | |
| 5.25% 7/1/28 (d) | 2,265,000 | 2,266,376 | |
| Pub. Fin. Auth. Wisconsin Retirement Facility Rev.: | |||
| Series 2018: | |||
5% 10/1/43 (f) | 1,425,000 | 1,215,600 | |
5% 10/1/48 (f) | 750,000 | 615,902 | |
5% 10/1/53 (f) | 1,435,000 | 1,149,708 | |
| Series 2021 A: | |||
4% 10/1/46 | 65,000 | 48,984 | |
4% 10/1/51 | 195,000 | 139,886 | |
| Series 2021 C, 4% 10/1/41 | 50,000 | 40,066 | |
| Series 2021, 4% 12/1/56 | 250,000 | 204,038 | |
| Roseman Univ. of Health: | |||
| (Church Home of Hartford, Inc. Proj.) Series 2015 A: | |||
5% 9/1/30 (f) | 150,000 | 144,340 | |
5% 9/1/38 (f) | 290,000 | 258,333 | |
| (Fargo-Moorhead Metropolitan Area Flood Risk Mgmt. Proj.) Series 2021, 4% 9/30/51 (d) | 550,000 | 438,067 | |
| (Roseman Univ. of Health Sciences Proj.) Series 2015, 5.875% 4/1/45 | 300,000 | 303,676 | |
| (Searstone CCRC Proj.): | |||
Series 2017 A: | |||
5.513% 6/1/37 (b) | 1,150,000 | 1,196,000 | |
5.613% 6/1/47 (b) | 1,585,000 | 1,648,400 | |
5.688% 6/1/52 (b) | 555,000 | 577,200 | |
Series 2021 B2, 2.25% 6/1/27 (f) | 470,000 | 433,979 | |
Series 2023 A, 5% 6/1/52 (f) | 1,140,000 | 916,834 | |
| (Ultimate Med. Academy Proj.) Series 2019 A, 5% 10/1/39 (f) | 500,000 | 480,011 | |
| (Wonderful Foundations Charter School Portfolio Projs.): | |||
Series 2020 A1, 5% 1/1/55 (f) | 1,050,000 | 774,187 | |
Series 2020 B, 0% 1/1/60 (f) | 300,000 | 16,664 | |
| Series 2020: | |||
5% 1/1/40 | 250,000 | 241,515 | |
5% 4/1/40 (f) | 410,000 | 395,500 | |
5% 4/1/40 (Pre-Refunded to 4/1/30 @ 100) (f) | 15,000 | 16,943 | |
5% 1/1/45 | 725,000 | 682,986 | |
5% 4/1/50 (f) | 295,000 | 270,170 | |
| Series 2021 A: | |||
3% 7/1/50 | 1,150,000 | 823,211 | |
4.5% 6/1/56 (f) | 8,170,000 | 5,996,354 | |
| Series 2021 B, 6.5% 6/1/56 (f) | 1,870,000 | 1,499,318 | |
| Series 2021 C, 2.75% 6/1/26 (f) | 250,000 | 241,800 | |
| Series 2022: | |||
4% 4/1/32 (f) | 515,000 | 485,246 | |
4% 1/1/47 | 100,000 | 84,904 | |
4% 1/1/52 | 105,000 | 85,467 | |
| Series 2023 A, 5% 6/1/37 (f) | 510,000 | 468,958 | |
| Series 2023, 5.5% 7/1/39 (d) | 935,000 | 968,917 | |
| Univ. of Wisconsin Hosp. & Clinics Auth. Series 2021 B, 4% 4/1/51 | 2,890,000 | 2,708,791 | |
| Waunakee Wis Cmnty. School District Series 2023, 3.25% 4/1/28 | 1,000,000 | 979,732 | |
| Wisconsin Ctr. District Tax Rev.: | |||
| Series 2020 C: | |||
0% 12/15/31 (Assured Guaranty Muni. Corp. Insured) | 100,000 | 71,759 | |
0% 12/15/32 (Assured Guaranty Muni. Corp. Insured) | 140,000 | 95,880 | |
0% 12/15/33 (Assured Guaranty Muni. Corp. Insured) | 135,000 | 88,129 | |
0% 12/15/34 (Assured Guaranty Muni. Corp. Insured) | 125,000 | 77,576 | |
0% 12/15/35 (Assured Guaranty Muni. Corp. Insured) | 160,000 | 94,042 | |
0% 12/15/36 (Assured Guaranty Muni. Corp. Insured) | 155,000 | 85,905 | |
0% 12/15/37 (Assured Guaranty Muni. Corp. Insured) | 155,000 | 80,949 | |
0% 12/15/38 (Assured Guaranty Muni. Corp. Insured) | 160,000 | 79,183 | |
0% 12/15/39 (Assured Guaranty Muni. Corp. Insured) | 150,000 | 70,072 | |
0% 12/15/40 (Assured Guaranty Muni. Corp. Insured) | 35,000 | 15,460 | |
| Series 2020 D: | |||
0% 12/15/32 (Assured Guaranty Muni. Corp. Insured) | 135,000 | 92,455 | |
0% 12/15/33 (Assured Guaranty Muni. Corp. Insured) | 210,000 | 137,089 | |
0% 12/15/34 (Assured Guaranty Muni. Corp. Insured) | 200,000 | 124,122 | |
0% 12/15/35 (Assured Guaranty Muni. Corp. Insured) | 300,000 | 176,328 | |
0% 12/15/36 (Assured Guaranty Muni. Corp. Insured) | 310,000 | 171,810 | |
0% 12/15/37 (Assured Guaranty Muni. Corp. Insured) | 505,000 | 263,738 | |
0% 12/15/38 (Assured Guaranty Muni. Corp. Insured) | 545,000 | 269,718 | |
0% 12/15/39 (Assured Guaranty Muni. Corp. Insured) | 595,000 | 277,952 | |
0% 12/15/40 (Assured Guaranty Muni. Corp. Insured) | 255,000 | 112,635 | |
| Wisconsin Envir. Impt. Fund Rev. Series 2020 A, 5% 6/1/35 | 1,715,000 | 1,910,286 | |
| Wisconsin Gen. Oblig.: | |||
| Series 2014 4, 5% 5/1/25 | 80,000 | 82,022 | |
| Series 2021 A: | |||
5% 5/1/33 | 35,000 | 38,623 | |
5% 5/1/36 | 4,785,000 | 5,214,126 | |
| Series 2022 A, 5% 5/1/34 | 255,000 | 295,042 | |
| Wisconsin Health & Edl. Facilities: | |||
| (Ascension Health Cr. Group Proj.) Series 2016 A, 5% 11/15/36 | 605,000 | 625,976 | |
| (Saint John's Cmntys., Inc. Proj.) Series 2018 A: | |||
5% 9/15/40 (Pre-Refunded to 9/15/23 @ 100) | 235,000 | 235,920 | |
5% 9/15/45 (Pre-Refunded to 9/15/23 @ 100) | 315,000 | 316,233 | |
5% 9/15/50 (Pre-Refunded to 9/15/23 @ 100) | 1,615,000 | 1,621,321 | |
| Series 2014: | |||
4% 5/1/33 | 505,000 | 505,688 | |
5% 5/1/25 | 45,000 | 45,436 | |
| Series 2015, 5% 12/15/44 | 435,000 | 437,255 | |
| Series 2016 A: | |||
5% 2/15/28 | 290,000 | 297,633 | |
5% 2/15/29 | 375,000 | 385,145 | |
5% 2/15/30 | 415,000 | 426,064 | |
| Series 2017 A: | |||
5% 9/1/29 (Pre-Refunded to 9/1/27 @ 100) | 705,000 | 758,260 | |
5% 9/1/30 (Pre-Refunded to 9/1/27 @ 100) | 70,000 | 75,288 | |
5% 9/1/31 (Pre-Refunded to 9/1/27 @ 100) | 120,000 | 129,066 | |
5% 9/1/32 (Pre-Refunded to 9/1/27 @ 100) | 60,000 | 64,533 | |
5% 9/1/33 (Pre-Refunded to 9/1/27 @ 100) | 210,000 | 225,865 | |
5% 9/1/35 (Pre-Refunded to 9/1/27 @ 100) | 230,000 | 247,376 | |
| Series 2017 C: | |||
4% 2/15/42 | 625,000 | 553,817 | |
4% 2/15/50 | 610,000 | 502,458 | |
5% 2/15/47 | 170,000 | 165,422 | |
| Series 2017: | |||
5% 6/1/37 | 155,000 | 139,913 | |
5% 6/1/41 | 235,000 | 204,673 | |
| Series 2018, 5% 4/1/34 | 1,545,000 | 1,677,694 | |
| Series 2019 A: | |||
5% 11/1/25 | 15,000 | 14,647 | |
5% 11/1/26 | 250,000 | 241,551 | |
5% 11/1/29 | 10,000 | 9,397 | |
5% 12/1/30 | 20,000 | 21,586 | |
5% 12/1/31 | 20,000 | 21,579 | |
5% 12/1/32 | 20,000 | 21,563 | |
5% 12/1/33 | 20,000 | 21,529 | |
5% 12/1/34 | 20,000 | 21,462 | |
5% 12/1/35 | 30,000 | 32,003 | |
5% 11/1/39 | 405,000 | 344,587 | |
5% 7/1/44 | 30,000 | 30,716 | |
5% 11/1/46 | 1,195,000 | 954,494 | |
5% 7/1/49 | 530,000 | 540,737 | |
5% 11/1/54 | 1,745,000 | 1,332,233 | |
| Series 2019 B, 5% 7/1/38 | 25,000 | 25,791 | |
| Series 2019 B1, 2.825% 11/1/28 | 335,000 | 295,104 | |
| Series 2019 B2, 2.55% 11/1/27 | 80,000 | 74,792 | |
| Series 2019: | |||
5% 10/1/24 | 15,000 | 15,288 | |
5% 10/1/26 | 35,000 | 36,910 | |
5% 10/1/30 | 285,000 | 310,926 | |
5% 10/1/32 | 600,000 | 652,212 | |
| Series 2020 A: | |||
4% 2/15/36 (Assured Guaranty Muni. Corp. Insured) | 255,000 | 257,593 | |
4% 2/15/37 (Assured Guaranty Muni. Corp. Insured) | 230,000 | 230,678 | |
| Series 2022 A, 4% 4/1/40 | 4,510,000 | 4,246,008 | |
| Wisconsin Health & Edl. Facilities Auth. Rev.: | |||
| Series 2012, 5% 6/1/39 | 65,000 | 64,252 | |
| Series 2021: | |||
4% 1/1/37 | 485,000 | 393,010 | |
4% 1/1/47 | 595,000 | 425,200 | |
4% 1/1/57 | 1,040,000 | 692,815 | |
| Series 2022 A, 5.5% 12/1/52 | 3,070,000 | 3,315,979 | |
| Series 2022: | |||
4% 9/15/36 | 105,000 | 89,131 | |
4% 9/15/41 | 105,000 | 84,574 | |
4% 9/15/45 | 90,000 | 68,942 | |
| Wisconsin Hsg. & Econ. Dev. Auth.: | |||
| Series 2021 A, 3% 3/1/52 | 55,000 | 52,402 | |
| Series 2021 C, 3% 9/1/52 | 1,100,000 | 1,048,919 | |
| Wisconsin Hsg. & Econ. Dev. Auth. Hsg. Rev. Bonds Series 2021 C: | |||
| 0.61%, tender 5/1/24 (b) | 205,000 | 196,971 | |
| 0.81%, tender 5/1/25 (b) | 685,000 | 646,128 | |
TOTAL WISCONSIN | 123,272,398 | ||
| Wyoming - 0.0% | |||
| Laramie County Hosp. Rev. (Cheyenne Reg'l. Med. Ctr. Proj.) Series 2021: | |||
| 4% 5/1/35 | 45,000 | 45,498 | |
| 4% 5/1/37 | 40,000 | 39,437 | |
| Wyoming Cmnty. Dev. Auth. Hsg. Rev.: | |||
| Series 2019 3, 3.75% 12/1/49 | 130,000 | 128,545 | |
| Series 2022 1, 3.5% 6/1/52 | 1,075,000 | 1,043,008 | |
TOTAL WYOMING | 1,256,488 | ||
| TOTAL MUNICIPAL BONDS (Cost $7,954,903,902) | 7,764,797,192 | ||
| Municipal Notes - 1.2% | |||
Principal Amount (a) | Value ($) | ||
| Alabama - 0.1% | |||
| Columbia Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.) Series 2014 B, 3.99% 6/1/23, VRDN (b) | 3,700,000 | 3,700,000 | |
| West Jefferson Indl. Dev. Board Solid Waste Disp. Rev. (Alabama Pwr. Co. Miller Plant Proj.) Series 2008, 4.15% 6/1/23, VRDN (b)(d) | 1,000,000 | 1,000,000 | |
| Wilsonville Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. Proj.) Series D, 4% 6/1/23, VRDN (b) | 4,100,000 | 4,100,000 | |
TOTAL ALABAMA | 8,800,000 | ||
| Alaska - 0.0% | |||
| Valdez Marine Term. Rev. (Exxon Pipeline Co. Proj.) Series 1993 C, 3.85% 6/1/23, VRDN (b) | 300,000 | 300,000 | |
| Arizona - 0.0% | |||
| Arizona Health Facilities Auth. Rev. Series 2015 C, 3.85% 6/1/23, LOC Bank of America NA, VRDN (b) | 250,000 | 250,000 | |
| Arizona Indl. Dev. Auth. Hosp. Rev. Series 2019 A, 3.85% 6/1/23, LOC JPMorgan Chase Bank, VRDN (b) | 100,000 | 100,000 | |
| Phoenix Indl. Dev. Auth. Health Care Facilities Series 2014 B, 3.85% 6/1/23 (Liquidity Facility Northern Trust Co.), VRDN (b) | 600,000 | 600,000 | |
TOTAL ARIZONA | 950,000 | ||
| California - 0.3% | |||
| Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2023 A, 2.7% 6/1/23, LOC Barclays Bank PLC, VRDN (b) | 1,800,000 | 1,800,000 | |
| California Statewide Cmntys. Dev. Auth. Multi-family Hsg. Rev. Participating VRDN: | |||
| Series MIZ 91 21, 4.65% 6/1/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(d)(l)(m) | 6,240,000 | 6,240,000 | |
| Series MIZ 91 22, 4.65% 6/1/23 (Liquidity Facility Mizuho Cap. Markets LLC) (b)(d)(l)(m) | 26,000,000 | 26,000,000 | |
| Los Angeles Dept. of Wtr. & Pwr. Rev.: | |||
| Series 2001 B3, 2.85% 6/1/23 (Liquidity Facility Barclays Bank PLC), VRDN (b) | 300,000 | 300,000 | |
| Series 2021 A1, 2.85% 6/1/23 (Liquidity Facility Royal Bank of Canada), VRDN (b) | 800,000 | 800,000 | |
| Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev. Series 2019 A, 2.85% 6/1/23 (Liquidity Facility Barclays Bank PLC), VRDN (b) | 1,200,000 | 1,200,000 | |
TOTAL CALIFORNIA | 36,340,000 | ||
| Delaware - 0.0% | |||
| Univ. of Delaware Rev. Series 2005, 3.95% 6/1/23 (Liquidity Facility TD Banknorth, NA), VRDN (b) | 500,000 | 500,000 | |
| Florida - 0.0% | |||
| Hillsborough County Indl. Dev. Auth. Series 2020 B, 3.95% 6/1/23, LOC TD Banknorth, NA, VRDN (b) | 3,600,000 | 3,600,000 | |
| Georgia - 0.2% | |||
| Bartow County Dev. Auth. (Georgia Pwr. Co. Plant Bowen Proj.) Series 2022: | |||
| 4.2% 6/1/23, VRDN (b)(d) | 9,700,000 | 9,700,000 | |
| 4.35% 6/1/23, VRDN (b)(d) | 1,000,000 | 1,000,000 | |
| Burke County Indl. Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. Plant Vogtle Proj.): | |||
| First Series 2009, 4.25% 6/1/23, VRDN (b) | 11,050,000 | 11,050,000 | |
| Series 2008, 4.11% 6/1/23, VRDN (b) | 2,500,000 | 2,500,000 | |
TOTAL GEORGIA | 24,250,000 | ||
| Idaho - 0.0% | |||
| Idaho Health Facilities Auth. Rev. (St. Luke's Health Sys. Proj.) Series 2018 C, 3.98% 6/1/23, LOC U.S. Bank NA, Cincinnati, VRDN (b) | 5,100,000 | 5,100,000 | |
| Illinois - 0.0% | |||
| Illinois Fin. Auth. Rev. (The Univ. of Chicago Med. Ctr. Proj.) Series 2009 D2, 3.7% 6/1/23, LOC PNC Bank NA, VRDN (b) | 700,000 | 700,000 | |
| Indiana - 0.0% | |||
| Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. Series B, 3.98% 6/1/23, LOC U.S. Bank NA, Cincinnati, VRDN (b) | 1,400,000 | 1,400,000 | |
| Kentucky - 0.0% | |||
| Meade County Indl. Bldg. Rev. (Nucor Steel Brandenburg Proj.) Series 2020 A1, 4.95% 6/1/23, VRDN (b)(d) | 300,000 | 300,000 | |
| Minnesota - 0.0% | |||
| Minneapolis Health Care Sys. Rev. (Fairview Health Svcs.) Series 2018 C, 3.85% 6/1/23, LOC Wells Fargo Bank NA, VRDN (b) | 100,000 | 100,000 | |
| Mississippi - 0.1% | |||
| Jackson County Port Facilities Rev. (Chevron U.S.A., Inc. Proj.) Series 1993, 3.85%, VRDN (b) | 100,000 | 100,000 | |
| Mississippi Bus. Fin. Corp.: | |||
| (Chevron U.S.A., Inc. Proj.): | |||
Series 2011 A, 4% 6/1/23, VRDN (b) | 1,560,000 | 1,560,000 | |
Series 2011 D, 4% 6/1/23, VRDN (b) | 2,560,000 | 2,560,000 | |
| (Chevron U.S.A., Inc. Proj.) Series 2010 I, 3.85% 6/1/23, VRDN (b) | 3,800,000 | 3,800,000 | |
| Series 2009 E, 3.85% 6/1/23, VRDN (b) | 950,000 | 950,000 | |
| Series 2011 G, 3.85% 6/1/23, VRDN (b) | 3,595,000 | 3,595,000 | |
TOTAL MISSISSIPPI | 12,565,000 | ||
| Missouri - 0.0% | |||
| Missouri Health & Edl. Facilities Rev.: | |||
| (Saint Louis Univ. Proj.) Series 2008 B2, 3.8% 6/1/23, LOC Wells Fargo Bank NA, VRDN (b) | 2,865,000 | 2,865,000 | |
| Series 2018 F, 4.15% 6/1/23, VRDN (b) | 300,000 | 300,000 | |
TOTAL MISSOURI | 3,165,000 | ||
| New York - 0.3% | |||
| New York City Gen. Oblig.: | |||
| Series 2006 I4, 3.9% 6/1/23 (Liquidity Facility TD Banknorth, NA), VRDN (b) | 3,910,000 | 3,910,000 | |
| Series 2018 E, 3.9% 6/1/23 (Liquidity Facility TD Banknorth, NA), VRDN (b) | 10,000,000 | 10,000,000 | |
| New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: | |||
| Series 2011 DD-1, 3.9% 6/1/23 (Liquidity Facility TD Banknorth, NA), VRDN (b) | 270,000 | 270,000 | |
| Series 2014 AA, 3.9% 6/1/23 (Liquidity Facility TD Banknorth, NA), VRDN (b) | 3,090,000 | 3,090,000 | |
| Series 2021 EE2, 3.98% 6/1/23 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (b) | 400,000 | 400,000 | |
| Series 2023 BB2, 3.85% 6/1/23 (Liquidity Facility Mizuho Corporate Bank Ltd.), VRDN (b) | 600,000 | 600,000 | |
| Series 2023 CC, 4.15% 6/1/23 (Liquidity Facility Barclays Bank PLC), VRDN (b) | 500,000 | 500,000 | |
| New York City Transitional Fin. Auth. Rev. Series 2003 A4, 3.9% 6/1/23 (Liquidity Facility TD Banknorth, NA), VRDN (b) | 22,340,000 | 22,340,000 | |
TOTAL NEW YORK | 41,110,000 | ||
| Non-State Specific - 0.0% | |||
| Fed. Home Ln. Mtg. Corp. Series 2018 M46, 2.625% 6/7/23 (Liquidity Facility Freddie Mac), VRDN (b)(f) | 3,625,000 | 3,043,624 | |
| Texas - 0.1% | |||
| Harris County Health Facilities Dev. Corp. Rev. (Methodist Hosp. Proj.) Series A1, 3.9% 6/1/23, VRDN (b) | 400,000 | 400,000 | |
| Houston Util. Sys. Rev. Series 2012 B, 3.45% 6/7/23 (Liquidity Facility State Street Bank & Trust Co., Boston), VRDN (b) | 2,000,000 | 2,000,000 | |
| Lower Neches Valley Auth. Indl. Dev. Corp. Exempt Facilities Rev. (ExxonMobil Proj.): | |||
| Series 2001 A, 3.85% 6/1/23, VRDN (b) | 400,000 | 400,000 | |
| Series 2001 B, 3.9% 6/1/23, VRDN (b)(d) | 1,155,000 | 1,155,000 | |
| Series 2001 B2, 3.9% 6/1/23, VRDN (b)(d) | 1,180,000 | 1,180,000 | |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. (Baylor Health Care Sys. Proj.) Series 2011 C, 3.95% 6/1/23, LOC TD Banknorth, NA, VRDN (b) | 500,000 | 500,000 | |
TOTAL TEXAS | 5,635,000 | ||
| Utah - 0.1% | |||
| Murray City Hosp. Rev. (IHC Health Svcs., Inc. Proj.) Series 2005 B, 3.85% 6/1/23 (Liquidity Facility JPMorgan Chase Bank), VRDN (b) | 450,000 | 450,000 | |
| Utah County Hosp. Rev. Series 2018 C, 3.7% 6/1/23 (Liquidity Facility TD Banknorth, NA), VRDN (b) | 4,700,000 | 4,700,000 | |
TOTAL UTAH | 5,150,000 | ||
| Wisconsin - 0.0% | |||
| Pub. Fin. Auth. Health Care Sys. Rev. Series 2023 E, 3.64% 6/7/23, LOC Truist Bank, VRDN (b) | 4,190,000 | 4,190,000 | |
| TOTAL MUNICIPAL NOTES (Cost $157,479,223) | 157,198,624 | ||
| Municipal Bond Funds - 34.0% | |||
| Shares | Value ($) | ||
| Allspring Municipal Bond Fund - Class Admin | 102,282,593 | 988,049,830 | |
| American High-Income Municipal Bond Fund Class F-2 | 1,248,394 | 18,164,130 | |
| BlackRock National Municipal Fund Investor A Shares | 38,086,964 | 381,250,506 | |
| DWS Managed Municipal Bond Fund - Class S | 45,165,331 | 359,967,691 | |
| DWS Strategic High Yield Tax-Free Fund Class S | 1,862,854 | 19,094,256 | |
| Franklin Federal Tax-Free Income Fund - Class R6 | 64,313,867 | 684,299,544 | |
| iShares National Municipal Bond ETF | 6,171,218 | 656,432,459 | |
| MainStay MacKay High Yield Municipal Bond Fund Class A | 7,784,031 | 89,282,840 | |
| Nuveen California AMT-Free Quality Municipal Income Fund Preferred Shares 3.86% (b)(f)(n) | 899,991 | 899,991 | |
| T. Rowe Price Summit Municipal Income Fund Investor Class | 37,593 | 413,894 | |
| T. Rowe Price Tax-Free High Yield Fund | 11,182,169 | 119,537,384 | |
| T. Rowe Price Tax-Free Income Fund - I Class | 250 | 2,303 | |
| Vanguard High-Yield Tax-Exempt Fund Admiral Shares | 219 | 2,273 | |
| Vanguard Long-Term Tax-Exempt Fund Admiral Shares | 83,566,941 | 890,823,591 | |
| Vanguard Tax-Exempt Bond Index Fund ETF | 4,133,886 | 206,694,300 | |
| TOTAL MUNICIPAL BOND FUNDS (Cost $4,500,226,255) | 4,414,914,992 | ||
| Money Market Funds - 4.7% | |||
| Shares | Value ($) | ||
| Fidelity Investments Money Market Government Portfolio Class I 4.98% (o)(p) | 28,971,238 | 28,971,238 | |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.02% (o)(p) | 500,511,324 | 500,511,324 | |
| Fidelity Municipal Cash Central Fund 3.74% (q)(r) | 63,908,099 | 63,920,881 | |
| Fidelity SAI Municipal Money Market Fund 3.40% (o)(p) | 2,559 | 2,559 | |
| Invesco Government & Agency Portfolio Institutional Class 5.04% (o) | 19,981,894 | 19,981,894 | |
| TOTAL MONEY MARKET FUNDS (Cost $613,387,897) | 613,387,896 | ||
| TOTAL INVESTMENT IN SECURITIES - 99.7% (Cost $13,225,997,277) | 12,950,298,704 |
NET OTHER ASSETS (LIABILITIES) - 0.3% | 45,043,570 |
| NET ASSETS - 100.0% | 12,995,342,274 |
| Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Sold | |||||
| Treasury Contracts | |||||
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 190 | Sep 2023 | 21,749,063 | (138,841) | (138,841) |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 85 | Sep 2023 | 10,909,219 | (177,614) | (177,614) |
| CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 150 | Sep 2023 | 18,067,969 | (174,885) | (174,885) |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 85 | Sep 2023 | 11,634,375 | (240,756) | (240,756) |
| TOTAL FUTURES CONTRACTS | (732,096) | ||||
| The notional amount of futures sold as a percentage of Net Assets is 0.5% | |||||
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $93,755,151.
Security Type Abbreviations
| ETF | - | EXCHANGE-TRADED FUND |
| VRDN | - | VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly) |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (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) | Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals. |
| (e) | Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
| (f) | 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 $383,823,091 or 3.0% of net assets. |
| (g) | Level 3 security |
| (h) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (i) | Non-income producing - Security is in default. |
| (j) | Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
| (k) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
| (l) | Provides evidence of ownership in one or more underlying municipal bonds. |
| (m) | Coupon rates are determined by re-marketing agents based on current market conditions. |
| (n) | Non-income producing |
| (o) | The rate quoted is the annualized seven-day yield of the fund at period end. |
| (p) | Affiliated Fund |
| (q) | Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Municipal Cash Central Fund. |
| (r) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Municipal Cash Central Fund 3.74% | - | 295,178,881 | 231,258,000 | 1,583,680 | - | - | 63,920,881 | 3.2% |
| Total | - | 295,178,881 | 231,258,000 | 1,583,680 | - | - | 63,920,881 | |
Amounts in the dividend 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.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Advisor Municipal Income Fund Class Z | 52,540,757 | 191,281 | 52,140,429 | 312,152 | (1,514,743) | 923,134 | - |
| Fidelity Investments Money Market Government Portfolio Class I 4.98% | 19,197,461 | 663,125,972 | 653,352,195 | 103,606 | - | - | 28,971,238 |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.02% | 297,808,048 | 3,675,154,559 | 3,472,451,284 | 12,805,406 | - | 1 | 500,511,324 |
| Fidelity SAI Municipal Income Fund | 1,562,415,414 | - | 1,513,520,972 | 1,817,192 | (148,009,284) | 99,114,842 | - |
| Fidelity SAI Municipal Money Market Fund 3.40% | 2,502 | 56 | - | 57 | - | 1 | 2,559 |
| Fidelity SAI Tax-Free Bond Fund | 132,748,349 | 2,750,000 | 131,430,856 | 152,269 | (10,484,956) | 6,417,463 | - |
| Fidelity Tax-Free Bond Fund | 186,324,548 | - | 180,390,645 | 356,680 | (9,650,202) | 3,716,299 | - |
| 2,251,037,079 | 4,341,221,868 | 6,003,286,381 | 15,547,362 | (169,659,185) | 110,171,740 | 529,485,121 |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: | ||||
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
| Municipal Securities | 7,921,995,816 | - | 7,917,585,925 | 4,409,891 |
| Municipal Bond Funds | 4,414,914,992 | 4,414,015,001 | 899,991 | - |
| Money Market Funds | 613,387,896 | 613,387,896 | - | - |
| Total Investments in Securities: | 12,950,298,704 | 5,027,402,897 | 7,918,485,916 | 4,409,891 |
Derivative Instruments: | ||||
| Liabilities | ||||
Futures Contracts | (732,096) | (732,096) | - | - |
| Total Liabilities | (732,096) | (732,096) | - | - |
| Total Derivative Instruments: | (732,096) | (732,096) | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
| Asset ($) | Liability ($) | |
| Interest Rate Risk | ||
Futures Contracts (a) | 0 | (732,096) |
| Total Interest Rate Risk | 0 | (732,096) |
| Total Value of Derivatives | 0 | (732,096) |
(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).
| Statement of Assets and Liabilities | ||||
| May 31, 2023 | ||||
| Assets | ||||
| Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $12,632,591,275) | $ | 12,356,892,702 | ||
Fidelity Central Funds (cost $63,920,881) | 63,920,881 | |||
Other affiliated issuers (cost $529,485,121) | 529,485,121 | |||
| Total Investment in Securities (cost $13,225,997,277) | $ | 12,950,298,704 | ||
| Segregated cash with brokers for derivative instruments | 1,802,000 | |||
| Cash | 99,937 | |||
| Receivable for investments sold | 44,482,622 | |||
| Receivable for fund shares sold | 15,873,701 | |||
| Dividends receivable | 343,749 | |||
| Interest receivable | 110,097,570 | |||
| Distributions receivable from Fidelity Central Funds | 216,085 | |||
| Prepaid expenses | 31,788 | |||
Total assets | 13,123,246,156 | |||
| Liabilities | ||||
| Payable for investments purchased | ||||
Regular delivery | $ | 44,287,817 | ||
Delayed delivery | 26,307,032 | |||
| Payable for fund shares redeemed | 17,598,843 | |||
| Distributions payable | 38,283,508 | |||
| Accrued management fee | 733,889 | |||
| Payable for daily variation margin on futures contracts | 339,219 | |||
| Other payables and accrued expenses | 353,574 | |||
| Total Liabilities | 127,903,882 | |||
| Net Assets | $ | 12,995,342,274 | ||
| Net Assets consist of: | ||||
| Paid in capital | $ | 14,285,551,392 | ||
| Total accumulated earnings (loss) | (1,290,209,118) | |||
| Net Assets | $ | 12,995,342,274 | ||
Net Asset Value , offering price and redemption price per share ($12,995,342,274 ÷ 1,489,106,509 shares) | $ | 8.73 | ||
| Statement of Operations | ||||
Year ended May 31, 2023 | ||||
| Investment Income | ||||
| Dividends: | ||||
| Unaffiliated issuers | $ | 113,788,232 | ||
| Affiliated issuers | 15,547,362 | |||
| Interest | 261,903,551 | |||
| Income from Fidelity Central Funds | 1,543,037 | |||
| Total Income | 392,782,182 | |||
| Expenses | ||||
| Management fee | $ | 36,930,585 | ||
| Custodian fees and expenses | 91,459 | |||
| Independent trustees' fees and expenses | 74,967 | |||
| Registration fees | 1,369,241 | |||
| Audit | 106,083 | |||
| Legal | 16,233 | |||
| Miscellaneous | 55,409 | |||
| Total expenses before reductions | 38,643,977 | |||
| Expense reductions | (28,609,034) | |||
| Total expenses after reductions | 10,034,943 | |||
| Net Investment income (loss) | 382,747,239 | |||
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers | (564,065,088) | |||
| Affiliated issuers | (169,659,185) | |||
| Futures contracts | 8,390,646 | |||
| Capital gain distributions from underlying funds: | ||||
| Unaffiliated issuers | 401,671 | |||
| Affiliated issuers | 643 | |||
| Total net realized gain (loss) | (724,931,313) | |||
| Change in net unrealized appreciation (depreciation) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers | 185,018,633 | |||
| Affiliated issuers | 110,171,740 | |||
| Futures contracts | (1,436,208) | |||
| Total change in net unrealized appreciation (depreciation) | 293,754,165 | |||
| Net gain (loss) | (431,177,148) | |||
| Net increase (decrease) in net assets resulting from operations | $ | (48,429,909) | ||
| Statement of Changes in Net Assets | ||||
Year ended May 31, 2023 | For the period June 17, 2021 (commencement of operations) through May 31, 2022 | |||
| Increase (Decrease) in Net Assets | ||||
| Operations | ||||
| Net investment income (loss) | $ | 382,747,239 | $ | 113,840,575 |
| Net realized gain (loss) | (724,931,313) | (293,471,519) | ||
| Change in net unrealized appreciation (depreciation) | 293,754,165 | (570,184,834) | ||
| Net increase (decrease) in net assets resulting from operations | (48,429,909) | (749,815,778) | ||
| Distributions to shareholders | (378,348,172) | (113,615,112) | ||
| Share transactions | ||||
| Proceeds from sales of shares | 19,178,105,406 | 15,753,905,938 | ||
| Reinvestment of distributions | 5,190 | 111,103 | ||
| Cost of shares redeemed | (16,916,687,046) | (3,729,889,346) | ||
Net increase (decrease) in net assets resulting from share transactions | 2,261,423,550 | 12,024,127,695 | ||
| Total increase (decrease) in net assets | 1,834,645,469 | 11,160,696,805 | ||
| Net Assets | ||||
| Beginning of period | 11,160,696,805 | - | ||
| End of period | $ | 12,995,342,274 | $ | 11,160,696,805 |
| Other Information | ||||
| Shares | ||||
| Sold | 2,198,716,832 | 1,647,644,902 | ||
| Issued in reinvestment of distributions | 593 | 11,205 | ||
| Redeemed | (1,945,051,261) | (412,215,762) | ||
| Net increase (decrease) | 253,666,164 | 1,235,440,345 | ||
Financial Highlights
| Strategic Advisers® Municipal Bond Fund |
| Years ended May 31, | 2023 | 2022 A | ||
Selected Per-Share Data | ||||
| Net asset value, beginning of period | $ | 9.03 | $ | 10.00 |
| Income from Investment Operations | ||||
Net investment income (loss) B,C | .293 | .202 | ||
| Net realized and unrealized gain (loss) | (.305) | (.984) | ||
| Total from investment operations | (.012) | (.782) | ||
| Distributions from net investment income | (.288) | (.187) | ||
| Distributions from net realized gain | - | (.001) | ||
| Total distributions | (.288) | (.188) | ||
| Net asset value, end of period | $ | 8.73 | $ | 9.03 |
Total Return D,E | (.07)% | (7.92)% | ||
Ratios to Average Net Assets C,F,G | ||||
| Expenses before reductions | .34% | .31% H | ||
| Expenses net of fee waivers, if any | .09% | .06% H | ||
| Expenses net of all reductions | .09% | .06% H | ||
| Net investment income (loss) | 3.35% | 2.27% H | ||
| Supplemental Data | ||||
| Net assets, end of period (000 omitted) | $ | 12,995,342 | $ | 11,160,697 |
Portfolio turnover rate I | 117% | 134% H |
A For the period June 17, 2021 (commencement of operations) through May 31, 2022.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
H Annualized.
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended May 31, 2023
1. Organization.
Strategic Advisers Municipal Bond 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 managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 services or from brokers who make markets in such securities. Municipal securities are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
ETFs are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2023 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. 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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or ETFs, futures transactions, market discount, capital loss carryforwards and losses deferred due to wash sales.
The Fund purchases municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the IRS will agree with this opinion. In the event the IRS determines that the issuer does not comply with relevant tax requirements, interest payments from a security could become federally taxable, possibly retroactively to the date the security was issued.
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 | $77,296,994 |
| Gross unrealized depreciation | (479,448,952) |
| Net unrealized appreciation (depreciation) | $(402,151,958) |
| Tax Cost | $13,352,450,662 |
The tax-based components of distributable earnings as of period end were as follows:
| Capital loss carryforward | $(887,417,478) |
| Net unrealized appreciation (depreciation) on securities and other investments | $(402,151,958) |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
Short-term | $(855,289,634) |
Long-term | (32,127,844) |
| Total capital loss carryforward | $(887,417,478) |
The tax character of distributions paid was as follows:
| May 31, 2023 | May 31, 2022 A | |
| Tax-exempt Income | 372,225,825 | 112,367,525 |
| Ordinary Income | $6,122,347 | $ 1,247,587 |
| Total | $378,348,172 | $ 113,615,112 |
A For the period June 17, 2021 (commencement of operations) through May 31, 2022
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds 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. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). Funds 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 held at period end is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Counterparty credit risk related to exchange-traded 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. Futures contracts were used to manage 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 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 unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Strategic Advisers Municipal Bond Fund | 15,112,246,329 | 12,990,242,770 |
Unaffiliated Exchanges In-Kind . During the period, the Fund redeemed shares of Western Asset Managed Municipals Fund Class A, MFS Municipal Income Fund Class A and MainStay MacKay Tax Free Bond Fund Class A in exchange for investments and cash, if any, as noted in the following table. The Fund had a net realized loss $193,652,739 on the Fund's redemptions of Western Asset Managed Municipals Fund Class A, MFS Municipal Income Fund Class A and MainStay MacKay Tax Free Bond Fund Class A, which is included in "Net Realized gain (loss) on Investment Securities: Unaffiliated issuers" in the accompanying Statement of Operations. The Fund recognized a net loss on the exchanges for federal income tax purposes.
| Fund Name | Value of Investments ($) | Net realized gain (loss) ($) | Shares redeemed |
| Western Asset Managed Municipals Fund Class A | 1,069,484,120 | (73,318,008) | 70,038,253 |
| MFS Municipal Income Fund Class A | 1,158,725,927 | (96,124,488) | 140,451,627 |
| MainStay MacKay Tax Free Bond Fund Class A | 373,829,325 | (24,210,243) | 39,952,689 |
Prior Fiscal Year Unaffiliated Exchanges In-Kind . During the prior period, the Fund redeemed shares of Delaware Tax-Free U.S.A. Fund Class A, MainStay MacKay High Yield Municipal Bond Fund Class A, MainStay MacKay Tax Free Bond Fund Class A, T. Rowe Price Summit Municipal Income Fund Investor Class, and T. Rowe Price Tax-Free High Yield Fund in exchange for investments as noted in the following table. The Fund had net realized gain (loss) on the Fund's redemptions of Delaware Tax-Free U.S.A. Fund Class A, MainStay MacKay High Yield Municipal Bond Fund Class A, MainStay MacKay Tax Free Bond Fund Class A, T. Rowe Price Summit Municipal Income Fund Investor Class, and T. Rowe Price Tax-Free High Yield Fund as noted in the following table. The Fund recognized a net loss on the exchanges for federal income tax purposes.
| Fund Name | Value of Investments ($) | Net realized gain (loss) ($) | Shares redeemed |
| Delaware Tax-Free U.S.A. Fund Class A | 266,484,556 | (10,751,832) | 23,070,010 |
| MainStay MacKay High Yield Municipal Bond Fund Class A | 294,446,031 | (9,805,845) | 22,519,084 |
| MainStay MacKay Tax Free Bond Fund Class A | 930,537,398 | (8,482,561) | 88,883,334 |
| T. Rowe Price Summit Municipal Income Fund Investor Class | 958,244,485 | (27,712,297) | 79,943,332 |
| T. Rowe Price Tax-Free High Yield Fund | 818,347,627 | (19,277,866) | 67,546,117 |
| Total | 3,268,060,097 | (76,030,401) | 281,961,877 |
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 to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .60% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .32% 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. Delaware Investments Fund Advisers, FIAM LLC (an affiliate of the investment adviser), Mackay Shields LLC, Massachusetts Financial Services Company (MFS), T. Rowe Price Associates, Inc. and Western Asset Management Company, LLC 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 as described in the Management Fee note.
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 Municipal Bond Fund | $ 88 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
Affiliated Exchanges In-Kind. During the period, the Fund redeemed shares of Fidelity Tax-Free Bond Fund, Fidelity SAI Municipal Income Fund and Fidelity SAI Tax-Free Bond Fund in exchange for investments and cash, if any, as noted in the following table. The Fund had a net realized loss of $167,992,109 on the Fund's redemptions of Fidelity Tax-Free Bond Fund, Fidelity SAI Municipal Income Fund and Fidelity SAI Tax-Free Bond Fund, which is included in "Net Realized gain (loss): Affiliated Issuers" in the accompanying Statement of Operations. The Fund recognized a net loss on the exchanges for federal income tax purposes.
| Fund Name | Value of Investments ($) | Net realized gain (loss) ($) | Shares redeemed |
| Fidelity Tax-Free Bond Fund | 180,390,645 | (9,650,202) | 16,954,008 |
| Fidelity SAI Municipal Income Fund | 1,510,770,968 | (147,856,951) | 157,700,519 |
| Fidelity SAI Tax-Free Bond Fund | 131,430,855 | (10,484,956) | 13,577,568 |
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing 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 the investing fund.
��
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| Amount | |
| Strategic Advisers Municipal Bond Fund | $21,083 |
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, 2025. During the period, this waiver reduced the Fund's management fee by $ 28,559,872.
Through arrangements with the Fund's custodian and transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $49,094 and $68, respectively.
9. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
10. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Municipal Bond Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Municipal Bond Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of May 31, 2023, the related statement of operations for the year ended May 31, 2023, and the statement of changes in net assets and the financial highlights for the year ended May 31, 2023 and for the period June 17, 2021 (commencement of operations) through May 31, 2022, including the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2023, the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the year ended May 31, 2023 and for the period June 17, 2021 (commencement of operations) through May 31, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2023 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 13, 2023
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
TRUSTEES AND OFFICERS
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity ® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's alternative investment, investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity®; funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives' Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women's Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), Secretary of the Ad Council, Inc. (2022-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women's accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women's Forum (2008-2010), Treasurer of the Massachusetts Women's Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President - Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity ® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption University (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and Chair of the Board of Directors and Chair of the Compensation Committee of Live Current Media, Inc. (2022-present). Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum's Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity ® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Assistant Secretary
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity ® funds (2016-2020) and Assistant Treasurer of certain Fidelity ® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity ® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity ® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2022 to May 31, 2023). |
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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio- A | Beginning Account Value December 1, 2022 | Ending Account Value May 31, 2023 | Expenses Paid During Period- C December 1, 2022 to May 31, 2023 | |||||||
| Strategic Advisers® Municipal Bond Fund | .08% | |||||||||
| Actual | $ 1,000 | $ 1,023.10 | $ .40 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.53 | $ .40 | |||||||
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com .
A total of 19.82% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
During fiscal year ended 2023, 94.96% of the fund's income dividends was free from federal income tax, and 14.48% of the fund's income dividends was subject to the federal alternative minimum tax.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.
In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period December 1, 2021 through November 30, 2022. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.
 |
1.9903614.101
SAM-ANN-0723
Strategic Advisers® Alternatives Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Annual Report
May 31, 2023
Contents
To view a fund's proxy voting guidelines and 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 1-800-544-8544 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. © 2023 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.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average annual total returns for Strategic Advisers Alternatives Fund will be reported once the fund is a year old.
| $10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Strategic Advisers Alternatives Fund, on July 12, 2022, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the ICE BofA US 3-Month Treasury Bill Index performed over the same period. |
 |
Market Recap:
U.S. equities gained 2.92% for the 12 months ending May 31, 2023, according to the S&P 500 ® index, as markets digested multiple crosscurrents and sustained year-to-date momentum. The upturn followed a year in which the S&P 500 ® returned -18.11% amid a multitude of risk factors. Record inflation prompted the U.S. Federal Reserve to aggressively tighten monetary policy, and market interest rates eclipsed their highest level in a decade, stoking recession fears. Since March 2022, the Fed has raised its benchmark rate 10 times, by 5 percentage points, while also shrinking its massive asset portfolio. Against this backdrop, stocks struggled to gain traction until a rally in late 2022, as risk assets regained favor. The S&P 500 ® continued its advance in 2023, gaining 9.65% through May 31, supported by moderating inflation data, a resilient labor market, and indications the Fed was nearing the end of its interest rate hiking regime. A handful of mega-cap tech stocks have driven the index this year, as investors favored their perceived safety and that they remained largely insulated from the regional banking crisis in March that caused the Fed to reconsider its aggressive rate-hike campaign. Turning to fixed income, the Bloomberg U.S. Aggregate Bond Index returned -2.14% for the 12-month period. With the market anticipating the end of the Fed's cycle later this year, the index advanced 3.59% in the first four months of 2023 but returned -1.09% in May, when the continued strength of the labor market surprised analysts and suggested the Fed may need to keep rates higher for longer. For the full 12 months, short-term bonds outperformed their long-term counterparts, while higher-risk assets like corporate bonds and asset-backed securities outpaced U.S. Treasuries.
Comments from Portfolio Manager Maciej Sawicki:
For the fiscal year ending May 31, 2023, the Fund returned -0.11%, trailing the 3.15% gain of the benchmark ICE BofA U.S. 3-Month Treasury Bill Index. The Fund is designed to achieve low correlation with stocks over a full market cycle. It accomplished that goal during the 12-month reporting period and also met its volatility target. However, the Fund lagged its return target. The Fund's investments are organized into three categories: return-seeking, diversifying and defensive. During the period, investments in the diversifying category hampered performance. Within this group specifically, PIMCO Trends Managed Futures Strategy Fund (-8%) and a PIMCO sub-advised mandate pursuing the same strategy (-1%) struggled amid major market reversals in November 2022 and March 2023. This strategy seeks to capitalize on trends in global markets by taking long positions in assets that are rising and short positions in assets that are declining. Overall, the past 12 months was a difficult environment for trend-following approaches. T. Rowe Price Dynamic Global Bond Fund (-4%) also detracted, hampered by its hedges against downturns in corporate credit and global equity markets. Currency positioning also weighed on its performance. On the plus side, Eaton Vance Absolute Return Advantage Fund (+12%), Absolute Convertible Arbitrage Fund (+5%) and First Trust Merger Arbitrage Fund (+3%) added the most value. Eaton Vance employs a global strategy that seeks to find niche investment opportunities in many markets, and it capitalized on various market dislocations this period. The Absolute and First Trust funds run arbitrage strategies that hedge market risk. Both fared well during periods of market volatility the past 12 months. Lastly, the Equity Market Protective Put mandate from sub-adviser FIAM ® , which is in the defensive category, performed as expected, posting negative performance amid rising equity markets.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) | ||
| (excluding cash equivalents) | ||
| Absolute Convertible Arbitrage Fund Investor Shares | 10.3 | |
| First Trust Merger Arbitrage Fund Class I | 10.1 | |
| Westchester Capital Merger Fund | 10.0 | |
| BlackRock Systematic Multi-Strategy Fund Investor A Shares | 9.9 | |
| Eaton Vance Global Macro Absolute Return Advantage Fund Class A | 8.2 | |
| LoCorr Long/Short Commodity Strategies Fund Class A | 7.0 | |
| T. Rowe Price Dynamic Global Bond Fund Investor Class | 6.5 | |
| Victory Market Neutral Income Fund Class I | 6.0 | |
| JHancock Diversified Macro Fund Class A | 5.1 | |
| Stone Ridge Diversified Alternatives Fund Class I | 5.0 | |
| American Beacon AHL Managed Futures Strategy Fund A Class | 4.5 | |
Asset Allocation (% of Fund's net assets) |
 |
U.S. Government and U.S. Government Agency Obligations - (0.5)% |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Showing Percentage of Net Assets
| Nonconvertible Bonds - 1.1% | |||
Principal Amount (a) | Value ($) | ||
| COMMUNICATION SERVICES - 0.0% | |||
| Media - 0.0% | |||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.5% 2/1/24 | 1,000,000 | 989,482 | |
| CONSUMER DISCRETIONARY - 0.0% | |||
| Automobiles - 0.0% | |||
| General Motors Financial Co., Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 5.6246% 3/8/24 (b)(c) | 218,000 | 217,062 | |
| ENERGY - 0.0% | |||
| Oil, Gas & Consumable Fuels - 0.0% | |||
| Eni SpA 4% 9/12/23 (d) | 300,000 | 298,113 | |
| FINANCIALS - 0.8% | |||
| Banks - 0.4% | |||
| Banco Santander SA 3.892% 5/24/24 | 200,000 | 196,169 | |
| Bank of America Corp. 3.864% 7/23/24 (b) | 300,000 | 299,080 | |
| Bank of Montreal: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.320% 5.2653% 7/9/24 (b)(c) | 400,000 | 398,438 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.710% 5.5746% 3/8/24 (b)(c) | 500,000 | 500,362 | |
| Banque Federative du Credit Mutuel SA 3.75% 7/20/23 (d) | 1,000,000 | 996,752 | |
| BNP Paribas SA 4.705% 1/10/25 (b)(d) | 200,000 | 198,117 | |
| BPCE SA: | |||
| 3 month U.S. LIBOR + 1.240% 6.3937% 9/12/23 (b)(c)(d) | 250,000 | 250,372 | |
| 4% 9/12/23 (Reg. S) | 350,000 | 347,767 | |
| 4% 4/15/24 | 300,000 | 295,574 | |
| Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.430% 5.4895% 5/21/24 (b)(c)(d) | 200,000 | 199,310 | |
| ING Groep NV 3 month U.S. LIBOR + 1.000% 6.1766% 10/2/23 (b)(c) | 500,000 | 500,558 | |
| KeyBank NA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.340% 5.3339% 1/3/24 (b)(c) | 500,000 | 488,890 | |
| Mitsubishi UFJ Financial Group, Inc. 3 month U.S. LIBOR + 0.860% 6.1281% 7/26/23 (b)(c) | 1,000,000 | 1,000,631 | |
| National Australia Bank Ltd. Australian Bank Bill 3 Months Rate + 0.930% 4.625% 9/26/23 (b)(c) | AUD | 600,000 | 390,911 |
| National Bank of Canada U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.490% 5.554% 8/6/24 (b)(c) | 800,000 | 796,733 | |
| NatWest Group PLC 3.875% 9/12/23 | 700,000 | 695,184 | |
| Nordea Bank ABP 3 month U.S. LIBOR + 0.940% 6.4031% 8/30/23 (b)(c)(d) | 200,000 | 200,186 | |
| Skandinaviska Enskilda Banken AB 3 month U.S. LIBOR + 0.320% 5.2824% 9/1/23 (b)(c)(d) | 200,000 | 199,917 | |
| 7,954,951 | |||
| Capital Markets - 0.2% | |||
| CPPIB Capital, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.250% 6.0958% 3/11/26 (b)(c) | 3,000,000 | 3,065,721 | |
| Morgan Stanley: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 5.5201% 1/25/24 (b)(c) | 400,000 | 399,628 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 5.5567% 11/10/23 (b)(c) | 641,000 | 640,827 | |
| 4,106,176 | |||
| Consumer Finance - 0.0% | |||
| Hyundai Capital America 0.8% 1/8/24 (d) | 400,000 | 387,958 | |
| Toyota Motor Credit Corp. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 5.585% 12/29/23 (b)(c) | 280,000 | 280,308 | |
| 668,266 | |||
| Financial Services - 0.2% | |||
| AB Svensk Exportkredit U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 6.0526% 2/23/24 (b)(c) | 1,000,000 | 1,005,554 | |
| CNH Industrial Capital LLC 4.2% 1/15/24 | 800,000 | 792,221 | |
| KommuneKredit U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 5.9656% 7/27/26 (Reg. S) (b)(c) | 2,000,000 | 2,034,464 | |
| Nationwide Building Society 0.55% 1/22/24 (d) | 300,000 | 290,235 | |
| ORIX Corp. 4.05% 1/16/24 | 1,000,000 | 990,841 | |
| Penske Truck Leasing Co. LP 3.9% 2/1/24 (d) | 500,000 | 492,853 | |
| 5,606,168 | |||
| Insurance - 0.0% | |||
| MassMutual Global Funding II: | |||
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.220% 5.0646% 6/2/23 (b)(c)(d) | 300,000 | 300,000 | |
| U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.220% 5.0646% 6/2/23 (Reg. S) (b)(c) | 260,000 | 260,000 | |
| 560,000 | |||
TOTAL FINANCIALS | 18,895,561 | ||
| HEALTH CARE - 0.1% | |||
| Health Care Providers & Services - 0.0% | |||
| HCA Holdings, Inc. 5% 3/15/24 | 500,000 | 496,493 | |
| Life Sciences Tools & Services - 0.1% | |||
| Thermo Fisher Scientific, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.530% 5.4934% 10/18/24 (b)(c) | 1,000,000 | 1,001,021 | |
| Pharmaceuticals - 0.0% | |||
| AstraZeneca PLC 3 month U.S. LIBOR + 0.660% 5.9954% 8/17/23 (b)(c) | 200,000 | 199,935 | |
TOTAL HEALTH CARE | 1,697,449 | ||
| INDUSTRIALS - 0.1% | |||
| Industrial Conglomerates - 0.0% | |||
| Siemens Financieringsmaatschappij NV U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.430% 5.3041% 3/11/24 (b)(c)(d) | 800,000 | 801,217 | |
| Machinery - 0.1% | |||
| Daimler Trucks Finance North America LLC U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 5.3489% 6/14/23 (b)(c)(d) | 500,000 | 500,008 | |
| Westinghouse Air Brake Tech Co. 4.4% 3/15/24 | 800,000 | 788,900 | |
| 1,288,908 | |||
| Transportation Infrastructure - 0.0% | |||
| Korea Highway Corp. 0.928% 9/2/23 | AUD | 500,000 | 322,061 |
TOTAL INDUSTRIALS | 2,412,186 | ||
| UTILITIES - 0.1% | |||
| Electric Utilities - 0.1% | |||
| ENEL Finance International NV 2.65% 9/10/24 (d) | 469,000 | 451,899 | |
| NextEra Energy Capital Holdings, Inc. 1.84% 3/1/25 | 50,000 | 50,553 | |
| Transpower New Zealand Ltd. 5.75% 8/28/23 | AUD | 1,200,000 | 782,913 |
| United Energy Distribution Pty Ltd. 3.5% 9/12/23 (Reg. S) | AUD | 1,200,000 | 778,323 |
| 2,063,688 | |||
| TOTAL NONCONVERTIBLE BONDS (Cost $26,733,101) | 26,573,541 | ||
| U.S. Government and Government Agency Obligations - 0.8% | |||
Principal Amount (a) | Value ($) | ||
| U.S. Government Agency Obligations - 0.2% | |||
| Federal Home Loan Bank: | |||
| 5.35% 5/17/24 (e) | 2,000,000 | 1,990,455 | |
| 5.36% 5/10/24 (m) | 1,000,000 | 995,273 | |
| 5.37% 5/21/24 (m) | 1,000,000 | 995,485 | |
| Freddie Mac 5.375% 4/24/25 | 1,000,000 | 992,664 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 4,973,877 | ||
| U.S. Treasury Obligations - 0.6% | �� | ||
| U.S. Treasury Bills, yield at date of purchase 3.98% to 5.22% 6/1/23 to 9/12/23 (f)(m) | 13,897,000 | 13,745,455 | |
| TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $18,745,538) | 18,719,332 | ||
| U.S. Government Agency - Mortgage Securities - 0.2% | |||
Principal Amount (a) | Value ($) | ||
| Uniform Mortgage Backed Securities - 0.2% | |||
| 6% 6/1/53 (g) | 1,900,000 | 1,921,746 | |
| 6% 7/1/53 (g) | 2,100,000 | 2,123,379 | |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $4,049,930) | 4,045,125 | ||
| Asset-Backed Securities - 0.2% | |||
Principal Amount (a) | Value ($) | ||
| Capital One Prime Auto Receivables Trust Series 2022-2 Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.650% 5.5223% 9/15/25 (b)(c) | 310,166 | 310,106 | |
| Citibank Credit Card Issuance Trust: | |||
| Series 2017-A6 Class A6, 1 month U.S. LIBOR + 0.770% 5.8774% 5/14/29 (b)(c) | 900,000 | 899,999 | |
| Series 2018-A4 Class A4, 1 month U.S. LIBOR + 0.340% 5.4387% 6/9/25 (b)(c) | 1,000,000 | 1,000,017 | |
| Enterprise Fleet Financing Series 2023-1 Class A1, 5.33% 3/20/24 (d) | 28,672 | 28,629 | |
| Ford Credit Auto Owner Trust Series 2023-A Class A1, 5.028% 4/15/24 | 630,308 | 629,934 | |
| Gm Financial Automobile Leasing Series 2023-2 Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.820% 5.7257% 10/20/25 (b)(c) | 30,000 | 30,071 | |
| Harley-Davidson Motorcycle Trust Series 2023-A Class A1, 4.975% 3/15/24 | 44,518 | 44,481 | |
| Hyundai Auto Lease Securitizat Series 2023-B Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.750% 0% 9/15/25 (b)(c)(d) | 200,000 | 200,101 | |
| Hyundai Auto Lease Securitization Series 2021-C Class A3, 0.38% 9/16/24 (d) | 818,726 | 806,658 | |
| MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL7 Class A, 1 month U.S. LIBOR + 1.080% 6.1913% 10/16/36 (b)(c)(d) | 600,000 | 583,661 | |
| Toyota Auto Receivables Owner Trust Series 2022-C Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 5.4506% 8/15/25 (b)(c) | 422,843 | 422,823 | |
| WOART 2023-A Series 2023-A Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.430% 5.3023% 7/15/26 (b)(c) | 800,000 | 799,933 | |
| World Omni Automobile Lease Series 2023-A Class A2B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 0% 11/17/25 (b)(c) | 200,000 | 200,082 | |
| TOTAL ASSET-BACKED SECURITIES (Cost $5,950,677) | 5,956,495 | ||
| Foreign Government and Government Agency Obligations - 0.6% | |||
Principal Amount (a) | Value ($) | ||
Japan Government, yield at date of purchase -0.1988% to -0.1747% 6/5/23 to 6/12/23 (Cost $14,256,347) | JPY | 1,940,000,000 | 13,924,480 |
| Bankers' Acceptances - 0.1% | |||
Principal Amount (a) | Value ($) | ||
Bank of Nova Scotia 0% 7/10/23 (Cost $1,463,854) | 2,000,000 | 1,465,680 | |
| Commercial Paper - 0.9% | |||
Principal Amount (a) | Value ($) | ||
| American Electric Power Co., Inc. 0% 6/26/23 | 2,000,000 | 1,992,248 | |
| Arrow Electronics, Inc.: | |||
| 0% 6/15/23 | 1,000,000 | 997,685 | |
| 0% 6/16/23 | 500,000 | 498,758 | |
| AutoNation, Inc. 0% 6/21/23 | 1,000,000 | 996,732 | |
| Bacardi Martini BV: | |||
| 0% 6/21/23 | 1,000,000 | 996,893 | |
| 0% 6/28/23 | 400,000 | 398,325 | |
| Bemis Co., Inc. 0% 6/15/23 | 1,000,000 | 997,746 | |
| Constellation Brands, Inc. 0% 6/16/23 | 1,000,000 | 997,534 | |
| CVS Health Corp. 0% 6/7/23 | 1,000,000 | 998,992 | |
| Dominion Energy, Inc. 0% 7/10/23 | 1,000,000 | 993,900 | |
| Dr. Pepper Snapple Group, Inc. 0% 6/21/23 | 1,000,000 | 996,900 | |
| Electricite de France SA 0% 6/20/23 | 1,000,000 | 996,962 | |
| Enbridge U.S., Inc. 0% 6/20/23 | 1,100,000 | 1,096,657 | |
| Enel Finance America LLC 0% 6/23/23 | 1,200,000 | 1,195,732 | |
| Entergy Corp. 0% 7/20/23 | 1,000,000 | 992,444 | |
| General Dynamics Corp. 0% 6/29/23 | 1,000,000 | 995,885 | |
| Mondelez International, Inc. 0% 7/14/23 | 1,000,000 | 993,399 | |
| NextEra Energy Capital Holdings, Inc. 0% 6/26/23 | 1,000,000 | 996,016 | |
| Southern California Edison Co. 0% 6/5/23 | 700,000 | 699,471 | |
| Targa Resources Corp. 0% 6/20/23 | 1,000,000 | 997,227 | |
| Walgreens Boots Alliance, Inc. 0% 7/5/23 | 1,000,000 | 994,333 | |
| TOTAL COMMERCIAL PAPER (Cost $20,825,570) | 20,823,839 | ||
| Alternative Funds - 89.3% | |||
| Shares | Value ($) | ||
| Alternative Funds - 89.3% | |||
| Abbey Capital Futures Strategy Fund Class A | 4,262,499 | 48,592,492 | |
| Absolute Convertible Arbitrage Fund Investor Shares | 22,247,676 | 243,834,522 | |
| American Beacon AHL Managed Futures Strategy Fund A Class | 10,863,484 | 107,983,036 | |
| BlackRock Systematic Multi-Strategy Fund Investor A Shares | 24,617,156 | 235,093,844 | |
| Credit Suisse Multialternative Strategy Fund Class A Shares | 7,395,143 | 63,228,477 | |
| Eaton Vance Global Macro Absolute Return Advantage Fund Class A | 19,910,039 | 195,914,786 | |
| First Trust Merger Arbitrage Fund Class I | 22,430,698 | 240,905,696 | |
| Fulcrum Diversified Absolute Return Fund Super Institutional Class (h) | 5,390,539 | 47,706,271 | |
| JHancock Diversified Macro Fund Class A | 13,151,978 | 120,077,559 | |
| LoCorr Long/Short Commodity Strategies Fund Class A | 16,880,252 | 166,945,691 | |
| Stone Ridge Diversified Alternatives Fund Class I | 10,743,062 | 120,000,000 | |
| T. Rowe Price Dynamic Global Bond Fund Investor Class | 18,702,367 | 153,546,436 | |
| Victory Market Neutral Income Fund Class I | 16,815,178 | 142,760,863 | |
| Westchester Capital Merger Fund | 14,335,194 | 237,820,862 | |
| TOTAL ALTERNATIVE FUNDS (Cost $2,202,355,708) | 2,124,410,535 | ||
| Money Market Funds - 3.7% | |||
| Shares | Value ($) | ||
| Fidelity Cash Central Fund 5.14% (i) | 9,578,492 | 9,580,407 | |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.02% (j)(k) | 74,587,408 | 74,587,408 | |
| State Street Institutional U.S. Government Money Market Fund Premier Class 5.02% (j) | 3,091,769 | 3,091,769 | |
| TOTAL MONEY MARKET FUNDS (Cost $87,259,584) | 87,259,584 | ||
| Repurchase Agreements - 5.8% | |||
Maturity Amount ($) | Value ($) | ||
| With BNP Paribas, SA at: | |||
| 5.11%, dated 5/31/23 due 6/1/23 (Collateralized by U.S. Treasury Obligations valued at $70,910,064, 0.25%, 7/31/25) | 70,910,064 | 70,900,000 | |
| 5.13%, dated 6/1/23 due 6/2/23 (l) | 67,009,548 | 67,000,000 | |
| TOTAL REPURCHASE AGREEMENTS (Cost $137,900,000) | 137,900,000 | ||
| Purchased Options - 0.1% | ||||||
| Counterparty | Number of Contracts | Notional Amount($) | Exercise Price ($) | Expiration Date | Value ($) | |
| Put Options | ||||||
| S&P 500 Index | Chicago Board Options Exchange | 86 | 35,946,538 | 3,650 | 06/16/23 | 25,370 |
| S&P 500 Index | Chicago Board Options Exchange | 260 | 108,675,580 | 2,500 | 03/15/24 | 495,300 |
| S&P 500 Index | Chicago Board Options Exchange | 154 | 64,369,382 | 3,910 | 07/21/23 | 428,120 |
| S&P 500 Index | Chicago Board Options Exchange | 164 | 68,549,212 | 2,650 | 04/19/24 | 428,040 |
| S&P 500 Index | Chicago Board Options Exchange | 36 | 15,047,388 | 3,950 | 06/16/23 | 32,940 |
| S&P 500 Index | Chicago Board Options Exchange | 206 | 86,104,498 | 2,650 | 05/17/24 | 593,280 |
| S&P 500 Index | Chicago Board Options Exchange | 159 | 66,459,297 | 3,940 | 08/18/23 | 791,025 |
TOTAL PURCHASED OPTIONS (Cost 5,012,970) | 2,794,075 | |||||
For the period, the average monthly notional amount at value for purchased options in the aggregate was $261,150,075.
| TOTAL INVESTMENT IN SECURITIES - 102.8% (Cost $2,524,553,279) | 2,443,872,686 |
NET OTHER ASSETS (LIABILITIES) - (2.8)% | (65,420,570) |
| NET ASSETS - 100.0% | 2,378,452,116 |
| TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
| Ginnie Mae | ||
| 5.5% 7/1/53 | (3,500,000) | (3,495,190) |
| 5.5% 7/1/53 | (6,000,000) | (5,991,755) |
| TOTAL GINNIE MAE | (9,486,945) | |
| Uniform Mortgage Backed Securities | ||
| 3.5% 6/1/38 | (400,000) | (383,781) |
| 3.5% 7/1/38 | (1,300,000) | (1,248,203) |
| 5.5% 6/1/53 | (300,000) | (299,801) |
| 5.5% 7/1/53 | (750,000) | (749,414) |
| 5.5% 7/1/53 | (250,000) | (249,805) |
| 5.5% 7/1/53 | (1,800,000) | (1,798,594) |
| 6% 7/1/53 | (3,100,000) | (3,134,512) |
| 6% 7/1/53 | (4,000,000) | (4,044,532) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (11,908,642) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $21,345,234) | (21,395,587) | |
| Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Purchased | |||||
| Commodity Futures Contracts | |||||
| CBOT HRW Wheat Contracts (United States) | 22 | Sep 2023 | 863,775 | (90,194) | (90,194) |
| CME Live Cattle Contracts (United States) | 22 | Oct 2023 | 1,511,620 | 37,626 | 37,626 |
| ICE Cocoa Contracts (United Kingdom) | 48 | Jul 2023 | 1,400,787 | 2,836 | 2,836 |
| ICE Cocoa Contracts (United States) | 29 | Sep 2023 | 875,510 | 12,149 | 12,149 |
| ICE Robusta Coffee 10-T Contracts (United Kingdom) | 67 | Jul 2023 | 1,712,520 | 100,947 | 100,947 |
| ICE Sugar No. 11 Contracts (United States) | 157 | Sep 2023 | 4,350,282 | (141,630) | (141,630) |
| ICE White Sugar Contracts (United Kingdom) | 42 | Jul 2023 | 1,461,810 | 83,890 | 83,890 |
| MGEX Hard Red Spring Wheat Contracts (United States) | 4 | Jul 2023 | 156,000 | (19,810) | (19,810) |
| NYMEX Platinum Contracts (United States) | 36 | Jul 2023 | 1,798,200 | (99,986) | (99,986) |
| TOTAL COMMODITY FUTURES CONTRACTS | (114,172) | ||||
| Equity Index Contracts | |||||
| ASX SPI 200 Index Contracts (Australia) | 21 | Jun 2023 | 2,424,552 | (67,487) | (67,487) |
| CME E-mini NASDAQ 100 Index Contracts (United States) | 10 | Jun 2023 | 2,860,100 | 159,498 | 159,498 |
| CME E-mini S&P 500 Index Contracts (United States) | 1 | Jun 2023 | 209,525 | 2,123 | 2,123 |
| Eurex Dax Index Contracts (Germany) | 2 | Jun 2023 | 837,216 | (15,308) | (15,308) |
| Eurex Euro Stoxx Bank Index Contracts (Germany) | 387 | Jun 2023 | 2,036,263 | (55,623) | (55,623) |
| Euronext CAC 40 10 Index Contracts (France) | 4 | Jun 2023 | 303,546 | (10,574) | (10,574) |
| IBEX 35 Index Contracts (Spain) | 13 | Jun 2023 | 1,255,768 | (23,753) | (23,753) |
| ICE FTSE 100 Index Contracts (United Kingdom) | 6 | Jun 2023 | 556,195 | (32,594) | (32,594) |
| IDEM FTSE MIB Index Contracts (Italy) | 9 | Jun 2023 | 1,255,086 | 761 | 761 |
| JPX TOPIX Index Contracts (Japan) | 38 | Jun 2023 | 5,798,529 | 128,470 | 128,470 |
| MSCI Sing IX ETS Index Contracts (Singapore) | 48 | Jun 2023 | 1,009,303 | (23,668) | (23,668) |
| OMX Stockholm 30 Index Contracts (Sweden) | 120 | Jun 2023 | 2,476,179 | (25,787) | (25,787) |
| SAF FTSE JSE TOP 40 Index Contracts (South Africa) | 73 | Jun 2023 | 2,599,291 | (102,896) | (102,896) |
| SGX MSCI Taiwan Index Contracts (Singapore) | 115 | Jun 2023 | 6,533,150 | 66,563 | 66,563 |
| SGX Nifty 50 Index Contracts (Singapore) | 213 | Jun 2023 | 7,950,864 | 58,270 | 58,270 |
| SGX Nikkei 225 Index Contracts (Singapore) | 25 | Jun 2023 | 2,768,706 | 125,689 | 125,689 |
| TME S&P/TSX 60 Index Contracts (Canada) | 1 | Jun 2023 | 173,348 | (8,506) | (8,506) |
| WSE WIG20 Index Contracts (Poland) | 388 | Jun 2023 | 3,490,461 | (115,108) | (115,108) |
| TOTAL EQUITY INDEX CONTRACTS | 60,070 | ||||
| TOTAL PURCHASED | (54,102) | ||||
| Sold | |||||
| Bond Index Contracts | |||||
| ASX 10 Year Treasury Bond Index Contracts (Australia) | 29 | Jun 2023 | 2,261,919 | (6,872) | (6,872) |
| CME Three-Month SOFR Index Contracts (United States) | 103 | Sep 2024 | 24,744,463 | (23,250) | (23,250) |
| Eurex Euro-Oat Contracts (Germany) | 8 | Jun 2023 | 1,116,274 | (37,593) | (37,593) |
| Eurex Short-Term Euro-BTP Contracts (Germany) | 107 | Jun 2023 | 12,058,272 | (28,121) | (28,121) |
| Eurex Short-Term Euro-BTP Contracts (Germany) | 16 | Jun 2023 | 1,983,194 | (17,919) | (17,919) |
| Eurex Short-Term Euro-BTP Contracts (Germany) | 34 | Sep 2023 | 3,840,323 | (2,034) | (2,034) |
| ICE Three Month SONIA Index Contracts (United States) | 5 | Jun 2024 | 1,473,537 | 10,999 | 10,999 |
| ICE Three-Month EURIBOR Index Contracts (United States) | 90 | Jun 2024 | 23,267,414 | (33,795) | (33,795) |
| TOTAL BOND INDEX CONTRACTS | (138,585) | ||||
| Commodity Futures Contracts | |||||
| CBOT Corn Contracts (United States) | 132 | Sep 2023 | 3,407,250 | 57,250 | 57,250 |
| CBOT HRW Wheat Contracts (United States) | 115 | Sep 2023 | 3,496,000 | 211,687 | 211,687 |
| CBOT Soybean Contracts (United States) | 25 | Jul 2023 | 1,624,688 | 5,752 | 5,752 |
| CBOT Soybean Contracts (United States) | 128 | Dec 2023 | 3,544,320 | 301,098 | 301,098 |
| CBOT Soybean Contracts (United States) | 28 | Nov 2023 | 1,605,100 | 91,832 | 91,832 |
| CBOT Soybean Meal Contracts (United States) | 94 | Dec 2023 | 3,431,000 | 114,924 | 114,924 |
| CME Lean Hogs Contracts (United States) | 59 | Aug 2023 | 1,931,660 | 1,115 | 1,115 |
| COMEX Copper Contracts (United States) | 41 | Sep 2023 | 3,744,838 | 94,865 | 94,865 |
| COMEX Gold 100 oz. Contracts (United States) | 10 | Aug 2023 | 1,982,100 | (9,866) | (9,866) |
| COMEX Silver Contracts (United States) | 4 | Jul 2023 | 471,740 | (8,947) | (8,947) |
| EEX Phelix-DE Base Contracts (Germany) | 5 | Jun 2023 | 1,015,210 | 99,695 | 99,695 |
| ENDEX Dutch TTF Natural Gas Contracts (Netherlands) | 75 | Aug 2023 | 1,767,116 | 177,860 | 177,860 |
| Euronext Milling Wheat NO.2 Contracts (France) | 235 | Sep 2023 | 2,741,127 | 293,814 | 293,814 |
| ICE Rotterdam Coal Contracts (United Kingdom) | 11 | Sep 2023 | 985,600 | 156,178 | 156,178 |
| ICE Rotterdam Coal Contracts (United Kingdom) | 11 | Aug 2023 | 986,150 | 155,628 | 155,628 |
| ICE Rotterdam Coal Contracts (United Kingdom) | 11 | Jul 2023 | 991,650 | 150,128 | 150,128 |
| ICE Brent Crude Contracts (United Kingdom) | 13 | Aug 2023 | 938,600 | 26,837 | 26,837 |
| ICE Coffee 'C' Contracts (United States) | 36 | Sep 2023 | 2,373,975 | 35,152 | 35,152 |
| ICE Cotton No. 2 Contracts (United States) | 63 | Dec 2023 | 2,503,305 | 61,760 | 61,760 |
| ICE ENDEX ECX Emissions Contracts (Netherlands) | 41 | Dec 2023 | 3,550,693 | 49,912 | 49,912 |
| ICE Gas Oil Contracts (United Kingdom) | 71 | Jun 2023 | 1,739,409 | 67,877 | 67,877 |
| ICE Low Sulphur Gasoil Contracts (United States) | 36 | Sep 2023 | 2,372,400 | 90,320 | 90,320 |
| LME Aluminum Contracts (United Kingdom) | 83 | Aug 2023 | 4,656,777 | 49,485 | 49,485 |
| LME Lead Contracts (United Kingdom) | 53 | Aug 2023 | 2,665,238 | 103,818 | 103,818 |
| LME Nickel Contracts (United Kingdom) | 27 | Aug 2023 | 3,329,748 | 128,722 | 128,722 |
| LME Zinc Contracts (United Kingdom) | 60 | Aug 2023 | 3,371,250 | 393,141 | 393,141 |
| NYMEX Gasoline RBOB Contracts (United States) | 2 | Aug 2023 | 193,906 | 560 | 560 |
| NYMEX Natural Gas Contracts (United States) | 70 | Aug 2023 | 1,650,600 | 26,135 | 26,135 |
| NYMEX NY Harbor ULSD Contracts (United States) | 25 | Aug 2023 | 2,375,205 | 65,192 | 65,192 |
| NYMEX Palladium Contracts (United States) | 16 | Sep 2023 | 2,174,400 | 132,940 | 132,940 |
| NYMEX WTI Crude Oil Contracts (United States) | 17 | Aug 2023 | 1,158,380 | 36,932 | 36,932 |
| SGX Iron Ore Index Contracts (Singapore) | 96 | Jul 2023 | 944,640 | 19,867 | 19,867 |
| TOTAL COMMODITY FUTURES CONTRACTS | 3,181,663 | ||||
| Equity Index Contracts | |||||
| Cboe VIX Index Contracts (United States) | 86 | Jun 2023 | 1,622,399 | 96,828 | 96,828 |
| CME E-mini Russell 2000 Index Contracts (United States) | 2 | Jun 2023 | 175,180 | 6,102 | 6,102 |
| Eurex VSTOXX Index Contracts (Germany) | 260 | Jun 2023 | 533,595 | (6,511) | (6,511) |
| HKFE Hang Seng Index Contracts (Hong Kong) | 12 | Jun 2023 | 1,394,556 | 27,527 | 27,527 |
| HKFE Hang Seng Index Contracts (Hong Kong) | 57 | Jun 2023 | 2,235,101 | 55,336 | 55,336 |
| ICE BIST 30 Index Contracts (United States) | 273 | Jun 2023 | 762,542 | (82,483) | (82,483) |
| ICE Three Month SONIA Index Contracts (United States) | 85 | Sep 2024 | 25,108,276 | (4,762) | (4,762) |
| SGX FTSE China A50 Index Contracts (Singapore) | 296 | Jun 2023 | 3,629,256 | 63,398 | 63,398 |
| TOTAL EQUITY INDEX CONTRACTS | 155,435 | ||||
| Treasury Contracts | |||||
| SFE 3-Year Treasury Bond Contracts (Australia) | 129 | Jun 2023 | 9,015,486 | (4,974) | (4,974) |
| TOTAL SOLD | 3,193,539 | ||||
| TOTAL FUTURES CONTRACTS | 3,139,437 | ||||
| The notional amount of futures purchased as a percentage of Net Assets is 2.4% | |||||
| The notional amount of futures sold as a percentage of Net Assets is 7.8% | |||||
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $75,286,751.
| Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
| CLP | 563,879,534 | USD | 701,395 | JPMorgan Chase Bank, N.A. | 6/01/23 | (5,252) |
| CLP | 563,949,955 | USD | 671,305 | State Street Bank And Trust Co | 6/01/23 | 24,925 |
| GBP | 45,000 | USD | 55,621 | Bank of America, N.A. | 6/01/23 | 357 |
| TRY | 925,556 | USD | 44,843 | Citibank, N.A. | 6/01/23 | (210) |
| USD | 704,189 | CLP | 563,879,534 | JPMorgan Chase Bank, N.A. | 6/01/23 | 8,046 |
| USD | 701,483 | CLP | 563,949,955 | State Street Bank And Trust Co | 6/01/23 | 5,252 |
| USD | 65,113 | EUR | 61,000 | BNP Paribas S.A. | 6/01/23 | (90) |
| USD | 11,088,677 | JPY | 1,490,000,000 | Barclays Bank PLC | 6/05/23 | 389,135 |
| USD | 3,339,670 | JPY | 450,000,000 | Barclays Bank PLC | 6/12/23 | 104,654 |
| USD | 21,373 | TRY | 457,530 | JPMorgan Chase Bank, N.A. | 6/14/23 | 199 |
| AUD | 550,000 | USD | 374,020 | BNP Paribas S.A. | 6/15/23 | (16,091) |
| AUD | 550,000 | USD | 374,068 | JPMorgan Chase Bank, N.A. | 6/15/23 | (16,139) |
| BRL | 13,363,959 | USD | 2,600,000 | BNP Paribas S.A. | 6/15/23 | 28,622 |
| BRL | 2,052,445 | USD | 400,000 | BNP Paribas S.A. | 6/15/23 | 3,705 |
| BRL | 4,103,437 | USD | 800,000 | BNP Paribas S.A. | 6/15/23 | 7,125 |
| BRL | 4,478,785 | USD | 900,000 | BNP Paribas S.A. | 6/15/23 | (19,046) |
| BRL | 2,474,930 | USD | 500,000 | BNP Paribas S.A. | 6/15/23 | (13,194) |
| BRL | 4,010,476 | USD | 800,000 | BNP Paribas S.A. | 6/15/23 | (11,160) |
| BRL | 14,705,414 | USD | 2,900,000 | BNP Paribas S.A. | 6/15/23 | (7,521) |
| BRL | 1,997,832 | USD | 400,000 | Barclays Bank PLC | 6/15/23 | (7,037) |
| CAD | 8,855,781 | USD | 6,600,000 | BNP Paribas S.A. | 6/15/23 | (74,066) |
| CAD | 4,137,961 | USD | 3,100,000 | BNP Paribas S.A. | 6/15/23 | (50,686) |
| CAD | 955,110 | USD | 700,000 | Citibank, N.A. | 6/15/23 | 3,832 |
| CHF | 1,979,094 | USD | 2,200,000 | BNP Paribas S.A. | 6/15/23 | (23,554) |
| CHF | 887,500 | USD | 1,000,000 | BNP Paribas S.A. | 6/15/23 | (24,000) |
| CHF | 4,248,424 | USD | 4,700,000 | Morgan Stanley International | 6/15/23 | (27,929) |
| CLP | 233,680,000 | USD | 292,100 | BNP Paribas S.A. | 6/15/23 | (4,146) |
| CLP | 1,693,961,787 | USD | 2,100,000 | BNP Paribas S.A. | 6/15/23 | (12,600) |
| CLP | 80,780,563 | USD | 100,598 | Citibank, N.A. | 6/15/23 | (1,056) |
| CLP | 247,366,860 | USD | 307,900 | JPMorgan Chase Bank, N.A. | 6/15/23 | (3,080) |
| CLP | 406,215,000 | USD | 500,000 | Morgan Stanley International | 6/15/23 | 562 |
| COP | 726,059,575 | USD | 154,600 | BNP Paribas S.A. | 6/15/23 | 7,992 |
| COP | 2,093,380,000 | USD | 445,400 | BNP Paribas S.A. | 6/15/23 | 23,387 |
| COP | 5,132,700,430 | USD | 1,100,000 | BNP Paribas S.A. | 6/15/23 | 49,407 |
| COP | 3,132,500,000 | USD | 700,000 | BNP Paribas S.A. | 6/15/23 | 1,486 |
| COP | 2,214,135,000 | USD | 495,000 | BNP Paribas S.A. | 6/15/23 | 829 |
| COP | 605,529,870 | USD | 132,010 | Bank of America, N.A. | 6/15/23 | 3,591 |
| COP | 7,555,905,000 | USD | 1,700,000 | Citibank, N.A. | 6/15/23 | (7,946) |
| COP | 6,259,922,240 | USD | 1,367,990 | State Street Bank And Trust Co | 6/15/23 | 33,844 |
| COP | 1,364,112,500 | USD | 305,000 | State Street Bank And Trust Co | 6/15/23 | 477 |
| CZK | 50,328,372 | USD | 2,266,000 | BNP Paribas S.A. | 6/15/23 | 296 |
| EUR | 1,000,000 | USD | 1,092,979 | BNP Paribas S.A. | 6/15/23 | (23,246) |
| EUR | 750,000 | USD | 821,879 | UBS AG | 6/15/23 | (19,580) |
| GBP | 3,062,500 | USD | 3,777,774 | BNP Paribas S.A. | 6/15/23 | 32,921 |
| GBP | 1,500,000 | USD | 1,872,525 | BNP Paribas S.A. | 6/15/23 | (6,062) |
| GBP | 3,000,000 | USD | 3,780,024 | JPMorgan Chase Bank, N.A. | 6/15/23 | (47,098) |
| GBP | 937,500 | USD | 1,165,120 | Morgan Stanley International | 6/15/23 | 1,419 |
| GBP | 4,812,500 | USD | 5,910,694 | Morgan Stanley International | 6/15/23 | 77,541 |
| GBP | 500,000 | USD | 609,872 | Royal Bank of Canada | 6/15/23 | 12,282 |
| HKD | 1,075,000 | USD | 137,352 | JPMorgan Chase Bank, N.A. | 6/15/23 | (22) |
| HUF | 287,600,171 | USD | 800,000 | BNP Paribas S.A. | 6/15/23 | 26,581 |
| HUF | 275,042,821 | USD | 800,000 | BNP Paribas S.A. | 6/15/23 | (9,509) |
| HUF | 140,421,440 | USD | 400,000 | Citibank, N.A. | 6/15/23 | 3,580 |
| HUF | 450,970,000 | USD | 1,300,000 | Morgan Stanley International | 6/15/23 | (3,883) |
| IDR | 24,103,127,680 | USD | 1,600,000 | BNP Paribas S.A. | 6/15/23 | 7,703 |
| IDR | 32,979,750,906 | USD | 2,192,000 | BNP Paribas S.A. | 6/15/23 | 7,782 |
| IDR | 22,551,559,650 | USD | 1,500,000 | BNP Paribas S.A. | 6/15/23 | 4,212 |
| IDR | 16,466,534,590 | USD | 1,100,000 | BNP Paribas S.A. | 6/15/23 | (1,666) |
| IDR | 8,977,590,180 | USD | 600,000 | BNP Paribas S.A. | 6/15/23 | (1,186) |
| IDR | 41,758,017,619 | USD | 2,801,611 | Bank of America, N.A. | 6/15/23 | (16,310) |
| IDR | 1,542,032,633 | USD | 103,325 | Barclays Bank PLC | 6/15/23 | (470) |
| IDR | 3,129,152,000 | USD | 208,000 | Morgan Stanley International | 6/15/23 | 718 |
| IDR | 31,445,820,000 | USD | 2,100,000 | Morgan Stanley International | 6/15/23 | (2,532) |
| ILS | 2,519,532 | USD | 700,000 | Bank of America, N.A. | 6/15/23 | (24,387) |
| INR | 157,020,976 | USD | 1,910,400 | BNP Paribas S.A. | 6/15/23 | (12,359) |
| INR | 81,367,927 | USD | 989,600 | BNP Paribas S.A. | 6/15/23 | (6,039) |
| INR | 146,737,380 | USD | 1,784,744 | BNP Paribas S.A. | 6/15/23 | (11,008) |
| INR | 123,864,867 | USD | 1,506,390 | BNP Paribas S.A. | 6/15/23 | (9,134) |
| INR | 329 | USD | 4 | Morgan Stanley International | 6/15/23 | 0 |
| INR | 115,791,170 | USD | 1,408,862 | Morgan Stanley International | 6/15/23 | (9,199) |
| JPY | 187,805,757 | USD | 1,446,000 | BNP Paribas S.A. | 6/15/23 | (95,233) |
| JPY | 966,824,252 | USD | 7,454,000 | BNP Paribas S.A. | 6/15/23 | (500,251) |
| JPY | 78,577,410 | USD | 600,000 | Citibank, N.A. | 6/15/23 | (34,843) |
| JPY | 77,951,622 | USD | 600,000 | Royal Bank of Canada | 6/15/23 | (39,344) |
| MXN | 30,340,938 | USD | 1,661,600 | BNP Paribas S.A. | 6/15/23 | 48,726 |
| MXN | 19,609,366 | USD | 1,077,330 | BNP Paribas S.A. | 6/15/23 | 28,055 |
| MXN | 11,145,625 | USD | 620,967 | BNP Paribas S.A. | 6/15/23 | 7,315 |
| MXN | 2,529,211 | USD | 138,400 | Barclays Bank PLC | 6/15/23 | 4,172 |
| MXN | 56,497,242 | USD | 3,200,000 | Goldman Sachs Bank USA | 6/15/23 | (15,237) |
| MXN | 6,800,092 | USD | 379,033 | JPMorgan Chase Bank, N.A. | 6/15/23 | 4,290 |
| MXN | 10,648,675 | USD | 600,000 | JPMorgan Chase Bank, N.A. | 6/15/23 | 268 |
| MXN | 1,472,636 | USD | 82,900 | JPMorgan Chase Bank, N.A. | 6/15/23 | 113 |
| MXN | 16,309,705 | USD | 917,100 | JPMorgan Chase Bank, N.A. | 6/15/23 | 2,282 |
| MXN | 5,871,407 | USD | 322,670 | Morgan Stanley International | 6/15/23 | 8,303 |
| MXN | 9,193,253 | USD | 500,000 | Morgan Stanley International | 6/15/23 | 18,226 |
| MXN | 10,992,605 | USD | 600,000 | Morgan Stanley International | 6/15/23 | 19,656 |
| MYR | 3,406,330 | USD | 774,166 | Barclays Bank PLC | 6/15/23 | (35,424) |
| MYR | 3,933,900 | USD | 900,000 | Goldman Sachs Bank USA | 6/15/23 | (46,842) |
| MYR | 12,034,557 | USD | 2,725,834 | State Street Bank And Trust Co | 6/15/23 | (115,860) |
| NOK | 17,533,564 | USD | 1,700,000 | Barclays Bank PLC | 6/15/23 | (119,395) |
| NZD | 6,600,000 | USD | 4,174,058 | BNP Paribas S.A. | 6/15/23 | (199,111) |
| NZD | 3,400,000 | USD | 2,135,613 | BNP Paribas S.A. | 6/15/23 | (87,913) |
| NZD | 3,500,000 | USD | 2,225,710 | BNP Paribas S.A. | 6/15/23 | (117,783) |
| NZD | 900,000 | USD | 560,664 | Morgan Stanley International | 6/15/23 | (18,626) |
| PEN | 6,990,936 | USD | 1,900,000 | Goldman Sachs Bank USA | 6/15/23 | 2,024 |
| PHP | 134,000,000 | USD | 2,376,982 | Barclays Bank PLC | 6/15/23 | (595) |
| PHP | 48,942,000 | USD | 900,000 | Morgan Stanley International | 6/15/23 | (32,051) |
| PLN | 1,738,489 | USD | 400,000 | BNP Paribas S.A. | 6/15/23 | 10,178 |
| PLN | 1,673,469 | USD | 400,000 | Citibank, N.A. | 6/15/23 | (5,163) |
| RON | 2,361,667 | USD | 517,100 | BNP Paribas S.A. | 6/15/23 | (8,914) |
| RON | 2,292,537 | USD | 505,050 | BNP Paribas S.A. | 6/15/23 | (11,739) |
| RON | 1,994,984 | USD | 440,496 | BNP Paribas S.A. | 6/15/23 | (11,213) |
| RON | 2,235,126 | USD | 500,000 | BNP Paribas S.A. | 6/15/23 | (19,043) |
| RON | 1,235,790 | USD | 274,925 | BNP Paribas S.A. | 6/15/23 | (9,006) |
| RON | 623,135 | USD | 137,354 | BNP Paribas S.A. | 6/15/23 | (3,267) |
| RON | 8,272,807 | USD | 1,800,000 | Barclays Bank PLC | 6/15/23 | (19,848) |
| RON | 1,907,312 | USD | 425,075 | JPMorgan Chase Bank, N.A. | 6/15/23 | (14,658) |
| SEK | 14,187,491 | USD | 1,400,000 | BNP Paribas S.A. | 6/15/23 | (91,649) |
| SEK | 3,734,723 | USD | 362,189 | BNP Paribas S.A. | 6/15/23 | (17,778) |
| SEK | 8,630,249 | USD | 837,811 | Goldman Sachs Bank USA | 6/15/23 | (41,941) |
| SEK | 8,245,010 | USD | 800,000 | Morgan Stanley International | 6/15/23 | (39,657) |
| SGD | 1,862,542 | USD | 1,400,000 | BNP Paribas S.A. | 6/15/23 | (22,059) |
| THB | 142,936,500 | USD | 4,200,000 | Citibank, N.A. | 6/15/23 | (82,375) |
| USD | 977,108 | AUD | 1,500,000 | BNP Paribas S.A. | 6/15/23 | 938 |
| USD | 776,271 | AUD | 1,200,000 | Morgan Stanley International | 6/15/23 | (4,664) |
| USD | 978,434 | AUD | 1,500,000 | Royal Bank of Canada | 6/15/23 | 2,264 |
| USD | 400,000 | BRL | 2,001,264 | BNP Paribas S.A. | 6/15/23 | 6,362 |
| USD | 700,000 | BRL | 3,485,205 | BNP Paribas S.A. | 6/15/23 | 14,478 |
| USD | 400,000 | BRL | 2,049,180 | Goldman Sachs Bank USA | 6/15/23 | (3,063) |
| USD | 3,200,000 | BRL | 17,058,592 | Goldman Sachs Bank USA | 6/15/23 | (155,337) |
| USD | 300,000 | BRL | 1,501,200 | Morgan Stanley International | 6/15/23 | 4,722 |
| USD | 1,900,000 | CAD | 2,612,477 | BNP Paribas S.A. | 6/15/23 | (25,167) |
| USD | 1,900,000 | CAD | 2,617,043 | Barclays Bank PLC | 6/15/23 | (28,531) |
| USD | 3,200,000 | CAD | 4,351,510 | JPMorgan Chase Bank, N.A. | 6/15/23 | (6,682) |
| USD | 3,161,174 | CAD | 4,300,000 | Royal Bank of Canada | 6/15/23 | (7,549) |
| USD | 2,500,000 | CHF | 2,248,755 | BNP Paribas S.A. | 6/15/23 | 27,002 |
| USD | 5,254,780 | CHF | 4,800,000 | UBS AG | 6/15/23 | (23,869) |
| USD | 500,000 | CLP | 408,160,000 | Citibank, N.A. | 6/15/23 | (2,959) |
| USD | 2,085,891 | CLP | 1,694,369,210 | JPMorgan Chase Bank, N.A. | 6/15/23 | (2,011) |
| USD | 700,000 | CLP | 559,475,000 | JPMorgan Chase Bank, N.A. | 6/15/23 | 10,582 |
| USD | 500,000 | COP | 2,246,970,000 | Bank of America, N.A. | 6/15/23 | (3,182) |
| USD | 400,000 | CZK | 8,617,932 | Bank of America, N.A. | 6/15/23 | 11,933 |
| USD | 500,000 | CZK | 11,130,725 | Barclays Bank PLC | 6/15/23 | (1,219) |
| USD | 500,000 | CZK | 10,992,849 | JPMorgan Chase Bank, N.A. | 6/15/23 | 4,990 |
| USD | 680,131 | EUR | 625,000 | BNP Paribas S.A. | 6/15/23 | 11,548 |
| USD | 1,080,199 | EUR | 1,000,000 | BNP Paribas S.A. | 6/15/23 | 10,466 |
| USD | 803,515 | EUR | 750,000 | JPMorgan Chase Bank, N.A. | 6/15/23 | 1,215 |
| USD | 2,075,477 | GBP | 1,750,000 | BNP Paribas S.A. | 6/15/23 | (102,063) |
| USD | 7,253,134 | GBP | 5,875,000 | JPMorgan Chase Bank, N.A. | 6/15/23 | (57,179) |
| USD | 7,654,622 | GBP | 6,180,000 | Royal Bank of Canada | 6/15/23 | (35,205) |
| USD | 547,032 | HKD | 4,286,087 | BNP Paribas S.A. | 6/15/23 | (510) |
| USD | 26,568 | HKD | 208,049 | JPMorgan Chase Bank, N.A. | 6/15/23 | (10) |
| USD | 493,600 | HUF | 180,495,828 | BNP Paribas S.A. | 6/15/23 | (25,157) |
| USD | 862,300 | HUF | 332,525,733 | BNP Paribas S.A. | 6/15/23 | (93,400) |
| USD | 1,637,700 | HUF | 634,123,034 | BNP Paribas S.A. | 6/15/23 | (184,810) |
| USD | 400,000 | HUF | 139,517,648 | JPMorgan Chase Bank, N.A. | 6/15/23 | (983) |
| USD | 406,400 | HUF | 148,655,009 | Morgan Stanley International | 6/15/23 | (20,844) |
| USD | 600,000 | IDR | 8,866,605,300 | BNP Paribas S.A. | 6/15/23 | 8,589 |
| USD | 600,000 | IDR | 8,933,219,760 | BNP Paribas S.A. | 6/15/23 | 4,145 |
| USD | 2,000,000 | IDR | 30,740,520,200 | BNP Paribas S.A. | 6/15/23 | (50,423) |
| USD | 1,300,000 | IDR | 19,507,890,480 | BNP Paribas S.A. | 6/15/23 | (1,196) |
| USD | 1,120,600 | IDR | 17,362,284,596 | BNP Paribas S.A. | 6/15/23 | (37,482) |
| USD | 2,779,400 | IDR | 43,108,494,000 | Bank of America, N.A. | 6/15/23 | (95,980) |
| USD | 1,400,000 | ILS | 5,091,043 | BNP Paribas S.A. | 6/15/23 | 34,835 |
| USD | 4,200,000 | ILS | 15,571,345 | Morgan Stanley International | 6/15/23 | 24,539 |
| USD | 5,762,800 | INR | 478,106,962 | BNP Paribas S.A. | 6/15/23 | (16,471) |
| USD | 937,200 | INR | 77,719,347 | BNP Paribas S.A. | 6/15/23 | (2,258) |
| USD | 2,904,100 | INR | 240,854,856 | BNP Paribas S.A. | 6/15/23 | (7,310) |
| USD | 588,700 | INR | 48,838,584 | BNP Paribas S.A. | 6/15/23 | (1,652) |
| USD | 3,307,200 | INR | 274,381,848 | Barclays Bank PLC | 6/15/23 | (9,479) |
| USD | 3,700,000 | INR | 306,089,160 | JPMorgan Chase Bank, N.A. | 6/15/23 | 49 |
| USD | 501,000 | JPY | 66,758,795 | BNP Paribas S.A. | 6/15/23 | 20,847 |
| USD | 2,200,000 | JPY | 300,656,690 | BNP Paribas S.A. | 6/15/23 | 37,569 |
| USD | 3,700,000 | JPY | 518,992,813 | BNP Paribas S.A. | 6/15/23 | (32,784) |
| USD | 4,300,000 | JPY | 577,798,817 | BNP Paribas S.A. | 6/15/23 | 144,262 |
| USD | 4,399,000 | JPY | 585,778,758 | Barclays Bank PLC | 6/15/23 | 185,868 |
| USD | 2,600,000 | JPY | 359,123,180 | JPMorgan Chase Bank, N.A. | 6/15/23 | 17,056 |
| USD | 7,300,000 | JPY | 1,019,741,015 | JPMorgan Chase Bank, N.A. | 6/15/23 | (34,346) |
| USD | 800,000 | KRW | 1,071,432,000 | BNP Paribas S.A. | 6/15/23 | (10,727) |
| USD | 1,100,000 | KRW | 1,450,774,600 | JPMorgan Chase Bank, N.A. | 6/15/23 | 2,234 |
| USD | 600,000 | MXN | 10,929,226 | BNP Paribas S.A. | 6/15/23 | (16,083) |
| USD | 6,700,000 | MXN | 129,996,520 | BNP Paribas S.A. | 6/15/23 | (627,936) |
| USD | 700,000 | MXN | 12,767,694 | Goldman Sachs Bank USA | 6/15/23 | (19,718) |
| USD | 800,000 | MXN | 14,458,978 | JPMorgan Chase Bank, N.A. | 6/15/23 | (15,056) |
| USD | 2,880,000 | MYR | 12,758,400 | Barclays Bank PLC | 6/15/23 | 113,044 |
| USD | 820,000 | MYR | 3,643,670 | Morgan Stanley International | 6/15/23 | 29,785 |
| USD | 1,700,000 | MYR | 7,813,285 | Morgan Stanley International | 6/15/23 | 5,507 |
| USD | 800,000 | NOK | 8,297,552 | BNP Paribas S.A. | 6/15/23 | 51,997 |
| USD | 500,000 | NOK | 5,545,040 | BNP Paribas S.A. | 6/15/23 | 129 |
| USD | 1,100,000 | NOK | 12,287,344 | BNP Paribas S.A. | 6/15/23 | (7,672) |
| USD | 500,000 | NOK | 5,433,414 | Bank of America, N.A. | 6/15/23 | 10,192 |
| USD | 400,000 | NOK | 4,251,229 | Barclays Bank PLC | 6/15/23 | 16,763 |
| USD | 700,000 | NOK | 7,820,799 | Goldman Sachs Bank USA | 6/15/23 | (5,025) |
| USD | 400,000 | NOK | 4,251,510 | Morgan Stanley International | 6/15/23 | 16,737 |
| USD | 1,471,882 | NZD | 2,400,000 | BNP Paribas S.A. | 6/15/23 | 26,446 |
| USD | 2,840,140 | NZD | 4,700,000 | BNP Paribas S.A. | 6/15/23 | 9,495 |
| USD | 2,084,438 | NZD | 3,400,000 | Barclays Bank PLC | 6/15/23 | 36,738 |
| USD | 2,118,659 | NZD | 3,500,000 | JPMorgan Chase Bank, N.A. | 6/15/23 | 10,732 |
| USD | 1,100,000 | PEN | 4,085,400 | Bank of America, N.A. | 6/15/23 | (11,515) |
| USD | 1,300,000 | PHP | 72,013,158 | BNP Paribas S.A. | 6/15/23 | 22,902 |
| USD | 565,000 | PHP | 31,843,400 | BNP Paribas S.A. | 6/15/23 | 282 |
| USD | 1,000,000 | PHP | 55,244,536 | BNP Paribas S.A. | 6/15/23 | 20,281 |
| USD | 435,000 | PHP | 24,512,250 | Bank of America, N.A. | 6/15/23 | 294 |
| USD | 500,000 | RON | 2,264,622 | BNP Paribas S.A. | 6/15/23 | 12,696 |
| USD | 2,500,000 | RON | 11,562,045 | Barclays Bank PLC | 6/15/23 | 12,066 |
| USD | 1,300,000 | RON | 5,982,080 | UBS AG | 6/15/23 | 12,769 |
| USD | 1,300,000 | SEK | 13,603,824 | BNP Paribas S.A. | 6/15/23 | 45,474 |
| USD | 653,564 | SEK | 6,891,212 | BNP Paribas S.A. | 6/15/23 | 18,066 |
| USD | 900,000 | SEK | 9,711,858 | BNP Paribas S.A. | 6/15/23 | 4,386 |
| USD | 700,000 | SEK | 7,616,802 | BNP Paribas S.A. | 6/15/23 | (2,411) |
| USD | 700,000 | SEK | 7,616,524 | Barclays Bank PLC | 6/15/23 | (2,385) |
| USD | 700,000 | SEK | 7,618,596 | Citibank, N.A. | 6/15/23 | (2,576) |
| USD | 550,755 | SEK | 5,808,769 | JPMorgan Chase Bank, N.A. | 6/15/23 | 15,078 |
| USD | 495,681 | SEK | 5,224,079 | JPMorgan Chase Bank, N.A. | 6/15/23 | 13,924 |
| USD | 700,000 | SEK | 7,616,502 | JPMorgan Chase Bank, N.A. | 6/15/23 | (2,383) |
| USD | 1,300,000 | SGD | 1,752,059 | BNP Paribas S.A. | 6/15/23 | 3,796 |
| USD | 1,300,000 | SGD | 1,759,107 | BNP Paribas S.A. | 6/15/23 | (1,418) |
| USD | 2,300,000 | THB | 79,926,150 | Citibank, N.A. | 6/15/23 | (2,463) |
| USD | 44,843 | TRY | 981,049 | Citibank, N.A. | 6/15/23 | (401) |
| USD | 2,700,000 | TWD | 81,855,833 | BNP Paribas S.A. | 6/15/23 | 31,326 |
| USD | 2,900,000 | TWD | 88,538,740 | JPMorgan Chase Bank, N.A. | 6/15/23 | 13,449 |
| USD | 800,000 | ZAR | 15,447,474 | BNP Paribas S.A. | 6/15/23 | 17,624 |
| USD | 600,000 | ZAR | 11,703,580 | BNP Paribas S.A. | 6/15/23 | 7,243 |
| USD | 400,000 | ZAR | 7,718,628 | BNP Paribas S.A. | 6/15/23 | 9,071 |
| USD | 500,000 | ZAR | 9,373,969 | BNP Paribas S.A. | 6/15/23 | 25,232 |
| USD | 115,643 | ZAR | 2,132,000 | Morgan Stanley International | 6/15/23 | 7,663 |
| USD | 400,000 | ZAR | 7,483,766 | Morgan Stanley International | 6/15/23 | 20,966 |
| USD | 900,000 | ZAR | 17,798,715 | Morgan Stanley International | 6/15/23 | (1,460) |
| ZAR | 62,419,275 | USD | 3,500,000 | Morgan Stanley International | 6/15/23 | (338,621) |
| THB | 62,443 | USD | 1,828 | UBS AG | 6/16/23 | (29) |
| USD | 4,170,977 | THB | 141,208,430 | Morgan Stanley International | 6/16/23 | 102,713 |
| CLP | 1,694,369,210 | USD | 2,085,249 | JPMorgan Chase Bank, N.A. | 6/20/23 | 1,151 |
| CLP | 565,287,912 | USD | 704,189 | JPMorgan Chase Bank, N.A. | 6/20/23 | (8,109) |
| ILS | 31,000 | USD | 8,494 | BNP Paribas S.A. | 6/20/23 | (180) |
| ILS | 114,000 | USD | 31,249 | BNP Paribas S.A. | 6/20/23 | (673) |
| ILS | 149,000 | USD | 40,942 | Barclays Bank PLC | 6/20/23 | (978) |
| ILS | 87,000 | USD | 23,435 | Citibank, N.A. | 6/20/23 | (100) |
| TWD | 62,702,215 | USD | 2,039,959 | Goldman Sachs Bank USA | 6/20/23 | 5,422 |
| TWD | 160,879 | USD | 5,238 | Morgan Stanley International | 6/20/23 | 9 |
| USD | 2,310,146 | ILS | 8,446,472 | Morgan Stanley International | 6/20/23 | 44,685 |
| USD | 3,376,488 | ILS | 12,325,532 | UBS AG | 6/20/23 | 70,610 |
| USD | 773,542 | TWD | 23,579,881 | Goldman Sachs Bank USA | 6/20/23 | 4,353 |
| USD | 1,288,448 | TWD | 39,283,491 | Goldman Sachs Bank USA | 6/20/23 | 6,999 |
| IDR | 43,484,065,603 | USD | 2,847,493 | Citibank, N.A. | 6/21/23 | 52,764 |
| MXN | 8,836 | USD | 463 | BNP Paribas S.A. | 6/21/23 | 34 |
| MXN | 4,637,772 | USD | 247,822 | Citibank, N.A. | 6/21/23 | 13,263 |
| PEN | 17,227,123 | USD | 4,666,953 | Goldman Sachs Bank USA | 6/21/23 | 17,660 |
| TWD | 13,268,808 | USD | 432,068 | Bank of America, N.A. | 6/21/23 | 817 |
| TWD | 14,133,827 | USD | 462,873 | Morgan Stanley International | 6/21/23 | (1,768) |
| USD | 1,232,191 | COP | 6,011,553,100 | Citibank, N.A. | 6/21/23 | (111,854) |
| USD | 389,045 | IDR | 5,832,095,786 | BNP Paribas S.A. | 6/21/23 | 62 |
| USD | 201,160 | IDR | 3,016,557,140 | Citibank, N.A. | 6/21/23 | (35) |
| USD | 38,764 | MXN | 710,000 | Citibank, N.A. | 6/21/23 | (1,206) |
| USD | 116,895 | MXN | 2,232,000 | Citibank, N.A. | 6/21/23 | (8,757) |
| USD | 36,104 | MXN | 689,000 | Morgan Stanley International | 6/21/23 | (2,683) |
| USD | 4,321,028 | MYR | 19,269,194 | Barclays Bank PLC | 6/21/23 | 140,169 |
| USD | 2,922,437 | TWD | 89,146,006 | BNP Paribas S.A. | 6/21/23 | 14,116 |
| USD | 1,707 | TWD | 52,138 | Citibank, N.A. | 6/21/23 | 6 |
| CLP | 557,606,000 | USD | 700,000 | BNP Paribas S.A. | 6/22/23 | (13,576) |
| CLP | 383,160,121 | USD | 464,465 | BNP Paribas S.A. | 6/22/23 | 7,213 |
| COP | 4,038,183,000 | USD | 900,000 | Citibank, N.A. | 6/22/23 | 2,603 |
| HUF | 933,221,156 | USD | 2,712,505 | Bank of America, N.A. | 6/22/23 | (35,776) |
| HUF | 474,663,000 | USD | 1,383,091 | UBS AG | 6/22/23 | (21,630) |
| INR | 527,916 | USD | 6,408 | BNP Paribas S.A. | 6/22/23 | (28) |
| INR | 401,432,500 | USD | 4,900,000 | Morgan Stanley International | 6/22/23 | (48,753) |
| USD | 2,310,809 | CLP | 1,912,772,439 | BNP Paribas S.A. | 6/22/23 | (43,850) |
| USD | 42,933 | CLP | 34,612,826 | State Street Bank And Trust Co | 6/22/23 | 324 |
| USD | 5,829,478 | INR | 479,801,042 | Bank of America, N.A. | 6/22/23 | 31,160 |
| MXN | 9,213,000 | USD | 523,485 | JPMorgan Chase Bank, N.A. | 6/23/23 | (5,064) |
| USD | 25,663 | MXN | 454,000 | JPMorgan Chase Bank, N.A. | 6/26/23 | 133 |
| IDR | 27,281,865,026 | USD | 1,777,552 | Bank of America, N.A. | 6/28/23 | 41,930 |
| IDR | 90,974,475 | USD | 5,882 | Citibank, N.A. | 6/28/23 | 185 |
| USD | 2,111,140 | IDR | 32,429,220,004 | BNP Paribas S.A. | 6/28/23 | (51,630) |
| USD | 370,806 | KRW | 481,521,255 | BNP Paribas S.A. | 6/28/23 | 6,182 |
| USD | 1,839,664 | KRW | 2,416,505,004 | BNP Paribas S.A. | 6/28/23 | 9,805 |
| BRL | 20,815,732 | USD | 3,864,570 | Goldman Sachs Bank USA | 7/05/23 | 216,055 |
| USD | 1,472,228 | CAD | 2,000,000 | Bank of America, N.A. | 7/10/23 | (2,511) |
| MXN | 139,327,087 | USD | 7,241,119 | Royal Bank of Canada | 7/14/23 | 565,310 |
| USD | 1,237,866 | SGD | 1,639,411 | BNP Paribas S.A. | 7/17/23 | 23,523 |
| USD | 48,228 | SGD | 64,000 | Barclays Bank PLC | 7/17/23 | 822 |
| USD | 90,136 | SGD | 121,000 | Barclays Bank PLC | 7/17/23 | 509 |
| USD | 15,535 | SGD | 20,618 | Goldman Sachs Bank USA | 7/17/23 | 264 |
| PHP | 13,316,831 | USD | 243,252 | Barclays Bank PLC | 7/18/23 | (7,342) |
| PHP | 203,104,938 | USD | 3,723,212 | Citibank, N.A. | 7/18/23 | (125,169) |
| USD | 84,690 | MXN | 1,559,148 | Bank of America, N.A. | 7/18/23 | (2,601) |
| USD | 2,374,119 | PHP | 134,000,000 | Barclays Bank PLC | 7/18/23 | 283 |
| CZK | 10,735,485 | USD | 500,000 | UBS AG | 7/21/23 | (17,288) |
| PLN | 49,000 | USD | 11,666 | BNP Paribas S.A. | 7/21/23 | (128) |
| PLN | 49,000 | USD | 11,704 | Barclays Bank PLC | 7/21/23 | (166) |
| PLN | 134,000 | USD | 31,606 | JPMorgan Chase Bank, N.A. | 7/21/23 | (53) |
| PLN | 44,000 | USD | 10,420 | Morgan Stanley International | 7/21/23 | (59) |
| USD | 381,162 | CZK | 8,198,742 | BNP Paribas S.A. | 7/21/23 | 12,513 |
| USD | 63,451 | CZK | 1,357,000 | Bank of America, N.A. | 7/21/23 | 2,435 |
| USD | 335,757 | CZK | 7,235,432 | Citibank, N.A. | 7/21/23 | 10,422 |
| USD | 81,797 | PLN | 352,250 | BNP Paribas S.A. | 7/21/23 | (1,149) |
| USD | 91,257 | PLN | 384,000 | Barclays Bank PLC | 7/21/23 | 836 |
| USD | 43,417 | PLN | 184,000 | Citibank, N.A. | 7/21/23 | 90 |
| USD | 56,574 | PLN | 240,000 | Goldman Sachs Bank USA | 7/21/23 | 60 |
| USD | 623,970 | RON | 2,822,896 | Goldman Sachs Bank USA | 7/21/23 | 17,107 |
| TRY | 112,000 | USD | 5,026 | BNP Paribas S.A. | 7/31/23 | (380) |
| TRY | 617,804 | USD | 26,714 | JPMorgan Chase Bank, N.A. | 7/31/23 | (1,088) |
| TRY | 5,208,355 | USD | 228,712 | UBS AG | 7/31/23 | (12,674) |
| TRY | 2,085,649 | USD | 91,773 | UBS AG | 7/31/23 | (5,262) |
| USD | 57,885 | TRY | 1,314,000 | Bank of America, N.A. | 7/31/23 | 3,382 |
| USD | 41,099 | TRY | 898,844 | Bank of America, N.A. | 7/31/23 | 3,816 |
| USD | 28,298 | TRY | 636,394 | Bank of America, N.A. | 7/31/23 | 1,901 |
| USD | 22,278 | TRY | 506,347 | Citibank, N.A. | 7/31/23 | 1,276 |
| USD | 27,353 | TRY | 653,000 | Morgan Stanley International | 7/31/23 | 267 |
| USD | 65,202 | TRY | 1,520,041 | UBS AG | 7/31/23 | 2,152 |
| USD | 86,931 | TRY | 2,008,836 | UBS AG | 7/31/23 | 3,606 |
| USD | 165,107 | TRY | 3,772,423 | UBS AG | 7/31/23 | 8,630 |
| CLP | 4,040,054,931 | USD | 4,876,349 | Citibank, N.A. | 8/01/23 | 70,122 |
| CAD | 4,300,000 | USD | 3,166,083 | Royal Bank of Canada | 8/16/23 | 7,007 |
| CHF | 4,800,000 | USD | 5,291,653 | UBS AG | 8/16/23 | 24,822 |
| EUR | 650,000 | USD | 712,792 | BNP Paribas S.A. | 8/16/23 | (14,962) |
| EUR | 124,000 | USD | 133,489 | BNP Paribas S.A. | 8/16/23 | (364) |
| EUR | 61,000 | USD | 65,402 | BNP Paribas S.A. | 8/16/23 | 87 |
| EUR | 61,000 | USD | 66,191 | BNP Paribas S.A. | 8/16/23 | (702) |
| EUR | 123,000 | USD | 133,467 | BNP Paribas S.A. | 8/16/23 | (1,416) |
| EUR | 29,000 | USD | 31,679 | Barclays Bank PLC | 8/16/23 | (545) |
| EUR | 16,000 | USD | 17,415 | Barclays Bank PLC | 8/16/23 | (238) |
| EUR | 66,000 | USD | 71,720 | Barclays Bank PLC | 8/16/23 | (863) |
| EUR | 20,000 | USD | 21,554 | Barclays Bank PLC | 8/16/23 | (82) |
| EUR | 17,000 | USD | 18,606 | Citibank, N.A. | 8/16/23 | (355) |
| EUR | 18,000 | USD | 19,480 | NatWest Markets PLC | 8/16/23 | (155) |
| EUR | 67,000 | USD | 72,247 | NatWest Markets PLC | 8/16/23 | (317) |
| GBP | 13,000 | USD | 16,320 | Bank of America, N.A. | 8/16/23 | (126) |
| GBP | 636,000 | USD | 798,261 | Barclays Bank PLC | 8/16/23 | (6,017) |
| GBP | 42,000 | USD | 52,557 | Barclays Bank PLC | 8/16/23 | (239) |
| GBP | 13,000 | USD | 16,205 | Barclays Bank PLC | 8/16/23 | (11) |
| GBP | 15,000 | USD | 18,699 | Barclays Bank PLC | 8/16/23 | (14) |
| GBP | 79,000 | USD | 97,680 | Barclays Bank PLC | 8/16/23 | 727 |
| GBP | 25,000 | USD | 31,087 | Barclays Bank PLC | 8/16/23 | 55 |
| GBP | 110,000 | USD | 136,011 | Barclays Bank PLC | 8/16/23 | 1,013 |
| GBP | 60,000 | USD | 74,662 | Citibank, N.A. | 8/16/23 | 78 |
| GBP | 17,000 | USD | 21,072 | Citibank, N.A. | 8/16/23 | 104 |
| GBP | 23,000 | USD | 28,505 | Citibank, N.A. | 8/16/23 | 145 |
| GBP | 106,000 | USD | 131,724 | Citibank, N.A. | 8/16/23 | 316 |
| GBP | 6,180,000 | USD | 7,663,960 | Royal Bank of Canada | 8/16/23 | 34,253 |
| JPY | 15,500,000 | USD | 113,959 | Citibank, N.A. | 8/16/23 | (1,350) |
| USD | 4,282,967 | AUD | 6,336,000 | Bank of America, N.A. | 8/16/23 | 149,900 |
| USD | 2,268,211 | CAD | 3,024,717 | Citibank, N.A. | 8/16/23 | 36,188 |
| USD | 3,718,927 | CAD | 4,971,951 | JPMorgan Chase Bank, N.A. | 8/16/23 | 49,985 |
| USD | 2,008,557 | CHF | 1,777,761 | Goldman Sachs Bank USA | 8/16/23 | 39,512 |
| USD | 3,026,056 | CHF | 2,661,233 | JPMorgan Chase Bank, N.A. | 8/16/23 | 78,478 |
| USD | 1,517,842 | EUR | 1,378,000 | JPMorgan Chase Bank, N.A. | 8/16/23 | 38,443 |
| USD | 55,704 | GBP | 45,000 | Bank of America, N.A. | 8/16/23 | (351) |
| USD | 209,748 | GBP | 167,113 | Barclays Bank PLC | 8/16/23 | 1,581 |
| USD | 2,335,688 | GBP | 1,844,128 | JPMorgan Chase Bank, N.A. | 8/16/23 | 38,522 |
| USD | 450,361 | GBP | 356,439 | Royal Bank of Canada | 8/16/23 | 6,357 |
| USD | 2,041,731 | GBP | 1,615,320 | UBS AG | 8/16/23 | 29,582 |
| USD | 1,809,732 | JPY | 239,505,543 | Barclays Bank PLC | 8/16/23 | 69,705 |
| USD | 296,299 | JPY | 39,360,932 | JPMorgan Chase Bank, N.A. | 8/16/23 | 10,338 |
| USD | 3,872,822 | JPY | 514,662,878 | Morgan Stanley International | 8/16/23 | 133,756 |
| USD | 499,566 | NOK | 5,211,080 | Citibank, N.A. | 8/16/23 | 28,388 |
| USD | 624,346 | NOK | 6,624,373 | Goldman Sachs Bank USA | 8/16/23 | 25,380 |
| USD | 230,276 | NOK | 2,442,681 | JPMorgan Chase Bank, N.A. | 8/16/23 | 9,412 |
| USD | 2,386,936 | NZD | 3,763,952 | Bank of America, N.A. | 8/16/23 | 120,776 |
| USD | 830,626 | NZD | 1,337,000 | Bank of America, N.A. | 8/16/23 | 25,660 |
| USD | 1,915,310 | SEK | 19,423,791 | Citibank, N.A. | 8/16/23 | 117,949 |
| USD | 2,082,718 | ZAR | 39,493,124 | UBS AG | 8/17/23 | 95,553 |
| USD | 1,507,361 | ZAR | 29,424,441 | UBS AG | 8/17/23 | 26,819 |
| ZAR | 2,225,000 | USD | 113,786 | Morgan Stanley International | 8/17/23 | (1,831) |
| USD | 5,238 | TWD | 159,737 | Morgan Stanley International | 8/22/23 | (12) |
| USD | 462,873 | TWD | 14,036,624 | Morgan Stanley International | 8/22/23 | 1,515 |
| CLP | 572,668,129 | USD | 699,912 | Citibank, N.A. | 8/31/23 | (1,396) |
| USD | 432,068 | TWD | 13,140,916 | Bank of America, N.A. | 9/20/23 | (1,365) |
| USD | 2,039,959 | TWD | 62,084,108 | Goldman Sachs Bank USA | 9/20/23 | (7,791) |
| ZAR | 3,591,519 | USD | 192,677 | BNP Paribas S.A. | 10/18/23 | (13,146) |
| ZAR | 1,781,401 | USD | 95,958 | BNP Paribas S.A. | 10/18/23 | (6,911) |
| USD | 100,598 | CLP | 82,168,822 | Citibank, N.A. | 10/19/23 | 916 |
| TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | (142,257) | |||||
| Unrealized Appreciation | 4,977,787 | |||||
| Unrealized Depreciation | (5,120,044) | |||||
For the period, the average contract value for forward foreign currency contracts was $157,679,057.
| Credit Default Swaps | ||||||||||
| Underlying Reference | Rating (1) | Maturity Date | Clearinghouse / Counterparty (2) | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount (3)(4) | Value ($) (1) | Upfront Premium Received/ (Paid) ($) (5) | Unrealized Appreciation/ (Depreciation) ($) | |
| Buy Protection | ||||||||||
| 5-Year iTraxx Europe Main Series 39 | Jun 2028 | ICE | (1%) | Quarterly | EUR | 3,500,000 | (868) | 0 | (868) | |
| Sell Protection | ||||||||||
| 5-Year CDX N.A. EM Series 39 | NR | Jun 2028 | ICE | 1% | Quarterly | 2,900,000 | (707) | 0 | (707) | |
| 5-Year CDX N.A. HY Series 40 | NR | Jun 2028 | ICE | 5% | Quarterly | 1,600,000 | (1,129) | 0 | (1,129) | |
| 5-Year CDX N.A. IG Series 40 | NR | Jun 2028 | ICE | 1% | Quarterly | 3,900,000 | (30) | 0 | (30) | |
| 5-Year iTraxx Europe Main Series 39 | NR | Jun 2028 | ICE | 1% | Quarterly | EUR | 11,600,000 | 100,017 | 0 | 100,017 |
| TOTAL SELL PROTECTION | 98,251 | 0 | 98,251 | |||||||
| TOTAL CREDIT DEFAULT SWAPS | 97,383 | 0 | 97,383 | |||||||
(1)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2)Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.
(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
(4)Notional amount is stated in U.S. Dollars unless otherwise noted.
(5)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).
| Interest Rate Swaps | ||||||||||
| Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty (1) | Maturity Date | Notional Amount (2) | Value ($) | Upfront Premium Received/ (Paid) ($) (3) | Unrealized Appreciation/ (Depreciation) ($) | |
BNP Paribas Sinacofi Chile Interbank Rate Avg. (4) | Semi-Annual | 5.62% | Semi-Annual | CME | Jun 2028 | CLP | 2,772,000,000 | 140 | 0 | 140 |
Prague Interbank Offered Rate 6-month (4) | Semi-Annual | 4.42% | Semi-Annual | CME | Jun 2033 | CZK | 35,600,000 | (5,098) | 0 | (5,098) |
6-month EURIBOR (4) | Semi-Annual | 3.5% | Semi-Annual | LCH | Sep 2025 | EUR | 26,500,000 | (35,491) | 0 | (35,491) |
Canadian Overnight Repo Rate Average (CORRA) (4) | Semi-Annual | 3.75% | Semi-Annual | LCH | Sep 2025 | CAD | 11,100,000 | 48,823 | 0 | 48,823 |
SONIA Interest Rate Benchmark (4) | Annual | 4% | Annual | LCH | Sep 2025 | GBP | 8,300,000 | (34,980) | 0 | (34,980) |
Brazil Cetip DI Interbank Deposit Rate (4) | At Maturity | 13.72% | At Maturity | CME | Jan 2027 | BRL | 20,200,000 | (167,742) | 0 | (167,742) |
Brazil Cetip DI Interbank Deposit Overnight Rate (4) | At Maturity | 13.19% | At Maturity | CME | Jan 2027 | BRL | 18,500,000 | (193,418) | 0 | (193,418) |
| 12.26% | At Maturity | Brazil Cetip DI Interbank Deposit Rate (4) | At Maturity | CME | Jan 2027 | BRL | 13,600,000 | 83,299 | 0 | 83,299 |
Brazil Cetip DI Interbank Deposit Rate (4) | At Maturity | 13.17% | At Maturity | CME | Jan 2027 | BRL | 7,000,000 | (62,983) | 0 | (62,983) |
Brazil Cetip DI Interbank Deposit Rate (4) | At Maturity | 12.71% | At Maturity | CME | Jan 2027 | BRL | 6,800,000 | (58,173) | 0 | (58,173) |
| 12.16% | At Maturity | Brazil Cetip DI Interbank Deposit Rate (4) | At Maturity | CME | Jan 2027 | BRL | 6,500,000 | 36,971 | 0 | 36,971 |
Brazil Cetip DI Interbank Deposit Overnight Rate (4) | At Maturity | 13.08% | At Maturity | CME | Jan 2027 | BRL | 4,700,000 | (34,768) | 0 | (34,768) |
Mexico 28 Day Cetes Auction Average Yield Rate (4) | Monthly | 8.63% | Monthly | CME | Nov 2027 | MXN | 63,400,000 | (26,344) | 0 | (26,344) |
| 8.45% | Monthly | Mexico Interbank TIIE 28 Day Rate (4) | Monthly | CME | Nov 2027 | MXN | 54,800,000 | (15,926) | 0 | (15,926) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate (4) | Quarterly | 8.06% | Quarterly | CME | Nov 2027 | ZAR | 44,800,000 | 97,705 | 0 | 97,705 |
| 8.48% | Monthly | Mexico Interbank TIIE 28 Day Rate (4) | Monthly | CME | Nov 2027 | MXN | 17,300,000 | (4,154) | 0 | (4,154) |
Israel Tel Aviv Interbank Offered 3 Month (4) | Quarterly | 3.29% | Annual | LCH | Nov 2027 | ILS | 26,400,000 | 190,148 | 0 | 190,148 |
| 3.75% | Quarterly | Bank Negara Malaysia Kilbor Interbank Offered Rate Fixing 3 Month (4) | Quarterly | Bank of America, N.A. | Dec 2027 | MYR | 13,200,000 | 34,540 | (6,648) | 27,892 |
| 3.75% | Quarterly | Bank Negara Malaysia Kilbor Interbank Offered Rate Fixing 3 Month (4) | Quarterly | Bank of America, N.A. | Dec 2027 | MYR | 10,600,000 | 27,737 | (7,319) | 20,418 |
National Bank of Hungary Budapest Offered 6 Month Index Rate (4) | Semi-Annual | 9.05% | Annual | CME | Dec 2027 | HUF | 1,832,500,000 | 11,600 | 0 | 11,600 |
| 5.61% | Semi-Annual | GPW Benchmark WIBOR PLN 6M Rate (4) | Semi-Annual | CME | Dec 2027 | PLN | 7,100,000 | 6,817 | 0 | 6,817 |
Klibor Interbank Offered Rate (4) | Quarterly | 4% | Quarterly | Goldman Sachs Bank USA | Dec 2027 | MYR | 19,000,000 | (95,155) | (2,661) | (97,816) |
| 3.75% | Quarterly | Bank Negara Malaysia Kilbor Interbank Offered Rate Fixing 3 Month (4) | Quarterly | Goldman Sachs Intl. | Dec 2027 | MYR | 26,600,000 | 69,604 | (37,940) | 31,664 |
| 3.75% | Quarterly | Bank Negara Malaysia Kilbor Interbank Offered Rate Fixing 3 Month (4) | Quarterly | Goldman Sachs Intl. | Dec 2027 | MYR | 6,000,000 | 15,700 | (8,732) | 6,968 |
| 3.75% | Quarterly | Bank Negara Malaysia Kilbor Interbank Offered Rate Fixing 3 Month (4) | Quarterly | Goldman Sachs Intl. | Dec 2027 | MYR | 5,400,000 | 14,130 | (1,463) | 12,667 |
HK Assoc. of Banks Hong Kong Dollar (HIBOR) Fixings 3 Month (4) | Quarterly | 4.5% | Quarterly | LCH | Dec 2027 | HKD | 69,500,000 | 156,188 | 0 | 156,188 |
| 4% | Quarterly | HK Assoc. of Banks Hong Kong Dollar (HIBOR) Fixings 3 Month (4) | Quarterly | LCH | Dec 2027 | HKD | 12,400,000 | 30,570 | 0 | 30,570 |
| 8.5% | Annual | National Bank of Hungary Budapest Offered 6 Month Index Rate (4) | Semi-Annual | CME | Jan 2028 | HUF | 1,825,400,000 | (165,374) | 0 | (165,374) |
| 8.65% | Semi-Annual | National Bank of Hungary Budapest Offered 6 Month Index Rate (4) | Semi-Annual | CME | Jan 2028 | HUF | 174,100,000 | (18,484) | 0 | (18,484) |
| 7.71% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate (4) | Quarterly | CME | Jan 2028 | ZAR | 86,300,000 | (272,950) | 0 | (272,950) |
| 7.9% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate (4) | Quarterly | CME | Jan 2028 | ZAR | 31,600,000 | (85,534) | 0 | (85,534) |
| 7.73% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate (4) | Quarterly | CME | Jan 2028 | ZAR | 31,600,000 | (98,124) | 0 | (98,124) |
| 7.73% | Quarterly | SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate (4) | Quarterly | CME | Jan 2028 | ZAR | 26,400,000 | (90,571) | 0 | (90,571) |
| 5.3% | Annual | GPW Benchmark WIBD/WIBOR PLN 6m Rate (4) | Semi-Annual | CME | Jan 2028 | PLN | 6,000,000 | (3,368) | 0 | (3,368) |
Bank of Israel Tel Aviv Interbank Offered 3 Month (4) | Quarterly | 3.49% | Annual | LCH | Jan 2028 | ILS | 3,700,000 | 13,421 | 0 | 13,421 |
Colombia IBR Overnight Nominal Interbank Reference Rate (4) | Quarterly | 10.24% | Quarterly | CME | Feb 2028 | COP | 12,000,000,000 | (124,825) | 0 | (124,825) |
Chile Indice de Camara Promedio Interbank Overnight Index Rate (4) | Semi-Annual | 5.94% | Semi-Annual | CME | Feb 2028 | CLP | 2,185,200,000 | 15,988 | 0 | 15,988 |
Prague Interbank Offered Rate 6-month (4) | Semi-Annual | 5.22% | Annual | CME | Feb 2028 | CZK | 87,200,000 | (91,873) | 0 | (91,873) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate (4) | Quarterly | 8.43% | Quarterly | CME | Feb 2028 | ZAR | 85,300,000 | 147,485 | 0 | 147,485 |
Mexico Interbank TIIE 28 Day Rate (4) | Monthly | 9.22% | Monthly | CME | Feb 2028 | MXN | 56,800,000 | (73,065) | 0 | (73,065) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate (4) | Quarterly | 8.21% | Quarterly | CME | Feb 2028 | ZAR | 56,800,000 | 124,382 | 0 | 124,382 |
Mexico Interbank TIIE 28 Day Rate (4) | Monthly | 9.14% | Monthly | CME | Feb 2028 | MXN | 24,000,000 | (36,934) | 0 | (36,934) |
GPW Benchmark WIBD/WIBOR PLN 6m Rate (4) | Semi-Annual | 6.04% | Annual | CME | Feb 2028 | PLN | 13,500,000 | (72,977) | 0 | (72,977) |
Bank of Israel Tel Aviv Interbank Offered 3 Month (4) | Quarterly | 4.04% | Annual | LCH | Feb 2028 | ILS | 76,800,000 | (216,860) | 0 | (216,860) |
| 4.03% | Quarterly | Bank of Israel Tel Aviv Interbank Offered 3 Month (4) | Quarterly | LCH | Feb 2028 | ILS | 66,600,000 | 369,741 | 0 | 369,741 |
Bank of Israel Tel Aviv Interbank Offered 3 Month (4) | Quarterly | 3.98% | Annual | LCH | Feb 2028 | ILS | 9,500,000 | (15,165) | 0 | (15,165) |
Bank Negara Malaysia Kilbor Interbank Offered Rate Fixing 3 Month (4) | Quarterly | 3.75% | Quarterly | Bank of America, N.A. | Mar 2028 | MYR | 11,500,000 | (30,747) | 6,053 | (24,694) |
Klibor Interbank Offered Rate (4) | Quarterly | 3.75% | Quarterly | Bank of America, N.A. | Mar 2028 | MYR | 10,700,000 | (28,608) | (9,185) | (37,793) |
| 3.75% | Quarterly | Klibor Interbank Offered Rate (4) | Quarterly | Bank of America, N.A. | Mar 2028 | MYR | 9,600,000 | 25,667 | (15,739) | 9,928 |
| 3.5% | Quarterly | Klibor Interbank Offered Rate (4) | Quarterly | Bank of America, N.A. | Mar 2028 | MYR | 8,100,000 | 1,339 | (3,191) | (1,852) |
| 9.05% | Quarterly | Colombia IBR Overnight Nominal Interbank Reference Rate (4) | Quarterly | CME | Mar 2028 | COP | 10,329,000,000 | (636) | 0 | (636) |
| 8.75% | Quarterly | Colombia IBR Overnight Interbank Reference Rate (4) | Quarterly | CME | Mar 2028 | COP | 6,718,000,000 | (16,846) | 0 | (16,846) |
Colombia IBR Overnight Nominal Interbank Reference Rate (4) | Quarterly | 9.83% | Quarterly | CME | Mar 2028 | COP | 6,277,100,000 | (38,364) | 0 | (38,364) |
| 5.38% | Semi-Annual | Chile Indice de Camara Promedio Interbank Overnight Index Rate (4) | Semi-Annual | CME | Mar 2028 | CLP | 5,416,600,000 | (160,704) | 0 | (160,704) |
| 5.3% | Semi-Annual | Chile Indice de Camara Promedio Interbank Overnight Index Rate (4) | Semi-Annual | CME | Mar 2028 | CLP | 2,179,800,000 | (74,922) | 0 | (74,922) |
Chile Indice de Camara Promedio Interbank Overnight Index Rate (4) | Semi-Annual | 6.49% | Semi-Annual | CME | Mar 2028 | CLP | 2,011,100,000 | (52,796) | 0 | (52,796) |
Chile Indice de Camara Promedio Interbank Overnight Index Rate (4) | Semi-Annual | 6.39% | Semi-Annual | CME | Mar 2028 | CLP | 1,683,100,000 | (20,773) | 0 | (20,773) |
Chile Indice de Camara Promedio Interbank Overnight Index Rate (4) | Semi-Annual | 6.38% | Semi-Annual | CME | Mar 2028 | CLP | 992,300,000 | (19,460) | 0 | (19,460) |
Chile Indice de Camara Promedio Interbank Overnight Index Rate (4) | Semi-Annual | 6.37% | Semi-Annual | CME | Mar 2028 | CLP | 936,200,000 | (17,853) | 0 | (17,853) |
| 4.51% | Annual | Prague Interbank Offered Rate 6-month (4) | Semi-Annual | CME | Mar 2028 | CZK | 85,800,000 | (14,269) | 0 | (14,269) |
| 8.44% | Monthly | Mexico Interbank TIIE 28 Day Rate (4) | Monthly | CME | Mar 2028 | MXN | 68,900,000 | (16,428) | 0 | (16,428) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate (4) | Quarterly | 8.12% | Quarterly | CME | Mar 2028 | ZAR | 23,700,000 | 40,010 | 0 | 40,010 |
GPW Benchmark WIBD/WIBOR PLN 6m Rate (4) | Semi-Annual | 5.43% | Annual | CME | Mar 2028 | PLN | 3,100,000 | 2,203 | 0 | 2,203 |
KRW 3 Month Certificate of Deposit (4) | Quarterly | 3.5% | Quarterly | LCH | Mar 2028 | KRW | 4,900,100,000 | 36,133 | 0 | 36,133 |
| 3.25% | Quarterly | KRW 3 Month Certificate of Deposit (4) | Quarterly | LCH | Mar 2028 | KRW | 4,781,000,000 | (33,936) | 0 | (33,936) |
| 3.25% | Quarterly | KRW 3 Month Certificate of Deposit (4) | Quarterly | LCH | Mar 2028 | KRW | 3,945,000,000 | (27,789) | 0 | (27,789) |
KRW 3 Month Certificate of Deposit (4) | Quarterly | 3.25% | Quarterly | LCH | Mar 2028 | KRW | 1,794,700,000 | (13,808) | 0 | (13,808) |
| 4% | Quarterly | Korea Federation of Banks (KORIBOR) 3 Month Rate (4) | Quarterly | LCH | Mar 2028 | KRW | 1,566,200,000 | (12,582) | 0 | (12,582) |
| 6.5% | Semi-Annual | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate (4) | Semi-Annual | LCH | Mar 2028 | INR | 528,700,000 | 34,578 | 0 | 34,578 |
| 6.25% | Semi-Annual | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate (4) | Semi-Annual | LCH | Mar 2028 | INR | 238,700,000 | (2,129) | 0 | (2,129) |
| 2.25% | Quarterly | Thailand Overnight Repo Rate (4) | Quarterly | LCH | Mar 2028 | THB | 202,200,000 | (4,394) | 0 | (4,394) |
| 3% | Quarterly | CFETS China Fixing Repo Rates 7 Day (4) | Quarterly | LCH | Mar 2028 | CNY | 91,400,000 | 26,859 | 0 | 26,859 |
| 3.25% | Quarterly | HK Assoc. of Banks Hong Kong Dollar (HIBOR) Fixings 3 Month (4) | Quarterly | LCH | Mar 2028 | HKD | 67,800,000 | (151,062) | 0 | (151,062) |
HK Assoc. of Banks Hong Kong Dollar (HIBOR) Fixings 3 Month (4) | Quarterly | 3.75% | Quarterly | LCH | Mar 2028 | HKD | 64,600,000 | 22,246 | 0 | 22,246 |
| 3% | Quarterly | CFETS China Fixing Repo Rates 7 Day (4) | Quarterly | LCH | Mar 2028 | CNY | 44,800,000 | 58,431 | 0 | 58,431 |
| 2.75% | Quarterly | CFETS China Fixing Repo Rates 7 Day (4) | Quarterly | LCH | Mar 2028 | CNY | 17,700,000 | 39,870 | 0 | 39,870 |
| 2.75% | Quarterly | CFETS China Fixing Repo Rates 7 Day (4) | Quarterly | LCH | Mar 2028 | CNY | 15,900,000 | 14,730 | 0 | 14,730 |
Singapore Domestic Interbank Overnight Rate Avg. (4) | Semi-Annual | 2.75% | Semi-Annual | LCH | Mar 2028 | SGD | 15,500,000 | 38,589 | 0 | 38,589 |
| 2.75% | Semi-Annual | Singapore Domestic Interbank Overnight Rate Avg. (4) | Semi-Annual | LCH | Mar 2028 | SGD | 8,084,000 | (50,681) | 0 | (50,681) |
| 3.87% | Annual | Bank of Israel Tel Aviv Interbank Offered 3 Month (4) | Quarterly | LCH | Mar 2028 | ILS | 7,800,000 | (17,479) | 0 | (17,479) |
| 3.59% | Annual | Bank of Israel Tel Aviv Interbank Offered 3 Month (4) | Quarterly | LCH | Mar 2028 | ILS | 5,300,000 | (13,092) | 0 | (13,092) |
Taiwan Interbank Money Center (TAIBOR) Fixing Rates 3 Month (4) | Quarterly | 1.25% | Quarterly | LCH | Mar 2028 | TWD | 125,600,000 | (10,850) | 0 | (10,850) |
| 6.25% | Semi-Annual | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate (4) | Semi-Annual | LCH | Mar 2028 | INR | 668,900,000 | (20,001) | 0 | (20,001) |
| 8.7% | Quarterly | Colombia IBR Overnight Nominal Interbank Reference Rate (4) | Quarterly | CME | Apr 2028 | COP | 8,197,300,000 | (21,235) | 0 | (21,235) |
| 8.74% | Annual | National Bank of Hungary Budapest Offered 6 Month Index Rate (4) | Semi-Annual | CME | Apr 2028 | HUF | 985,200,000 | (34,598) | 0 | (34,598) |
National Bank of Hungary Budapest Offered 6 Month Index Rate (4) | Semi-Annual | 9.51% | Semi-Annual | CME | Apr 2028 | HUF | 757,400,000 | (27,225) | 0 | (27,225) |
National Bank of Hungary Budapest Offered 6 Month Index Rate (4) | Semi-Annual | 9.49% | Annual | CME | Apr 2028 | HUF | 611,500,000 | (22,068) | 0 | (22,068) |
| 8.8% | Annual | National Bank of Hungary Budapest Offered 6 Month Index Rate (4) | Semi-Annual | CME | Apr 2028 | HUF | 414,900,000 | (12,128) | 0 | (12,128) |
National Bank of Hungary Budapest Offered 6 Month Index Rate (4) | Semi-Annual | 9.5% | Annual | CME | Apr 2028 | HUF | 250,700,000 | (9,328) | 0 | (9,328) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate (4) | Quarterly | 8.51% | Quarterly | CME | Apr 2028 | ZAR | 76,200,000 | 126,704 | 0 | 126,704 |
Prague Interbank Offered Rate 6-month (4) | Semi-Annual | 5.09% | Semi-Annual | CME | Apr 2028 | CZK | 50,200,000 | (29,704) | 0 | (29,704) |
| 3.53% | Annual | Bank of Israel Tel Aviv Interbank Offered 3 Month (4) | Quarterly | LCH | Apr 2028 | ILS | 6,300,000 | (20,091) | 0 | (20,091) |
BNP Paribas Sinacofi Chile Interbank Rate Avg. (4) | Semi-Annual | 5.8% | Semi-Annual | CME | May 2028 | CLP | 2,024,600,000 | (18,298) | 0 | (18,298) |
BNP Paribas Sinacofi Chile Interbank Rate Avg. (4) | Semi-Annual | 5.78% | Semi-Annual | CME | May 2028 | CLP | 508,400,000 | (4,115) | 0 | (4,115) |
SAFE South Africa Johannesburg Interbank Agreed 3 Month Rate (4) | Quarterly | 9.35% | Quarterly | CME | May 2028 | ZAR | 129,700,000 | 7,025 | 0 | 7,025 |
| 4.7% | Annual | Prague Interbank Offered Rate 6-month (4) | Semi-Annual | CME | May 2028 | CZK | 50,000,000 | 9,381 | 0 | 9,381 |
Mexico Interbank TIIE 28 Day Rate (4) | Monthly | 8.73% | Monthly | CME | May 2028 | MXN | 48,000,000 | (23,517) | 0 | (23,517) |
Mexico Interbank TIIE 28 Day Rate (4) | Monthly | 8.7% | Monthly | CME | May 2028 | MXN | 31,200,000 | 402 | 0 | 402 |
Bank of Israel Tel Aviv Interbank Offered 3 Month (4) | Quarterly | 3.59% | Annual | LCH | May 2028 | ILS | 16,900,000 | (583) | 0 | (583) |
BNP Paribas Sinacofi Chile Interbank Rate Avg. (4) | Semi-Annual | 5.7% | Semi-Annual | CME | Jun 2028 | CLP | 1,688,700,000 | (6,632) | 0 | (6,632) |
BNP Paribas Sinacofi Chile Interbank Rate Avg. (4) | Semi-Annual | 5.65% | Semi-Annual | CME | Jun 2028 | CLP | 1,071,300,000 | (1,423) | 0 | (1,423) |
Canadian Overnight Repo Rate Average (CORRA) (4) | Semi-Annual | 3% | Semi-Annual | LCH | Sep 2028 | CAD | 7,900,000 | (18,717) | 0 | (18,717) |
U.S. Secured Overnight Fin. Rate (SOFR) Index (4) | Annual | 3% | Annual | LCH | Sep 2028 | 400,000 | (7,633) | 0 | (7,633) | |
| 11.08% | At Maturity | Brazil Cetip DI Interbank Deposit Rate (4) | At Maturity | CME | Jan 2029 | BRL | 50,700,000 | 10,347 | 0 | 10,347 |
| 12.06% | At Maturity | Brazil Cetip DI Interbank Deposit Rate (4) | At Maturity | CME | Jan 2029 | BRL | 28,700,000 | 172,002 | 0 | 172,002 |
| 11.84% | At Maturity | Brazil Cetip DI Interbank Deposit Rate (4) | At Maturity | CME | Jan 2029 | BRL | 18,600,000 | 87,930 | 0 | 87,930 |
| 11.31% | At Maturity | Brazil Cetip DI Interbank Deposit Rate (4) | At Maturity | CME | Jan 2029 | BRL | 16,300,000 | 28,702 | 0 | 28,702 |
| 11.66% | At Maturity | Brazil Cetip DI Interbank Deposit Rate (4) | At Maturity | CME | Jan 2029 | BRL | 12,100,000 | 50,082 | 0 | 50,082 |
| 11.11% | At Maturity | Brazil Cetip DI Interbank Deposit Rate (4) | At Maturity | CME | Jan 2029 | BRL | 11,800,000 | 7,406 | 0 | 7,406 |
| 12.75% | At Maturity | Brazil Cetip DI Interbank Deposit Rate (4) | At Maturity | CME | Jan 2029 | BRL | 7,700,000 | 77,525 | 0 | 77,525 |
| 12.56% | At Maturity | Brazil Cetip DI Interbank Deposit Rate (4) | At Maturity | CME | Jan 2029 | BRL | 7,700,000 | 67,517 | 0 | 67,517 |
| 11.94% | At Maturity | Brazil Cetip DI Interbank Deposit Rate (4) | At Maturity | CME | Jan 2029 | BRL | 5,300,000 | 28,225 | 0 | 28,225 |
Prague Interbank Offered Rate 6-month (4) | Semi-Annual | 3.34% | Annual | CME | Jan 2032 | CZK | 35,700,000 | (57,549) | 0 | (57,549) |
| 8.25% | Monthly | Mexico 28 Day Cetes Auction Average Yield Rate (4) | Monthly | CME | Dec 2032 | MXN | 23,000,000 | (4,600) | 0 | (4,600) |
Mexico Interbank TIIE 28 Day Rate (4) | Monthly | 8.76% | Monthly | CME | Feb 2033 | MXN | 32,200,000 | (80,041) | 0 | (80,041) |
Mexico Interbank TIIE 28 Day Rate (4) | Monthly | 8.8% | Monthly | CME | Feb 2033 | MXN | 31,700,000 | (54,952) | 0 | (54,952) |
| 4.22% | Annual | Prague Interbank Offered Rate 6-month (4) | Semi-Annual | CME | Mar 2033 | CZK | 49,700,000 | (12,395) | 0 | (12,395) |
| 8.37% | Monthly | Mexico Interbank TIIE 28 Day Rate (4) | Monthly | CME | Mar 2033 | MXN | 37,900,000 | 4,957 | 0 | 4,957 |
| 8.28% | Monthly | Mexico Interbank TIIE 28 Day Rate (4) | Monthly | CME | Mar 2033 | MXN | 16,300,000 | (4,777) | 0 | (4,777) |
| 0.85% | Annual | Bank of Japan Final Result - Unsecured Overnight Call Rate (TONAR) (4) | Annual | LCH | Sep 2033 | JPY | 1,090,000,000 | (2,755) | 0 | (2,755) |
SONIA Interest Rate Benchmark (4) | Annual | 3.5% | Annual | LCH | Sep 2033 | GBP | 11,300,000 | (18,416) | 0 | (18,416) |
Canadian Overnight Repo Rate Average (CORRA) (4) | Semi-Annual | 3% | Semi-Annual | LCH | Sep 2033 | CAD | 7,700,000 | (46,677) | 0 | (46,677) |
| 3% | Annual | 6-month EURIBOR (4) | Semi-Annual | LCH | Sep 2033 | EUR | 2,800,000 | 1,267 | 0 | 1,267 |
| 1.2% | Annual | Bank of Japan Final Result - Unsecured Overnight Call Rate (TONAR) (4) | Annual | LCH | Sep 2053 | JPY | 120,000,000 | 42,390 | 0 | 42,390 |
SONIA Interest Rate Benchmark (4) | Annual | 3.25% | Annual | LCH | Sep 2053 | GBP | 1,700,000 | (21,447) | 0 | (21,447) |
6-month EURIBOR (4) | Semi-Annual | 2.5% | Annual | LCH | Sep 2053 | EUR | 1,000,000 | (9,641) | 0 | (9,641) |
| 3.25% | Semi-Annual | Canadian Overnight Repo Rate Average (CORRA) (4) | Semi-Annual | LCH | Sep 2053 | CAD | 800,000 | 10,468 | 0 | 10,468 |
| TOTAL INTEREST RATE SWAPS | (953,116) | (86,825) | (1,039,941) | |||||||
(1)Swaps with CME Group (CME) and LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
(3)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).
(4)Represents floating rate.
| Total Return Swaps | ||||||||||||
| Underlying Reference | Pay/ Receive Reference | Reference Payment Frequency | Financing Rate | Financing Frequency | Counterparty | Maturity Date | Units | Notional Amount | Value ($) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Pays | ||||||||||||
| SET50 Index Futures | Pays | At Maturity | None | At Maturity | Goldman Sachs Intl. | Jun 2023 | 59,000 | THB | 54,380,300 | 0 | 0 | 0 |
| SET50 Index Futures | Pays | At Maturity | None | At Maturity | Goldman Sachs Intl. | Jun 2023 | 39,200 | THB | 36,122,800 | 39,020 | 0 | 39,020 |
| SET50 Index Futures | Pays | At Maturity | None | At Maturity | Goldman Sachs Intl. | Jun 2023 | 9,600 | THB | 8,846,400 | 1,547 | 0 | 1,547 |
| iBovespa Index Futures | Pays | At Maturity | None | At Maturity | Goldman Sachs Intl. | Jun 2023 | 109 | BRL | 11,873,370 | (107,640) | 0 | (107,640) |
| iBovespa Index Futures | Pays | At Maturity | None | At Maturity | Goldman Sachs Intl. | Jun 2023 | 57 | BRL | 6,244,350 | 0 | 0 | 0 |
| iBovespa Index Futures | Pays | At Maturity | None | At Maturity | Goldman Sachs Intl. | Jun 2023 | 8 | BRL | 871,440 | (7,829) | 0 | (7,829) |
| Receives | ||||||||||||
| KOSPI 200 Futures | Receives | At Maturity | None | At Maturity | Goldman Sachs Intl. | Jun 2023 | 3,750,000 | KRW | 1,271,250,000 | 0 | 0 | 0 |
| KOSPI 200 Futures | Receives | At Maturity | None | At Maturity | Goldman Sachs Intl. | Jun 2023 | 3,750,000 | KRW | 1,253,625,000 | 13,327 | 0 | 13,327 |
| KOSPI 200 Futures | Receives | At Maturity | None | At Maturity | Goldman Sachs Intl. | Jun 2023 | 2,250,000 | KRW | 754,087,500 | 6,550 | 0 | 6,550 |
| KOSPI 200 Futures | Receives | At Maturity | None | At Maturity | Goldman Sachs Intl. | Jun 2023 | 1,250,000 | KRW | 407,312,500 | 12,429 | 0 | 12,429 |
| SET50 Index Futures | Receives | At Maturity | None | At Maturity | Goldman Sachs Intl. | Jun 2023 | 57,000 | THB | 52,525,500 | 67,232 | 0 | 67,232 |
| TOTAL RETURN SWAPS | 24,636 | 0 | 24,636 | |||||||||
For the period, the average monthly notional amount at value for swaps in the aggregate was $179,640,284.
Currency Abbreviations
| AUD | - | Australian dollar |
| BRL | - | Brazilian real |
| CAD | - | Canadian dollar |
| CHF | - | Swiss franc |
| CLP | - | Chilean peso |
| CNY | - | Chinese yuan |
| COP | - | Colombian peso |
| CZK | - | Czech koruna |
| EUR | - | European Monetary Unit |
| GBP | - | British pound sterling |
| HKD | - | Hong Kong dollar |
| HUF | - | Hungarian forint |
| IDR | - | Indonesian rupiah |
| ILS | - | Israeli shekel |
| INR | - | Indian rupee |
| JPY | - | Japanese yen |
| KRW | - | Korean won |
| MXN | - | Mexican peso |
| MYR | - | Malaysian ringgit |
| NOK | - | Norwegian krone |
| NZD | - | New Zealand dollar |
| PEN | - | Peruvian new sol |
| PHP | - | Philippine peso |
| PLN | - | Polish zloty |
| RON | - | Romanian leu (new) |
| SEK | - | Swedish krona |
| SGD | - | Singapore dollar |
| THB | - | Thai baht |
| TRY | - | Turkish Lira |
| TWD | - | Taiwanese dollar |
| USD | - | U.S. dollar |
| ZAR | - | South African rand |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (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 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 $7,185,986 or 0.3% of net assets. |
| (e) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,244,088. |
| (f) | Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts. At period end, the value of securities pledged amounted to $1,972,000. |
| (g) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (h) | Non-income producing |
| (i) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (j) | The rate quoted is the annualized seven-day yield of the fund at period end. |
| (k) | Affiliated Fund |
| (l) | Represents a forward settling transaction and therefore no collateral securities had been allocated as of period end. The agreement contemplated the delivery of U.S. Treasury Obligations as collateral on settlement date. |
| (m) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $4,736,168. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.14% | - | 17,962,565 | 8,382,158 | 187,742 | - | - | 9,580,407 | 0.0% |
| Total | - | 17,962,565 | 8,382,158 | 187,742 | - | - | 9,580,407 | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Consolidated Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Investments Money Market Government Portfolio Institutional Class 5.02% | - | 545,056,551 | 470,469,143 | 4,657,869 | - | - | 74,587,408 |
| - | 545,056,551 | 470,469,143 | 4,657,869 | - | - | 74,587,408 |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Consolidated Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Consolidated Subsidiary
| Fund | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain /loss ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Strategic Advisers Alternatives Fund Cayman Ltd. | - | 11,500,000 | - | - | - | 5,952,035 | 17,452,035 |
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2023, 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 Consolidated Financial Statements.
| Valuation Inputs at Reporting Date: | ||||
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
| Corporate Bonds | 26,573,541 | - | 26,573,541 | - |
| U.S. Government and Government Agency Obligations | 18,719,332 | - | 18,719,332 | - |
| U.S. Government Agency - Mortgage Securities | 4,045,125 | - | 4,045,125 | - |
| Asset-Backed Securities | 5,956,495 | - | 5,956,495 | - |
| Foreign Government and Government Agency Obligations | 13,924,480 | - | 13,924,480 | - |
| Bankers' Acceptances | 1,465,680 | - | 1,465,680 | - |
| Commercial Paper | 20,824,356 | - | 20,824,356 | - |
| Alternative Funds | 2,124,410,535 | 2,124,410,535 | - | - |
| Money Market Funds | 87,259,584 | 87,259,584 | - | - |
| Repurchase Agreements | 137,900,000 | - | 137,900,000 | - |
| Purchased Options | 2,794,075 | 2,794,075 | - | - |
| Total Investments in Securities: | 2,443,873,203 | 2,214,464,194 | 229,409,009 | - |
Derivative Instruments: | ||||
| Assets | ||||
Futures Contracts | 4,239,488 | 4,239,488 | - | - |
Forward Foreign Currency Contracts | 4,977,787 | - | 4,977,787 | - |
Swaps | 2,808,196 | - | 2,808,196 | - |
| Total Assets | 12,025,471 | 4,239,488 | 7,785,983 | - |
| Liabilities | ||||
Futures Contracts | (1,100,051) | (1,100,051) | - | - |
Forward Foreign Currency Contracts | (5,120,044) | - | (5,120,044) | - |
Swaps | (3,639,293) | - | (3,639,293) | - |
| Total Liabilities | (9,859,388) | (1,100,051) | (8,759,337) | - |
| Total Derivative Instruments: | 2,166,083 | 3,139,437 | (973,354) | - |
Other Financial Instruments: | ||||
| TBA Sale Commitments | (21,395,587) | - | (21,395,587) | - |
| Total Other Financial Instruments: | (21,395,587) | - | (21,395,587) | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Consolidated Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
| Asset ($) | Liability ($) | |
| Commodity Risk | ||
Futures Contracts (a) | 3,437,924 | (370,433) |
| Total Commodity Risk | 3,437,924 | (370,433) |
| Credit Risk | ||
Swaps (b) | 100,117 | (2,734) |
| Total Credit Risk | 100,117 | (2,734) |
| Equity Risk | ||
Futures Contracts (a) | 790,565 | (575,060) |
Purchased Options (c) | 2,794,075 | 0 |
Swaps (b) | 140,105 | (115,469) |
| Total Equity Risk | 3,724,745 | (690,529) |
| Foreign Exchange Risk | ||
Forward Foreign Currency Contracts (d) | 4,977,787 | (5,120,044) |
| Total Foreign Exchange Risk | 4,977,787 | (5,120,044) |
| Interest Rate Risk | ||
Futures Contracts (a) | 10,999 | (154,558) |
Swaps (b)(e) | 2,567,974 | (3,521,090) |
| Total Interest Rate Risk | 2,578,973 | (3,675,648) |
| Total Value of Derivatives | 14,819,546 | (9,859,388) |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Consolidated Schedule of Investments. In the Consolidated 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)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(c)Gross value is presented in the Consolidated Statement of Assets and Liabilities in the Investments in Securities at value line-item.
(d)Gross value is presented in the Consolidated Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
(e)For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Consoidated Schedule of Investments. In the Consolidated 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).
| Consolidated Statement of Assets and Liabilities | ||||
| May 31, 2023 | ||||
| Assets | ||||
| Investment in securities, at value (including repurchase agreements of $137,900,000) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $2,440,385,464) | $ | 2,359,704,871 | ||
Fidelity Central Funds (cost $9,580,407) | 9,580,407 | |||
Other affiliated issuers (cost $74,587,408) | 74,587,408 | |||
| Total Investment in Securities (cost $2,524,553,279) | $ | 2,443,872,686 | ||
| Segregated cash with brokers for derivative instruments | 11,409,000 | |||
| Cash | 158,442 | |||
| Restricted cash | 325,242 | |||
| Foreign currency held at value (cost $1,215,013) | 1,208,307 | |||
| Receivable for investments sold | ||||
Regular delivery | 2,465,347 | |||
Delayed delivery | 1,983,816 | |||
| Receivable for TBA sale commitments | 21,345,234 | |||
| Unrealized appreciation on forward foreign currency contracts | 4,977,787 | |||
| Receivable for fund shares sold | 1,161,706 | |||
| Interest receivable | 324,200 | |||
| Distributions receivable from Fidelity Central Funds | 37,438 | |||
| Bi-lateral OTC swaps, at value | 328,822 | |||
| Prepaid expenses | 8,476 | |||
| Other receivables | 1,904 | |||
Total assets | 2,489,608,407 | |||
| Liabilities | ||||
| Segregated cash from brokers for derivative instruments | $ | 1,929,000 | ||
| Payable for investments purchased | ||||
Regular delivery | 72,187,454 | |||
Delayed delivery | 7,867,656 | |||
| TBA sale commitments, at value | 21,395,587 | |||
| Unrealized depreciation on forward foreign currency contracts | 5,120,044 | |||
| Payable for fund shares redeemed | 1,681,156 | |||
| Bi-lateral OTC swaps, at value | 269,979 | |||
| Accrued management fee | 128,120 | |||
| Payable for daily variation margin on futures contracts | 113,599 | |||
| Payable for daily variation margin on centrally cleared OTC swaps | 257,260 | |||
| Other payables and accrued expenses | 206,436 | |||
| Total Liabilities | 111,156,291 | |||
| Net Assets | $ | 2,378,452,116 | ||
| Net Assets consist of: | ||||
| Paid in capital | $ | 2,475,403,674 | ||
| Total accumulated earnings (loss) | (96,951,558) | |||
| Net Assets | $ | 2,378,452,116 | ||
Net Asset Value , offering price and redemption price per share ($2,378,452,116 ÷ 248,472,350 shares) | $ | 9.57 | ||
| Consolidated Statement of Operations | ||||
| For the period July 12, 2022 (commencement of operations) through May 31, 2023 | ||||
| Investment Income | ||||
| Dividends: | ||||
| Unaffiliated issuers | $ | 68,526,791 | ||
| Affiliated issuers | 4,657,869 | |||
| Interest | 2,348,526 | |||
| Income from Fidelity Central Funds | 187,742 | |||
| Total Income | 75,720,928 | |||
| Expenses | ||||
| Management fee | $ | 4,891,470 | ||
| Custodian fees and expenses | 18,409 | |||
| Independent trustees' fees and expenses | 9,081 | |||
| Registration fees | 297,423 | |||
| Audit | 92,556 | |||
| Subsidiary directors' fees | 15,000 | |||
| Legal | 1,524 | |||
| Interest | 613 | |||
| Miscellaneous | 2,179 | |||
| Total expenses before reductions | 5,328,255 | |||
| Expense reductions | (4,042,784) | |||
| Total expenses after reductions | 1,285,471 | |||
| Net Investment income (loss) | 74,435,457 | |||
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers | (51,186,864) | |||
| Forward foreign currency contracts | (609,346) | |||
| Foreign currency transactions | (33,522) | |||
| Futures contracts | (1,004,202) | |||
| Swaps | (3,420,459) | |||
| Capital gain distributions from underlying funds: | ||||
| Unaffiliated issuers | 60,766,187 | |||
| Total net realized gain (loss) | 4,511,794 | |||
| Change in net unrealized appreciation (depreciation) on: | ||||
| Investment Securities: | ||||
| Investments | (80,680,593) | |||
| Forward foreign currency contracts | (142,257) | |||
| Assets and liabilities in foreign currencies | (6,802) | |||
| Futures contracts | 3,139,437 | |||
| Swaps | (917,922) | |||
| TBA Sale commitments | (50,353) | |||
| Total change in net unrealized appreciation (depreciation) | (78,658,490) | |||
| Net gain (loss) | (74,146,696) | |||
| Net increase (decrease) in net assets resulting from operations | $ | 288,761 | ||
| Consolidated Statement of Changes in Net Assets | ||
| For the period July 12, 2022 (commencement of operations) through May 31, 2023 | ||
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $ | 74,435,457 |
| Net realized gain (loss) | 4,511,794 | |
| Change in net unrealized appreciation (depreciation) | (78,658,490) | |
| Net increase (decrease) in net assets resulting from operations | 288,761 | |
| Distributions to shareholders | (97,109,900) | |
| Share transactions | ||
| Proceeds from sales of shares | 2,734,675,723 | |
| Reinvestment of distributions | 96,564,757 | |
| Cost of shares redeemed | (355,967,225) | |
Net increase (decrease) in net assets resulting from share transactions | 2,475,273,255 | |
| Total increase (decrease) in net assets | 2,378,452,116 | |
| Net Assets | ||
| Beginning of period | - | |
| End of period | $ | 2,378,452,116 |
| Other Information | ||
| Shares | ||
| Sold | 274,985,960 | |
| Issued in reinvestment of distributions | 10,058,843 | |
| Redeemed | (36,572,453) | |
| Net increase (decrease) | 248,472,350 | |
Consolidated Financial Highlights
| Strategic Advisers Alternatives Fund |
| Years ended May 31, | 2023 A | |
Selected Per-Share Data | ||
| Net asset value, beginning of period | $ | 10.00 |
| Income from Investment Operations | ||
Net investment income (loss) B,C | .40 | |
| Net realized and unrealized gain (loss) | (.41) | |
| Total from investment operations | (.01) | |
| Distributions from net investment income | (.29) | |
| Distributions from net realized gain | (.14) | |
| Total distributions | (.42) D | |
| Net asset value, end of period | $ | 9.57 |
Total Return E,F | (.11)% | |
Ratios to Average Net Assets C,G,H | ||
| Expenses before reductions | .33% I,J | |
| Expenses net of fee waivers, if any | .08% I,J | |
| Expenses net of all reductions | .08% I,J | |
| Net investment income (loss) | 4.62% I | |
| Supplemental Data | ||
| Net assets, end of period (000 omitted) | $ | 2,378,452 |
Portfolio turnover rate K | 64% I |
A For the period July 12, 2022 (commencement of operations) through May 31, 2023.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
D Total distributions per share do not sum due to rounding.
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
I Annualized.
J Audit fees are not annualized.
K Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended May 31, 2023
1. Organization.
Strategic Advisers Alternatives Fund (the Fund) is a non-diversified 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 managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Consolidated Subsidiary.
The Funds included in the table below hold certain commodity-related investments through a wholly owned subsidiary (the "Subsidiary"). As of period end, the investments in the Subsidiaries, were as follows:
| Subsidiary Name | Net Assets of Subsidiary | % of Fund's Net Assets | |
| Strategic Advisers Alternatives Fund | Strategic Advisers Alternatives Fund Cayman Ltd. | 17,452,035 | .7 |
The financial statements have been consolidated to include the Subsidiary accounts where applicable. Accordingly, all inter-company transactions and balances have been eliminated.
3. 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 - Investment Companies . The consolidated 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 consolidated financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the consolidated financial statements were issued have been evaluated in the preparation of the consolidated financial statements. The Fund's Consolidated Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 services or from brokers who make markets in such securities. Corporate bonds, Bankers' acceptances, foreign government and government agency obligations, U.S. government and government agency obligations and commercial paper are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities and U.S. government agency mortgage securities are valued by pricing services 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 services, 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 services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are 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. 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2023 is included at the end of the Fund's Consolidated Schedule of Investments.
Foreign Currency. Certain Funds 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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Consolidated Statement of Operations. 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. 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. Expenses included in the accompanying consolidated financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2023, the Fund did not have any unrecognized tax benefits in the consolidated financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the consolidated 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, swap agreements, futures and options transactions, foreign currency transactions, market discount, capital loss carryforwards, controlled foreign corporations, 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 | $17,254,872 |
| Gross unrealized depreciation | (95,612,915) |
| Net unrealized appreciation (depreciation) | $(78,358,043) |
| Tax Cost | $2,524,584,201 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $7,675,759 |
| Capital loss carryforward | $(26,298,529) |
| Net unrealized appreciation (depreciation) on securities and other investments | $(78,328,787) |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
Short-term | $(26,298,529) |
| Total capital loss carryforward | $(26,298,529) |
The tax character of distributions paid was as follows:
May 31, 2023 A | |
| Ordinary Income | $97,109,900 |
A For the period July 12, 2022 (commencement of operations) through May 31, 2023.
Repurchase Agreements. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, funds and other registered investment companies having management contracts with Fidelity Management and Research Company LLC, or its affiliates are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Funds may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The collateral balance is monitored on a daily basis to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Reverse Repurchase Agreements. To enhance their yield, funds may enter into reverse repurchase transactions under master repurchase agreements whereby a fund delivers securities to a counterparty in return for cash and agrees to repurchase those securities at a future date and agreed upon price. During the period that reverse repurchase transactions are outstanding, a fund identifies the securities as pledged in its records with an initial value at least equal to its principal obligation under the agreement. The cash proceeds received by a fund may be invested in other securities. To the extent cash proceeds received from the counterparty exceed the value of the securities delivered, the counterparty may request additional collateral from a fund. If the counterparty defaults on its obligation, because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities delivered. If a fund has any open reverse repurchase agreements at period end, information regarding securities delivered under a reverse repurchase agreement is included at the end of the Schedule of Investments, and the cash proceeds are recorded as a liability in the Statement of Assets and Liabilities. A fund continues to receive interest and dividend payments on the securities delivered during the term of the reverse repurchase agreement. During the period, the average principal balance of reverse repurchase transactions and the weighted average interest rate with payments included in the Statement of Operations as a component of interest expense is as follows:
| Average Loan Balance | Weighted Average Interest Rate | |
| Strategic Advisers Alternatives Fund | $1,500,000 | 4.9 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds 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. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Consolidated Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Consolidated Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. 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. TBA securities involve 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. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a 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 a 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, a 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 Consolidated Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Consolidated Statement of Assets and Liabilities as "Receivable for TBA sale commitments" and "TBA sale commitments, at value," respectively.
Restricted Securities (including Private Placements). Funds 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 held at period end is included at the end of the Consolidated Schedule of Investments, if applicable.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, forward foreign currency 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.
Derivatives were used to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices. |
| 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 a fund. |
| 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. |
| Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts and bi-lateral swaps, a 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 a 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, a fund receives collateral in the form of cash or securities once 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 custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund 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 a fund. A 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 Consolidated Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these 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 Consolidated 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, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Consolidated Statement of Operations.
| Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
| Strategic Advisers Alternatives Fund | ||
| Commodity Risk | ||
| Futures | $2,645,571 | $3,067,491 |
| Total Commodity Risk | 2,645,571 | 3,067,491 |
| Credit Risk | ||
| Swaps | (158,639) | 97,383 |
| Total Credit Risk | (158,639) | 97,383 |
| Equity Risk | ||
| Futures Contracts | (2,442,589) | 215,505 |
| Purchased Options | (5,002,928) | (2,218,895) |
| Swaps | (209,826) | 24,636 |
| Total Equity Risk | (7,655,343) | (1,978,754) |
| Foreign Exchange Risk | ||
| Forward Foreign Currency Contracts | (609,346) | (142,257) |
| Total Foreign Exchange Risk | (609,346) | (142,257) |
| Interest Rate Risk | ||
| Futures Contracts | (1,207,184) | (143,559) |
| Swaps | (3,051,994) | (1,039,941) |
| Total Interest Rate Risk | (4,259,178) | (1,183,500) |
| Totals | $(10,036,935) | $(139,637) |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Consolidated Schedule of Investments.
Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Consolidated Statement of Operations.
Any open forward foreign currency contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period unless an average contract value is presented.
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. Futures contracts were used to manage exposure to the stock market, commodities market, 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 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 Consolidated 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 Consolidated Statement of Operations.
Any open futures contracts at period end are presented in the Consolidated 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 unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities.
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. Exchange-traded options were used to manage exposure to the market.
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 Consolidated 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 in total accumulated earnings (loss) in the Consolidated 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, a gain or loss is realized 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 Consolidated 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 Consolidated Statement of Operations.
Any open options at period end are presented in the Consolidated 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 unless an average notional amount is presented.
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 Consolidated 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 total accumulated earnings (loss) in the Consolidated 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 Consolidated 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. Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities. 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 Consolidated 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 total accumulated earnings (loss) in the Consolidated 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 Consolidated Statement of Operations.
Any open swaps at period end are included in the Consolidated Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period unless an average notional amount is presented.
Credit Default Swaps. Credit default swaps enable a 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. A 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 Consolidated 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, a 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 a 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, a 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 a 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 Consolidated Schedule of Investments, where a 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. A fund enters 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.
Total Return Swaps. Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty. A fund enters into total return swaps to manage its market exposure.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Strategic Advisers Alternatives Fund | 3,280,441,235 | 947,295,670 |
6. 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 to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed 2.00% of the Fund's average net assets. For the reporting period, the total annualized management fee rate was .30% 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. Fidelity Diversifying Solutions LLC and Pacific Investment Management Company LLC 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 as described in the Management Fee note.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds 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. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Consolidated Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing 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 the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
8. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Consolidated Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| Amount | |
| Strategic Advisers Alternatives Fund | $155 |
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, 2025. During the period, this waiver reduced the Fund's management fee by $4,042,784.
10. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Alternatives Fund
Opinion on the Consolidated Financial Statements
We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of Strategic Advisers Alternatives Fund and its subsidiary (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of May 31, 2023, and the related consolidated statements of operations and changes in net assets, including the related notes, and the consolidated financial highlights for the period July 12, 2022 (commencement of operations) through May 31, 2023 (collectively referred to as the "consolidated financial statements"). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2023, and the results of its operations, changes in its net assets, and the financial highlights for the period July 12, 2022 (commencement of operations) through May 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These consolidated financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's consolidated financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.
Our audit included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of May 31, 2023 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 21, 2023
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
TRUSTEES AND OFFICERS
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity ® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's alternative investment, investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity®; funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives' Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women's Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), Secretary of the Ad Council, Inc. (2022-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women's accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women's Forum (2008-2010), Treasurer of the Massachusetts Women's Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President - Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity ® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption University (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and Chair of the Board of Directors and Chair of the Compensation Committee of Live Current Media, Inc. (2022-present). Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum's Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity ® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Assistant Secretary
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity ® funds (2016-2020) and Assistant Treasurer of certain Fidelity ® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity ® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity ® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2022 to May 31, 2023). |
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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio- A | Beginning Account Value December 1, 2022 | Ending Account Value May 31, 2023 | Expenses Paid During Period- C December 1, 2022 to May 31, 2023 | |||||||
| Strategic Advisers® Alternatives Fund | .08% | |||||||||
| Actual | $ 1,000 | $ 998.90 | $ .40 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.53 | $ .40 | |||||||
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com .
A total of 6.01% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $1,826,287 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.
The fund designates 3% of the dividends distributed during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 5.18% of the dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.
In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period December 1, 2021 through November 30, 2022. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.
 |
1.9905800.100
SAA-ANN-0723
Strategic Advisers® Large Cap Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
Annual Report
May 31, 2023
Contents
To view a fund's proxy voting guidelines and 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. © 2023 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.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns | |||
Periods ended May 31, 2023 | Past 1 year | Past 5 years | Past 10 years |
| Strategic Advisers® Large Cap Fund | 3.57% | 10.91% | 11.64% |
Returns from November 21, 2020 through May 31, 2022 are those of Strategic Advisers Large Cap Fund. Returns prior to the Reorganization on November 20, 2020 are those of Strategic Advisers Core Fund ("Predecessor Fund").
| $10,000 Over 10 Years |
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Large Cap Fund on May 31, 2013. The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period. |
 |
Market Recap:
U.S. equities gained 2.92% for the 12 months ending May 31, 2023, according to the S&P 500 ® index, as markets digested multiple crosscurrents and sustained year-to-date momentum. The upturn followed a year in which the S&P 500 ® returned -18.11% amid a multitude of risk factors. Record inflation prompted the Federal Reserve to aggressively tighten monetary policy, and market interest rates eclipsed their highest level in a decade, stoking recession fears. Since March 2022, the Fed has raised its benchmark rate 10 times, by 5 percentage points, while also shrinking its massive asset portfolio. Against this backdrop, stocks struggled to gain traction until a rally in late 2022, as risky assets regained favor. The S&P 500 ® continued its advance in 2023, gaining 9.65% through May 31, supported by moderating inflation data, a resilient labor market, and indications the Fed was nearing the end of its interest rate hiking regime. Uncertainty about the debt ceiling resulted in some ups and downs in May (+0.43%) but did not meaningfully alter the recent uptrend. A handful of mega-cap tech stocks have driven the index this year, as investors favored their perceived safety and that they were insulated from the March banking crisis that caused the Fed to reconsider its aggressive rate-hike campaign. Indeed, the central bank stepped down to hikes of 25 basis points in February, March and May. By sector for the full 12 months, information technology (+21%) led by a wide margin, whereas real estate (-16%) and materials (-11%) lagged most.
Comments from Portfolio Manager Niall Devitt:
For the fiscal year ending May 31, 2023, the Fund gained 3.57%, outpacing the 2.92% advance of the benchmark S&P 500 ® . Among the Fund's underlying managers, sub-adviser T. Rowe Price (+6%) was the top relative contributor. Stock selection among communication services, industrials and utilities companies boosted the result of this manager's core, enhanced-index strategy. Fidelity ® Growth Company Fund (+14%) also added value, as its high-growth approach fared well amid the rotation from value to growth stocks in the first five months of 2023. Another leading contributor, sub-adviser Loomis Sayles (+23%), handily outpaced the broader Fund's benchmark. This manager's opportunistic strategy focusing on both quality and growth stocks partly benefited from a sizable position in Nvidia. The maker of graphics chips used in video games, cloud computing and artificial intelligence was one of the top-performing stocks in S&P 500 the past 12 months. On the downside, two value-oriented managers, LSV Asset Management (-7%) and Brandywine Global Investment Management (-5%), pressured the Fund's relative result most. After being top contributors during the first half of the period, both managers' styles fell out of favor due to the reversal in market leadership later in the period. Over the past 12 months, we hired D.E. Shaw as a sub-adviser to gain access to its quantitatively driven, enhanced-index strategy focused on large-cap core stocks. We also added Neuberger Berman to run its S&P 500 ® Put Spread mandate, as well as Wellington Management to incorporate its diversified, large-cap core strategy within the Fund.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
The information in the following tables is based on the direct Investments of the Fund.
Top Holdings (% of Fund's net assets) | ||
| (excluding cash equivalents) | ||
| Microsoft Corp. | 6.0 | |
| Apple, Inc. | 5.2 | |
| Fidelity Growth Company Fund | 5.2 | |
| Amazon.com, Inc. | 2.7 | |
| NVIDIA Corp. | 2.3 | |
| Meta Platforms, Inc. Class A | 1.8 | |
| Alphabet, Inc. Class C | 1.7 | |
| Alphabet, Inc. Class A | 1.6 | |
| Exxon Mobil Corp. | 1.4 | |
| Fidelity SAI U.S. Quality Index Fund | 1.4 | |
| 29.3 | ||
| Market Sectors (% of Fund's net assets) | ||
| (Stocks Only) | ||
| Information Technology | 22.8 | |
| Health Care | 13.0 | |
| Financials | 12.8 | |
| Consumer Discretionary | 9.1 | |
| Communication Services | 7.8 | |
| Industrials | 7.6 | |
| Consumer Staples | 5.6 | |
| Energy | 4.3 | |
| Utilities | 2.3 | |
| Materials | 2.2 | |
| Real Estate | 1.8 | |
| Investment Companies | 1.2 | |
Asset Allocation (% of Fund's net assets) |
 |
Asset Allocation of funds in the pie chart reflect the categorizations of the asset as defined by Morningstar as of the reporting date.
Showing Percentage of Net Assets
| Common Stocks - 89.3% | |||
| Shares | Value ($) | ||
| COMMUNICATION SERVICES - 7.8% | |||
| Diversified Telecommunication Services - 0.4% | |||
| AT&T, Inc. | 7,571,426 | 119,098,531 | |
| Bandwidth, Inc. (a) | 2,631 | 31,309 | |
| Cellnex Telecom SA (b) | 48,700 | 1,973,421 | |
| Consolidated Communications Holdings, Inc. (a) | 11,348 | 41,420 | |
| Deutsche Telekom AG | 486,877 | 10,801,634 | |
| Frontier Communications Parent, Inc. (a)(c) | 1,100 | 16,368 | |
| Globalstar, Inc. (a) | 39,462 | 44,987 | |
| IDT Corp. Class B (a) | 900 | 27,351 | |
| Iridium Communications, Inc. | 5,300 | 318,212 | |
| Liberty Global PLC Class C (a) | 65,900 | 1,121,618 | |
| Lumen Technologies, Inc. (c) | 171,500 | 339,570 | |
| Verizon Communications, Inc. | 2,346,427 | 83,603,194 | |
| 217,417,615 | |||
| Entertainment - 1.1% | |||
| Activision Blizzard, Inc. | 789,512 | 63,318,862 | |
| Cinemark Holdings, Inc. (a)(c) | 82,300 | 1,317,623 | |
| Endeavor Group Holdings, Inc. (a) | 3,690 | 83,099 | |
| Live Nation Entertainment, Inc. (a) | 39,542 | 3,160,987 | |
| Netflix, Inc. (a) | 804,368 | 317,910,365 | |
| Sciplay Corp. (A Shares) (a) | 7,100 | 137,669 | |
| Sea Ltd. ADR (a) | 72,800 | 4,179,448 | |
| Spotify Technology SA (a) | 61,372 | 9,138,291 | |
| Take-Two Interactive Software, Inc. (a) | 28,400 | 3,911,532 | |
| The Walt Disney Co. (a) | 1,722,730 | 151,531,331 | |
| Universal Music Group NV rights (a)(d) | 586,072 | 169,142 | |
| Warner Bros Discovery, Inc. (a) | 332,785 | 3,753,815 | |
| Warner Music Group Corp. Class A | 18,953 | 463,401 | |
| World Wrestling Entertainment, Inc. Class A | 21,608 | 2,189,323 | |
| 561,264,888 | |||
| Interactive Media & Services - 5.1% | |||
| Alphabet, Inc.: | |||
| Class A (a) | 6,534,454 | 802,888,363 | |
| Class C (a) | 6,718,196 | 828,823,841 | |
| Bumble, Inc. (a) | 1,397 | 21,374 | |
| CarGurus, Inc. Class A (a) | 11,400 | 214,206 | |
| DHI Group, Inc. (a) | 5,573 | 20,397 | |
| Eventbrite, Inc. (a) | 14,200 | 103,092 | |
| EverQuote, Inc. Class A (a) | 600 | 5,466 | |
| IAC, Inc. (a) | 130,619 | 7,293,765 | |
| Match Group, Inc. (a) | 130,350 | 4,497,075 | |
| Meta Platforms, Inc. Class A (a) | 3,443,624 | 911,596,145 | |
| Pinterest, Inc. Class A (a) | 112,000 | 2,681,280 | |
| QuinStreet, Inc. (a) | 5,265 | 48,543 | |
| Snap, Inc. Class A (a) | 605,000 | 6,171,000 | |
| TripAdvisor, Inc. (a) | 16,800 | 261,408 | |
| TrueCar, Inc. (a) | 400 | 904 | |
| Vimeo, Inc. (a) | 109,400 | 401,498 | |
| Yelp, Inc. (a) | 2,900 | 97,150 | |
| ZipRecruiter, Inc. (a) | 10,628 | 164,415 | |
| 2,565,289,922 | |||
| Media - 0.7% | |||
| Altice U.S.A., Inc. Class A (a)(c) | 156,700 | 401,152 | |
| AMC Networks, Inc. Class A (a) | 18,900 | 213,759 | |
| Charter Communications, Inc. Class A (a) | 323,168 | 105,401,243 | |
| Clear Channel Outdoor Holdings, Inc. (a) | 5,442 | 6,694 | |
| Comcast Corp. Class A | 4,014,750 | 157,980,413 | |
| comScore, Inc. (a) | 4,800 | 4,320 | |
| Entravision Communication Corp. Class A | 400 | 1,652 | |
| Fox Corp.: | |||
| Class A | 981,627 | 30,626,762 | |
| Class B | 280,260 | 8,186,395 | |
| Gannett Co., Inc. (a) | 8,868 | 19,687 | |
| Gray Television, Inc. | 3,600 | 25,308 | |
| Interpublic Group of Companies, Inc. | 127,600 | 4,745,444 | |
| Liberty Broadband Corp.: | |||
| Class A (a) | 35,900 | 2,651,933 | |
| Class C (a)(c) | 131,327 | 9,731,331 | |
| Liberty Media Corp. Liberty SiriusXM Series C (a) | 263,113 | 7,356,639 | |
| News Corp. Class A | 133,105 | 2,437,153 | |
| Nexstar Broadcasting Group, Inc. Class A | 71,462 | 10,785,045 | |
| Omnicom Group, Inc. | 302,102 | 26,642,375 | |
| Paramount Global Class B (c) | 63,000 | 958,230 | |
| Scholastic Corp. | 425 | 18,054 | |
| TEGNA, Inc. | 305,200 | 4,727,548 | |
| The Trade Desk, Inc. (a) | 1,100 | 77,088 | |
| WideOpenWest, Inc. (a) | 5,500 | 41,800 | |
| 373,040,025 | |||
| Wireless Telecommunication Services - 0.5% | |||
| Gogo, Inc. (a) | 8,600 | 129,430 | |
| T-Mobile U.S., Inc. (a) | 1,758,402 | 241,340,675 | |
| 241,470,105 | |||
TOTAL COMMUNICATION SERVICES | 3,958,482,555 | ||
| CONSUMER DISCRETIONARY - 9.1% | |||
| Automobile Components - 0.2% | |||
| Aptiv PLC (a) | 205,258 | 18,079,125 | |
| BorgWarner, Inc. | 876,099 | 38,837,469 | |
| Compagnie Generale des Etablissements Michelin SCA ADR | 1,215,000 | 17,289,450 | |
| Lear Corp. | 37,600 | 4,612,016 | |
| Magna International, Inc.: | |||
| Class A (c) | 9,909 | 479,199 | |
| Class A (sub. vtg.) | 185,825 | 8,990,782 | |
| Modine Manufacturing Co. (a) | 600 | 16,374 | |
| Motorcar Parts of America, Inc. (a) | 2,200 | 12,122 | |
| The Goodyear Tire & Rubber Co. (a) | 317,400 | 4,357,902 | |
| Visteon Corp. (a) | 806 | 107,665 | |
| 92,782,104 | |||
| Automobiles - 1.1% | |||
| Ferrari NV | 12,600 | 3,612,042 | |
| Ford Motor Co. | 3,766,078 | 45,192,936 | |
| General Motors Co. | 1,149,942 | 37,269,620 | |
| Harley-Davidson, Inc. | 549,000 | 17,079,390 | |
| Tesla, Inc. (a) | 2,241,372 | 457,082,992 | |
| Thor Industries, Inc. (c) | 59,200 | 4,633,584 | |
| Winnebago Industries, Inc. (c) | 957 | 53,247 | |
| 564,923,811 | |||
| Broadline Retail - 2.8% | |||
| Alibaba Group Holding Ltd. sponsored ADR (a) | 161,035 | 12,810,334 | |
| Amazon.com, Inc. (a) | 11,353,855 | 1,369,047,836 | |
| Coupang, Inc. Class A (a) | 67,600 | 1,054,560 | |
| Dillard's, Inc. Class A | 100 | 27,531 | |
| eBay, Inc. | 576,125 | 24,508,358 | |
| Etsy, Inc. (a) | 134,926 | 10,935,752 | |
| Kohl's Corp. (c) | 232,700 | 4,263,064 | |
| Macy's, Inc. (c) | 451,300 | 6,133,167 | |
| Qurate Retail, Inc. Series A (a) | 52,306 | 43,419 | |
| 1,428,824,021 | |||
| Distributors - 0.1% | |||
| Genuine Parts Co. | 64,400 | 9,591,092 | |
| LKQ Corp. | 543,441 | 28,666,513 | |
| Pool Corp. | 2,333 | 737,765 | |
| 38,995,370 | |||
| Diversified Consumer Services - 0.0% | |||
| 2U, Inc. (a) | 21,200 | 84,800 | |
| ADT, Inc. (c) | 15,500 | 88,195 | |
| American Public Education, Inc. (a) | 4,300 | 21,543 | |
| Chegg, Inc. (a) | 111,603 | 1,002,195 | |
| Coursera, Inc. (a) | 55,600 | 703,896 | |
| Duolingo, Inc. (a) | 4,600 | 688,022 | |
| Grand Canyon Education, Inc. (a) | 3,574 | 374,412 | |
| H&R Block, Inc. | 13,643 | 407,244 | |
| Laureate Education, Inc. Class A | 25,600 | 309,760 | |
| Perdoceo Education Corp. (a) | 1,500 | 17,685 | |
| Service Corp. International | 141,294 | 8,987,711 | |
| Udemy, Inc. (a) | 3,595 | 35,950 | |
| 12,721,413 | |||
| Hotels, Restaurants & Leisure - 2.0% | |||
| Airbnb, Inc. Class A (a) | 159,198 | 17,475,164 | |
| ARAMARK Holdings Corp. | 6,422 | 253,541 | |
| Booking Holdings, Inc. (a) | 73,303 | 183,900,367 | |
| Bowlero Corp. Class A (a) | 300 | 3,438 | |
| Boyd Gaming Corp. | 34,085 | 2,172,237 | |
| Caesars Entertainment, Inc. (a) | 95,154 | 3,902,266 | |
| Chipotle Mexican Grill, Inc. (a) | 68,864 | 142,995,407 | |
| Churchill Downs, Inc. | 48,400 | 6,573,688 | |
| Darden Restaurants, Inc. | 50,787 | 8,050,755 | |
| Dine Brands Global, Inc. | 79,600 | 4,762,468 | |
| Domino's Pizza, Inc. | 26,471 | 7,672,619 | |
| Expedia, Inc. (a) | 79,445 | 7,603,681 | |
| Hilton Worldwide Holdings, Inc. | 888,766 | 120,978,828 | |
| Hyatt Hotels Corp. Class A (c) | 500 | 53,740 | |
| Inspired Entertainment, Inc. (a) | 200 | 2,746 | |
| Las Vegas Sands Corp. (a) | 512,597 | 28,259,473 | |
| Marriott International, Inc. Class A | 358,178 | 60,098,687 | |
| Marriott Vacations Worldwide Corp. | 27,800 | 3,425,516 | |
| McDonald's Corp. | 580,344 | 165,461,878 | |
| MGM Resorts International | 152,388 | 5,987,325 | |
| Monarch Casino & Resort, Inc. | 100 | 6,489 | |
| Noodles & Co. (a) | 2,200 | 7,370 | |
| Red Rock Resorts, Inc. | 1,798 | 81,971 | |
| Royal Caribbean Cruises Ltd. (a) | 199,400 | 16,145,418 | |
| SeaWorld Entertainment, Inc. (a) | 2,300 | 128,248 | |
| Six Flags Entertainment Corp. (a)(c) | 11,999 | 306,574 | |
| Starbucks Corp. | 745,900 | 72,829,676 | |
| Texas Roadhouse, Inc. Class A | 50,820 | 5,483,478 | |
| The ONE Group Hospitality, Inc. (a) | 600 | 4,236 | |
| Wendy's Co. (c) | 11,800 | 259,718 | |
| Wingstop, Inc. | 2,456 | 489,628 | |
| Wynn Resorts Ltd. | 156,081 | 15,405,195 | |
| Yum China Holdings, Inc. | 158,066 | 8,924,406 | |
| Yum! Brands, Inc. | 939,944 | 120,961,393 | |
| 1,010,667,624 | |||
| Household Durables - 0.4% | |||
| D.R. Horton, Inc. | 196,418 | 20,985,299 | |
| Garmin Ltd. | 7,700 | 794,255 | |
| GoPro, Inc. Class A (a) | 14,500 | 60,900 | |
| Green Brick Partners, Inc. (a) | 3,400 | 162,758 | |
| Lennar Corp.: | |||
| Class A | 656,516 | 70,325,994 | |
| Class B | 6,000 | 567,300 | |
| Lovesac (a)(c) | 700 | 14,756 | |
| Mohawk Industries, Inc. (a) | 90,985 | 8,374,259 | |
| Newell Brands, Inc. (c) | 528,779 | 4,394,153 | |
| NVR, Inc. (a) | 4,800 | 26,660,256 | |
| PulteGroup, Inc. | 523,451 | 34,589,642 | |
| Skyline Champion Corp. (a) | 7,800 | 453,414 | |
| Sony Group Corp. sponsored ADR | 264,000 | 24,736,800 | |
| Toll Brothers, Inc. | 24,400 | 1,651,880 | |
| TopBuild Corp. (a) | 6,800 | 1,371,288 | |
| TRI Pointe Homes, Inc. (a) | 1,500 | 43,815 | |
| Tupperware Brands Corp. (a)(c) | 5,600 | 4,985 | |
| Universal Electronics, Inc. (a) | 3,900 | 31,473 | |
| Vizio Holding Corp. (a) | 723 | 4,721 | |
| Whirlpool Corp. | 112,100 | 14,493,409 | |
| 209,721,357 | |||
| Leisure Products - 0.0% | |||
| Acushnet Holdings Corp. (c) | 16,307 | 729,901 | |
| Brunswick Corp. | 30,300 | 2,287,650 | |
| Latham Group, Inc. (a) | 3,507 | 12,625 | |
| Mattel, Inc. (a) | 15,700 | 273,337 | |
| Polaris, Inc. (c) | 18,900 | 2,035,719 | |
| Topgolf Callaway Brands Corp. (a) | 2,400 | 40,968 | |
| YETI Holdings, Inc. (a) | 9,700 | 354,729 | |
| 5,734,929 | |||
| Specialty Retail - 2.2% | |||
| 1-800-FLOWERS.com, Inc. Class A (a) | 273 | 2,217 | |
| Academy Sports & Outdoors, Inc. | 200 | 9,792 | |
| Advance Auto Parts, Inc. | 600 | 43,734 | |
| American Eagle Outfitters, Inc. | 5,854 | 59,535 | |
| Arhaus, Inc. (a)(c) | 1,800 | 12,726 | |
| Asbury Automotive Group, Inc. (a) | 500 | 104,555 | |
| AutoNation, Inc. (a) | 125,300 | 16,404,276 | |
| AutoZone, Inc. (a) | 29,822 | 71,180,342 | |
| Bath & Body Works, Inc. | 189,981 | 6,694,930 | |
| Best Buy Co., Inc. | 298,367 | 21,682,330 | |
| Boot Barn Holdings, Inc. (a) | 400 | 27,048 | |
| Burlington Stores, Inc. (a) | 438,130 | 65,921,040 | |
| CarMax, Inc. (a)(c) | 115,621 | 8,348,992 | |
| CarParts.com, Inc. (a) | 10,800 | 45,036 | |
| Chico's FAS, Inc. (a) | 1,006 | 4,567 | |
| Conn's, Inc. (a)(c) | 5,800 | 23,548 | |
| Dick's Sporting Goods, Inc. | 160,511 | 20,466,758 | |
| Fast Retailing Co. Ltd. | 8,800 | 2,064,123 | |
| Genesco, Inc. (a) | 1,100 | 19,833 | |
| Group 1 Automotive, Inc. | 1,900 | 424,669 | |
| GrowGeneration Corp. (a) | 7,500 | 27,750 | |
| Lithia Motors, Inc. Class A (sub. vtg.) | 5,900 | 1,376,352 | |
| LL Flooring Holdings, Inc. (a) | 16,100 | 72,450 | |
| Lowe's Companies, Inc. | 1,254,832 | 252,384,360 | |
| Murphy U.S.A., Inc. | 24,811 | 6,858,257 | |
| O'Reilly Automotive, Inc. (a) | 155,569 | 140,527,033 | |
| Overstock.com, Inc. (a) | 45,300 | 848,469 | |
| Penske Automotive Group, Inc. (c) | 174,900 | 24,174,678 | |
| Ross Stores, Inc. | 341,857 | 35,423,222 | |
| Sally Beauty Holdings, Inc. (a) | 473,762 | 5,334,560 | |
| Sleep Number Corp. (a) | 6,600 | 119,724 | |
| Sonic Automotive, Inc. Class A (sub. vtg.) | 2,100 | 87,024 | |
| The Aaron's Co., Inc. | 27,674 | 338,730 | |
| The Cato Corp. Class A (sub. vtg.) (c) | 4,000 | 32,240 | |
| The Container Store Group, Inc. (a) | 3,400 | 8,364 | |
| The Home Depot, Inc. | 796,260 | 225,699,897 | |
| The ODP Corp. (a) | 62,670 | 2,510,560 | |
| TJX Companies, Inc. | 2,297,059 | 176,391,161 | |
| Ulta Beauty, Inc. (a) | 61,669 | 25,273,806 | |
| Upbound Group, Inc. | 5,000 | 149,550 | |
| Valvoline, Inc. | 77,400 | 2,979,900 | |
| Williams-Sonoma, Inc. | 25,100 | 2,849,101 | |
| 1,117,007,239 | |||
| Textiles, Apparel & Luxury Goods - 0.3% | |||
| Capri Holdings Ltd. (a) | 42,000 | 1,474,200 | |
| Columbia Sportswear Co. | 51,390 | 3,794,124 | |
| Fossil Group, Inc. (a) | 10,500 | 21,315 | |
| Kontoor Brands, Inc. | 900 | 35,244 | |
| Levi Strauss & Co. Class A | 31,300 | 414,099 | |
| NIKE, Inc. Class B | 867,490 | 91,311,997 | |
| PVH Corp. | 35,600 | 3,062,312 | |
| Ralph Lauren Corp. (c) | 129,805 | 13,799,570 | |
| Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | 44,700 | 2,296,239 | |
| Tapestry, Inc. | 348,655 | 13,953,173 | |
| Under Armour, Inc.: | |||
| Class A (sub. vtg.) (a) | 9,100 | 65,611 | |
| Class C (non-vtg.) (a) | 116,400 | 765,912 | |
| Unifi, Inc. (a) | 4,288 | 30,916 | |
| VF Corp. | 133,400 | 2,297,148 | |
| Wolverine World Wide, Inc. | 3,334 | 44,609 | |
| 133,366,469 | |||
TOTAL CONSUMER DISCRETIONARY | 4,614,744,337 | ||
| CONSUMER STAPLES - 5.6% | |||
| Beverages - 1.8% | |||
| Brown-Forman Corp. Class B (non-vtg.) | 690 | 42,621 | |
| Celsius Holdings, Inc. (a) | 1,000 | 125,530 | |
| Coca-Cola Bottling Co. Consolidated | 1,186 | 784,824 | |
| Constellation Brands, Inc. Class A (sub. vtg.) | 492,665 | 119,702,815 | |
| Keurig Dr. Pepper, Inc. | 1,309,082 | 40,738,632 | |
| Molson Coors Beverage Co. Class B | 543,420 | 33,610,527 | |
| Monster Beverage Corp. | 3,642,692 | 213,534,605 | |
| PepsiCo, Inc. | 1,191,059 | 217,189,609 | |
| The Coca-Cola Co. | 4,608,282 | 274,930,104 | |
| The Vita Coco Co., Inc. (a) | 2,300 | 61,364 | |
| 900,720,631 | |||
| Consumer Staples Distribution & Retail - 1.4% | |||
| Albertsons Companies, Inc. | 281,670 | 5,734,801 | |
| Alimentation Couche-Tard, Inc. Class A (multi-vtg.) | 52,500 | 2,542,044 | |
| BJ's Wholesale Club Holdings, Inc. (a) | 35,800 | 2,242,870 | |
| Chefs' Warehouse Holdings (a) | 300 | 9,333 | |
| Costco Wholesale Corp. | 355,061 | 181,635,005 | |
| Dollar General Corp. | 435,650 | 87,604,859 | |
| Dollar Tree, Inc. (a) | 130,509 | 17,603,054 | |
| Kroger Co. | 2,058,994 | 93,334,198 | |
| Performance Food Group Co. (a) | 8,400 | 464,436 | |
| SpartanNash Co. | 2,200 | 50,380 | |
| Sysco Corp. | 1,191,905 | 83,373,755 | |
| Target Corp. | 30,311 | 3,968,619 | |
| U.S. Foods Holding Corp. (a) | 134,000 | 5,330,520 | |
| United Natural Foods, Inc. (a) | 28,600 | 763,906 | |
| Walgreens Boots Alliance, Inc. (c) | 615,300 | 18,686,661 | |
| Walmart, Inc. | 1,250,625 | 183,679,294 | |
| 687,023,735 | |||
| Food Products - 0.6% | |||
| Archer Daniels Midland Co. | 674,007 | 47,618,595 | |
| Bunge Ltd. | 187,503 | 17,370,278 | |
| Campbell Soup Co. | 28,466 | 1,438,956 | |
| Conagra Brands, Inc. | 621,635 | 21,676,412 | |
| Darling Ingredients, Inc. (a) | 150,696 | 9,551,112 | |
| Flowers Foods, Inc. | 10,600 | 264,788 | |
| General Mills, Inc. | 79,100 | 6,657,056 | |
| Ingredion, Inc. | 168,200 | 17,593,720 | |
| Kellogg Co. | 99,700 | 6,656,969 | |
| Lamb Weston Holdings, Inc. | 104,013 | 11,566,246 | |
| McCormick & Co., Inc. (non-vtg.) | 700 | 60,011 | |
| Mondelez International, Inc. | 1,180,622 | 86,669,461 | |
| Post Holdings, Inc. (a) | 104,309 | 8,862,093 | |
| Sovos Brands, Inc. (a) | 400 | 7,596 | |
| The Hershey Co. | 119,569 | 31,052,069 | |
| The J.M. Smucker Co. | 15,961 | 2,339,723 | |
| The Kraft Heinz Co. | 1,143,603 | 43,708,507 | |
| Tyson Foods, Inc. Class A | 293,000 | 14,837,520 | |
| 327,931,112 | |||
| Household Products - 1.2% | |||
| Church & Dwight Co., Inc. | 5,700 | 526,965 | |
| Colgate-Palmolive Co. | 1,022,525 | 76,055,410 | |
| Energizer Holdings, Inc. | 401,612 | 13,092,551 | |
| Kimberly-Clark Corp. | 115,918 | 15,565,469 | |
| Procter & Gamble Co. | 3,381,339 | 481,840,808 | |
| Reynolds Consumer Products, Inc. | 8,110 | 222,538 | |
| The Clorox Co. | 200 | 31,636 | |
| 587,335,377 | |||
| Personal Care Products - 0.1% | |||
| BellRing Brands, Inc. (a) | 139,108 | 5,094,135 | |
| Coty, Inc. Class A (a) | 19,700 | 213,548 | |
| elf Beauty, Inc. (a) | 19,358 | 2,013,619 | |
| Estee Lauder Companies, Inc. Class A | 244,914 | 45,071,523 | |
| Kenvue, Inc. | 946,203 | 23,740,233 | |
| Olaplex Holdings, Inc. (a) | 83,500 | 263,860 | |
| The Beauty Health Co. (a)(c) | 165,700 | 1,332,228 | |
| 77,729,146 | |||
| Tobacco - 0.5% | |||
| Altria Group, Inc. | 1,919,473 | 85,262,991 | |
| Philip Morris International, Inc. | 1,821,120 | 163,919,011 | |
| Vector Group Ltd. | 53,400 | 625,314 | |
| 249,807,316 | |||
TOTAL CONSUMER STAPLES | 2,830,547,317 | ||
| ENERGY - 4.3% | |||
| Energy Equipment & Services - 0.3% | |||
| Archrock, Inc. (c) | 2,700 | 24,300 | |
| Baker Hughes Co. Class A | 1,933,962 | 52,700,465 | |
| Championx Corp. | 11,400 | 287,964 | |
| Diamond Offshore Drilling, Inc. (a) | 1,000 | 10,950 | |
| Expro Group Holdings NV (a) | 178,000 | 2,953,020 | |
| Halliburton Co. | 590,970 | 16,931,291 | |
| Helix Energy Solutions Group, Inc. (a) | 500 | 3,140 | |
| Nextier Oilfield Solutions, Inc. (a) | 800 | 6,032 | |
| NOV, Inc. | 87,500 | 1,231,125 | |
| Oceaneering International, Inc. (a) | 28,300 | 433,273 | |
| Schlumberger Ltd. | 1,424,567 | 61,014,205 | |
| Solaris Oilfield Infrastructure, Inc. Class A | 840 | 6,157 | |
| TETRA Technologies, Inc. (a) | 3,853 | 10,018 | |
| Tidewater, Inc. (a) | 443 | 19,851 | |
| U.S. Silica Holdings, Inc. (a) | 17,104 | 193,788 | |
| Weatherford International PLC (a) | 64,400 | 3,634,736 | |
| 139,460,315 | |||
| Oil, Gas & Consumable Fuels - 4.0% | |||
| Africa Oil Corp. | 1,085,700 | 2,319,359 | |
| Antero Midstream GP LP | 3,700 | 37,777 | |
| APA Corp. | 418,987 | 13,315,407 | |
| Berry Corp. | 846 | 5,330 | |
| BP PLC sponsored ADR | 832,264 | 28,055,619 | |
| Canadian Natural Resources Ltd. | 96,500 | 5,198,560 | |
| Cheniere Energy, Inc. | 78,000 | 10,902,060 | |
| Chesapeake Energy Corp. | 47,400 | 3,566,850 | |
| Chevron Corp. | 1,968,250 | 296,457,815 | |
| Clean Energy Fuels Corp. (a) | 700 | 2,814 | |
| Comstock Resources, Inc. (c) | 49,900 | 465,068 | |
| ConocoPhillips Co. | 2,655,443 | 263,685,490 | |
| Coterra Energy, Inc. | 1,150,972 | 26,760,099 | |
| Denbury, Inc. (a) | 9,700 | 874,649 | |
| Devon Energy Corp. | 80,210 | 3,697,681 | |
| Diamondback Energy, Inc. | 25,535 | 3,246,775 | |
| DT Midstream, Inc. | 300 | 13,638 | |
| Eco Atlantic Oil & Gas Ltd. (a) | 811,500 | 182,326 | |
| Enviva, Inc. (c) | 800 | 7,024 | |
| EOG Resources, Inc. | 1,776,126 | 190,560,559 | |
| EQT Corp. (c) | 115,922 | 4,030,608 | |
| Equitrans Midstream Corp. | 71,300 | 608,189 | |
| Exxon Mobil Corp. | 6,910,273 | 706,091,695 | |
| Gevo, Inc. (a)(c) | 19,700 | 25,413 | |
| Green Plains, Inc. (a) | 2,700 | 78,300 | |
| Hess Corp. | 311,241 | 39,424,897 | |
| HF Sinclair Corp. | 292,000 | 12,100,480 | |
| Imperial Oil Ltd. (c) | 169,000 | 7,671,293 | |
| Kinder Morgan, Inc. | 1,454,960 | 23,439,406 | |
| Kosmos Energy Ltd. (a) | 428,400 | 2,553,264 | |
| Marathon Oil Corp. | 354,058 | 7,845,925 | |
| Marathon Petroleum Corp. | 785,068 | 82,361,484 | |
| MEG Energy Corp. (a) | 391,500 | 5,915,039 | |
| Murphy Oil Corp. | 8,000 | 278,400 | |
| New Fortress Energy, Inc. | 3,900 | 102,453 | |
| Nextdecade Corp. (a) | 200 | 1,110 | |
| Occidental Petroleum Corp. (c) | 987,349 | 56,930,543 | |
| ONEOK, Inc. (c) | 477,463 | 27,053,054 | |
| Overseas Shipholding Group, Inc. (a) | 3,300 | 12,012 | |
| Par Pacific Holdings, Inc. (a) | 8,801 | 187,637 | |
| PDC Energy, Inc. | 30,400 | 2,086,048 | |
| Phillips 66 Co. | 594,530 | 54,464,893 | |
| Pioneer Natural Resources Co. | 138,783 | 27,678,882 | |
| Range Resources Corp. | 145,200 | 3,974,124 | |
| Shell PLC ADR | 472,498 | 26,459,888 | |
| SM Energy Co. | 13,000 | 341,770 | |
| Southwestern Energy Co. (a) | 343,400 | 1,638,018 | |
| Suncor Energy, Inc. (c) | 284,800 | 7,974,400 | |
| Talos Energy, Inc. (a) | 3,700 | 45,547 | |
| Targa Resources Corp. | 15,800 | 1,075,190 | |
| Tellurian, Inc. (a)(c) | 191,400 | 231,594 | |
| Texas Pacific Land Corp. | 301 | 392,414 | |
| The Williams Companies, Inc. | 504,068 | 14,446,589 | |
| TotalEnergies SE sponsored ADR | 214,546 | 12,078,940 | |
| Valero Energy Corp. | 474,962 | 50,839,932 | |
| 2,029,794,331 | |||
TOTAL ENERGY | 2,169,254,646 | ||
| FINANCIALS - 12.8% | |||
| Banks - 3.2% | |||
| AIB Group PLC | 197,400 | 808,555 | |
| Banc of California, Inc. | 1,300 | 13,897 | |
| Bank of America Corp. | 10,117,387 | 281,162,185 | |
| BankUnited, Inc. | 286,200 | 5,414,904 | |
| Berkshire Hills Bancorp, Inc. | 2,000 | 40,900 | |
| BNP Paribas SA | 111,806 | 6,500,210 | |
| BOK Financial Corp. | 22,500 | 1,829,700 | |
| Byline Bancorp, Inc. | 2,500 | 44,300 | |
| Citigroup, Inc. | 2,241,876 | 99,359,944 | |
| Citizens Financial Group, Inc. | 547,282 | 14,108,930 | |
| Comerica, Inc. | 189,314 | 6,834,235 | |
| Commerce Bancshares, Inc. | 210,000 | 10,069,500 | |
| ConnectOne Bancorp, Inc. | 589 | 7,999 | |
| Cullen/Frost Bankers, Inc. | 180,160 | 18,052,032 | |
| Customers Bancorp, Inc. (a) | 198 | 4,558 | |
| DNB Bank ASA | 115,000 | 1,926,473 | |
| Eagle Bancorp, Inc. | 1,700 | 33,881 | |
| East West Bancorp, Inc. | 700 | 33,495 | |
| Eastern Bankshares, Inc. | 300 | 3,255 | |
| Eurobank Ergasias Services and Holdings SA (a) | 2,094,761 | 3,269,071 | |
| Fifth Third Bancorp | 3,538,206 | 85,872,260 | |
| First Foundation, Inc. | 15,400 | 59,752 | |
| First Horizon National Corp. | 77,800 | 802,118 | |
| First Internet Bancorp | 1,818 | 22,325 | |
| Hanmi Financial Corp. | 600 | 8,640 | |
| HarborOne Bancorp, Inc. | 700 | 5,740 | |
| Heritage Commerce Corp. | 1,200 | 8,736 | |
| Heritage Financial Corp., Washington | 121 | 1,978 | |
| HomeStreet, Inc. | 1,200 | 6,288 | |
| HomeTrust Bancshares, Inc. | 110 | 2,155 | |
| Horizon Bancorp, Inc. Indiana | 1,360 | 12,090 | |
| Huntington Bancshares, Inc. | 2,318,094 | 23,899,549 | |
| JPMorgan Chase & Co. | 3,319,308 | 450,463,289 | |
| KBC Group NV | 30,765 | 2,011,886 | |
| KeyCorp | 1,302,595 | 12,166,237 | |
| Live Oak Bancshares, Inc. | 1,300 | 28,132 | |
| M&T Bank Corp. (c) | 213,949 | 25,494,163 | |
| Midland States Bancorp, Inc. | 500 | 9,670 | |
| Mitsubishi UFJ Financial Group, Inc. sponsored ADR (c) | 1,967,000 | 13,001,870 | |
| NatWest Group PLC | 639,397 | 2,071,763 | |
| OceanFirst Financial Corp. | 100 | 1,420 | |
| Pathward Financial, Inc. | 1,500 | 65,910 | |
| Pinnacle Financial Partners, Inc. | 900 | 43,785 | |
| Piraeus Financial Holdings SA (a) | 661,999 | 1,953,006 | |
| PNC Financial Services Group, Inc. | 486,331 | 56,331,720 | |
| Prosperity Bancshares, Inc. | 29,900 | 1,709,682 | |
| Regions Financial Corp. | 2,378,356 | 41,074,208 | |
| Standard Chartered PLC (United Kingdom) | 165,446 | 1,303,990 | |
| Sumitomo Mitsui Financial Group, Inc. | 62,500 | 2,536,355 | |
| Truist Financial Corp. | 2,205,463 | 67,200,458 | |
| Trustmark Corp. | 739 | 15,430 | |
| U.S. Bancorp | 1,417,787 | 42,391,831 | |
| UniCredit SpA | 167,917 | 3,237,822 | |
| Univest Corp. of Pennsylvania | 95 | 1,684 | |
| Washington Federal, Inc. | 924 | 24,033 | |
| Wells Fargo & Co. | 7,859,262 | 312,877,220 | |
| WesBanco, Inc. | 200 | 4,828 | |
| Western Alliance Bancorp. | 109,000 | 3,695,100 | |
| Zions Bancorp NA | 333,503 | 9,101,297 | |
| 1,609,036,444 | |||
| Capital Markets - 2.6% | |||
| Affiliated Managers Group, Inc. | 2,228 | 309,893 | |
| Ameriprise Financial, Inc. | 334,157 | 99,735,840 | |
| Ares Management Corp. | 576,442 | 50,202,334 | |
| Bank of New York Mellon Corp. | 1,473,870 | 59,249,574 | |
| BlackRock, Inc. Class A | 31,800 | 20,910,090 | |
| Blackstone, Inc. (c) | 211,000 | 18,070,040 | |
| Blue Owl Capital, Inc. Class A | 600 | 6,150 | |
| Brookfield Asset Management Ltd. Class A (c) | 314,346 | 9,593,840 | |
| Brookfield Corp. Class A | 1,428,993 | 42,926,950 | |
| Cboe Global Markets, Inc. | 177,867 | 23,553,148 | |
| Charles Schwab Corp. | 2,726,070 | 143,636,628 | |
| CME Group, Inc. | 144,592 | 25,845,820 | |
| Donnelley Financial Solutions, Inc. (a) | 1,500 | 66,525 | |
| FactSet Research Systems, Inc. | 51,639 | 19,875,335 | |
| Federated Hermes, Inc. | 2,700 | 92,961 | |
| Franklin Resources, Inc. | 24,100 | 578,641 | |
| Goldman Sachs Group, Inc. | 429,864 | 139,232,950 | |
| Greenhill & Co., Inc. | 200 | 2,896 | |
| Intercontinental Exchange, Inc. | 344,117 | 36,459,196 | |
| Invesco Ltd. | 193,601 | 2,783,982 | |
| Jefferies Financial Group, Inc. | 1,182,288 | 35,551,400 | |
| KKR & Co. LP | 395,463 | 20,362,390 | |
| LPL Financial | 24,531 | 4,778,148 | |
| MarketAxess Holdings, Inc. | 29,228 | 7,961,999 | |
| Moody's Corp. | 226,849 | 71,883,911 | |
| Morgan Stanley | 1,607,405 | 131,421,433 | |
| Morningstar, Inc. | 300 | 61,410 | |
| MSCI, Inc. | 57,471 | 27,041,830 | |
| NASDAQ, Inc. | 103,649 | 5,736,972 | |
| Northern Trust Corp. | 152,742 | 10,985,205 | |
| Open Lending Corp. (a) | 3,400 | 34,476 | |
| Raymond James Financial, Inc. | 458,505 | 41,425,927 | |
| S&P Global, Inc. | 465,291 | 170,961,872 | |
| Sculptor Capital Management, Inc. Class A | 496 | 4,290 | |
| SEI Investments Co. | 291,893 | 16,515,306 | |
| State Street Corp. | 621,884 | 42,300,550 | |
| StepStone Group, Inc. Class A | 57,265 | 1,231,770 | |
| Stifel Financial Corp. | 160,600 | 8,924,542 | |
| T. Rowe Price Group, Inc. | 120,367 | 12,898,528 | |
| TPG, Inc. (c) | 7,700 | 198,660 | |
| UBS Group AG | 234,263 | 4,429,913 | |
| Victory Capital Holdings, Inc. | 1,900 | 58,843 | |
| Virtu Financial, Inc. Class A | 164,628 | 2,895,807 | |
| 1,310,797,975 | |||
| Consumer Finance - 0.7% | |||
| American Express Co. | 1,185,705 | 188,005,385 | |
| Capital One Financial Corp. | 741,466 | 77,268,172 | |
| Discover Financial Services | 413,831 | 42,516,997 | |
| EZCORP, Inc. (non-vtg.) Class A (a) | 6,439 | 53,701 | |
| LendingClub Corp. (a) | 25,100 | 205,820 | |
| LendingTree, Inc. (a) | 900 | 16,461 | |
| Navient Corp. | 660,000 | 9,999,000 | |
| NerdWallet, Inc. (a) | 1,200 | 11,280 | |
| OneMain Holdings, Inc. | 96,408 | 3,650,007 | |
| PRA Group, Inc. (a) | 2,400 | 44,880 | |
| PROG Holdings, Inc. (a) | 1,200 | 39,156 | |
| Shriram Transport Finance Co. Ltd. | 64,908 | 1,098,742 | |
| SLM Corp. | 25,900 | 395,234 | |
| Synchrony Financial | 223,743 | 6,927,083 | |
| 330,231,918 | |||
| Financial Services - 4.1% | |||
| Apollo Global Management, Inc. | 415,221 | 27,757,524 | |
| AvidXchange Holdings, Inc. (a) | 26,000 | 251,940 | |
| Berkshire Hathaway, Inc.: | |||
| Class A (a) | 8 | 3,904,192 | |
| Class B (a) | 1,618,668 | 519,721,921 | |
| Block, Inc. Class A (a) | 1,034,338 | 62,463,672 | |
| Corebridge Financial, Inc. (c) | 1,424,277 | 23,671,484 | |
| Dlocal Ltd. (a) | 136,200 | 1,585,368 | |
| Enact Holdings, Inc. | 8,300 | 202,022 | |
| Equitable Holdings, Inc. | 1,403,888 | 34,451,412 | |
| Euronet Worldwide, Inc. (a)(c) | 1,300 | 144,820 | |
| Fidelity National Information Services, Inc. | 69,700 | 3,803,540 | |
| Fiserv, Inc. (a) | 888,178 | 99,644,690 | |
| FleetCor Technologies, Inc. (a) | 580,782 | 131,576,162 | |
| Flywire Corp. (a) | 44,800 | 1,345,792 | |
| Global Payments, Inc. | 666,205 | 65,081,566 | |
| Jack Henry & Associates, Inc. | 900 | 137,601 | |
| Marqeta, Inc. Class A (a) | 57,700 | 276,383 | |
| MasterCard, Inc. Class A | 1,242,739 | 453,624,590 | |
| MGIC Investment Corp. | 356,728 | 5,393,727 | |
| One97 Communications Ltd. (a) | 13,500 | 113,850 | |
| Payoneer Global, Inc. (a) | 80,000 | 332,000 | |
| PayPal Holdings, Inc. (a) | 796,596 | 49,380,986 | |
| PennyMac Financial Services, Inc. | 200 | 12,208 | |
| Radian Group, Inc. | 604,400 | 15,436,376 | |
| Repay Holdings Corp. (a) | 10,200 | 64,566 | |
| The Western Union Co. | 142,400 | 1,621,936 | |
| Toast, Inc. (a)(c) | 10,721 | 224,819 | |
| UWM Holdings Corp. Class A (c) | 71,889 | 368,791 | |
| Visa, Inc. Class A (c) | 2,413,347 | 533,422,087 | |
| Voya Financial, Inc. | 160,631 | 10,890,782 | |
| WEX, Inc. (a) | 32,100 | 5,323,785 | |
| Worldline SA (a)(b) | 64,882 | 2,520,959 | |
| 2,054,751,551 | |||
| Insurance - 2.2% | |||
| AFLAC, Inc. | 541,074 | 34,742,362 | |
| Allstate Corp. | 95,200 | 10,324,440 | |
| American Equity Investment Life Holding Co. | 2,524 | 99,572 | |
| American Financial Group, Inc. | 97,166 | 10,908,827 | |
| American International Group, Inc. | 1,581,604 | 83,556,139 | |
| Aon PLC | 16,010 | 4,935,723 | |
| Arch Capital Group Ltd. (a) | 407,146 | 28,378,076 | |
| Arthur J. Gallagher & Co. | 30,538 | 6,117,678 | |
| Axis Capital Holdings Ltd. | 137,500 | 7,136,250 | |
| Brighthouse Financial, Inc. (a) | 12,100 | 487,146 | |
| Brookfield Asset Management Reinsurance Partners Ltd. | 8,289 | 254,389 | |
| Chubb Ltd. | 743,817 | 138,201,199 | |
| Cincinnati Financial Corp. | 359,223 | 34,665,020 | |
| CNA Financial Corp. | 103,994 | 3,833,219 | |
| Direct Line Insurance Group PLC | 761,732 | 1,571,996 | |
| Erie Indemnity Co. Class A | 700 | 149,870 | |
| Everest Re Group Ltd. | 83,052 | 28,239,341 | |
| Fairfax Financial Holdings Ltd. | 11,383 | 8,170,034 | |
| Fairfax Financial Holdings Ltd. (sub. vtg.) | 4,070 | 2,921,346 | |
| Fidelity National Financial, Inc. | 89,200 | 3,045,288 | |
| First American Financial Corp. | 34,100 | 1,873,113 | |
| Globe Life, Inc. | 273,028 | 28,171,029 | |
| Hartford Financial Services Group, Inc. | 1,434,365 | 98,282,690 | |
| Kinsale Capital Group, Inc. | 100 | 30,298 | |
| Lincoln National Corp. | 268,500 | 5,617,020 | |
| Loews Corp. | 415,724 | 23,280,544 | |
| Markel Group, Inc. (a) | 3,670 | 4,825,059 | |
| Marsh & McLennan Companies, Inc. | 479,593 | 83,055,916 | |
| MBIA, Inc. (a) | 13,500 | 107,460 | |
| Mercury General Corp. | 9,300 | 279,093 | |
| MetLife, Inc. | 1,962,670 | 97,250,299 | |
| Old Republic International Corp. | 99,500 | 2,436,755 | |
| Principal Financial Group, Inc. | 86,700 | 5,675,382 | |
| ProAssurance Corp. | 1,300 | 15,795 | |
| Progressive Corp. | 1,877,916 | 240,204,236 | |
| Prudential Financial, Inc. | 123,500 | 9,718,215 | |
| Prudential PLC | 105,793 | 1,390,098 | |
| Reinsurance Group of America, Inc. | 21,122 | 2,957,080 | |
| RenaissanceRe Holdings Ltd. | 125,380 | 23,617,831 | |
| Ryan Specialty Group Holdings, Inc. (a)(c) | 25,896 | 1,056,298 | |
| The Travelers Companies, Inc. | 323,417 | 54,735,093 | |
| Unum Group | 511,433 | 22,221,764 | |
| W.R. Berkley Corp. | 171,180 | 9,531,302 | |
| 1,124,070,285 | |||
| Mortgage Real Estate Investment Trusts - 0.0% | |||
| AGNC Investment Corp. | 9,900 | 90,981 | |
| Annaly Capital Management, Inc. | 280,900 | 5,303,392 | |
| BrightSpire Capital, Inc. | 3,000 | 17,760 | |
| Chimera Investment Corp. | 600 | 2,892 | |
| Granite Point Mortgage Trust, Inc. (c) | 27,500 | 128,425 | |
| Great Ajax Corp. | 2,124 | 11,682 | |
| Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 100 | 2,353 | |
| Invesco Mortgage Capital, Inc. | 5,500 | 58,300 | |
| Ladder Capital Corp. Class A | 25,200 | 240,156 | |
| PennyMac Mortgage Investment Trust | 900 | 10,476 | |
| Redwood Trust, Inc. | 200 | 1,184 | |
| Rithm Capital Corp. | 91,800 | 747,252 | |
| TPG RE Finance Trust, Inc. | 700 | 4,431 | |
| Two Harbors Investment Corp. | 6,600 | 82,104 | |
| 6,701,388 | |||
TOTAL FINANCIALS | 6,435,589,561 | ||
| HEALTH CARE - 13.0% | |||
| Biotechnology - 2.4% | |||
| AbbVie, Inc. | 2,830,274 | 390,464,601 | |
| ACADIA Pharmaceuticals, Inc. (a) | 26,000 | 611,000 | |
| ADMA Biologics, Inc. (a) | 2,100 | 8,547 | |
| Akero Therapeutics, Inc. (a) | 35,000 | 1,560,300 | |
| Allakos, Inc. (a) | 10,100 | 50,298 | |
| Alnylam Pharmaceuticals, Inc. (a) | 19,921 | 3,685,584 | |
| Amgen, Inc. | 577,405 | 127,404,413 | |
| AnaptysBio, Inc. (a)(c) | 1,210 | 23,111 | |
| Apellis Pharmaceuticals, Inc. (a) | 84,200 | 7,228,570 | |
| Argenx SE ADR (a) | 18,500 | 7,190,950 | |
| Ascendis Pharma A/S sponsored ADR (a) | 28,000 | 2,435,160 | |
| Atara Biotherapeutics, Inc. (a) | 92,000 | 140,760 | |
| Biogen, Inc. (a) | 339,140 | 100,524,487 | |
| BioMarin Pharmaceutical, Inc. (a) | 361,165 | 31,399,685 | |
| Blueprint Medicines Corp. (a) | 28,000 | 1,582,560 | |
| C4 Therapeutics, Inc. (a) | 4,898 | 16,604 | |
| CareDx, Inc. (a) | 8,600 | 68,628 | |
| Chimerix, Inc. (a) | 200 | 276 | |
| Coherus BioSciences, Inc. (a) | 15,700 | 64,213 | |
| Cytokinetics, Inc. (a)(c) | 60,000 | 2,261,400 | |
| Deciphera Pharmaceuticals, Inc. (a) | 2,100 | 28,350 | |
| Dynavax Technologies Corp. (a) | 2,400 | 27,432 | |
| Emergent BioSolutions, Inc. (a) | 11,507 | 98,155 | |
| Exelixis, Inc. (a)(c) | 3,400 | 65,552 | |
| Fate Therapeutics, Inc. (a) | 2,500 | 12,625 | |
| Gilead Sciences, Inc. | 1,435,367 | 110,437,137 | |
| Immunovant, Inc. (a) | 3,300 | 69,333 | |
| Incyte Corp. (a) | 88,437 | 5,443,297 | |
| Inhibrx, Inc. (a) | 700 | 16,562 | |
| Intercept Pharmaceuticals, Inc. (a) | 27,300 | 287,742 | |
| Iovance Biotherapeutics, Inc. (a) | 1,409 | 12,315 | |
| Karuna Therapeutics, Inc. (a) | 12,000 | 2,718,600 | |
| Kodiak Sciences, Inc. (a) | 1,600 | 9,488 | |
| Legend Biotech Corp. ADR (a) | 73,500 | 4,716,495 | |
| MiMedx Group, Inc. (a) | 4,600 | 26,956 | |
| Moderna, Inc. (a) | 263,561 | 33,659,375 | |
| Myriad Genetics, Inc. (a) | 5,617 | 123,911 | |
| Natera, Inc. (a) | 7,000 | 329,770 | |
| Neurocrine Biosciences, Inc. (a) | 3,200 | 286,496 | |
| Nuvalent, Inc. Class A (a) | 900 | 37,890 | |
| Organogenesis Holdings, Inc. Class A (a) | 13,534 | 49,128 | |
| Point Biopharma Global, Inc. (a) | 2,000 | 18,540 | |
| Poseida Therapeutics, Inc. (a) | 775 | 1,759 | |
| Precigen, Inc. (a) | 800 | 952 | |
| PTC Therapeutics, Inc. (a) | 3,800 | 159,486 | |
| Regeneron Pharmaceuticals, Inc. (a) | 236,017 | 173,604,665 | |
| Repligen Corp. (a) | 21,800 | 3,660,656 | |
| Replimune Group, Inc. (a) | 200 | 3,798 | |
| Sangamo Therapeutics, Inc. (a) | 1,300 | 1,456 | |
| Sarepta Therapeutics, Inc. (a) | 146,574 | 18,116,546 | |
| Seagen, Inc. (a) | 13,200 | 2,583,240 | |
| Stoke Therapeutics, Inc. (a) | 3,528 | 39,514 | |
| Travere Therapeutics, Inc. (a) | 25,211 | 451,025 | |
| Vanda Pharmaceuticals, Inc. (a) | 300 | 1,785 | |
| Vaxcyte, Inc. (a) | 50,000 | 2,476,000 | |
| Vertex Pharmaceuticals, Inc. (a) | 617,478 | 199,797,356 | |
| Xencor, Inc. (a)(c) | 55,000 | 1,490,500 | |
| Y-mAbs Therapeutics, Inc. (a) | 1,500 | 12,195 | |
| Zentalis Pharmaceuticals, Inc. (a) | 60,000 | 1,562,400 | |
| 1,239,159,629 | |||
| Health Care Equipment & Supplies - 2.0% | |||
| Abbott Laboratories | 938,956 | 95,773,512 | |
| Accuray, Inc. (a) | 200 | 738 | |
| Alcon, Inc. (c) | 264,000 | 20,430,960 | |
| Align Technology, Inc. (a) | 20,703 | 5,851,910 | |
| Alphatec Holdings, Inc. (a) | 2,900 | 43,964 | |
| Angiodynamics, Inc. (a) | 6,101 | 57,715 | |
| Baxter International, Inc. | 1,514,994 | 61,690,556 | |
| Becton, Dickinson & Co. | 218,736 | 52,881,615 | |
| Boston Scientific Corp. (a) | 2,811,390 | 144,730,357 | |
| Cerus Corp. (a) | 1,500 | 3,210 | |
| Dentsply Sirona, Inc. | 255,600 | 9,232,272 | |
| DexCom, Inc. (a) | 348,521 | 40,867,572 | |
| Edwards Lifesciences Corp. (a) | 285,092 | 24,013,299 | |
| Embecta Corp. | 23,900 | 661,313 | |
| Figs, Inc. Class A (a) | 159,854 | 1,317,197 | |
| GE Healthcare Holding LLC | 800 | 63,608 | |
| Glaukos Corp. (a) | 100 | 5,702 | |
| Hologic, Inc. (a) | 198,285 | 15,642,704 | |
| IDEXX Laboratories, Inc. (a) | 58,633 | 27,250,859 | |
| Inspire Medical Systems, Inc. (a) | 3,900 | 1,140,711 | |
| Insulet Corp. (a) | 39,987 | 10,966,435 | |
| Integra LifeSciences Holdings Corp. (a) | 15,400 | 584,430 | |
| Intuitive Surgical, Inc. (a) | 717,877 | 220,991,256 | |
| iRhythm Technologies, Inc. (a) | 23,700 | 2,708,199 | |
| Lantheus Holdings, Inc. (a) | 39,900 | 3,454,941 | |
| Masimo Corp. (a)(c) | 56,500 | 9,143,960 | |
| Medtronic PLC | 918,072 | 75,979,639 | |
| Neogen Corp. (a)(c) | 76,400 | 1,336,236 | |
| Nevro Corp. (a)(c) | 14,400 | 396,864 | |
| Outset Medical, Inc. (a) | 200 | 4,166 | |
| Penumbra, Inc. (a)(c) | 43,500 | 13,369,290 | |
| ResMed, Inc. | 28,400 | 5,986,436 | |
| Semler Scientific, Inc. (a) | 1,834 | 50,417 | |
| Sensus Healthcare, Inc. (a) | 711 | 1,913 | |
| Shockwave Medical, Inc. (a) | 600 | 165,054 | |
| Sight Sciences, Inc. (a) | 1,089 | 10,444 | |
| Silk Road Medical, Inc. (a) | 1,100 | 33,209 | |
| Staar Surgical Co. (a) | 1,100 | 63,822 | |
| STERIS PLC | 86,406 | 17,278,608 | |
| Stryker Corp. | 240,098 | 66,166,207 | |
| SurModics, Inc. (a) | 100 | 1,833 | |
| Tandem Diabetes Care, Inc. (a) | 68,600 | 1,782,914 | |
| Teleflex, Inc. | 86,900 | 20,399,775 | |
| The Cooper Companies, Inc. | 766 | 284,592 | |
| TransMedics Group, Inc. (a) | 7,603 | 552,434 | |
| Utah Medical Products, Inc. | 13 | 1,215 | |
| ViewRay, Inc. (a) | 25,400 | 13,995 | |
| Zimmer Biomet Holdings, Inc. | 282,639 | 35,991,250 | |
| Zimvie, Inc. (a) | 23,700 | 236,526 | |
| 989,615,834 | |||
| Health Care Providers & Services - 3.3% | |||
| Acadia Healthcare Co., Inc. (a) | 54,900 | 3,877,587 | |
| agilon health, Inc. (a)(c) | 465,000 | 9,244,200 | |
| Alignment Healthcare, Inc. (a) | 2,500 | 14,675 | |
| Amedisys, Inc. (a) | 4,300 | 326,499 | |
| AmerisourceBergen Corp. | 382,668 | 65,110,960 | |
| Cardinal Health, Inc. | 401,809 | 33,068,881 | |
| Centene Corp. (a) | 1,521,339 | 94,946,767 | |
| Cigna Group | 403,579 | 99,849,480 | |
| Community Health Systems, Inc. (a) | 3,500 | 11,445 | |
| CVS Health Corp. | 1,305,723 | 88,828,336 | |
| DaVita HealthCare Partners, Inc. (a) | 138,253 | 12,950,159 | |
| DocGo, Inc. Class A (a) | 3,600 | 32,220 | |
| Elevance Health, Inc. | 300,536 | 134,586,032 | |
| Enhabit Home Health & Hospice (a) | 5,273 | 56,737 | |
| Fulgent Genetics, Inc. (a) | 1,000 | 39,770 | |
| HCA Holdings, Inc. | 629,250 | 166,241,558 | |
| Henry Schein, Inc. (a) | 94,176 | 6,959,606 | |
| Hims & Hers Health, Inc. (a) | 19,200 | 171,648 | |
| Humana, Inc. | 233,864 | 117,369,326 | |
| Laboratory Corp. of America Holdings | 92,895 | 19,742,974 | |
| McKesson Corp. | 261,467 | 102,191,762 | |
| Molina Healthcare, Inc. (a) | 118,435 | 32,439,347 | |
| NeoGenomics, Inc. (a) | 2,500 | 42,950 | |
| Opko Health, Inc. (a) | 2,900 | 4,031 | |
| Option Care Health, Inc. (a) | 28,700 | 790,685 | |
| Owens & Minor, Inc. (a) | 8,450 | 171,620 | |
| Patterson Companies, Inc. | 12,600 | 329,994 | |
| Pediatrix Medical Group, Inc. (a) | 25,272 | 336,118 | |
| Pennant Group, Inc. (a) | 190 | 2,280 | |
| Privia Health Group, Inc. (a) | 120,000 | 2,994,000 | |
| Quest Diagnostics, Inc. | 113,800 | 15,095,570 | |
| R1 RCM, Inc. (a) | 800 | 13,000 | |
| RadNet, Inc. (a) | 200 | 5,788 | |
| Surgery Partners, Inc. (a) | 160,000 | 5,996,800 | |
| Tenet Healthcare Corp. (a) | 23,293 | 1,658,462 | |
| The Joint Corp. (a) | 1,016 | 14,407 | |
| UnitedHealth Group, Inc. | 1,333,351 | 649,661,941 | |
| Universal Health Services, Inc. Class B | 92,400 | 12,208,812 | |
| 1,677,386,427 | |||
| Health Care Technology - 0.0% | |||
| Doximity, Inc. (a)(c) | 1,700 | 52,139 | |
| Evolent Health, Inc. (e) | 110,000 | 3,045,130 | |
| Evolent Health, Inc. (a)(c) | 1,100 | 32,054 | |
| GoodRx Holdings, Inc. (a) | 5,925 | 32,173 | |
| Health Catalyst, Inc. (a) | 200 | 2,252 | |
| HealthStream, Inc. | 100 | 2,302 | |
| MultiPlan Corp. Class A (a) | 1,832 | 2,546 | |
| Nextgen Healthcare, Inc. (a) | 800 | 12,456 | |
| OptimizeRx Corp. (a) | 9,100 | 127,764 | |
| Phreesia, Inc. (a) | 57,500 | 1,726,150 | |
| Sharecare, Inc. Class A (a) | 300 | 447 | |
| Teladoc Health, Inc. (a)(c) | 4,372 | 101,212 | |
| Veradigm, Inc. (a) | 15,470 | 182,237 | |
| 5,318,862 | |||
| Life Sciences Tools & Services - 1.4% | |||
| 10X Genomics, Inc. (a) | 30,000 | 1,573,800 | |
| Adaptive Biotechnologies Corp. (a) | 300 | 2,088 | |
| Agilent Technologies, Inc. | 465,884 | 53,888,802 | |
| Avantor, Inc. (a) | 509,600 | 10,161,424 | |
| Bio-Rad Laboratories, Inc. Class A (a) | 8,800 | 3,285,480 | |
| Bio-Techne Corp. | 900 | 73,611 | |
| Bruker Corp. | 38,000 | 2,625,800 | |
| Charles River Laboratories International, Inc. (a) | 50,454 | 9,756,795 | |
| Codexis, Inc. (a) | 12,107 | 26,756 | |
| CryoPort, Inc. (a) | 300 | 5,523 | |
| Cytek Biosciences, Inc. (a)(c) | 300 | 2,343 | |
| Danaher Corp. | 736,467 | 169,107,553 | |
| Gerresheimer AG | 25,000 | 2,747,073 | |
| ICON PLC (a) | 18,900 | 4,026,267 | |
| Illumina, Inc. (a) | 189,260 | 37,217,979 | |
| IQVIA Holdings, Inc. (a) | 74,660 | 14,701,301 | |
| Maravai LifeSciences Holdings, Inc. (a) | 5,000 | 64,200 | |
| MaxCyte, Inc. (a) | 2,200 | 8,976 | |
| Medpace Holdings, Inc. (a) | 4,100 | 848,577 | |
| Mettler-Toledo International, Inc. (a) | 14,791 | 19,551,779 | |
| Nanostring Technologies, Inc. (a) | 12,700 | 74,803 | |
| OmniAb, Inc. (a) | 3,695 | 15,962 | |
| Pacific Biosciences of California, Inc. (a) | 25,900 | 320,642 | |
| Personalis, Inc. (a) | 255 | 459 | |
| Phenomex, Inc. (a) | 6,779 | 4,745 | |
| Quanterix Corp. (a) | 4,422 | 86,715 | |
| Revvity, Inc. | 1,200 | 138,384 | |
| Sartorius Stedim Biotech | 8,000 | 2,100,175 | |
| Sotera Health Co. (a) | 12,300 | 173,307 | |
| Syneos Health, Inc. (a) | 19,500 | 811,200 | |
| Thermo Fisher Scientific, Inc. | 692,759 | 352,240,241 | |
| Waters Corp. (a) | 6,525 | 1,639,211 | |
| West Pharmaceutical Services, Inc. | 38,063 | 12,737,022 | |
| 700,018,993 | |||
| Pharmaceuticals - 3.9% | |||
| Aclaris Therapeutics, Inc. (a) | 230 | 1,921 | |
| Amneal Pharmaceuticals, Inc. (a) | 1,900 | 4,446 | |
| Amylyx Pharmaceuticals, Inc. (a) | 18,500 | 456,765 | |
| AstraZeneca PLC: | |||
| (United Kingdom) | 73,500 | 10,705,321 | |
| sponsored ADR | 418,820 | 30,607,366 | |
| Bristol-Myers Squibb Co. | 3,898,046 | 251,190,084 | |
| Catalent, Inc. (a) | 40,700 | 1,515,261 | |
| Corcept Therapeutics, Inc. (a) | 1,600 | 37,584 | |
| DICE Therapeutics, Inc. (a) | 2,100 | 66,381 | |
| Elanco Animal Health, Inc. (a) | 2,539,803 | 20,699,394 | |
| Eli Lilly & Co. | 825,983 | 354,726,659 | |
| Fulcrum Therapeutics, Inc. (a) | 9,364 | 25,470 | |
| GSK PLC sponsored ADR | 142,519 | 4,788,638 | |
| Jazz Pharmaceuticals PLC (a) | 162,700 | 20,851,632 | |
| Johnson & Johnson | 2,352,258 | 364,741,125 | |
| Merck & Co., Inc. | 3,688,225 | 407,216,922 | |
| Nektar Therapeutics (a) | 36,000 | 20,884 | |
| Novartis AG sponsored ADR | 263,309 | 25,343,491 | |
| Novo Nordisk A/S: | |||
| Series B | 30,800 | 4,956,676 | |
| Series B sponsored ADR | 361,689 | 58,036,617 | |
| Organon & Co. | 176,000 | 3,412,640 | |
| Paratek Pharmaceuticals, Inc. (a)(c) | 13,448 | 20,575 | |
| Pfizer, Inc. | 6,625,731 | 251,910,293 | |
| Pliant Therapeutics, Inc. (a) | 1,602 | 34,651 | |
| Revance Therapeutics, Inc. (a) | 33,000 | 1,008,480 | |
| Roche Holding AG sponsored ADR | 442,422 | 17,515,487 | |
| Royalty Pharma PLC | 180,000 | 5,893,200 | |
| UCB SA | 35,000 | 3,049,785 | |
| Ventyx Biosciences, Inc. (a) | 3,100 | 106,857 | |
| Viatris, Inc. | 4,400,876 | 40,268,015 | |
| Zoetis, Inc. Class A | 464,007 | 75,637,781 | |
| 1,954,850,401 | |||
TOTAL HEALTH CARE | 6,566,350,146 | ||
| INDUSTRIALS - 7.6% | |||
| Aerospace & Defense - 1.7% | |||
| BWX Technologies, Inc. | 4,344 | 262,030 | |
| General Dynamics Corp. | 354,441 | 72,369,763 | |
| HEICO Corp. | 2,900 | 448,282 | |
| HEICO Corp. Class A | 5,793 | 705,877 | |
| Hexcel Corp. | 7,200 | 496,728 | |
| Howmet Aerospace, Inc. | 878,096 | 37,538,604 | |
| Huntington Ingalls Industries, Inc. | 102,500 | 20,641,450 | |
| Kaman Corp. | 200 | 4,156 | |
| Kratos Defense & Security Solutions, Inc. (a) | 1,638 | 21,523 | |
| L3Harris Technologies, Inc. | 177,778 | 31,274,706 | |
| Lockheed Martin Corp. | 185,602 | 82,409,144 | |
| Moog, Inc. Class A | 74,200 | 7,212,982 | |
| Northrop Grumman Corp. | 146,073 | 63,613,331 | |
| Park Aerospace Corp. | 200 | 2,620 | |
| Parsons Corp. (a) | 22,000 | 983,180 | |
| Raytheon Technologies Corp. | 2,640,968 | 243,338,792 | |
| Textron, Inc. | 401,020 | 24,811,107 | |
| The Boeing Co. (a) | 822,781 | 169,246,052 | |
| TransDigm Group, Inc. | 130,853 | 101,234,423 | |
| Triumph Group, Inc. (a) | 12,900 | 144,351 | |
| 856,759,101 | |||
| Air Freight & Logistics - 0.5% | |||
| Air Transport Services Group, Inc. (a) | 2,800 | 46,760 | |
| C.H. Robinson Worldwide, Inc. (c) | 158,288 | 14,964,548 | |
| Delhivery Private Ltd. | 142,600 | 602,200 | |
| Expeditors International of Washington, Inc. (c) | 311,467 | 34,357,925 | |
| FedEx Corp. | 361,011 | 78,693,178 | |
| United Parcel Service, Inc. Class B | 830,488 | 138,691,496 | |
| 267,356,107 | |||
| Building Products - 0.4% | |||
| A.O. Smith Corp. | 20,500 | 1,310,770 | |
| Advanced Drain Systems, Inc. (c) | 18,400 | 1,780,568 | |
| Allegion PLC | 78,098 | 8,179,985 | |
| Builders FirstSource, Inc. (a) | 151,226 | 17,534,655 | |
| Carlisle Companies, Inc. | 29,388 | 6,243,187 | |
| Carrier Global Corp. | 956,340 | 39,114,306 | |
| Fortune Brands Home & Security, Inc. | 162,207 | 9,805,413 | |
| Johnson Controls International PLC | 361,247 | 21,566,446 | |
| Lennox International, Inc. | 3,900 | 1,074,489 | |
| Masco Corp. (c) | 104,600 | 5,054,272 | |
| MasterBrand, Inc. (a) | 46,300 | 480,594 | |
| Owens Corning | 161,705 | 17,194,093 | |
| PGT Innovations, Inc. (a) | 2,200 | 54,714 | |
| The AZEK Co., Inc. (a) | 696 | 16,182 | |
| Trane Technologies PLC | 557,976 | 91,078,422 | |
| Trex Co., Inc. (a) | 21,800 | 1,119,430 | |
| 221,607,526 | |||
| Commercial Services & Supplies - 0.3% | |||
| ACCO Brands Corp. | 5 | 24 | |
| Aurora Innovation, Inc. (a) | 8,200 | 11,562 | |
| CECO Environmental Corp. (a) | 100 | 1,076 | |
| Cintas Corp. | 79,443 | 37,508,218 | |
| Copart, Inc. (a) | 545,797 | 47,806,359 | |
| Deluxe Corp. (c) | 215,300 | 3,276,866 | |
| Harsco Corp. (a) | 47,200 | 399,312 | |
| Interface, Inc. | 900 | 6,237 | |
| Pitney Bowes, Inc. (c) | 15,000 | 49,800 | |
| Republic Services, Inc. | 307,368 | 43,532,530 | |
| Rollins, Inc. | 4,000 | 157,280 | |
| Stericycle, Inc. (a) | 800 | 33,720 | |
| Viad Corp. (a) | 100 | 2,322 | |
| Waste Connections, Inc. (United States) | 234,122 | 31,992,771 | |
| Waste Management, Inc. | 39,610 | 6,413,651 | |
| 171,191,728 | |||
| Construction & Engineering - 0.0% | |||
| AECOM | 3,400 | 265,370 | |
| Fluor Corp. (a) | 44,900 | 1,192,544 | |
| Great Lakes Dredge & Dock Corp. (a) | 2,200 | 13,948 | |
| Northwest Pipe Co. (a) | 400 | 10,624 | |
| Tutor Perini Corp. (a) | 660 | 3,564 | |
| Valmont Industries, Inc. | 100 | 26,227 | |
| Willscot Mobile Mini Holdings (a) | 93,038 | 4,008,077 | |
| 5,520,354 | |||
| Electrical Equipment - 0.4% | |||
| Acuity Brands, Inc. | 74,000 | 11,151,060 | |
| AMETEK, Inc. | 355,693 | 51,600,384 | |
| Array Technologies, Inc. (a) | 33,997 | 753,713 | |
| Babcock & Wilcox Enterprises, Inc. (a) | 2,100 | 10,080 | |
| Eaton Corp. PLC (c) | 651,249 | 114,554,699 | |
| Emerson Electric Co. | 133,437 | 10,365,386 | |
| EnerSys | 2 | 195 | |
| Enovix Corp. (a)(c) | 3,100 | 41,137 | |
| Fluence Energy, Inc. (a)(c) | 2,000 | 49,600 | |
| FuelCell Energy, Inc. (a)(c) | 36,400 | 77,168 | |
| Generac Holdings, Inc. (a) | 104 | 11,328 | |
| GrafTech International Ltd. (c) | 17,300 | 74,217 | |
| Regal Rexnord Corp. | 14,200 | 1,844,438 | |
| Rockwell Automation, Inc. | 44,262 | 12,331,393 | |
| Sensata Technologies, Inc. PLC | 50,300 | 2,088,456 | |
| Shoals Technologies Group, Inc. (a) | 1,500 | 35,235 | |
| SunPower Corp. (a)(c) | 1,700 | 18,020 | |
| Vicor Corp. (a) | 400 | 22,140 | |
| 205,028,649 | |||
| Ground Transportation - 1.1% | |||
| Avis Budget Group, Inc. (a) | 8,500 | 1,426,215 | |
| Canadian Pacific Kansas City Ltd. (c) | 68,557 | 5,224,043 | |
| Covenant Transport Group, Inc. Class A | 846 | 32,292 | |
| CSX Corp. | 3,693,472 | 113,278,786 | |
| J.B. Hunt Transport Services, Inc. | 122,525 | 20,457,999 | |
| Knight-Swift Transportation Holdings, Inc. Class A | 56,200 | 3,090,438 | |
| Landstar System, Inc. | 11,400 | 1,999,332 | |
| Marten Transport Ltd. | 3,600 | 76,140 | |
| Norfolk Southern Corp. | 336,040 | 69,956,807 | |
| Old Dominion Freight Lines, Inc. | 192,936 | 59,895,052 | |
| Saia, Inc. (a) | 71,238 | 20,242,990 | |
| Schneider National, Inc. Class B | 4,170 | 108,086 | |
| TuSimple Holdings, Inc. (a) | 16,700 | 33,734 | |
| U-Haul Holding Co. (c) | 6,200 | 327,174 | |
| U-Haul Holding Co. (non-vtg.) | 59,400 | 2,749,626 | |
| Uber Technologies, Inc. (a) | 1,743,657 | 66,136,910 | |
| Union Pacific Corp. | 1,088,533 | 209,564,373 | |
| Werner Enterprises, Inc. | 3,800 | 166,896 | |
| Yellow Corp. (a)(c) | 1,700 | 2,159 | |
| 574,769,052 | |||
| Industrial Conglomerates - 1.0% | |||
| 3M Co. | 418,718 | 39,070,577 | |
| General Electric Co. | 1,133,783 | 115,112,988 | |
| Honeywell International, Inc. | 1,670,637 | 320,094,049 | |
| 474,277,614 | |||
| Machinery - 1.6% | |||
| 3D Systems Corp. (a) | 13,700 | 112,340 | |
| AGCO Corp. | 250,798 | 27,658,003 | |
| Allison Transmission Holdings, Inc. | 309,700 | 14,648,810 | |
| Caterpillar, Inc. | 424,169 | 87,272,772 | |
| Commercial Vehicle Group, Inc. (a) | 200 | 1,962 | |
| Cummins, Inc. | 398,791 | 81,516,868 | |
| Deere & Co. | 372,813 | 128,985,842 | |
| Dover Corp. | 211,288 | 28,171,029 | |
| Enerpac Tool Group Corp. Class A | 12,400 | 315,208 | |
| Fortive Corp. | 413,473 | 26,921,227 | |
| Hyliion Holdings Corp. Class A (a) | 5,200 | 8,528 | |
| IDEX Corp. | 999 | 198,961 | |
| Illinois Tool Works, Inc. | 478 | 104,553 | |
| Ingersoll Rand, Inc. (c) | 1,973,786 | 111,834,715 | |
| ITT, Inc. | 34,017 | 2,590,735 | |
| Kennametal, Inc. | 4,000 | 99,680 | |
| Microvast Holdings, Inc. (a) | 1,900 | 2,356 | |
| Middleby Corp. (a) | 56,645 | 7,477,140 | |
| Nordson Corp. | 65,311 | 14,233,226 | |
| Oshkosh Corp. | 175,400 | 12,949,782 | |
| Otis Worldwide Corp. | 437,239 | 34,764,873 | |
| PACCAR, Inc. | 641,839 | 44,145,686 | |
| Parker Hannifin Corp. | 174,400 | 55,884,736 | |
| Pentair PLC | 84,700 | 4,698,309 | |
| REV Group, Inc. | 1,500 | 15,210 | |
| Shyft Group, Inc. (The) | 4,100 | 96,391 | |
| Snap-On, Inc. | 54,660 | 13,602,688 | |
| Stanley Black & Decker, Inc. (c) | 457,286 | 34,282,731 | |
| Timken Co. | 258,106 | 18,467,484 | |
| Titan International, Inc. (a) | 1,600 | 15,824 | |
| Trinity Industries, Inc. | 400 | 8,460 | |
| Wabash National Corp. | 21,810 | 511,445 | |
| Watts Water Technologies, Inc. Class A | 400 | 63,380 | |
| Westinghouse Air Brake Tech Co. | 169,903 | 15,738,115 | |
| Xylem, Inc. (c) | 228,516 | 22,897,303 | |
| 790,296,372 | |||
| Marine Transportation - 0.0% | |||
| Matson, Inc. | 100 | 6,833 | |
| Passenger Airlines - 0.1% | |||
| Alaska Air Group, Inc. (a) | 164,700 | 7,399,971 | |
| American Airlines Group, Inc. (a) | 126,926 | 1,875,966 | |
| Delta Air Lines, Inc. (a) | 520,590 | 18,913,035 | |
| JetBlue Airways Corp. (a) | 600 | 4,098 | |
| Southwest Airlines Co. | 731,874 | 21,861,076 | |
| United Airlines Holdings, Inc. (a) | 363,203 | 17,239,430 | |
| 67,293,576 | |||
| Professional Services - 0.4% | |||
| ASGN, Inc. (a) | 488 | 31,930 | |
| Asure Software, Inc. (a) | 503 | 5,940 | |
| Automatic Data Processing, Inc. | 123,176 | 25,742,552 | |
| Broadridge Financial Solutions, Inc. | 107,229 | 15,732,639 | |
| CACI International, Inc. Class A (a) | 6,000 | 1,795,320 | |
| Ceridian HCM Holding, Inc. (a) | 169,753 | 10,499,223 | |
| Conduent, Inc. (a) | 15,600 | 47,268 | |
| CoStar Group, Inc. (a) | 535,961 | 42,555,303 | |
| CSG Systems International, Inc. | 161,200 | 7,734,376 | |
| Dun & Bradstreet Holdings, Inc. | 150,223 | 1,502,230 | |
| Equifax, Inc. | 19,873 | 4,145,905 | |
| Franklin Covey Co. (a) | 1,300 | 47,996 | |
| HireRight Holdings Corp. (a) | 765 | 7,826 | |
| Jacobs Solutions, Inc. | 5,900 | 646,640 | |
| KBR, Inc. | 675 | 39,839 | |
| LegalZoom.com, Inc. (a) | 24,600 | 275,274 | |
| Leidos Holdings, Inc. | 112,559 | 8,786,356 | |
| Manpower, Inc. | 83,100 | 5,831,127 | |
| Paychex, Inc. | 272,187 | 28,560,582 | |
| Paycom Software, Inc. | 1,700 | 476,221 | |
| Paycor HCM, Inc. (a) | 749 | 16,471 | |
| Resources Connection, Inc. | 457 | 6,983 | |
| Robert Half International, Inc. | 153,520 | 9,981,870 | |
| Science Applications International Corp. | 400 | 38,932 | |
| SS&C Technologies Holdings, Inc. | 144,243 | 7,927,595 | |
| Upwork, Inc. (a) | 40,300 | 330,460 | |
| Verisk Analytics, Inc. | 21,500 | 4,710,865 | |
| Verra Mobility Corp. (a) | 46,900 | 826,847 | |
| 178,304,570 | |||
| Trading Companies & Distributors - 0.1% | |||
| Air Lease Corp. Class A | 2,302 | 87,522 | |
| Beacon Roofing Supply, Inc. (a) | 1,107 | 70,782 | |
| Fastenal Co. | 69,300 | 3,731,805 | |
| MRC Global, Inc. (a) | 3,100 | 26,939 | |
| Rush Enterprises, Inc. Class A | 2,154 | 112,590 | |
| United Rentals, Inc. | 74,196 | 24,765,883 | |
| Univar Solutions, Inc. (a) | 700 | 24,934 | |
| W.W. Grainger, Inc. | 9,836 | 6,383,761 | |
| Watsco, Inc. (c) | 2,600 | 843,362 | |
| WESCO International, Inc. | 5,100 | 700,638 | |
| 36,748,216 | |||
TOTAL INDUSTRIALS | 3,849,159,698 | ||
| INFORMATION TECHNOLOGY - 22.8% | |||
| Communications Equipment - 0.5% | |||
| ADTRAN Holdings, Inc. | 1,830 | 16,305 | |
| Arista Networks, Inc. (a) | 204,889 | 34,081,236 | |
| Calix, Inc. (a) | 900 | 41,949 | |
| Cisco Systems, Inc. | 3,824,960 | 189,985,763 | |
| CommScope Holding Co., Inc. (a) | 18,000 | 74,880 | |
| Extreme Networks, Inc. (a) | 2,600 | 53,560 | |
| F5, Inc. (a) | 981 | 144,776 | |
| Infinera Corp. (a)(c) | 85,300 | 417,970 | |
| Juniper Networks, Inc. | 18,800 | 570,956 | |
| Motorola Solutions, Inc. | 146,629 | 41,337,648 | |
| NETGEAR, Inc. (a) | 300 | 4,209 | |
| NetScout Systems, Inc. (a) | 14,400 | 439,488 | |
| Ubiquiti, Inc. | 500 | 81,575 | |
| Viavi Solutions, Inc. (a) | 8,492 | 83,561 | |
| 267,333,876 | |||
| Electronic Equipment, Instruments & Components - 0.4% | |||
| Amphenol Corp. Class A | 515,166 | 38,869,275 | |
| Arlo Technologies, Inc. (a) | 38,186 | 369,259 | |
| Arrow Electronics, Inc. (a) | 167,600 | 21,224,864 | |
| Avnet, Inc. | 169,000 | 7,408,960 | |
| Badger Meter, Inc. | 100 | 13,787 | |
| CDW Corp. | 16,203 | 2,781,893 | |
| Corning, Inc. | 320,227 | 9,866,194 | |
| FARO Technologies, Inc. (a) | 500 | 7,545 | |
| Flex Ltd. (a) | 447,200 | 11,354,408 | |
| Identiv, Inc. (a) | 516 | 3,751 | |
| Jabil, Inc. | 152,015 | 13,608,383 | |
| Keysight Technologies, Inc. (a) | 338,037 | 54,694,387 | |
| Sanmina Corp. (a) | 399 | 21,163 | |
| TD SYNNEX Corp. | 100,570 | 8,988,947 | |
| TE Connectivity Ltd. | 14,100 | 1,726,968 | |
| Teledyne Technologies, Inc. (a) | 65,376 | 25,408,382 | |
| Trimble, Inc. (a) | 343,420 | 16,027,411 | |
| TTM Technologies, Inc. (a) | 29,300 | 401,410 | |
| Vishay Intertechnology, Inc. | 563,400 | 14,524,452 | |
| 227,301,439 | |||
| IT Services - 0.8% | |||
| Accenture PLC Class A | 569,726 | 174,290,578 | |
| Akamai Technologies, Inc. (a) | 1,900 | 175,028 | |
| Amdocs Ltd. | 139,100 | 13,099,047 | |
| Brightcove, Inc. (a) | 4,700 | 19,646 | |
| Capgemini SA | 20,500 | 3,567,347 | |
| Cognizant Technology Solutions Corp. Class A | 279,293 | 17,453,020 | |
| DXC Technology Co. (a) | 325,684 | 8,151,871 | |
| EPAM Systems, Inc. (a) | 20,700 | 5,312,034 | |
| Gartner, Inc. (a) | 31,408 | 10,768,547 | |
| GoDaddy, Inc. (a) | 117,151 | 8,596,540 | |
| Grid Dynamics Holdings, Inc. (a) | 24,000 | 230,400 | |
| IBM Corp. | 585,636 | 75,306,933 | |
| Kyndryl Holdings, Inc. (a) | 109,026 | 1,369,367 | |
| MongoDB, Inc. Class A (a)(c) | 39,500 | 11,604,705 | |
| Okta, Inc. (a) | 12,162 | 1,105,526 | |
| PFSweb, Inc. (a) | 100 | 432 | |
| Rackspace Technology, Inc. (a)(c) | 15,000 | 23,400 | |
| Shopify, Inc. Class A (a) | 426,636 | 24,399,313 | |
| Snowflake, Inc. (a) | 73,902 | 12,220,435 | |
| Squarespace, Inc. Class A (a) | 3,229 | 94,900 | |
| Twilio, Inc. Class A (a) | 61,200 | 4,260,744 | |
| Unisys Corp. (a) | 8,400 | 33,012 | |
| VeriSign, Inc. (a) | 114,514 | 25,573,266 | |
| Wix.com Ltd. (a) | 34,500 | 2,629,590 | |
| 400,285,681 | |||
| Semiconductors & Semiconductor Equipment - 6.0% | |||
| Advanced Micro Devices, Inc. (a) | 2,183,158 | 258,071,107 | |
| Allegro MicroSystems LLC (a) | 1,200 | 47,196 | |
| Amkor Technology, Inc. | 200 | 4,956 | |
| Analog Devices, Inc. | 163,657 | 29,080,212 | |
| Applied Materials, Inc. | 583,500 | 77,780,550 | |
| ASML Holding NV: | |||
| (depository receipt) | 46,172 | 33,379,124 | |
| (Netherlands) | 8,700 | 6,292,941 | |
| Axcelis Technologies, Inc. (a) | 800 | 126,040 | |
| AXT, Inc. (a) | 1,652 | 5,633 | |
| Broadcom, Inc. | 350,733 | 283,378,235 | |
| Enphase Energy, Inc. (a) | 92,244 | 16,039,387 | |
| Entegris, Inc. | 368,550 | 38,789,888 | |
| First Solar, Inc. (a) | 29,923 | 6,073,172 | |
| FormFactor, Inc. (a) | 100 | 3,129 | |
| Impinj, Inc. (a) | 4,000 | 409,360 | |
| indie Semiconductor, Inc. (a)(c) | 2,600 | 24,700 | |
| Intel Corp. | 766,600 | 24,101,904 | |
| KLA Corp. | 228,637 | 101,283,905 | |
| Kopin Corp. (a) | 15,103 | 32,774 | |
| Lam Research Corp. | 191,614 | 118,168,354 | |
| Lattice Semiconductor Corp. (a) | 191,400 | 15,562,734 | |
| MACOM Technology Solutions Holdings, Inc. (a) | 2,035 | 121,754 | |
| Marvell Technology, Inc. | 1,205,629 | 70,517,240 | |
| MaxLinear, Inc. Class A (a) | 7,000 | 204,470 | |
| MediaTek, Inc. | 77,000 | 1,902,565 | |
| Microchip Technology, Inc. | 803,771 | 60,491,805 | |
| Micron Technology, Inc. | 695,490 | 47,432,418 | |
| Monolithic Power Systems, Inc. | 88,902 | 43,553,979 | |
| NVIDIA Corp. | 3,040,052 | 1,150,173,274 | |
| NXP Semiconductors NV | 1,043,398 | 186,872,582 | |
| onsemi (a) | 798,895 | 66,787,622 | |
| PDF Solutions, Inc. (a) | 2,400 | 101,400 | |
| Photronics, Inc. (a) | 8,216 | 174,426 | |
| Pixelworks, Inc. (a) | 100 | 177 | |
| Qorvo, Inc. (a) | 152,278 | 14,810,558 | |
| Qualcomm, Inc. | 924,139 | 104,806,604 | |
| Renesas Electronics Corp. (a) | 365,300 | 5,912,454 | |
| Semtech Corp. (a) | 3,900 | 84,786 | |
| Silergy Corp. | 81,000 | 1,056,075 | |
| Silicon Laboratories, Inc. (a) | 1,700 | 239,139 | |
| SiTime Corp. (a) | 872 | 86,476 | |
| Skyworks Solutions, Inc. | 117,273 | 12,138,928 | |
| SolarEdge Technologies, Inc. (a) | 51,683 | 14,720,869 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 617,000 | 11,169,816 | |
| Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 692,171 | 68,241,139 | |
| Teradyne, Inc. | 757,943 | 75,938,309 | |
| Texas Instruments, Inc. | 375,014 | 65,207,434 | |
| 3,011,401,600 | |||
| Software - 9.4% | |||
| 8x8, Inc. (a)(c) | 3,500 | 14,280 | |
| A10 Networks, Inc. | 1,345 | 20,027 | |
| ACI Worldwide, Inc. (a) | 3,152 | 71,897 | |
| Adeia, Inc. | 1,032 | 10,124 | |
| Adobe, Inc. (a) | 825,992 | 345,091,198 | |
| Alteryx, Inc. Class A (a) | 4,833 | 188,197 | |
| Amplitude, Inc. (a) | 2,200 | 21,428 | |
| ANSYS, Inc. (a) | 99,237 | 32,112,101 | |
| Appian Corp. Class A (a)(c) | 10,400 | 445,432 | |
| Arteris, Inc. (a) | 800 | 5,568 | |
| Asana, Inc. (a) | 17,600 | 420,288 | |
| Autodesk, Inc. (a) | 412,952 | 82,338,499 | |
| Blackbaud, Inc. (a) | 295 | 21,641 | |
| Box, Inc. Class A (a) | 30,416 | 856,819 | |
| Cadence Design Systems, Inc. (a) | 367,319 | 84,817,630 | |
| CCC Intelligent Solutions Holdings, Inc. (a)(e) | 35,655 | 390,066 | |
| Cerence, Inc. (a) | 6,904 | 196,902 | |
| Clear Secure, Inc. (c) | 7,000 | 172,970 | |
| Consensus Cloud Solutions, Inc. (a)(c) | 54,833 | 1,998,663 | |
| CS Disco, Inc. (a) | 190 | 1,571 | |
| Cvent Holding Corp. (a)(e) | 88,079 | 747,791 | |
| Descartes Systems Group, Inc. (a) | 142,655 | 11,031,511 | |
| Digital Turbine, Inc. (a) | 40,400 | 369,256 | |
| DocuSign, Inc. (a) | 476,800 | 26,891,520 | |
| Domo, Inc. Class B (a) | 4,000 | 53,800 | |
| Dropbox, Inc. Class A (a) | 271,600 | 6,252,232 | |
| Dynatrace, Inc. (a)(c) | 31,300 | 1,595,987 | |
| Ebix, Inc. | 12,300 | 245,016 | |
| eGain Communications Corp. (a) | 410 | 2,973 | |
| Elastic NV (a) | 42,600 | 3,102,132 | |
| EngageSmart, Inc. (a) | 200 | 3,796 | |
| Envestnet, Inc. (a) | 100 | 5,233 | |
| Everbridge, Inc. (a) | 2,504 | 60,146 | |
| Expensify, Inc. (a) | 4,900 | 33,908 | |
| Fair Isaac Corp. (a) | 10,829 | 8,529,678 | |
| Five9, Inc. (a) | 59,400 | 3,926,934 | |
| Fortinet, Inc. (a) | 873,638 | 59,695,685 | |
| Freshworks, Inc. (a) | 4,200 | 66,192 | |
| Gen Digital, Inc. | 1,386,172 | 24,313,457 | |
| GitLab, Inc. (a)(c) | 6,900 | 255,024 | |
| HubSpot, Inc. (a) | 27,216 | 14,097,616 | |
| Instructure Holdings, Inc. (a) | 133 | 3,266 | |
| InterDigital, Inc. | 7,800 | 647,712 | |
| Intuit, Inc. | 537,336 | 225,208,264 | |
| LivePerson, Inc. (a) | 8,800 | 32,384 | |
| Liveramp Holdings, Inc. (a) | 8,403 | 204,529 | |
| Microsoft Corp. | 9,210,191 | 3,024,534,608 | |
| Model N, Inc. (a) | 2,700 | 86,184 | |
| NCR Corp. (a) | 219,300 | 5,197,410 | |
| New Relic, Inc. (a) | 1,832 | 129,064 | |
| Nutanix, Inc. Class A (a) | 24,200 | 716,804 | |
| ON24, Inc. | 2,029 | 16,212 | |
| Oracle Corp. | 1,232,091 | 130,527,721 | |
| Palantir Technologies, Inc. (a) | 110,900 | 1,631,339 | |
| Palo Alto Networks, Inc. (a) | 54,988 | 11,733,889 | |
| PROS Holdings, Inc. (a) | 100 | 3,032 | |
| Q2 Holdings, Inc. (a) | 11,200 | 326,144 | |
| Qualys, Inc. (a) | 600 | 75,756 | |
| Rapid7, Inc. (a) | 2,800 | 133,616 | |
| Roper Technologies, Inc. | 189,125 | 85,904,358 | |
| Salesforce, Inc. (a) | 1,393,119 | 311,194,922 | |
| SecureWorks Corp. (a) | 1,241 | 10,015 | |
| ServiceNow, Inc. (a) | 96,980 | 52,832,764 | |
| Splunk, Inc. (a) | 700 | 69,503 | |
| Sprinklr, Inc. (a) | 396 | 5,267 | |
| Sprout Social, Inc. (a) | 2 | 87 | |
| Synopsys, Inc. (a) | 247,243 | 112,485,675 | |
| Tenable Holdings, Inc. (a) | 10,400 | 426,296 | |
| Teradata Corp. (a) | 18,200 | 852,852 | |
| Upland Software, Inc. (a) | 22,700 | 63,787 | |
| Varonis Systems, Inc. (a) | 29,000 | 762,120 | |
| VMware, Inc. Class A (a) | 77,500 | 10,562,475 | |
| Workday, Inc. Class A (a) | 129,994 | 27,557,428 | |
| Workiva, Inc. (a) | 104 | 10,073 | |
| Xperi, Inc. (a) | 1,200 | 14,196 | |
| Yext, Inc. (a) | 11,000 | 101,090 | |
| Zeta Global Holdings Corp. (a) | 10,036 | 90,525 | |
| Zoom Video Communications, Inc. Class A (a) | 48,478 | 3,254,328 | |
| Zscaler, Inc. (a) | 28,800 | 3,901,824 | |
| Zuora, Inc. (a) | 14,439 | 155,797 | |
| 4,721,938,504 | |||
| Technology Hardware, Storage & Peripherals - 5.7% | |||
| Apple, Inc. | 14,880,333 | 2,637,539,024 | |
| Avid Technology, Inc. (a) | 500 | 12,000 | |
| Dell Technologies, Inc. | 485,300 | 21,746,293 | |
| Hewlett Packard Enterprise Co. | 2,338,456 | 33,720,536 | |
| HP, Inc. | 1,528,237 | 44,410,567 | |
| Immersion Corp. | 8,500 | 60,180 | |
| NetApp, Inc. | 108,700 | 7,212,245 | |
| Pure Storage, Inc. Class A (a) | 979,164 | 28,190,132 | |
| Samsung Electronics Co. Ltd. | 13,150 | 709,927 | |
| Seagate Technology Holdings PLC | 933,978 | 56,132,078 | |
| Western Digital Corp. (a) | 376,854 | 14,595,555 | |
| Xerox Holdings Corp. | 386,650 | 5,440,166 | |
| 2,849,768,703 | |||
TOTAL INFORMATION TECHNOLOGY | 11,478,029,803 | ||
| MATERIALS - 2.2% | |||
| Chemicals - 1.4% | |||
| Air Products & Chemicals, Inc. | 79,897 | 21,503,479 | |
| Albemarle Corp. | 2,343 | 453,441 | |
| Alto Ingredients, Inc. (a) | 30,200 | 60,702 | |
| American Vanguard Corp. | 400 | 6,824 | |
| Ashland, Inc. | 700 | 59,416 | |
| Axalta Coating Systems Ltd. (a) | 196,905 | 5,712,214 | |
| Cabot Corp. | 19,337 | 1,324,198 | |
| Celanese Corp. Class A | 107,440 | 11,175,909 | |
| CF Industries Holdings, Inc. | 349,761 | 21,513,799 | |
| Chemtrade Logistics Income Fund | 129,253 | 783,611 | |
| Corteva, Inc. | 728,802 | 38,983,619 | |
| Dow, Inc. | 1,282,487 | 62,559,716 | |
| DuPont de Nemours, Inc. | 72,745 | 4,887,737 | |
| Eastman Chemical Co. | 156,100 | 12,033,749 | |
| Ecolab, Inc. | 118,000 | 19,475,900 | |
| Element Solutions, Inc. | 4,800 | 86,064 | |
| FMC Corp. | 377,245 | 39,263,660 | |
| Huntsman Corp. | 702,900 | 16,693,875 | |
| Ingevity Corp. (a) | 112,800 | 5,323,032 | |
| Intrepid Potash, Inc. (a) | 16,176 | 284,374 | |
| Linde PLC | 782,919 | 276,887,134 | |
| Livent Corp. (a)(c) | 8,300 | 191,315 | |
| LSB Industries, Inc. (a) | 47,111 | 438,132 | |
| LyondellBasell Industries NV Class A | 397,001 | 33,959,466 | |
| Mativ, Inc. (c) | 177,700 | 2,676,162 | |
| Nutrien Ltd. | 103,316 | 5,444,753 | |
| Olin Corp. | 278,509 | 13,176,261 | |
| PPG Industries, Inc. | 64,466 | 8,463,741 | |
| RPM International, Inc. | 389,318 | 31,063,683 | |
| Sherwin-Williams Co. | 185,361 | 42,221,529 | |
| The Chemours Co. LLC | 408,498 | 10,821,112 | |
| The Mosaic Co. | 222,640 | 7,115,574 | |
| Tronox Holdings PLC | 116,300 | 1,237,432 | |
| Valhi, Inc. | 200 | 2,486 | |
| Westlake Corp. (c) | 6,684 | 694,802 | |
| 696,578,901 | |||
| Construction Materials - 0.1% | |||
| Eagle Materials, Inc. | 800 | 130,344 | |
| Martin Marietta Materials, Inc. | 112,270 | 44,687,951 | |
| Summit Materials, Inc. | 8,900 | 281,507 | |
| Vulcan Materials Co. | 123,376 | 24,120,008 | |
| 69,219,810 | |||
| Containers & Packaging - 0.4% | |||
| Amcor PLC | 631,200 | 6,084,768 | |
| Aptargroup, Inc. | 12,566 | 1,413,549 | |
| Avery Dennison Corp. | 68,659 | 11,063,025 | |
| Ball Corp. | 1,215,648 | 62,192,552 | |
| Berry Global Group, Inc. | 341,800 | 19,554,378 | |
| Crown Holdings, Inc. | 100,799 | 7,683,908 | |
| Graphic Packaging Holding Co. | 406,900 | 9,724,910 | |
| Greif, Inc. Class A | 20,049 | 1,204,945 | |
| International Paper Co. | 364,858 | 10,741,420 | |
| O-I Glass, Inc. (a) | 154,700 | 3,205,384 | |
| Packaging Corp. of America | 215,392 | 26,715,070 | |
| Ranpak Holdings Corp. (A Shares) (a) | 4,100 | 12,710 | |
| Sealed Air Corp. | 191,791 | 7,259,289 | |
| Silgan Holdings, Inc. | 59,497 | 2,676,770 | |
| Sonoco Products Co. | 31,000 | 1,855,660 | |
| WestRock Co. | 561,189 | 15,718,904 | |
| 187,107,242 | |||
| Metals & Mining - 0.3% | |||
| Arconic Corp. (a) | 5,489 | 158,687 | |
| ATI, Inc. (a) | 8,384 | 289,919 | |
| Century Aluminum Co. (a) | 20,100 | 157,584 | |
| Cleveland-Cliffs, Inc. (a) | 94,600 | 1,313,048 | |
| Coeur d'Alene Mines Corp. (a) | 10,200 | 30,600 | |
| Compass Minerals International, Inc. | 700 | 22,211 | |
| First Quantum Minerals Ltd. | 152,674 | 3,198,562 | |
| Franco-Nevada Corp. | 12,800 | 1,860,172 | |
| Freeport-McMoRan, Inc. | 830,741 | 28,527,646 | |
| Gatos Silver, Inc. (a) | 1,000 | 4,500 | |
| Glencore PLC | 1,491,222 | 7,626,338 | |
| Hecla Mining Co. | 25,200 | 134,316 | |
| Horizonte Minerals PLC (a) | 99,821 | 167,633 | |
| Ivanhoe Mines Ltd. (a) | 67,400 | 493,522 | |
| Major Drilling Group International, Inc. (a) | 51,311 | 345,097 | |
| Newmont Corp. | 300,700 | 12,193,385 | |
| Nucor Corp. | 252,898 | 33,397,710 | |
| Reliance Steel & Aluminum Co. | 102,197 | 23,983,592 | |
| Southern Copper Corp. | 7,900 | 527,483 | |
| Steel Dynamics, Inc. | 250,659 | 23,035,562 | |
| SunCoke Energy, Inc. | 4,700 | 31,913 | |
| United States Steel Corp. (c) | 236,700 | 4,951,764 | |
| Warrior Metropolitan Coal, Inc. | 2,500 | 81,950 | |
| 142,533,194 | |||
| Paper & Forest Products - 0.0% | |||
| Clearwater Paper Corp. (a) | 306 | 9,299 | |
| Louisiana-Pacific Corp. | 400 | 23,408 | |
| Sylvamo Corp. | 28,197 | 1,111,526 | |
| West Fraser Timber Co. Ltd. | 127,949 | 8,626,322 | |
| 9,770,555 | |||
TOTAL MATERIALS | 1,105,209,702 | ||
| REAL ESTATE - 1.8% | |||
| Equity Real Estate Investment Trusts (REITs) - 1.7% | |||
| Acadia Realty Trust (SBI) | 100 | 1,287 | |
| Agree Realty Corp. | 3,100 | 199,919 | |
| Alexandria Real Estate Equities, Inc. | 1,800 | 204,228 | |
| American Assets Trust, Inc. | 1,000 | 19,050 | |
| American Homes 4 Rent Class A (c) | 464,704 | 15,930,053 | |
| American Tower Corp. | 429,874 | 79,285,961 | |
| Apartment Investment & Management Co. Class A | 7,800 | 63,258 | |
| Apple Hospitality (REIT), Inc. | 299,614 | 4,353,391 | |
| AvalonBay Communities, Inc. | 86,806 | 15,102,508 | |
| Boston Properties, Inc. | 102,653 | 4,996,122 | |
| Brandywine Realty Trust (SBI) | 767,000 | 2,991,300 | |
| Brixmor Property Group, Inc. | 368,080 | 7,372,642 | |
| Camden Property Trust (SBI) | 10,700 | 1,117,829 | |
| Chatham Lodging Trust | 1,843 | 17,306 | |
| City Office REIT, Inc. | 1,873 | 8,485 | |
| Corporate Office Properties Trust (SBI) | 53,000 | 1,209,460 | |
| Crown Castle International Corp. | 250,700 | 28,381,747 | |
| CubeSmart | 17,103 | 760,057 | |
| Digital Realty Trust, Inc. | 79,400 | 8,135,324 | |
| EastGroup Properties, Inc. | 19,720 | 3,246,109 | |
| Elme Communities (SBI) | 100 | 1,511 | |
| EPR Properties | 1,400 | 58,394 | |
| Equinix, Inc. | 52,478 | 39,124,973 | |
| Equity Lifestyle Properties, Inc. | 368,931 | 23,305,371 | |
| Equity Residential (SBI) | 8,896 | 540,877 | |
| Essential Properties Realty Trust, Inc. | 700 | 16,751 | |
| Essex Property Trust, Inc. | 77,066 | 16,650,880 | |
| Extra Space Storage, Inc. | 82,440 | 11,893,619 | |
| Farmland Partners, Inc. (c) | 2,000 | 22,700 | |
| Federal Realty Investment Trust (SBI) | 68,905 | 6,077,421 | |
| Franklin Street Properties Corp. | 10,200 | 14,688 | |
| Healthcare Trust of America, Inc. | 100 | 1,861 | |
| Healthpeak Properties, Inc. | 706,256 | 14,096,870 | |
| Hersha Hospitality Trust | 13,000 | 75,270 | |
| Host Hotels & Resorts, Inc. | 557,513 | 9,254,716 | |
| Hudson Pacific Properties, Inc. | 7,600 | 35,492 | |
| Industrial Logistics Properties Trust | 42,500 | 76,925 | |
| Invitation Homes, Inc. | 109,200 | 3,699,696 | |
| Iron Mountain, Inc. | 29,000 | 1,549,180 | |
| Kimco Realty Corp. | 587,365 | 10,795,769 | |
| Lamar Advertising Co. Class A | 70,603 | 6,345,798 | |
| Life Storage, Inc. | 1,100 | 140,129 | |
| Mid-America Apartment Communities, Inc. | 130,067 | 19,127,653 | |
| National Retail Properties, Inc. | 1,600 | 68,064 | |
| National Storage Affiliates Trust | 3,220 | 117,884 | |
| Omega Healthcare Investors, Inc. | 231,400 | 6,898,034 | |
| Paramount Group, Inc. | 715,000 | 3,103,100 | |
| Park Hotels & Resorts, Inc. | 10,200 | 131,988 | |
| Piedmont Office Realty Trust, Inc. Class A | 784,900 | 4,889,927 | |
| Prologis (REIT), Inc. | 1,282,471 | 159,731,763 | |
| Public Storage | 242,253 | 68,630,275 | |
| Rayonier, Inc. | 236,511 | 6,934,503 | |
| Regency Centers Corp. | 1,903 | 107,082 | |
| Retail Opportunity Investments Corp. | 7,500 | 91,500 | |
| Rexford Industrial Realty, Inc. | 282,805 | 15,395,904 | |
| Safehold, Inc. | 1,800 | 46,476 | |
| SBA Communications Corp. Class A | 179,643 | 39,841,225 | |
| Service Properties Trust | 340,500 | 2,795,505 | |
| Simon Property Group, Inc. | 454,656 | 47,807,078 | |
| SITE Centers Corp. | 167,063 | 1,991,391 | |
| Spirit Realty Capital, Inc. | 1,000 | 39,060 | |
| Star Holdings (a) | 290 | 4,495 | |
| Sun Communities, Inc. | 365,424 | 46,273,641 | |
| The Macerich Co. | 7,700 | 74,228 | |
| Uniti Group, Inc. | 1,700 | 6,324 | |
| Ventas, Inc. | 1,285,780 | 55,468,549 | |
| Veris Residential, Inc. (a) | 41,200 | 665,792 | |
| VICI Properties, Inc. | 20,200 | 624,786 | |
| Welltower, Inc. | 540,220 | 40,305,814 | |
| Weyerhaeuser Co. | 581,546 | 16,667,108 | |
| WP Carey, Inc. | 29,400 | 2,039,184 | |
| 857,053,260 | |||
| Real Estate Management & Development - 0.1% | |||
| Anywhere Real Estate, Inc. (a) | 40,600 | 246,442 | |
| CBRE Group, Inc. (a) | 402,400 | 30,147,808 | |
| Douglas Elliman, Inc. | 2,200 | 6,402 | |
| eXp World Holdings, Inc. | 628 | 9,665 | |
| Five Point Holdings LLC Class A (a) | 800 | 1,864 | |
| Jones Lang LaSalle, Inc. (a) | 11,400 | 1,599,876 | |
| Newmark Group, Inc. | 8,800 | 50,336 | |
| The RMR Group, Inc. | 200 | 4,306 | |
| WeWork, Inc. (a) | 68,205 | 11,684 | |
| 32,078,383 | |||
TOTAL REAL ESTATE | 889,131,643 | ||
| UTILITIES - 2.3% | |||
| Electric Utilities - 1.5% | |||
| Alliant Energy Corp. | 101,949 | 5,246,296 | |
| American Electric Power Co., Inc. | 29,800 | 2,476,976 | |
| Constellation Energy Corp. | 90,933 | 7,640,191 | |
| Duke Energy Corp. | 296,200 | 26,447,698 | |
| Edison International | 413,228 | 27,901,155 | |
| Entergy Corp. | 46,583 | 4,574,451 | |
| Evergy, Inc. | 837,113 | 48,426,987 | |
| Eversource Energy | 116,000 | 8,030,680 | |
| Exelon Corp. | 691,335 | 27,411,433 | |
| FirstEnergy Corp. | 801,867 | 29,981,807 | |
| NextEra Energy, Inc. | 2,605,455 | 191,396,724 | |
| NRG Energy, Inc. | 398,900 | 13,478,831 | |
| OGE Energy Corp. | 65,447 | 2,308,970 | |
| PG&E Corp. (a) | 8,610,425 | 145,860,600 | |
| Pinnacle West Capital Corp. | 58,834 | 4,546,692 | |
| PNM Resources, Inc. | 7,700 | 353,584 | |
| PPL Corp. | 2,945,135 | 77,162,537 | |
| Southern Co. | 1,251,156 | 87,268,131 | |
| Xcel Energy, Inc. | 560,944 | 36,624,034 | |
| 747,137,777 | |||
| Gas Utilities - 0.1% | |||
| Atmos Energy Corp. | 288,636 | 33,273,958 | |
| National Fuel Gas Co. | 1,400 | 71,274 | |
| UGI Corp. | 227,200 | 6,354,784 | |
| 39,700,016 | |||
| Independent Power and Renewable Electricity Producers - 0.0% | |||
| Energy Harbor Corp. (a) | 13,600 | 1,052,300 | |
| Montauk Renewables, Inc. (a)(c) | 19,872 | 137,912 | |
| Ormat Technologies, Inc. | 400 | 34,040 | |
| The AES Corp. | 432,114 | 8,529,930 | |
| Vistra Corp. | 533,000 | 12,776,010 | |
| 22,530,192 | |||
| Multi-Utilities - 0.7% | |||
| Ameren Corp. | 284,040 | 23,027,123 | |
| Avista Corp. (c) | 3,400 | 140,590 | |
| CenterPoint Energy, Inc. | 194,484 | 5,486,394 | |
| CMS Energy Corp. | 409,104 | 23,719,850 | |
| Consolidated Edison, Inc. | 336,200 | 31,367,460 | |
| Dominion Energy, Inc. | 2,041,292 | 102,636,162 | |
| DTE Energy Co. | 314,838 | 33,876,569 | |
| NiSource, Inc. | 704,665 | 18,948,442 | |
| Public Service Enterprise Group, Inc. | 898,195 | 53,667,151 | |
| Sempra Energy | 284,063 | 40,771,562 | |
| WEC Energy Group, Inc. | 65,027 | 5,680,108 | |
| 339,321,411 | |||
| Water Utilities - 0.0% | |||
| American Water Works Co., Inc. | 22,994 | 3,321,483 | |
TOTAL UTILITIES | 1,152,010,879 | ||
| TOTAL COMMON STOCKS (Cost $25,900,345,045) | 45,048,510,287 | ||
| U.S. Treasury Obligations - 0.0% | |||
Principal Amount (f) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 4.68% to 4.73% 6/22/23 (g) (Cost $2,816,391) | 2,824,000 | 2,815,597 | |
| Other - 0.0% | |||
| Shares | Value ($) | ||
| Commodity Funds - Broad Basket - 0.0% | |||
Fidelity SAI Inflation-Focused Fund (h) (Cost $11,491,612) | 1,313,459 | 11,387,686 | |
| Money Market Funds - 1.4% | |||
| Shares | Value ($) | ||
| Fidelity Cash Central Fund 5.14% (i) | 29,492,107 | 29,498,005 | |
| Fidelity Securities Lending Cash Central Fund 5.14% (i)(j) | 216,546,753 | 216,568,408 | |
| Invesco Government & Agency Portfolio Institutional Class 5.04% (k) | 462,414,660 | 462,414,660 | |
| TOTAL MONEY MARKET FUNDS (Cost $708,481,073) | 708,481,073 | ||
| Equity Funds - 9.5% | |||
| Shares | Value ($) | ||
| Large Blend Funds - 2.6% | |||
| Fidelity SAI U.S. Large Cap Index Fund (h) | 11,970,695 | 220,500,205 | |
| Fidelity SAI U.S. Low Volatility Index Fund (h) | 14,465,674 | 246,929,048 | |
| iShares S&P 500 Index ETF (l) | 1,449,934 | 608,145,818 | |
| PIMCO StocksPLUS Absolute Return Fund Institutional Class | 23,565,704 | 230,708,246 | |
| SPDR S&P 500 ETF Trust (c) | 26,100 | 10,905,885 | |
TOTAL LARGE BLEND FUNDS | 1,317,189,202 | ||
| Large Growth Funds - 6.9% | |||
| Fidelity Blue Chip Growth Fund (h) | 1,066,997 | 154,959,946 | |
| Fidelity Growth Company Fund (h) | 91,907,455 | 2,611,090,799 | |
| Fidelity SAI U.S. Momentum Index Fund (h) | 487,459 | 6,439,336 | |
| Fidelity SAI U.S. Quality Index Fund (h) | 40,319,719 | 688,660,796 | |
TOTAL LARGE GROWTH FUNDS | 3,461,150,877 | ||
| Mid-Cap Blend Funds - 0.0% | |||
| Fidelity Mid Cap Index Fund (h) | 126,864 | 3,308,603 | |
| TOTAL EQUITY FUNDS (Cost $2,896,348,874) | 4,781,648,682 | ||
| Purchased Options - 0.0% | ||||||
| Counterparty | Number of Contracts | Notional Amount($) | Exercise Price ($) | Expiration Date | Value ($) | |
| Put Options | ||||||
| S&P 500 Index | Chicago Board Options Exchange | 58 | 24,243,014 | 3,660 | 05/31/23 | 145 |
| S&P 500 Index | Chicago Board Options Exchange | 60 | 25,078,980 | 3,710 | 05/31/23 | 150 |
| S&P 500 Index | Chicago Board Options Exchange | 119 | 49,739,977 | 3,750 | 06/07/23 | 11,305 |
| S&P 500 Index | Chicago Board Options Exchange | 58 | 24,243,014 | 3,755 | 05/31/23 | 145 |
| S&P 500 Index | Chicago Board Options Exchange | 64 | 26,750,912 | 3,800 | 06/07/23 | 6,880 |
| S&P 500 Index | Chicago Board Options Exchange | 72 | 30,094,776 | 3,800 | 06/14/23 | 25,920 |
| S&P 500 Index | Chicago Board Options Exchange | 51 | 21,317,133 | 3,750 | 06/14/23 | 15,683 |
| S&P 500 Index | Chicago Board Options Exchange | 44 | 18,391,252 | 3,750 | 06/21/23 | 21,120 |
| 81,348 | ||||||
TOTAL PURCHASED OPTIONS (Cost 308,748) | 81,348 | |||||
| TOTAL INVESTMENT IN SECURITIES - 100.2% (Cost $29,519,791,743) | 50,552,924,673 |
NET OTHER ASSETS (LIABILITIES) - (0.2)% | (121,898,952) |
| NET ASSETS - 100.0% | 50,431,025,721 |
| Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Purchased | |||||
| Equity Index Contracts | |||||
| CME E-mini S&P 500 Index Contracts (United States) | 104 | Jun 2023 | 21,790,600 | 1,537,283 | 1,537,283 |
| The notional amount of futures purchased as a percentage of Net Assets is 0.0% | |||||
| Written Options | ||||||
| Counterparty | Number of Contracts | Notional Amount ($) | Exercise Price ($) | Expiration Date | Value ($) | |
| Put Options | ||||||
| S&P 500 Index | Chicago Board Options Exchange | 58 | 24,243,014 | 3,980.00 | 05/31/23 | (145) |
| S&P 500 Index | Chicago Board Options Exchange | 60 | 25,078,980 | 4,045.00 | 05/31/23 | (150) |
| S&P 500 Index | Chicago Board Options Exchange | 73 | 30,512,759 | 4,030.00 | 06/07/23 | (24,820) |
| S&P 500 Index | Chicago Board Options Exchange | 58 | 24,243,014 | 4,105.00 | 05/31/23 | (145) |
| S&P 500 Index | Chicago Board Options Exchange | 64 | 26,750,912 | 4,095.00 | 06/07/23 | (51,840) |
| S&P 500 Index | Chicago Board Options Exchange | 72 | 30,094,776 | 4,080.00 | 06/14/23 | (136,440) |
| S&P 500 Index | Chicago Board Options Exchange | 46 | 19,227,218 | 4,070.00 | 06/07/23 | (26,220) |
| S&P 500 Index | Chicago Board Options Exchange | 51 | 21,317,133 | 4,060.00 | 06/14/23 | (82,365) |
| S&P 500 Index | Chicago Board Options Exchange | 44 | 18,391,252 | 4,050.00 | 06/21/23 | (93,940) |
| TOTAL WRITTEN OPTIONS | (416,065) | |||||
Security Type Abbreviations
| ETF | - | EXCHANGE-TRADED FUND |
Legend
| (a) | Non-income producing |
| (b) | 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 $4,494,380 or 0.0% of net assets. |
| (c) | Security or a portion of the security is on loan at period end. |
| (d) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
| (e) | Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $4,182,987 or 0.0% of net assets. |
| (f) | Amount is stated in United States dollars unless otherwise noted. |
| (g) | 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 $665,887. |
| (h) | Affiliated Fund |
| (i) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (j) | Investment made with cash collateral received from securities on loan. |
| (k) | The rate quoted is the annualized seven-day yield of the fund at period end. |
| (l) | Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $52,428,750. |
| Additional information on each restricted holding is as follows: | ||
| Security | Acquisition Date | Acquisition Cost ($) |
| CCC Intelligent Solutions Holdings, Inc. | 2/02/21 | 356,550 |
| Cvent Holding Corp. | 7/23/21 | 880,790 |
| Evolent Health, Inc. | 3/28/23 | 3,190,000 |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.14% | 31,252,236 | 362,211,110 | 363,965,341 | 1,327,833 | 385 | (385) | 29,498,005 | 0.1% |
| Fidelity Securities Lending Cash Central Fund 5.14% | 433,242,705 | 2,354,018,844 | 2,570,693,141 | 671,338 | - | - | 216,568,408 | 0.8% |
| Total | 464,494,941 | 2,716,229,954 | 2,934,658,482 | 1,999,171 | 385 | (385) | 246,066,413 | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Blue Chip Growth Fund | 124,857,618 | 130,606,994 | 131,387,446 | 606,993 | (20,909,718) | 51,792,498 | 154,959,946 |
| Fidelity Growth Company Fund | 2,708,289,861 | 154,065,034 | 432,468,900 | 154,065,033 | 54,359,691 | 126,845,113 | 2,611,090,799 |
| Fidelity Mid Cap Index Fund | 3,463,398 | 67,060 | - | 67,060 | - | (221,855) | 3,308,603 |
| Fidelity SAI Inflation-Focused Fund | 15,530,401 | 1,468,909 | - | 1,468,909 | - | (5,611,624) | 11,387,686 |
| Fidelity SAI U.S. Large Cap Index Fund | 1,888,765,124 | 3,949,128,200 | 5,447,438,701 | 52,135,388 | 67,864,992 | (237,819,410) | 220,500,205 |
| Fidelity SAI U.S. Low Volatility Index Fund | 952,249,299 | 392,080,679 | 1,045,691,202 | 37,080,679 | 114,572,285 | (166,282,013) | 246,929,048 |
| Fidelity SAI U.S. Momentum Index Fund | 553,858,080 | 4,050,048 | 557,180,644 | 4,050,048 | (10,902,252) | 16,614,104 | 6,439,336 |
| Fidelity SAI U.S. Quality Index Fund | 1,629,549,515 | 668,549,364 | 1,570,249,915 | 18,549,365 | 199,002,402 | (238,190,570) | 688,660,796 |
| 7,876,563,296 | 5,300,016,288 | 9,184,416,808 | 268,023,475 | 403,987,400 | (452,873,757) | 3,943,276,419 |
Amounts in the dividend 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.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 2023, 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 | 3,958,482,555 | 3,947,511,779 | 10,970,776 | - |
Consumer Discretionary | 4,614,744,337 | 4,614,744,337 | - | - |
Consumer Staples | 2,830,547,317 | 2,830,547,317 | - | - |
Energy | 2,169,254,646 | 2,169,254,646 | - | - |
Financials | 6,435,589,561 | 6,417,926,840 | 17,662,721 | - |
Health Care | 6,566,350,146 | 6,547,643,019 | 18,707,127 | - |
Industrials | 3,849,159,698 | 3,849,159,698 | - | - |
Information Technology | 11,478,029,803 | 11,454,654,592 | 23,375,211 | - |
Materials | 1,105,209,702 | 1,097,583,364 | 7,626,338 | - |
Real Estate | 889,131,643 | 889,131,643 | - | - |
Utilities | 1,152,010,879 | 1,152,010,879 | - | - |
| U.S. Government and Government Agency Obligations | 2,815,597 | - | 2,815,597 | - |
| Other | 11,387,686 | 11,387,686 | - | - |
| Money Market Funds | 708,481,073 | 708,481,073 | - | - |
| Equity Funds | 4,781,648,682 | 4,781,648,682 | - | - |
| Purchased Options | 81,348 | 81,348 | - | - |
| Total Investments in Securities: | 50,552,924,673 | 50,471,766,903 | 81,157,770 | - |
Derivative Instruments: | ||||
| Assets | ||||
Futures Contracts | 1,537,283 | 1,537,283 | - | - |
| Total Assets | 1,537,283 | 1,537,283 | - | - |
| Liabilities | ||||
Written Options | (416,065) | (416,065) | - | - |
| Total Liabilities | (416,065) | (416,065) | - | - |
| Total Derivative Instruments: | 1,121,218 | 1,121,218 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2023. 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) | 1,537,283 | 0 |
Purchased Options (b) | 81,348 | 0 |
Written Options (c) | 0 | (416,065) |
| Total Equity Risk | 1,618,631 | (416,065) |
| Total Value of Derivatives | 1,618,631 | (416,065) |
(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 Investments in Securities at value line-item.
(c)Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
| Statement of Assets and Liabilities | ||||
| May 31, 2023 | ||||
| Assets | ||||
| Investment in securities, at value (including securities loaned of $207,129,201) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $27,149,236,102) | $ | 46,363,581,841 | ||
Fidelity Central Funds (cost $246,066,413) | 246,066,413 | |||
Other affiliated issuers (cost $2,124,489,228) | 3,943,276,419 | |||
| Total Investment in Securities (cost $29,519,791,743) | $ | 50,552,924,673 | ||
| Segregated cash with brokers for derivative instruments | 515,200 | |||
| Cash | 10,521,880 | |||
| Foreign currency held at value (cost $13,041,562) | 13,014,896 | |||
| Receivable for investments sold | 502,713,318 | |||
| Receivable for fund shares sold | 17,203,614 | |||
| Dividends receivable | 75,423,549 | |||
| Interest receivable | 2,100,703 | |||
| Distributions receivable from Fidelity Central Funds | 154,114 | |||
| Prepaid expenses | 131,437 | |||
| Other receivables | 1,263,180 | |||
Total assets | 51,175,966,564 | |||
| Liabilities | ||||
| Payable for investments purchased | ||||
Regular delivery | $ | 496,711,241 | ||
Delayed delivery | 169,142 | |||
| Payable for fund shares redeemed | 22,994,652 | |||
| Accrued management fee | 6,790,388 | |||
| Payable for daily variation margin on futures contracts | 127,208 | |||
| Written options, at value (premium received $1,751,509) | 416,065 | |||
| Other payables and accrued expenses | 1,163,739 | |||
| Collateral on securities loaned | 216,568,408 | |||
| Total Liabilities | 744,940,843 | |||
| Net Assets | $ | 50,431,025,721 | ||
| Net Assets consist of: | ||||
| Paid in capital | $ | 28,473,794,998 | ||
| Total accumulated earnings (loss) | 21,957,230,723 | |||
| Net Assets | $ | 50,431,025,721 | ||
Net Asset Value , offering price and redemption price per share ($50,431,025,721 ÷ 4,756,250,902 shares) | $ | 10.60 | ||
| Statement of Operations | ||||
Year ended May 31, 2023 | ||||
| Investment Income | ||||
| Dividends: | ||||
| Unaffiliated issuers | $ | 758,978,242 | ||
| Affiliated issuers | 51,588,368 | |||
| Interest | 16,578,447 | |||
| Income from Fidelity Central Funds (including $671,338 from security lending) | 1,999,171 | |||
| Total Income | 829,144,228 | |||
| Expenses | ||||
| Management fee | $ | 219,321,332 | ||
| Custodian fees and expenses | 678,728 | |||
| Independent trustees' fees and expenses | 341,817 | |||
| Registration fees | 404,934 | |||
| Audit | 116,313 | |||
| Legal | 119,511 | |||
| Interest | 194,861 | |||
| Miscellaneous | 729,332 | |||
| Total expenses before reductions | 221,906,828 | |||
| Expense reductions | (128,117,879) | |||
| Total expenses after reductions | 93,788,949 | |||
| Net Investment income (loss) | 735,355,279 | |||
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers (net of foreign taxes of $798) | 674,675,635 | |||
| Fidelity Central Funds | 385 | |||
| Other affiliated issuers | 403,987,400 | |||
| Foreign currency transactions | 409,595 | |||
| Futures contracts | (1,639,599) | |||
| Written options | 14,464,402 | |||
| Capital gain distributions from underlying funds: | ||||
| Unaffiliated issuers | 11,432,724 | |||
| Affiliated issuers | 216,435,107 | |||
| Total net realized gain (loss) | 1,319,765,649 | |||
| Change in net unrealized appreciation (depreciation) on: | ||||
| Investment Securities: | ||||
| Unaffiliated issuers(net of increase in deferred foreign taxes of $29,964) | 97,970,358 | |||
| Fidelity Central Funds | (385) | |||
| Other affiliated issuers | (452,873,757) | |||
| Assets and liabilities in foreign currencies | (313,712) | |||
| Futures contracts | 1,683,761 | |||
| Written options | 1,335,444 | |||
| Total change in net unrealized appreciation (depreciation) | (352,198,291) | |||
| Net gain (loss) | 967,567,358 | |||
| Net increase (decrease) in net assets resulting from operations | $ | 1,702,922,637 | ||
| Statement of Changes in Net Assets | ||||
Year ended May 31, 2023 | Year ended May 31, 2022 | |||
| Increase (Decrease) in Net Assets | ||||
| Operations | ||||
| Net investment income (loss) | $ | 735,355,279 | $ | 730,813,501 |
| Net realized gain (loss) | 1,319,765,649 | 3,953,901,921 | ||
| Change in net unrealized appreciation (depreciation) | (352,198,291) | (5,712,579,293) | ||
| Net increase (decrease) in net assets resulting from operations | 1,702,922,637 | (1,027,863,871) | ||
| Distributions to shareholders | (2,678,396,747) | (5,778,945,428) | ||
| Share transactions | ||||
| Proceeds from sales of shares | 6,277,974,197 | 11,581,260,400 | ||
| Reinvestment of distributions | 2,502,220,114 | 5,458,683,843 | ||
| Cost of shares redeemed | (13,121,515,132) | (14,677,157,537) | ||
Net increase (decrease) in net assets resulting from share transactions | (4,341,320,821) | 2,362,786,706 | ||
| Total increase (decrease) in net assets | (5,316,794,931) | (4,444,022,593) | ||
| Net Assets | ||||
| Beginning of period | 55,747,820,652 | 60,191,843,245 | ||
| End of period | $ | 50,431,025,721 | $ | 55,747,820,652 |
| Other Information | ||||
| Shares | ||||
| Sold | 624,289,362 | 990,057,204 | ||
| Issued in reinvestment of distributions | 255,985,371 | 450,858,453 | ||
| Redeemed | (1,290,279,591) | (1,227,604,984) | ||
| Net increase (decrease) | (410,004,858) | 213,310,673 | ||
Financial Highlights
| Strategic Advisers® Large Cap Fund |
| Years ended May 31, | 2023 | 2022 | 2021 A | 2020 A | 2019 A | |||||
Selected Per-Share Data | ||||||||||
| Net asset value, beginning of period | $ | 10.79 | $ | 12.15 | $ | 8.81 | $ | 8.33 | $ | 8.86 |
| Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | .14 | .14 | .14 | .15 | .14 | |||||
| Net realized and unrealized gain (loss) | .20 | (.33) | 3.69 | .88 | .03 | |||||
| Total from investment operations | .34 | (.19) | 3.83 | 1.03 | .17 | |||||
| Distributions from net investment income | (.14) | (.14) | (.15) | (.14) | (.14) | |||||
| Distributions from net realized gain | (.39) | (1.02) | (.34) | (.42) | (.56) | |||||
| Total distributions | (.53) | (1.17) D | (.49) | (.55) D | (.70) | |||||
| Net asset value, end of period | $ | 10.60 | $ | 10.79 | $ | 12.15 | $ | 8.81 | $ | 8.33 |
Total Return E,F | 3.57% | (2.43)% | 44.55% | 12.17% | 2.41% | |||||
Ratios to Average Net Assets C,G,H | ||||||||||
| Expenses before reductions | .43% | .43% | .44% | .45% | .45% | |||||
| Expenses net of fee waivers, if any | .18% | .18% | .19% | .20% | .20% | |||||
| Expenses net of all reductions | .18% | .18% | .19% | .20% | .20% | |||||
| Net investment income (loss) | 1.44% | 1.21% | 1.29% | 1.74% | 1.65% | |||||
| Supplemental Data | ||||||||||
| Net assets, end of period (000 omitted) | $ | 50,431,026 | $ | 55,747,821 | $ | 60,191,843 | $ | 27,026,081 | $ | 24,720,960 |
Portfolio turnover rate I | 67% | 59% | 74% J | 90% | 84% |
A Per share amounts have been adjusted to reflect the impact of the change in capital structure associated with the merger that occurred on November 20, 2020. All financial information prior to the merger is that of the predecessor fund, Strategic Advisers Core Fund.
B Calculated based on average shares outstanding during the period.
C Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
D Total distributions per share do not sum due to rounding.
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 mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
I Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
J The portfolio turnover rate does not include the assets acquired in the merger.
For the period ended May 31, 2023
1. Organization.
Strategic Advisers Large Cap 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 managed account clients of Strategic Advisers LLC (Strategic Advisers), an affiliate of Fidelity Management & Research Company LLC (FMR).
2. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment 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 Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. 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 designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The 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 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value 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 service 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, 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 services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. ETFs are valued at their last sale price or official closing price as reported by a third party pricing service 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. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of May 31, 2023 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds 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. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. 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 any underlying mutual funds or exchange-traded funds (ETFs) 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. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
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. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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) for certain Funds, certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.
| Strategic Advisers Large Cap Fund | $614,893 |
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of May 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. The Fund is subject to a tax imposed on capital gains by certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds, futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), options contracts, partnerships and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $21,860,379,269 |
| Gross unrealized depreciation | (1,317,485,237) |
| Net unrealized appreciation (depreciation) | $20,542,894,032 |
| Tax Cost | $30,010,258,041 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $280,605,187 |
| Undistributed long-term capital gain | $1,133,556,738 |
| Net unrealized appreciation (depreciation) on securities and other investments | $20,543,098,762 |
The tax character of distributions paid was as follows:
| May 31, 2023 | May 31, 2022 | |
| Ordinary Income | $714,021,192 | $ 1,674,629,449 |
| Long-term Capital Gains | 1,964,375,555 | 4,104,315,979 |
| Total | $2,678,396,747 | $ 5,778,945,428 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds 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. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). Funds 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 held at period end is included at the end of the Schedule of Investments, if applicable.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, 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.
Derivatives were used 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 objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a 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 a fund.
Counterparty credit risk related to exchange-traded 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.
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, 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) |
| Strategic Advisers Large Cap Fund | ||
| Equity Risk | ||
| Futures Contracts | $(1,639,599) | $1,683,761 |
| Purchased Options | (5,233,869) | (227,400) |
| Written Options | 14,464,402 | 1,335,444 |
| Total Equity Risk | $7,590,934 | $2,791,805 |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure 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. Futures contracts were used to manage 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 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 unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
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. Exchange-traded options were used to manage exposure to the market.
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 in total accumulated earnings (loss) in 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, a gain or loss is realized 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 unless an average notional amount is presented.
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.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Strategic Advisers Large Cap Fund | 34,254,634,987 | 40,369,986,968 |
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 to the aggregate of the fee rates, payable monthly by the investment adviser, to the Fund's sub-advisers. The Fund's maximum aggregate management fee will not exceed .65% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .43% 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. AllianceBernstein, L.P. (AB), Aristotle Capital Management, LLC, Brandywine Global Investment Management, LLC, ClariVest Asset Management LLC, ClearBridge Investments, LLC (managed a portion of the Fund's assets through November 28, 2022), D.E. Shaw Investment Management, FIAM LLC (an affiliate of the investment adviser), J.P. Morgan Investment Management, Inc., Loomis Sayles & Company, L.P., LSV Asset Management, Neuberger Berman Investment Management, LLC, PineBridge Investments LLC, Principal Global Investors, LLC, T. Rowe Price Associates, Inc., and Wellington Management Company LLP 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 as described in the Management Fee note.
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.
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 Large Cap Fund | $42,764 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
| Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
| Strategic Advisers Large Cap Fund | 133,468,598 | 93,734,016 | (14,996,481) |
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
| Amount ($) | |
| Strategic Advisers Large Cap Fund | 10,597 |
6. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing 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 the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| Amount | |
| Strategic Advisers Large Cap Fund | $97,040 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a 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 a fund and any additional required collateral is delivered to a fund on the next business day. A 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, a fund may apply collateral received from the borrower against the obligation. A 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. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the 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. Affiliated security lending activity, if any, was as follows:
| Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
| Strategic Advisers Large Cap Fund | $68,584 | $- | $- |
9. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
| Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
| Strategic Advisers Large Cap Fund | $100,795,650 | 3.48% | $194,861 |
10. 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, 2025. During the period, this waiver reduced the Fund's management fee by $ 128,076,977.
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 $40,902.
11. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
12. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Large Cap Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Large Cap Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of May 31, 2023, the related statement of operations for the year ended May 31, 2023, the statement of changes in net assets for each of the two years in the period ended May 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2023 and the financial highlights for each of the five years in the period ended May 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2023 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
July 13, 2023
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
TRUSTEES AND OFFICERS
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. If the interests of the fund and an underlying Fidelity ® fund were to diverge, a conflict of interest could arise and affect how the Trustees and Members of the Advisory Board fulfill their fiduciary duties to the affected funds. Strategic Advisers has structured the fund to avoid these potential conflicts, although there may be situations where a conflict of interest is unavoidable. In such instances, Strategic Advisers, the Trustees, and Members of the Advisory Board would take reasonable steps to minimize and, if possible, eliminate the conflict. Each of the Trustees oversees 14 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee may also engage professional search firms to help identify potential Independent Trustee candidates with experience, qualifications, attributes, and skills consistent with the Statement of Policy. Additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, may be considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Kathleen Murphy is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Mary C. Farrell serves as the lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees asset allocation funds. Other Boards oversee Fidelity's alternative investment, investment-grade bond, money market, and asset allocation funds, and Fidelity's equity and high income funds. The fund may invest in Fidelity®; funds overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues.
The Trustees primarily operate as a full Board, but also operate in committees, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged Strategic Advisers and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through Strategic Advisers, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit and Compliance Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Charles S. Morrison (1960)
Year of Election or Appointment: 2020
Trustee
Mr. Morrison also serves as Trustee of other funds. Previously, Mr. Morrison served as President (2017-2018) and Director (2014-2018) of Fidelity SelectCo, LLC (investment adviser firm), President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-2018), a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-2018), President, Asset Management (2014-2018), Trustee of the Fidelity Equity and High Income Funds (283 funds as of December 2018) (2014-2018), and was an employee of Fidelity Investments. Mr. Morrison also previously served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.
Kathleen Murphy (1963)
Year of Election or Appointment: 2022
Trustee
Chair of the Board of Trustees
Ms. Murphy also serves as Trustee of other funds. Ms. Murphy serves as a Senior Adviser to the Chief Executive Officer of Fidelity Investments (2022-present), member of the Board of Directors of Snyk Technologies (cybersecurity technology, 2022-present), member of the Advisory Board of FliptRX (pharmacy benefits manager, 2022-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2009-present)), and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2009-present). Previously, Ms. Murphy served as President of Personal Investing at Fidelity Investments (2009-2021), Chief Executive Officer of ING U.S. Wealth Management (2003-2008), and Deputy General Counsel, General Counsel and Chief Compliance Officer (1997-2003) of Aetna. Ms. Murphy also serves as Vice Chairman of the Board of Directors of the National Football Foundation (2013-present).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with Strategic Advisers.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Peter C. Aldrich (1944)
Year of Election or Appointment: 2006
Trustee
Mr. Aldrich also serves as Trustee of other funds. Mr. Aldrich is an independent Director of BLPF GP LLC (general partner of a private fund, 2006-present) and BlackRock US Core Property Fund, Inc. (real estate investment trust, 2006-present). Previously, Mr. Aldrich served as a Managing Member of Poseidon, LLC (foreign private investment, 1998-2004), and Chairman and Managing Member of AEGIS, LLC (foreign private investment, 1997-2004). Mr. Aldrich previously was a founder, Chief Executive Officer, and Chairman of AEW Capital Management, L.P. (then, Aldrich, Eastman and Waltch, L.P.). Mr. Aldrich also served as a Director of LivelyHood, Inc. (private corporation, 2013-2020), a Trustee for the Fidelity Rutland Square Trust (2005-2010), a Director of Zipcar, Inc. (car sharing services, 2001-2009) and as Faculty Chairman of The Research Council on Global Investment of The Conference Board (business and professional education non-profit, 1999-2004). Mr. Aldrich is a Member Emeritus of the Board of Directors of the National Bureau of Economic Research and the Board of Trustees of the Museum of Fine Arts Boston.
Mary C. Farrell (1949)
Year of Election or Appointment: 2013
Trustee
Ms. Farrell also serves as Trustee of other funds. Ms. Farrell is a Director of the W.R. Berkley Corporation (insurance provider) and Director (2006-present) and Chair (2021-present) of the Howard Gilman Foundation (charitable organization). Previously, Ms. Farrell was Managing Director and Chief Investment Strategist at UBS Wealth Management USA and Co-Head of UBS Wealth Management Investment Strategy & Research Group (2003-2005) and President (2009-2021) of the Howard Gilman Foundation (charitable organization). Ms. Farrell also served as Investment Strategist at PaineWebber (1982-2000) and UBS PaineWebber (2000-2002). Ms. Farrell serves as Chairman of the Board of Trustees of Yale-New Haven Hospital and Vice Chairman of the Yale New Haven Health System Board and previously served as Trustee on the Board of Overseers of the New York University Stern School of Business.
Karen Kaplan (1960)
Year of Election or Appointment: 2006
Trustee
Ms. Kaplan also serves as Trustee of other funds. Ms. Kaplan is Chair (2014-present) and Chief Executive Officer (2013-present) of Hill Holliday (advertising and specialized marketing). Ms. Kaplan is a Member of the Board of Governors of the Chief Executives' Club of Boston (2010-present), Member of the Executive Committee and past Chair of the Greater Boston Chamber of Commerce (2006-present), Advisory Board Member of the National Association of Corporate Directors Chapter (2012-present), Member of the Board of Trustees of the Post Office Square Trust (2012-present), Trustee of the Brigham and Women's Hospital (2016-present), Overseer of the Boston Symphony Orchestra (2014-present), Member of the Board of Directors of The Advertising Council, Inc. (2016-present), Member of the Ron Burton Training Village Executive Board of Advisors (2017-present), Member of the Executive Committee of The Ad Council, Inc. (2019-present), Secretary of the Ad Council, Inc. (2022-present), and Member of the Board of Directors of The Ad Club of Boston (2020-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Director of The Michaels Companies, Inc. (specialty retailer, 2015-2021), a member of the Clinton Global Initiative (2010-2015), Director of DSM (dba Delta Dental and DentaQuest) (2004-2014), Formal Appointee of the 2015 Baker-Polito Economic Development Council, Director of Vera Bradley Inc. (designer of women's accessories, 2012-2015), Member of the Board of Directors of the Massachusetts Conference for Women (2008-2015), Member of the Board of Directors of Jobs for Massachusetts (2012-2015), President of the Massachusetts Women's Forum (2008-2010), Treasurer of the Massachusetts Women's Forum (2002-2006), and Vice Chair of the Board of the Massachusetts Society for the Prevention of Cruelty to Children (2003-2010).
Christine Marcks (1955)
Year of Election or Appointment: 2020
Trustee
Ms. Marcks also serves as Trustee of other Funds. Prior to her retirement, Ms. Marcks served as Chief Executive Officer and President - Prudential Retirement (2007-2017) and Vice President for Rollover and Retirement Income Strategies (2005-2007), Prudential Financial, Inc. (financial services). Previously, Ms. Marcks served as a Member of the Advisory Board of certain Fidelity ® funds (2019-2020), was Senior Vice President and Head of Financial Horizons (2002-2004) and Vice President, Strategic Marketing (2000-2002) of Voya Financial (formerly ING U.S.) (financial services), held numerous positions at Aetna Financial Services (financial services, 1987-2000) and served as an International Economist for the United States Department of the Treasury (1980-1987). Ms. Marcks also serves as a member of the Board of Trustees, Audit Committee and Benefits & Operations Committee of the YMCA Retirement Fund (2018-present), a non-profit organization providing retirement plan benefits to YMCA staff members, and as a member of the Board of Trustees of Assumption University (2019-present).
Heidi L. Steiger (1953)
Year of Election or Appointment: 2017
Trustee
Ms. Steiger also serves as Trustee of other funds. Ms. Steiger serves as Managing Partner of Topridge Associates, LLC (consulting, 2005-present) and Chair of the Board of Directors and Chair of the Compensation Committee of Live Current Media, Inc. (2022-present). Previously, Ms. Steiger served as a member of the Board of Directors (2013-2021) and member of the Membership and Executive Committee (2017-2021) of Business Executives for National Security (nonprofit), a member of the Board of Directors Chair of the Remuneration Committee of Imagine Intelligent Materials Limited (2019-2021) (technology company), a member of the Advisory Board of the joint degree program in Global Luxury Management at North Carolina State University (Raleigh, NC) and Skema (Paris) (2018-2021), a Non-Executive Director of CrowdBureau Corporation (financial technology company and index provider, 2018-2021), a member of the Global Advisory Board and Of Counsel to Signum Global Advisors (international policy and strategy, 2018-2020), Eastern Region President of The Private Client Reserve of U.S. Bancorp (banking and financial services, 2010-2015), Advisory Director of Berkshire Capital Securities, LLC (financial services, 2009-2010), President and Senior Advisor of Lowenhaupt Global Advisors, LLC (financial services, 2005-2007), and President and Contributing Editor of Worth Magazine (2004-2005) and held a variety of positions at Neuberger Berman Group, LLC (financial services, 1986-2004), including Partner and Executive Vice President and Global Head of Private Asset Management at Neuberger Berman (1999-2004). Ms. Steiger also served as a member of the Board of Directors of Nuclear Electric Insurance Ltd (insurer of nuclear utilities, 2006-2017), a member of the Board of Trustees and Audit Committee of the Eaton Vance Funds (2007-2010), a member of the Board of Directors of Aviva USA (formerly AmerUs) (insurance, 2004-2014), and a member of the Board of Trustees and Audit Committee and Chair of the Investment Committee of CIFG (financial guaranty insurance, 2009-2012), and a member of the Board of Directors of Kin Group Plc (formerly, Fitbug Holdings) (health and technology, 2016-2017).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Howard E. Cox, Jr. may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Howard E. Cox, Jr. (1944)
Year of Election or Appointment: 2009
Member of the Advisory Board
Mr. Cox also serves as a Member of the Advisory Board of other funds. Mr. Cox is a Partner of Greylock (venture capital, 1971-present) and a Director of Stryker Corporation (medical products and services, 1974-present). Previously, Mr. Cox served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010). Mr. Cox also serves as a Member of the Secretary of Defense's Business Board of Directors (2008-present), a Director of Business Executives for National Security (1997-present), a Director of the Brookings Institution (2010-present), a Director of the World Economic Forum's Young Global Leaders Foundation (2009-present), and is a Member of the Harvard Medical School Board of Fellows (2002-present).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity ® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Assistant Secretary
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
James D. Gryglewicz (1972)
Year of Election or Appointment: 2015
Chief Compliance Officer
Mr. Gryglewicz also serves as Chief Compliance Officer of other funds. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-present), Senior Vice President of Asset Management Compliance (2009-present), and is an employee of Fidelity Investments (2004-present). Previously, Mr. Gryglewicz served as Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-2019), and as Chief Compliance Officer of certain Fidelity® funds (2014-2018).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity ® funds (2016-2020) and Assistant Treasurer of certain Fidelity ® funds (2016-2018).
Christina H. Lee (1975)
Year of Election or Appointment: 2020
Secretary and Chief Legal Officer
Ms. Lee also serves as Secretary and CLO of other funds. Ms. Lee serves as Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments (2007-present). Previously, Ms. Lee served as Assistant Secretary of certain funds (2018-2019).
Chris Maher (1972)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2020
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity ® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity ® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2022 to May 31, 2023). |
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 for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the 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 actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the 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. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio- A | Beginning Account Value December 1, 2022 | Ending Account Value May 31, 2023 | Expenses Paid During Period- C December 1, 2022 to May 31, 2023 | |||||||
| Strategic Advisers® Large Cap Fund | .18% | |||||||||
| Actual | $ 1,000 | $ 1,031.10 | $ .91 | |||||||
Hypothetical- B | $ 1,000 | $ 1,024.03 | $ .91 | |||||||
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com .
The fund hereby designates as a capital gain dividend with respect to the taxable year ended May 31, 2023, $1,374,273,796, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 100% and 93% of the dividends distributed in July and December, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 99.99% and 98.12% of the dividends distributed in July and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 0.02% and 1.89% of the dividends distributed in July and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
Board Approval of New and Amended Sub-Advisory Agreements
Strategic Advisers Large Cap Fund
In December 2022, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve (i) a new sub-advisory agreement among Strategic Advisers LLC (Strategic Advisers), Wellington Management Company LLP (New Sub-Adviser), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (New Sub-Advisory Agreement), (ii) an amendment to the fee schedule in the existing sub-advisory agreement among Strategic Advisers, T. Rowe Price Associates, Inc. (T. Rowe Price), and the Trust on behalf of the fund (Amended T. Rowe Price Sub-Advisory Agreement), and (iii) amendments to the fee schedules for two mandates in the existing sub-advisory agreement among Strategic Advisers, J.P. Morgan Investment Management Inc. (J.P. Morgan), and the Trust on behalf of the fund (Amended J.P. Morgan Sub-Advisory Agreement and, together with the Amended T. Rowe Price Sub-Advisory Agreement, the Amended Sub-Advisory Agreements). The Board noted that the updated fee schedule(s) in each Amended Sub-Advisory Agreement became effective as of October 1, 2022 and will result in the same or lower fees at all asset levels. The Board also noted that no other material contract terms are impacted by the Amended Sub-Advisory Agreements. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
In considering whether to approve the New and Amended Sub-Advisory Agreements, 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 New and Amended Sub-Advisory Agreements is in the best interests of the fund and its shareholders and that the approval of such agreements does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. The Board's decision to approve the New and 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 . With respect to the New Sub-Advisory Agreement, the Board considered the backgrounds of the investment personnel that will provide services to the fund, the fund's investment objective, strategies and related investment philosophy, the current sub-adviser line-up, and the structure of the investment personnel compensation programs and whether such structure provides appropriate incentives to act in the best interests of the fund. With respect to the Amended Sub-Advisory Agreements, the Board noted its consideration of these matters at its September 2022 meeting. The Board also considered the detailed information provided by Strategic Advisers, T. Rowe Price, and J.P. Morgan with respect to the fund and the other fund(s) they sub-advise in the 2022 annual contract renewal materials.
Resources Dedicated to Investment Management and Support Services . With respect to the New Sub-Advisory Agreement, the Board reviewed the general qualifications and capabilities of the New Sub-Adviser's investment staff, use of technology, and approach to managing and compensating 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 and compliance infrastructure, which are integral parts of the investment management process, and their respective investments in business continuity planning, including in connection with the COVID-19 pandemic.
With respect to each Amended Sub-Advisory Agreement, the Board noted that it had approved the existing sub-advisory agreements with T. Rowe Price and J.P. Morgan at its September 2022 meeting and neither Amended Sub-Advisory Agreement will result in any changes to: (i) the nature, extent and quality of the sub-advisory services provided; (ii) the investment process or strategies employed in the management of the fund's assets; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management.
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 New Sub-Advisory Agreement; and (ii) the resources to be devoted to the fund's compliance policies and procedures.
Investment Performance. The Board considered the historical investment performance of the New Sub-Adviser and its portfolio managers in managing accounts under a similar investment mandate. The Board did not consider performance to be a material factor in its decision to approve the Amended Sub-Advisory Agreements because the approval of the Amended Sub-Advisory Agreements will not result in any changes (i) to the fund's investment processes or strategies; or (ii) 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 the New Sub-Advisory Agreement should benefit the fund's shareholders and, with respect to each Amended Sub-Advisory Agreement, will continue to benefit the fund's shareholders.
Competitiveness of Management Fee and Total Fund Expenses . With respect to the New Sub-Advisory Agreement, the Board considered the amount and nature of the fees to be paid by the fund to Strategic Advisers and by Strategic Advisers to the New Sub-Adviser. The Board also considered 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 neither the New nor Amended Sub-Advisory Agreements will result in changes 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 portion of the fund's management fee. The Board also considered that each Amended Sub-Advisory Agreement is expected to, or has the potential in the future to, result in a decrease in the total management fee rate of the fund. With respect to the New Sub-Advisory Agreement, the Board considered that after allocating assets to the New Sub-Adviser, the fund's management fee is expected to increase but the fund's total net expenses are expected to decrease, and each is expected to continue to rank below the competitive peer group median reported in the 2022 management contract renewal materials for the fund.
Based on its review, the Board concluded that the fund's management fee structure and projected total expenses bear a reasonable relationship to the services that the fund and its shareholders will receive and the other factors considered.
Costs of the Services and Profitability . Because the New and Amended Sub-Advisory Agreements were each 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 New or Amended Sub-Advisory Agreements.
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 management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board considered Strategic Advisers' representation that it does not anticipate that the approval of the New and/or Amended Sub-Advisory Agreements will have a significant impact on the profitability of, or potential 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 management contract, sub-advisory agreements, and sub-subadvisory agreements. The Board noted that the New Sub-Advisory Agreement provides, and each Amended Sub-Advisory Agreement will continue to provide, for breakpoints that have the potential to reduce sub-advisory fees paid to the sub-adviser as assets allocated to the sub-adviser grow. The Board also noted that it did not consider the possible realization of economies of scale to be a significant factor in its decision to approve the Amended Sub-Advisory Agreements because the fund is not expected to bear any additional expenses as a result of the Amended Sub-Advisory Agreements.
Conclusion . Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that each New or Amended Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that each New or Amended Sub-Advisory Agreement is in the best interests of the fund and its shareholders and should be approved. In addition, the Board concluded that the approval of each New or Amended Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. Strategic Advisers has established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions and (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.
In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.
The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.
At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period December 1, 2021 through November 30, 2022. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.
 |
1.9899746.102
LGC-ANN-0723
Item 2.
Code of Ethics
As of the end of the period, May 31, 2023, Fidelity Rutland Square Trust II (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Heidi L. Steiger is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Steiger is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Strategic Advisers Alternatives Fund, Strategic Advisers Fidelity Core Income Fund, Strategic Advisers Fidelity Emerging Markets Fund, Strategic Advisers Fidelity U.S. Total Stock Fund, Strategic Advisers Large Cap Fund, Strategic Advisers Municipal Bond Fund, Strategic Advisers Short Duration Fund and Strategic Advisers Tax-Sensitive Short Duration Fund (the “Funds”):
Services Billed by PwC
May 31, 2023 FeesA,B
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Strategic Advisers Alternatives Fund | $52,400 | $3,600 | $13,400 | $8,400 |
Strategic Advisers Fidelity Core Income Fund | $50,300 | $3,500 | $10,700 | $8,400 |
Strategic Advisers Fidelity Emerging Markets Fund | $26,700 | $2,200 | $6,700 | $5,200 |
Strategic Advisers Fidelity U.S. Total Stock Fund | $39,800 | $3,100 | $14,600 | $7,400 |
Strategic Advisers Large Cap Fund | $42,200 | $3,300 | $14,700 | $7,900 |
Strategic Advisers Municipal Bond Fund | $73,000 | $3,500 | $6,600 | $8,500 |
Strategic Advisers Short Duration Fund | $38,800 | $3,000 | $7,900 | $7,300 |
Strategic Advisers Tax-Sensitive Short Duration Fund | $39,400 | $3,000 | $6,700 | $7,200 |
May 31, 2022 FeesA,B
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Strategic Advisers Alternatives Fund | $- | $- | $- | $- |
Strategic Advisers Fidelity Core Income Fund | $42,400 | $3,700 | $9,200 | $9,200 |
Strategic Advisers Fidelity Emerging Markets Fund | $25,400 | $2,300 | $6,300 | $5,700 |
Strategic Advisers Fidelity U.S. Total Stock Fund | $37,100 | $3,200 | $8,500 | $8,100 |
Strategic Advisers Large Cap Fund | $42,300 | $3,200 | $15,600 | $8,000 |
Strategic Advisers Municipal Bond Fund | $44,400 | $3,300 | $5,200 | $8,200 |
Strategic Advisers Short Duration Fund | $42,000 | $3,200 | $8,500 | $8,000 |
Strategic Advisers Tax-Sensitive Short Duration Fund | $37,500 | $3,100 | $6,400 | $7,800 |
A Amounts may reflect rounding.
B Strategic Advisers Alternatives Fund commenced operations on July 12, 2022.
The following table(s) present(s) fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Strategic Advisers, LLC (“Strategic Advisers”) and entities controlling, controlled by, or under common control with Strategic Advisers (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by PwC
May 31, 2023A,B | May 31, 2022A,B | |
Audit-Related Fees | $8,284,200 | $7,914,600 |
Tax Fees | $1,000 | $353,200 |
All Other Fees | $- | $- |
A Amounts may reflect rounding
B May include amounts billed prior to the Strategic Advisers Alternatives Fund’s commencement of operations.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by PwC for services rendered to the Fund(s), Strategic Advisers (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | May 31, 2023A,B | May 31, 2022A,B |
PwC | $13,754,600 | $13,421,900 |
A Amounts may reflect rounding
B May include amounts billed prior to the Strategic Advisers Alternatives Fund’s commencement of operations.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its(their) audit of the Fund(s), taking into account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and Strategic Advisers’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Rutland Square Trust II
By: | /s/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | July 24, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | July 24, 2023 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | July 24, 2023 |