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
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Date of fiscal year end: | February 29 |
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Date of reporting period: | February 29, 2024 |
Item 1.
Reports to Stockholders
Strategic Advisers® Income Opportunities 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
February 29, 2024
Contents
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You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
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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. © 2024 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 |
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Periods ended February 29, 2024 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Income Opportunities Fund | 10.29% | 3.91% | 3.82% |
$10,000 Over 10 Years |
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Let's say hypothetically that $10,000 was invested in Strategic Advisers® Income Opportunities Fund on February 28, 2014. The chart shows how the value of your investment would have changed, and also shows how the ICE® BofA® US High Yield Constrained Index performed over the same period. |
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Market Recap:
High-yield bonds gained 10.97% for the 12 months ending February 29, 2024, according to the ICE BofA® US High Yield Constrained Index, as robust earnings, a slowing in the pace of inflation and resilient late-cycle expansion of the U.S. economy aided risk assets. The index advanced fairly steadily for most the period, rising alongside U.S. stocks, which were driven by a narrow set of firms in the information technology and communication services sectors. A likely shift in monetary policy also provided a boost for high yield. Aggressive rate hikes by the U.S. Federal Reserve continued until late July, when the Fed decided to pause a series of increases that began in March 2022 at a 22-year high while it observed the effect on inflation and the economy. After the Federal Reserve's November 1 meeting, when the central bank hinted it might be done raising rates, the high-yield index reversed a two-month decline that was due to soaring yields on longer-term government bonds and mixed earnings from some big and influential firms. The index rose 8.40% through year-end and gained only modestly in the first two months of 2024. For the full 12 months, all but one of 19 industries in the index advanced, with retail (+15%) leading, followed by financial services (+13%), which benefited from high interest rates. Energy, the largest segment in the index this period, gained 12%. Conversely, the banking (-9%) group lagged most, while media (+8%) finished much closer to the broader market.
Comments from Portfolio Manager Charles Sterling:
For the fiscal year ending February 29, 2024, the Fund gained 10.29%, trailing the 10.97% advance of the benchmark ICE BofASM U.S. High Yield Constrained Index. Among the Fund's active underlying managers, sub-advisers PGIM (+9%) and FIAM® (+9%) were the primary detractors versus the benchmark. A sharp decline in bonds issued by Jamaica-based telecommunications company Digicel weighed on PGIM's result, as did security selection in other areas. PGIM is one of the largest investments in the portfolio, so its performance typically has a sizable impact on the Fund's overall return. For FIAM, a restructuring-related markdown in the price of an energy holding against a backdrop of declining energy prices hurt, as did overweight exposure to the telecom industry. MainStay MacKay High Yield Corporate Bond Fund (+9.5%) and Eaton Vance Income Fund of Boston (+10%) were more moderate relative detractors. There is a substantial defensive emphasis in these managers' strategies, which caused them to lag in a market environment led by lower-quality securities. On the plus side, Artisan High Income Fund (+12%) and Fidelity® Capital & Income Fund (+12%) were the top relative contributors. Artisan benefited from a sizable allocation to lower-rated bonds, along with holdings of leveraged bank loans. Fidelity Capital & Income had a substantial allocation to leveraged equities, and that fueled its outperformance. Investments in lower-rated credits and an allocation to bank loans also boosted sub-adviser T. Rowe Price (+11%), as did an overweight in the energy sector. During the period, amid a benign outlook for defaults within the high-yield market, I made modest adjustments to the portfolio to reduce its defensive positioning. I did this by increasing allocations to opportunistic managers that are willing to assume slightly more risk by selectively investing in lower-rated debt.
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) |
Artisan High Income Fund Investor Shares | 14.4 | |
Fidelity Capital & Income Fund | 10.1 | |
BlackRock High Yield Bond Portfolio Class K | 7.7 | |
Eaton Vance Income Fund of Boston Class A | 7.3 | |
MainStay High Yield Corporate Bond Fund Class A | 6.7 | |
Vanguard High-Yield Corporate Fund Admiral Shares | 2.7 | |
U.S. Treasury Obligations | 1.1 | |
CCO Holdings LLC/CCO Holdings Capital Corp. | 0.9 | |
Tenet Healthcare Corp. | 0.8 | |
TransDigm, Inc. | 0.8 | |
Quality Diversification (% of Fund's net assets) |
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Percentages shown as 0.0% may reflect amounts less than 0.05%. |
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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) |
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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
Corporate Bonds - 44.1% |
| | Principal Amount (a) | Value ($) |
Convertible Bonds - 0.3% | | | |
COMMUNICATION SERVICES - 0.2% | | | |
Media - 0.2% | | | |
DISH Network Corp.: | | | |
0% 12/15/25 | | 198,000 | 143,451 |
2.375% 3/15/24 | | 950,000 | 934,610 |
3.375% 8/15/26 | | 1,568,000 | 927,080 |
| | | 2,005,141 |
CONSUMER DISCRETIONARY - 0.0% | | | |
Automobiles - 0.0% | | | |
Rivian Automotive, Inc. 4.625% 3/15/29 (b) | | 410,000 | 330,460 |
| | | |
INFORMATION TECHNOLOGY - 0.1% | | | |
Semiconductors & Semiconductor Equipment - 0.1% | | | |
ON Semiconductor Corp. 0% 5/1/27 | | 104,000 | 162,448 |
Wolfspeed, Inc. 1.875% 12/1/29 | | 645,000 | 336,045 |
| | | 498,493 |
Technology Hardware, Storage & Peripherals - 0.0% | | | |
Seagate HDD Cayman 3.5% 6/1/28 (b) | | 170,000 | 212,987 |
Western Digital Corp. 3% 11/15/28 (b) | | 150,000 | 198,000 |
| | | 410,987 |
TOTAL INFORMATION TECHNOLOGY | | | 909,480 |
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REAL ESTATE - 0.0% | | | |
Real Estate Management & Development - 0.0% | | | |
Redfin Corp. 0.5% 4/1/27 | | 456,000 | 260,360 |
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UTILITIES - 0.0% | | | |
Electric Utilities - 0.0% | | | |
PG&E Corp. 4.25% 12/1/27 (b) | | 158,000 | 157,842 |
| | | |
Independent Power and Renewable Electricity Producers - 0.0% | | | |
NextEra Energy Partners LP 2.5% 6/15/26 (b) | | 128,000 | 115,200 |
Sunnova Energy International, Inc. 0.25% 12/1/26 | | 39,000 | 19,507 |
| | | 134,707 |
TOTAL UTILITIES | | | 292,549 |
| | | |
TOTAL CONVERTIBLE BONDS | | | 3,797,990 |
Nonconvertible Bonds - 43.8% | | | |
COMMUNICATION SERVICES - 5.1% | | | |
Diversified Telecommunication Services - 0.9% | | | |
Altice France SA: | | | |
5.125% 1/15/29(b) | | 867,000 | 655,041 |
5.125% 7/15/29(b) | | 755,000 | 570,134 |
8.125% 2/1/27(b) | | 850,000 | 781,210 |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) | | 1,470,000 | 1,385,475 |
Cablevision Lightpath LLC: | | | |
3.875% 9/15/27(b) | | 825,000 | 747,812 |
5.625% 9/15/28(b) | | 300,000 | 249,663 |
Connect Finco SARL / Connect U.S. Finco LLC 6.75% 10/1/26 (b) | | 1,990,000 | 1,952,525 |
Consolidated Communications, Inc. 5% 10/1/28 (b) | | 190,000 | 156,942 |
Frontier Communications Holdings LLC: | | | |
5% 5/1/28(b) | | 640,000 | 592,291 |
5.875% 10/15/27(b) | | 274,000 | 264,821 |
5.875% 11/1/29 | | 235,000 | 201,280 |
Iliad Holding SAS 6.5% 10/15/26 (b) | | 1,215,000 | 1,201,241 |
Level 3 Financing, Inc.: | | | |
3.4% 3/1/27(b) | | 700,000 | 563,521 |
3.625% 1/15/29(b) | | 557,000 | 325,845 |
3.75% 7/15/29(b) | | 795,000 | 465,075 |
4.25% 7/1/28(b) | | 390,000 | 239,850 |
4.625% 9/15/27(b) | | 350,000 | 233,580 |
10.5% 5/15/30(b) | | 479,000 | 490,975 |
Sitios Latinoamerica S.A.B. de CV 5.375% 4/4/32 (b) | | 180,000 | 165,708 |
Telecom Italia Capital SA: | | | |
6% 9/30/34 | | 242,000 | 224,532 |
7.2% 7/18/36 | | 98,000 | 97,408 |
7.721% 6/4/38 | | 200,000 | 204,846 |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | | 200,000 | 187,500 |
Windstream Escrow LLC 7.75% 8/15/28 (b) | | 300,000 | 280,087 |
Zayo Group Holdings, Inc. 4% 3/1/27 (b) | | 420,000 | 349,650 |
| | | 12,587,012 |
Entertainment - 0.2% | | | |
Cinemark U.S.A., Inc. 5.25% 7/15/28 (b) | | 660,000 | 616,506 |
Live Nation Entertainment, Inc. 4.75% 10/15/27 (b) | | 665,000 | 636,681 |
Playtika Holding Corp. 4.25% 3/15/29 (b) | | 605,000 | 516,210 |
Roblox Corp. 3.875% 5/1/30 (b) | | 1,055,000 | 924,001 |
| | | 2,693,398 |
Media - 3.7% | | | |
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | | 764,000 | 711,093 |
Altice Financing SA: | | | |
5% 1/15/28(b) | | 1,585,000 | 1,402,315 |
5.75% 8/15/29(b) | | 2,885,000 | 2,484,766 |
Altice France Holding SA: | | | |
6% 2/15/28(b) | | 3,070,000 | 1,549,571 |
10.5% 5/15/27(b) | | 1,935,000 | 1,264,067 |
CCO Holdings LLC/CCO Holdings Capital Corp.: | | | |
4.25% 2/1/31(b) | | 1,435,000 | 1,154,224 |
4.25% 1/15/34(b) | | 375,000 | 280,372 |
4.5% 8/15/30(b) | | 1,488,000 | 1,234,326 |
4.5% 5/1/32 | | 3,150,000 | 2,488,514 |
4.5% 6/1/33(b) | | 1,725,000 | 1,326,951 |
4.75% 2/1/32(b) | | 240,000 | 193,626 |
5% 2/1/28(b) | | 1,500,000 | 1,384,120 |
5.5% 5/1/26(b) | | 40,000 | 39,301 |
6.375% 9/1/29(b) | | 2,967,000 | 2,787,546 |
7.375% 3/1/31(b) | | 1,530,000 | 1,482,461 |
Clear Channel Outdoor Holdings, Inc.: | | | |
5.125% 8/15/27(b) | | 200,000 | 187,008 |
7.5% 6/1/29(b) | | 680,000 | 562,700 |
7.75% 4/15/28(b) | | 995,000 | 860,132 |
9% 9/15/28(b) | | 1,180,000 | 1,230,740 |
CSC Holdings LLC: | | | |
3.375% 2/15/31(b) | | 127,000 | 89,653 |
4.125% 12/1/30(b) | | 1,152,000 | 857,756 |
4.625% 12/1/30(b) | | 2,175,000 | 1,209,594 |
5.375% 2/1/28(b) | | 211,000 | 183,914 |
5.75% 1/15/30(b) | | 1,945,000 | 1,143,806 |
6.5% 2/1/29(b) | | 510,000 | 444,552 |
7.5% 4/1/28(b) | | 1,245,000 | 885,052 |
11.75% 1/31/29(b) | | 1,585,000 | 1,656,835 |
Diamond Sports Group LLC/Diamond Sports Finance Co.: | | | |
5.375%(b)(c) | | 6,605,000 | 379,788 |
6.625%(b)(c) | | 13,785,000 | 792,638 |
DIRECTV Financing LLC / DIRECTV Financing Co-Obligor, Inc. 5.875% 8/15/27 (b) | | 735,000 | 693,744 |
DISH DBS Corp.: | | | |
5.125% 6/1/29 | | 1,570,000 | 669,566 |
5.25% 12/1/26(b) | | 825,000 | 658,969 |
5.75% 12/1/28(b) | | 632,000 | 437,660 |
7.375% 7/1/28 | | 1,420,000 | 692,633 |
7.75% 7/1/26 | | 2,034,000 | 1,296,675 |
DISH Network Corp. 11.75% 11/15/27 (b) | | 1,189,000 | 1,239,626 |
Gray Television, Inc.: | | | |
5.375% 11/15/31(b) | | 895,000 | 578,980 |
5.875% 7/15/26(b) | | 875,000 | 830,358 |
iHeartCommunications, Inc. 8.375% 5/1/27 | | 539,567 | 323,740 |
Lamar Media Corp. 4.875% 1/15/29 | | 897,000 | 849,908 |
LCPR Senior Secured Financing DAC: | | | |
5.125% 7/15/29(b) | | 185,000 | 155,459 |
6.75% 10/15/27(b) | | 310,000 | 292,950 |
Midas Opco Holdings LLC 5.625% 8/15/29 (b) | | 1,645,000 | 1,468,656 |
Midcontinent Communications & Midcontinent Finance Corp. 5.375% 8/15/27 (b) | | 394,000 | 373,315 |
News Corp. 3.875% 5/15/29 (b) | | 125,000 | 112,977 |
Nexstar Media, Inc. 5.625% 7/15/27 (b) | | 250,000 | 236,920 |
Outfront Media Capital LLC / Corp. 7.375% 2/15/31 (b) | | 230,000 | 240,044 |
Radiate Holdco LLC/Radiate Financial Service Ltd.: | | | |
4.5% 9/15/26(b) | | 300,000 | 236,239 |
6.5% 9/15/28(b) | | 2,260,000 | 1,087,625 |
Scripps Escrow, Inc. 5.875% 7/15/27 (b) | | 338,000 | 274,365 |
Sinclair Television Group, Inc. 5.125% 2/15/27 (b) | | 515,000 | 473,576 |
Sirius XM Radio, Inc.: | | | |
4% 7/15/28(b) | | 2,120,000 | 1,909,941 |
4.125% 7/1/30(b) | | 1,315,000 | 1,131,370 |
5% 8/1/27(b) | | 1,074,000 | 1,023,122 |
5.5% 7/1/29(b) | | 605,000 | 572,121 |
TEGNA, Inc. 5% 9/15/29 | | 80,000 | 70,400 |
Townsquare Media, Inc. 6.875% 2/1/26 (b) | | 466,000 | 449,555 |
Univision Communications, Inc.: | | | |
6.625% 6/1/27(b) | | 1,866,000 | 1,808,896 |
7.375% 6/30/30(b) | | 790,000 | 763,038 |
8% 8/15/28(b) | | 1,400,000 | 1,407,476 |
Virgin Media Secured Finance PLC 4.5% 8/15/30 (b) | | 150,000 | 131,102 |
VZ Secured Financing BV 5% 1/15/32 (b) | | 665,000 | 567,622 |
Ziggo Bond Co. BV 6% 1/15/27 (b) | | 20,000 | 19,551 |
Ziggo BV 4.875% 1/15/30 (b) | | 170,000 | 151,438 |
| | | 53,497,038 |
Wireless Telecommunication Services - 0.3% | | | |
Digicel Group Holdings Ltd.: | | | |
0% 12/31/30(b)(d) | | 545 | 1,247 |
0% 12/31/30(b)(d) | | 24,712 | 2 |
0% 12/31/30(b)(d) | | 12,739 | 14,310 |
0% 12/31/30(b)(d) | | 39,741 | 4 |
Digicel Intermediate Holdings 12% 5/25/27 pay-in-kind (e) | | 204,326 | 200,342 |
Digicel MidCo Ltd. / DIFL U.S. II LLC PIK 10.5% 11/25/28 pay-in-kind (e) | | 22,064 | 17,651 |
Intelsat Jackson Holdings SA: | | | |
6.5% 3/15/30(b) | | 2,185,000 | 2,032,885 |
9.75%(b)(c)(d) | | 50,000 | 0 |
Millicom International Cellular SA: | | | |
4.5% 4/27/31(b) | | 235,000 | 202,970 |
5.125% 1/15/28(b) | | 171,000 | 162,840 |
Telesat Canada/Telesat LLC 6.5% 10/15/27 (b) | | 865,000 | 380,600 |
U.S. Cellular Corp. 6.7% 12/15/33 | | 315,000 | 309,932 |
VMED O2 UK Financing I PLC: | | | |
4.25% 1/31/31(b) | | 127,000 | 107,711 |
4.75% 7/15/31(b) | | 1,850,000 | 1,599,531 |
| | | 5,030,025 |
TOTAL COMMUNICATION SERVICES | | | 73,807,473 |
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CONSUMER DISCRETIONARY - 8.8% | | | |
Automobile Components - 1.0% | | | |
Adient Global Holdings Ltd.: | | | |
4.875% 8/15/26(b) | | 575,000 | 557,325 |
7% 4/15/28(b) | | 255,000 | 259,972 |
8.25% 4/15/31(b) | | 860,000 | 905,507 |
Albion Financing 2 SARL 8.75% 4/15/27 (b) | | 370,000 | 369,969 |
American Axle & Manufacturing, Inc.: | | | |
6.25% 3/15/26 | | 162,000 | 160,099 |
6.5% 4/1/27 | | 300,000 | 296,318 |
Clarios Global LP / Clarios U.S. Finance Co. 8.5% 5/15/27 (b) | | 1,450,000 | 1,457,514 |
Dana Financing Luxembourg SARL 8.5% 7/15/31 (b) | EUR | 601,000 | 711,839 |
Dana, Inc.: | | | |
4.25% 9/1/30 | | 780,000 | 672,682 |
5.375% 11/15/27 | | 50,000 | 48,264 |
5.625% 6/15/28 | | 1,565,000 | 1,514,963 |
Hertz Corp.: | | | |
4.625% 12/1/26(b) | | 125,000 | 110,651 |
5% 12/1/29(b) | | 390,000 | 298,783 |
IHO Verwaltungs GmbH 4.75% 9/15/26 pay-in-kind (b)(e) | | 40,000 | 38,469 |
J.B. Poindexter & Co., Inc. 8.75% 12/15/31 (b) | | 235,000 | 240,744 |
Macquarie AirFinance Holdings: | | | |
8.125% 3/30/29(b) | | 575,000 | 597,856 |
8.375% 5/1/28(b) | | 320,000 | 335,194 |
Nesco Holdings II, Inc. 5.5% 4/15/29 (b) | | 346,000 | 322,832 |
Patrick Industries, Inc.: | | | |
4.75% 5/1/29(b) | | 200,000 | 183,028 |
7.5% 10/15/27(b) | | 125,000 | 125,469 |
PECF USS Intermediate Holding III Corp. 8% 11/15/29 (b) | | 289,000 | 126,127 |
Tenneco, Inc. 8% 11/17/28 (b) | | 1,330,000 | 1,211,963 |
The Goodyear Tire & Rubber Co.: | | | |
5% 7/15/29 | | 15,000 | 13,807 |
5.25% 4/30/31 | | 1,150,000 | 1,041,469 |
5.25% 7/15/31 | | 1,620,000 | 1,462,018 |
5.625% 4/30/33 | | 270,000 | 241,421 |
ZF North America Capital, Inc.: | | | |
4.75% 4/29/25(b) | | 235,000 | 231,428 |
6.875% 4/14/28(b) | | 335,000 | 342,039 |
7.125% 4/14/30(b) | | 390,000 | 406,352 |
| | | 14,284,102 |
Automobiles - 0.5% | | | |
Ford Motor Co.: | | | |
3.25% 2/12/32 | | 195,000 | 159,911 |
4.75% 1/15/43 | | 323,000 | 261,312 |
5.291% 12/8/46 | | 35,000 | 30,267 |
6.1% 8/19/32 | | 980,000 | 978,283 |
7.4% 11/1/46 | | 75,000 | 80,458 |
9.625% 4/22/30 | | 700,000 | 817,754 |
PM General Purchaser LLC 9.5% 10/1/28 (b) | | 755,000 | 762,664 |
Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 11.4932% 10/15/26 (b)(e)(f) | | 4,340,000 | 4,129,903 |
| | | 7,220,552 |
Broadline Retail - 0.3% | | | |
CMG Media Corp. 8.875% 12/15/27 (b) | | 2,205,000 | 1,473,540 |
Kohl's Corp. 4.25% 7/17/25 | | 20,000 | 19,433 |
Match Group Holdings II LLC: | | | |
3.625% 10/1/31(b) | | 435,000 | 366,488 |
4.125% 8/1/30(b) | | 1,544,000 | 1,364,016 |
4.625% 6/1/28(b) | | 500,000 | 470,085 |
5% 12/15/27(b) | | 175,000 | 166,919 |
5.625% 2/15/29(b) | | 490,000 | 470,400 |
Nordstrom, Inc.: | | | |
4.25% 8/1/31 | | 70,000 | 58,906 |
4.375% 4/1/30 | | 45,000 | 39,758 |
| | | 4,429,545 |
Distributors - 0.2% | | | |
Ritchie Bros. Holdings, Inc.: | | | |
6.75% 3/15/28(b) | | 385,000 | 394,028 |
7.75% 3/15/31(b) | | 570,000 | 599,213 |
Windsor Holdings III, LLC 8.5% 6/15/30 (b) | | 1,590,000 | 1,645,127 |
| | | 2,638,368 |
Diversified Consumer Services - 0.2% | | | |
Adtalem Global Education, Inc. 5.5% 3/1/28 (b) | | 802,000 | 763,368 |
GEMS MENASA Cayman Ltd./GEMS Education Delaware LLC 7.125% 7/31/26 (b) | | 675,000 | 668,810 |
Service Corp. International: | | | |
3.375% 8/15/30 | | 400,000 | 343,408 |
4% 5/15/31 | | 460,000 | 404,185 |
5.125% 6/1/29 | | 105,000 | 102,459 |
Sotheby's 7.375% 10/15/27 (b) | | 230,000 | 220,921 |
TKC Holdings, Inc.: | | | |
6.875% 5/15/28(b) | | 280,000 | 262,150 |
10.5% 5/15/29(b) | | 295,000 | 267,784 |
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b) | | 430,000 | 417,100 |
| | | 3,450,185 |
Hotels, Restaurants & Leisure - 4.6% | | | |
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | | | |
3.875% 1/15/28(b) | | 160,000 | 149,245 |
4% 10/15/30(b) | | 1,334,000 | 1,171,791 |
Affinity Interactive 6.875% 12/15/27 (b) | | 645,000 | 594,954 |
Boyd Gaming Corp. 4.75% 6/15/31 (b) | | 175,000 | 158,964 |
Brinker International, Inc. 8.25% 7/15/30 (b) | | 600,000 | 628,806 |
Caesars Entertainment, Inc.: | | | |
4.625% 10/15/29(b) | | 1,375,000 | 1,255,369 |
6.5% 2/15/32(b) | | 1,250,000 | 1,259,354 |
7% 2/15/30(b) | | 1,455,000 | 1,490,588 |
8.125% 7/1/27(b) | | 2,505,000 | 2,572,099 |
Carnival Corp.: | | | |
4% 8/1/28(b) | | 225,000 | 207,531 |
5.75% 3/1/27(b) | | 1,980,000 | 1,955,235 |
6% 5/1/29(b) | | 1,345,000 | 1,312,190 |
6.65% 1/15/28 | | 110,000 | 108,394 |
7% 8/15/29(b) | | 490,000 | 508,274 |
7.625% 3/1/26(b) | | 2,680,000 | 2,714,867 |
10.5% 6/1/30(b) | | 1,750,000 | 1,909,306 |
Carrols Restaurant Group, Inc. 5.875% 7/1/29 (b) | | 225,000 | 229,633 |
CCM Merger, Inc. 6.375% 5/1/26 (b) | | 250,000 | 246,619 |
Cedar Fair LP 5.25% 7/15/29 | | 792,000 | 748,108 |
Churchill Downs, Inc.: | | | |
5.75% 4/1/30(b) | | 1,410,000 | 1,354,807 |
6.75% 5/1/31(b) | | 630,000 | 630,375 |
Cirsa Finance International SARL: | | | |
4.5% 3/15/27(b) | EUR | 515,000 | 542,697 |
6.5% 3/15/29(b) | EUR | 100,000 | 109,385 |
10.375% 11/30/27(b) | EUR | 90,000 | 104,811 |
ClubCorp Holdings, Inc. 8.5% 9/15/25 (b) | | 74,000 | 66,600 |
Everi Holdings, Inc. 5% 7/15/29 (b) | | 149,000 | 147,696 |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. 6.75% 1/15/30 (b) | | 1,810,000 | 1,598,681 |
Garden SpinCo Corp. 8.625% 7/20/30 (b) | | 115,000 | 121,912 |
Golden Entertainment, Inc. 7.625% 4/15/26 (b) | | 536,000 | 533,628 |
Hilton Domestic Operating Co., Inc.: | | | |
3.625% 2/15/32(b) | | 1,325,000 | 1,131,895 |
4% 5/1/31(b) | | 190,000 | 168,812 |
Hilton Grand Vacations Borrower Escrow LLC 6.625% 1/15/32 (b) | | 330,000 | 329,999 |
International Game Technology PLC: | | | |
5.25% 1/15/29(b) | | 985,000 | 952,119 |
6.25% 1/15/27(b) | | 1,610,000 | 1,616,796 |
Jacobs Entertainment, Inc.: | | | |
6.75% 2/15/29(b) | | 890,000 | 848,588 |
6.75% 2/15/29(b) | | 325,000 | 308,035 |
Life Time, Inc.: | | | |
5.75% 1/15/26(b) | | 882,000 | 874,598 |
8% 4/15/26(b) | | 1,123,000 | 1,133,275 |
Light & Wonder International, Inc.: | | | |
7.25% 11/15/29(b) | | 2,200,000 | 2,251,295 |
7.5% 9/1/31(b) | | 485,000 | 505,294 |
Lindblad Expeditions Holdings 9% 5/15/28 (b) | | 500,000 | 527,500 |
Lindblad Expeditions LLC 6.75% 2/15/27 (b) | | 40,000 | 40,165 |
Lottomatica SpA 7.125% 6/1/28 (b) | EUR | 130,000 | 148,567 |
MajorDrive Holdings IV LLC 6.375% 6/1/29 (b) | | 295,000 | 254,438 |
Merlin Entertainments Group 7.375% 2/15/31 (b) | | 500,000 | 500,258 |
MGM Resorts International: | | | |
4.75% 10/15/28 | | 1,376,000 | 1,291,563 |
5.5% 4/15/27 | | 337,000 | 330,056 |
Midwest Gaming Borrower LLC / Midwest Gaming Financial Corp. 4.875% 5/1/29 (b) | | 1,090,000 | 999,527 |
Motion Finco SARL 7.375% 6/15/30 (b) | EUR | 405,000 | 454,756 |
NCL Corp. Ltd.: | | | |
3.625% 12/15/24(b) | | 224,000 | 220,600 |
5.875% 3/15/26(b) | | 1,610,000 | 1,572,568 |
5.875% 2/15/27(b) | | 1,155,000 | 1,141,511 |
7.75% 2/15/29(b) | | 1,725,000 | 1,768,173 |
8.125% 1/15/29(b) | | 398,000 | 418,729 |
8.375% 2/1/28(b) | | 275,000 | 288,685 |
NCL Finance Ltd. 6.125% 3/15/28 (b) | | 895,000 | 872,991 |
Ontario Gaming GTA LP 8% 8/1/30 (b) | | 310,000 | 316,172 |
Penn Entertainment, Inc. 5.625% 1/15/27 (b) | | 1,350,000 | 1,290,485 |
Premier Entertainment Sub LLC 5.875% 9/1/31 (b) | | 425,000 | 301,053 |
Royal Caribbean Cruises Ltd.: | | | |
4.25% 7/1/26(b) | | 640,000 | 616,392 |
5.375% 7/15/27(b) | | 770,000 | 755,211 |
5.5% 8/31/26(b) | | 750,000 | 741,419 |
5.5% 4/1/28(b) | | 1,880,000 | 1,845,632 |
6.25% 3/15/32(b)(g) | | 770,000 | 772,204 |
8.25% 1/15/29(b) | | 700,000 | 742,475 |
9.25% 1/15/29(b) | | 1,225,000 | 1,317,723 |
11.625% 8/15/27(b) | | 300,000 | 324,495 |
SeaWorld Parks & Entertainment, Inc. 5.25% 8/15/29 (b) | | 1,175,000 | 1,095,693 |
Six Flags Entertainment Corp.: | | | |
5.5% 4/15/27(b) | | 770,000 | 753,638 |
7.25% 5/15/31(b) | | 1,205,000 | 1,212,531 |
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875% 5/15/25 (b) | | 280,000 | 277,176 |
Viking Cruises Ltd.: | | | |
5.875% 9/15/27(b) | | 880,000 | 860,200 |
7% 2/15/29(b) | | 125,000 | 124,945 |
9.125% 7/15/31(b) | | 480,000 | 519,638 |
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (b) | | 600,000 | 579,000 |
Wynn Macau Ltd.: | | | |
5.125% 12/15/29(b) | | 650,000 | 585,813 |
5.5% 10/1/27(b) | | 2,265,000 | 2,146,088 |
5.625% 8/26/28(b) | | 500,000 | 468,415 |
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.: | | | |
5.125% 10/1/29(b) | | 550,000 | 518,817 |
7.125% 2/15/31(b) | | 305,000 | 314,968 |
Yum! Brands, Inc.: | | | |
3.625% 3/15/31 | | 95,000 | 83,545 |
4.625% 1/31/32 | | 430,000 | 394,744 |
5.35% 11/1/43 | | 845,000 | 810,038 |
5.375% 4/1/32 | | 80,000 | 76,817 |
6.875% 11/15/37 | | 1,170,000 | 1,270,525 |
| | | 66,498,564 |
Household Durables - 0.6% | | | |
Ashton Woods U.S.A. LLC/Ashton Woods Finance Co.: | | | |
4.625% 8/1/29(b) | | 75,000 | 68,100 |
4.625% 4/1/30(b) | | 690,000 | 620,284 |
6.625% 1/15/28(b) | | 25,000 | 24,847 |
Beazer Homes U.S.A., Inc.: | | | |
5.875% 10/15/27 | | 225,000 | 218,705 |
7.25% 10/15/29 | | 1,475,000 | 1,479,192 |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp.: | | | |
4.875% 2/15/30(b) | | 679,000 | 603,044 |
5% 6/15/29(b) | | 175,000 | 156,583 |
6.25% 9/15/27(b) | | 563,000 | 545,461 |
Castle UK Finco PLC 7% 5/15/29 (b) | GBP | 295,000 | 344,450 |
Empire Communities Corp. 7% 12/15/25 (b) | | 175,000 | 173,012 |
KB Home 4.8% 11/15/29 | | 875,000 | 820,313 |
LGI Homes, Inc.: | | | |
4% 7/15/29(b) | | 95,000 | 81,465 |
8.75% 12/15/28(b) | | 30,000 | 31,444 |
M/I Homes, Inc. 4.95% 2/1/28 | | 485,000 | 461,701 |
Newell Brands, Inc.: | | | |
5.2% 4/1/26(h) | | 100,000 | 97,106 |
6.375% 9/15/27 | | 100,000 | 96,871 |
6.5% 4/1/46(h) | | 80,000 | 63,825 |
6.625% 9/15/29 | | 100,000 | 95,722 |
STL Holding Co. LLC 8.75% 2/15/29 (b) | | 225,000 | 230,189 |
SWF Escrow Issuer Corp. 6.5% 10/1/29 (b) | | 1,025,000 | 720,921 |
Tempur Sealy International, Inc. 4% 4/15/29 (b) | | 50,000 | 44,817 |
TopBuild Corp. 4.125% 2/15/32 (b) | | 235,000 | 205,820 |
TRI Pointe Group, Inc./TRI Pointe Holdings, Inc. 5.875% 6/15/24 | | 5,000 | 4,997 |
TRI Pointe Homes, Inc. 5.7% 6/15/28 | | 620,000 | 609,652 |
| | | 7,798,521 |
Leisure Products - 0.1% | | | |
Amer Sports Co. 6.75% 2/16/31 (b) | | 405,000 | 403,060 |
Mattel, Inc. 5.45% 11/1/41 | | 80,000 | 72,251 |
Vista Outdoor, Inc. 4.5% 3/15/29 (b) | | 145,000 | 143,188 |
| | | 618,499 |
Specialty Retail - 1.1% | | | |
Arko Corp. 5.125% 11/15/29 (b) | | 480,000 | 416,160 |
At Home Group, Inc.: | | | |
4.875% 7/15/28(b) | | 255,000 | 107,100 |
7.125% 5/12/28 pay-in-kind(b)(e) | | 317,998 | 136,739 |
Bath & Body Works, Inc.: | | | |
6.625% 10/1/30(b) | | 1,550,000 | 1,558,511 |
6.95% 3/1/33 | | 440,000 | 428,348 |
7.5% 6/15/29 | | 230,000 | 236,810 |
Carvana Co.: | | | |
4.875% 9/1/29(b) | | 242,000 | 162,140 |
5.5% 4/15/27(b) | | 220,000 | 170,806 |
5.875% 10/1/28(b) | | 160,000 | 106,793 |
12% 12/1/28 pay-in-kind(b)(e) | | 113,903 | 109,479 |
13% 6/1/30 pay-in-kind(b)(e) | | 171,593 | 160,425 |
14% 6/1/31 pay-in-kind(b)(e) | | 205,309 | 199,762 |
Champions Financing, Inc. 8.75% 2/15/29 (b) | | 395,000 | 403,481 |
Foot Locker, Inc. 4% 10/1/29 (b) | | 60,000 | 50,774 |
Gap, Inc. 3.875% 10/1/31 (b) | | 750,000 | 604,986 |
Global Auto Holdings Ltd./AAG FH UK Ltd.: | | | |
8.375% 1/15/29(b) | | 235,000 | 224,054 |
8.75% 1/15/32(b) | | 255,000 | 242,129 |
Jaguar Land Rover Automotive PLC: | | | |
5.875% 1/15/28(b) | | 845,000 | 831,889 |
7.75% 10/15/25(b) | | 350,000 | 353,036 |
LBM Acquisition LLC 6.25% 1/15/29 (b) | | 750,000 | 675,659 |
LCM Investments Holdings: | | | |
4.875% 5/1/29(b) | | 900,000 | 808,244 |
8.25% 8/1/31(b) | | 455,000 | 464,371 |
Mavis Tire Express Services TopCo LP 6.5% 5/15/29 (b) | | 2,610,000 | 2,448,029 |
Michaels Companies, Inc. 7.875% 5/1/29 (b) | | 220,000 | 142,055 |
Park River Holdings, Inc.: | | | |
5.625% 2/1/29(b) | | 775,000 | 651,969 |
6.75% 8/1/29(b) | | 150,000 | 128,440 |
PetSmart, Inc. / PetSmart Finance Corp. 7.75% 2/15/29 (b) | | 455,000 | 449,616 |
Sally Holdings LLC: | | | |
5.625% 12/1/25 | | 925,000 | 924,397 |
6.75% 3/1/32 | | 530,000 | 528,476 |
Specialty Building Products Holdings LLC 6.375% 9/30/26 (b) | | 665,000 | 650,397 |
Staples, Inc.: | | | |
7.5% 4/15/26(b) | | 80,000 | 76,913 |
10.75% 4/15/27(b) | | 80,000 | 73,200 |
Victoria's Secret & Co. 4.625% 7/15/29 (b) | | 130,000 | 109,658 |
Wand NewCo 3, Inc. 7.625% 1/30/32 (b) | | 1,190,000 | 1,222,725 |
| | | 15,857,571 |
Textiles, Apparel & Luxury Goods - 0.2% | | | |
Crocs, Inc. 4.125% 8/15/31 (b) | | 130,000 | 110,604 |
Hanesbrands, Inc. 4.875% 5/15/26 (b) | | 75,000 | 72,377 |
Kontoor Brands, Inc. 4.125% 11/15/29 (b) | | 770,000 | 688,593 |
Levi Strauss & Co. 3.5% 3/1/31 (b) | | 130,000 | 112,654 |
Wolverine World Wide, Inc. 4% 8/15/29 (b) | | 2,330,000 | 1,866,913 |
| | | 2,851,141 |
TOTAL CONSUMER DISCRETIONARY | | | 125,647,048 |
| | | |
CONSUMER STAPLES - 0.8% | | | |
Beverages - 0.1% | | | |
Primo Water Holdings, Inc. 4.375% 4/30/29 (b) | | 180,000 | 163,305 |
Triton Water Holdings, Inc. 6.25% 4/1/29 (b) | | 1,080,000 | 942,819 |
| | | 1,106,124 |
Consumer Staples Distribution & Retail - 0.1% | | | |
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | | | |
3.5% 3/15/29(b) | | 590,000 | 525,665 |
4.875% 2/15/30(b) | | 225,000 | 211,208 |
C&S Group Enterprises LLC 5% 12/15/28 (b) | | 320,000 | 253,512 |
Iceland Bondco PLC: | | | |
3 month EURIBOR EURO INTER + 5.500% 9.401% 12/15/27(b)(e)(f) | EUR | 100,000 | 108,891 |
4.625% 3/15/25 (Reg. S) | GBP | 100,000 | 125,157 |
10.875% 12/15/27(b) | GBP | 100,000 | 133,465 |
KeHE Distributor / Nextwave 9% 2/15/29 (b) | | 290,000 | 290,851 |
Performance Food Group, Inc. 5.5% 10/15/27 (b) | | 124,000 | 121,437 |
U.S. Foods, Inc. 6.875% 9/15/28 (b) | | 100,000 | 101,750 |
United Natural Foods, Inc. 6.75% 10/15/28 (b) | | 40,000 | 33,309 |
| | | 1,905,245 |
Food Products - 0.4% | | | |
B&G Foods, Inc.: | | | |
5.25% 9/15/27 | | 1,315,000 | 1,222,643 |
8% 9/15/28(b) | | 575,000 | 598,608 |
Chobani LLC/Finance Corp., Inc.: | | | |
4.625% 11/15/28(b) | | 80,000 | 73,999 |
7.625% 7/1/29(b) | | 635,000 | 638,295 |
Darling Ingredients, Inc. 6% 6/15/30 (b) | | 950,000 | 936,172 |
Fiesta Purchaser, Inc. 7.875% 3/1/31 (b) | | 150,000 | 154,674 |
Lamb Weston Holdings, Inc.: | | | |
4.125% 1/31/30(b) | | 565,000 | 511,932 |
4.375% 1/31/32(b) | | 95,000 | 84,876 |
Pilgrim's Pride Corp.: | | | |
3.5% 3/1/32 | | 100,000 | 83,554 |
4.25% 4/15/31 | | 115,000 | 102,791 |
Post Holdings, Inc.: | | | |
4.5% 9/15/31(b) | | 700,000 | 623,210 |
4.625% 4/15/30(b) | | 624,000 | 567,762 |
6.25% 2/15/32(b) | | 705,000 | 708,644 |
| | | 6,307,160 |
Household Products - 0.0% | | | |
Energizer Holdings, Inc. 4.75% 6/15/28 (b) | | 409,000 | 373,968 |
| | | |
Personal Care Products - 0.1% | | | |
BellRing Brands, Inc. 7% 3/15/30 (b) | | 860,000 | 877,561 |
| | | |
Tobacco - 0.1% | | | |
Vector Group Ltd. 5.75% 2/1/29 (b) | | 781,000 | 715,492 |
| | | |
TOTAL CONSUMER STAPLES | | | 11,285,550 |
| | | |
ENERGY - 6.4% | | | |
Energy Equipment & Services - 0.8% | | | |
Archrock Partners LP / Archrock Partners Finance Corp. 6.875% 4/1/27 (b) | | 295,000 | 293,515 |
CGG SA 8.75% 4/1/27 (b) | | 330,000 | 294,353 |
Diamond Foreign Asset Co. / Diamond Finance, LLC 8.5% 10/1/30 (b) | | 750,000 | 768,017 |
Jonah Energy Parent LLC 12% 11/5/25 (d)(i) | | 645,029 | 682,118 |
Nabors Industries Ltd.: | | | |
7.25% 1/15/26(b) | | 493,000 | 485,605 |
7.5% 1/15/28(b) | | 330,000 | 303,600 |
Nabors Industries, Inc.: | | | |
7.375% 5/15/27(b) | | 75,000 | 74,724 |
9.125% 1/31/30(b) | | 680,000 | 697,000 |
Noble Finance II LLC 8% 4/15/30 (b) | | 150,000 | 154,222 |
NuStar Logistics LP 5.625% 4/28/27 | | 665,000 | 658,157 |
Precision Drilling Corp.: | | | |
6.875% 1/15/29(b) | | 25,000 | 24,694 |
7.125% 1/15/26(b) | | 297,000 | 296,618 |
Seadrill Finance Ltd. 8.375% 8/1/30 (b) | | 1,255,000 | 1,289,722 |
Transocean Aquila Ltd. 8% 9/30/28 (b) | | 380,000 | 387,125 |
Transocean, Inc.: | | | |
6.8% 3/15/38 | | 825,000 | 647,118 |
7.25% 11/1/25(b) | | 219,000 | 215,792 |
7.5% 1/15/26(b) | | 321,000 | 317,392 |
8% 2/1/27(b) | | 515,000 | 502,733 |
8.75% 2/15/30(b) | | 1,134,000 | 1,164,418 |
11.5% 1/30/27(b) | | 884,000 | 919,360 |
U.S.A. Compression Partners LP/U.S.A. Compression Finance Corp. 6.875% 4/1/26 | | 160,000 | 159,782 |
Valaris Ltd. 8.375% 4/30/30 (b) | | 920,000 | 943,357 |
| | | 11,279,422 |
Oil, Gas & Consumable Fuels - 5.6% | | | |
Aethon United BR LP / Aethon United Finance Corp. 8.25% 2/15/26 (b) | | 1,845,000 | 1,852,635 |
Altus Midstream LP: | | | |
5.875% 6/15/30(b) | | 1,740,000 | 1,695,480 |
6.625% 12/15/28(b) | | 1,620,000 | 1,639,932 |
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | | | |
5.375% 6/15/29(b) | | 746,000 | 709,526 |
5.75% 3/1/27(b) | | 100,000 | 97,844 |
5.75% 1/15/28(b) | | 775,000 | 759,759 |
6.625% 2/1/32(b) | | 125,000 | 124,489 |
7.875% 5/15/26(b) | | 100,000 | 102,146 |
Antero Resources Corp.: | | | |
5.375% 3/1/30(b) | | 800,000 | 762,402 |
7.625% 2/1/29(b) | | 140,000 | 144,191 |
Ascent Resources - Utica LLC/ARU Finance Corp.: | | | |
7% 11/1/26(b) | | 386,000 | 385,739 |
8.25% 12/31/28(b) | | 450,000 | 456,919 |
9% 11/1/27(b) | | 450,000 | 569,842 |
Athabasca Oil Corp. 9.75% 11/1/26 (b) | | 767,000 | 808,518 |
California Resources Corp. 7.125% 2/1/26 (b) | | 140,000 | 140,738 |
Calumet Specialty Products Partners LP/Calumet Finance Corp. 9.75% 7/15/28 (b) | | 120,000 | 118,871 |
Chesapeake Energy Corp.: | | | |
5.875% 2/1/29(b) | | 325,000 | 321,490 |
6.75% 4/15/29(b) | | 1,935,000 | 1,942,236 |
Citgo Petroleum Corp.: | | | |
6.375% 6/15/26(b) | | 646,000 | 650,026 |
7% 6/15/25(b) | | 575,000 | 573,644 |
8.375% 1/15/29(b) | | 100,000 | 105,017 |
Civitas Resources, Inc.: | | | |
8.375% 7/1/28(b) | | 670,000 | 701,104 |
8.625% 11/1/30(b) | | 495,000 | 529,690 |
8.75% 7/1/31(b) | | 445,000 | 473,245 |
CNX Midstream Partners LP 4.75% 4/15/30 (b) | | 170,000 | 148,725 |
CNX Resources Corp.: | | | |
7.25% 3/1/32(b) | | 395,000 | 393,628 |
7.375% 1/15/31(b) | | 115,000 | 115,935 |
Comstock Resources, Inc.: | | | |
5.875% 1/15/30(b) | | 795,000 | 695,156 |
6.75% 3/1/29(b) | | 1,646,000 | 1,518,335 |
Conuma Resources Ltd. 13.125% 5/1/28 (b) | | 294,000 | 291,060 |
Coronado Finance Pty Ltd. 10.75% 5/15/26 (b) | | 245,000 | 253,772 |
CQP Holdco LP / BIP-V Chinook Holdco LLC 7.5% 12/15/33 (b) | | 250,000 | 254,891 |
CrownRock LP/CrownRock Finance, Inc.: | | | |
5% 5/1/29(b) | | 259,000 | 254,791 |
5.625% 10/15/25(b) | | 60,000 | 59,703 |
CVR Energy, Inc.: | | | |
5.75% 2/15/28(b) | | 537,000 | 498,449 |
8.5% 1/15/29(b) | | 320,000 | 322,000 |
DCP Midstream Operating LP: | | | |
5.625% 7/15/27 | | 10,000 | 10,034 |
6.75% 9/15/37(b) | | 590,000 | 628,041 |
8.125% 8/16/30 | | 570,000 | 649,510 |
Delek Logistics Partners LP/Delek Logistics Finance Corp.: | | | |
6.75% 5/15/25 | | 60,000 | 60,005 |
7.125% 6/1/28(b) | | 540,000 | 517,050 |
8.625% 3/15/29(b)(g) | | 165,000 | 165,176 |
DT Midstream, Inc.: | | | |
4.125% 6/15/29(b) | | 40,000 | 36,550 |
4.375% 6/15/31(b) | | 20,000 | 18,006 |
EG Global Finance PLC 12% 11/30/28 (b) | | 1,510,000 | 1,594,183 |
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (b) | | 615,000 | 619,982 |
Energean PLC 6.5% 4/30/27 (b) | | 140,000 | 127,706 |
Energy Transfer LP: | | | |
5.625% 5/1/27(b) | | 979,000 | 970,209 |
5.75% 4/1/25 | | 73,000 | 72,880 |
6% 2/1/29(b) | | 600,000 | 601,656 |
7.375% 2/1/31(b) | | 755,000 | 789,994 |
EnLink Midstream LLC: | | | |
5.625% 1/15/28(b) | | 335,000 | 330,079 |
6.5% 9/1/30(b) | | 330,000 | 338,272 |
EnLink Midstream Partners LP 4.85% 7/15/26 | | 180,000 | 175,502 |
EQM Midstream Partners LP: | | | |
6% 7/1/25(b) | | 25,000 | 24,966 |
6.5% 7/1/27(b) | | 325,000 | 328,250 |
7.5% 6/1/27(b) | | 250,000 | 255,776 |
7.5% 6/1/30(b) | | 200,000 | 212,571 |
Global Partners LP/GLP Finance Corp.: | | | |
6.875% 1/15/29 | | 253,000 | 249,359 |
7% 8/1/27 | | 437,000 | 437,140 |
8.25% 1/15/32(b) | | 225,000 | 230,783 |
Golar LNG Ltd. 7% 10/20/25 (b) | | 335,000 | 330,953 |
Gulfport Energy Corp. 8% 5/17/26 (b) | | 405,000 | 412,153 |
Harbour Energy PLC 5.5% 10/15/26 (b) | | 20,000 | 19,493 |
Harvest Midstream I LP 7.5% 9/1/28 (b) | | 425,000 | 428,433 |
Hess Midstream Operations LP: | | | |
5.125% 6/15/28(b) | | 620,000 | 595,659 |
5.5% 10/15/30(b) | | 100,000 | 96,101 |
HF Sinclair Corp. 5% 2/1/28 (b) | | 335,000 | 322,592 |
Hilcorp Energy I LP/Hilcorp Finance Co.: | | | |
5.75% 2/1/29(b) | | 200,000 | 193,416 |
6% 4/15/30(b) | | 275,000 | 266,981 |
6% 2/1/31(b) | | 1,235,000 | 1,190,942 |
6.25% 11/1/28(b) | | 1,125,000 | 1,116,763 |
6.25% 4/15/32(b) | | 525,000 | 507,938 |
8.375% 11/1/33(b) | | 1,255,000 | 1,348,184 |
Howard Midstream Energy Partners LLC 8.875% 7/15/28 (b) | | 448,000 | 472,080 |
Independence Energy Finance LLC: | | | |
7.25% 5/1/26(b) | | 1,265,000 | 1,260,383 |
9.25% 2/15/28(b) | | 1,385,000 | 1,449,392 |
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp. 6% 8/1/26 (b) | | 1,845,000 | 1,808,626 |
Matador Resources Co. 5.875% 9/15/26 | | 333,000 | 329,749 |
MEG Energy Corp. 5.875% 2/1/29 (b) | | 236,000 | 230,091 |
Mesquite Energy, Inc. 7.25% (b)(c)(d) | | 3,242,000 | 0 |
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (b) | | 290,000 | 247,456 |
New Fortress Energy, Inc.: | | | |
6.5% 9/30/26(b) | | 1,650,000 | 1,593,138 |
6.75% 9/15/25(b) | | 874,000 | 869,490 |
NGL Energy Operating LLC/NGL Energy Finance Corp.: | | | |
8.125% 2/15/29(b) | | 435,000 | 439,101 |
8.375% 2/15/32(b) | | 1,125,000 | 1,142,755 |
Northern Oil & Gas, Inc.: | | | |
8.125% 3/1/28(b) | | 290,000 | 293,663 |
8.75% 6/15/31(b) | | 90,000 | 94,050 |
Occidental Petroleum Corp.: | | | |
4.2% 3/15/48 | | 95,000 | 72,598 |
4.4% 4/15/46 | | 295,000 | 235,708 |
4.4% 8/15/49 | | 130,000 | 96,135 |
4.5% 7/15/44 | | 240,000 | 184,975 |
6.125% 1/1/31 | | 320,000 | 328,237 |
6.2% 3/15/40 | | 1,225,000 | 1,244,183 |
6.45% 9/15/36 | | 235,000 | 247,422 |
6.625% 9/1/30 | | 400,000 | 420,960 |
7.5% 5/1/31 | | 555,000 | 612,910 |
7.95% 6/15/39 | | 1,275,000 | 1,475,771 |
8.875% 7/15/30 | | 470,000 | 542,070 |
Parkland Corp.: | | | |
4.5% 10/1/29(b) | | 375,000 | 342,656 |
4.625% 5/1/30(b) | | 1,130,000 | 1,032,210 |
PBF Holding Co. LLC/PBF Finance Corp. 7.875% 9/15/30 (b) | | 530,000 | 543,080 |
Permian Resources Operating LLC: | | | |
5.875% 7/1/29(b) | | 285,000 | 277,875 |
7% 1/15/32(b) | | 1,020,000 | 1,047,314 |
7.75% 2/15/26(b) | | 25,000 | 25,299 |
8% 4/15/27(b) | | 125,000 | 128,908 |
9.875% 7/15/31(b) | | 575,000 | 636,813 |
Prairie Acquiror LP 9% 8/1/29 (b)(g) | | 445,000 | 448,386 |
Range Resources Corp.: | | | |
4.75% 2/15/30(b) | | 610,000 | 566,693 |
8.25% 1/15/29 | | 260,000 | 271,250 |
Rockcliff Energy II LLC 5.5% 10/15/29 (b) | | 640,000 | 589,407 |
Rockies Express Pipeline LLC: | | | |
3.6% 5/15/25(b) | | 275,000 | 266,632 |
6.875% 4/15/40(b) | | 135,000 | 132,933 |
7.5% 7/15/38(b) | | 775,000 | 786,660 |
SilverBow Resources, Inc. CME Term SOFR 3 Month Index + 7.750% 13.1346% 12/15/28 (e)(f)(i) | | 755,000 | 745,647 |
Sitio Royalties OP / Sitio Finance Corp. 7.875% 11/1/28 (b) | | 100,000 | 102,210 |
Southwestern Energy Co.: | | | |
4.75% 2/1/32 | | 2,590,000 | 2,352,672 |
5.375% 3/15/30 | | 900,000 | 860,202 |
Sunoco LP/Sunoco Finance Corp.: | | | |
4.5% 5/15/29 | | 635,000 | 586,580 |
4.5% 4/30/30 | | 475,000 | 432,194 |
5.875% 3/15/28 | | 140,000 | 138,496 |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | | | |
5.5% 1/15/28(b) | | 603,000 | 572,850 |
6% 3/1/27(b) | | 985,000 | 972,195 |
6% 12/31/30(b) | | 1,740,000 | 1,618,072 |
6% 9/1/31(b) | | 2,035,000 | 1,864,129 |
7.375% 2/15/29(b) | | 810,000 | 808,186 |
Talos Production, Inc.: | | | |
9% 2/1/29(b) | | 70,000 | 71,544 |
9.375% 2/1/31(b) | | 100,000 | 103,291 |
Teine Energy Ltd. 6.875% 4/15/29 (b) | | 35,000 | 33,216 |
Venture Global Calcasieu Pass LLC: | | | |
4.125% 8/15/31(b) | | 500,000 | 438,830 |
6.25% 1/15/30(b) | | 1,620,000 | 1,617,437 |
Venture Global LNG, Inc.: | | | |
8.125% 6/1/28(b) | | 725,000 | 736,532 |
8.375% 6/1/31(b) | | 2,960,000 | 2,993,925 |
9.5% 2/1/29(b) | | 1,510,000 | 1,609,982 |
9.875% 2/1/32(b) | | 1,250,000 | 1,316,101 |
Vermilion Energy, Inc. 6.875% 5/1/30 (b) | | 785,000 | 756,544 |
Viper Energy, Inc. 7.375% 11/1/31 (b) | | 55,000 | 56,631 |
Vital Energy, Inc.: | | | |
9.75% 10/15/30 | | 125,000 | 133,890 |
10.125% 1/15/28 | | 100,000 | 104,663 |
Western Gas Partners LP: | | | |
5.25% 2/1/50 | | 185,000 | 163,661 |
5.3% 3/1/48 | | 95,000 | 81,870 |
5.5% 8/15/48 | | 55,000 | 48,327 |
| | | 80,852,152 |
TOTAL ENERGY | | | 92,131,574 |
| | | |
FINANCIALS - 4.5% | | | |
Banks - 0.1% | | | |
HAT Holdings I LLC/HAT Holdings II LLC: | | | |
3.375% 6/15/26(b) | | 125,000 | 116,885 |
6% 4/15/25(b) | | 64,000 | 63,350 |
8% 6/15/27(b) | | 688,000 | 714,360 |
Intesa Sanpaolo SpA: | | | |
4.198% 6/1/32(b)(e) | | 200,000 | 164,051 |
4.95% 6/1/42(b)(e) | | 200,000 | 144,268 |
5.71% 1/15/26(b) | | 350,000 | 346,804 |
UniCredit SpA: | | | |
5.459% 6/30/35(b)(e) | | 254,000 | 234,701 |
5.861% 6/19/32(b)(e) | | 95,000 | 92,075 |
Western Alliance Bancorp. 3% 6/15/31 (e) | | 341,000 | 299,057 |
| | | 2,175,551 |
Capital Markets - 0.4% | | | |
AssuredPartners, Inc.: | | | |
5.625% 1/15/29(b) | | 175,000 | 160,969 |
7.5% 2/15/32(b) | | 1,024,000 | 1,006,316 |
Broadstreet Partners, Inc. 5.875% 4/15/29 (b) | | 425,000 | 394,212 |
Coinbase Global, Inc. 3.625% 10/1/31 (b) | | 375,000 | 293,603 |
Hightower Holding LLC 6.75% 4/15/29 (b) | | 300,000 | 281,543 |
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b) | | 700,000 | 644,133 |
Jefferies Finance LLC/JFIN Co-Issuer Corp. 5% 8/15/28 (b) | | 695,000 | 625,088 |
LPL Holdings, Inc.: | | | |
4% 3/15/29(b) | | 530,000 | 486,257 |
4.375% 5/15/31(b) | | 340,000 | 307,549 |
StoneX Group, Inc. 7.875% 3/1/31 (b)(g) | | 115,000 | 116,466 |
VistaJet Malta Finance PLC / XO Management Holding, Inc.: | | | |
6.375% 2/1/30(b) | | 980,000 | 715,400 |
7.875% 5/1/27(b) | | 625,000 | 529,069 |
9.5% 6/1/28(b) | | 354,000 | 298,245 |
| | | 5,858,850 |
Consumer Finance - 1.4% | | | |
Ally Financial, Inc.: | | | |
5.75% 11/20/25 | | 164,000 | 163,183 |
6.7% 2/14/33 | | 463,000 | 456,190 |
Bread Financial Holdings, Inc. 9.75% 3/15/29 (b) | | 660,000 | 675,015 |
Capstone Borrower, Inc. 8% 6/15/30 (b) | | 885,000 | 914,692 |
Cobra AcquisitionCo LLC 6.375% 11/1/29 (b) | | 630,000 | 516,944 |
Ford Motor Credit Co. LLC: | | | |
2.9% 2/10/29 | | 670,000 | 583,721 |
3.375% 11/13/25 | | 300,000 | 287,827 |
3.625% 6/17/31 | | 280,000 | 238,698 |
3.815% 11/2/27 | | 330,000 | 307,742 |
4% 11/13/30 | | 95,000 | 83,995 |
4.389% 1/8/26 | | 195,000 | 189,614 |
5.125% 6/16/25 | | 95,000 | 94,038 |
7.35% 3/6/30 | | 700,000 | 742,002 |
goeasy Ltd.: | | | |
4.375% 5/1/26(b) | | 175,000 | 167,409 |
9.25% 12/1/28(b) | | 110,000 | 116,718 |
LFS Topco LLC 5.875% 10/15/26 (b) | | 375,000 | 346,655 |
Navient Corp.: | | | |
4.875% 3/15/28 | | 630,000 | 575,083 |
5% 3/15/27 | | 315,000 | 298,615 |
5.5% 3/15/29 | | 1,895,000 | 1,714,791 |
5.625% 8/1/33 | | 265,000 | 215,906 |
6.75% 6/15/26 | | 766,000 | 769,233 |
9.375% 7/25/30 | | 980,000 | 1,024,147 |
11.5% 3/15/31 | | 735,000 | 804,008 |
OneMain Finance Corp.: | | | |
3.5% 1/15/27 | | 830,000 | 763,993 |
3.875% 9/15/28 | | 900,000 | 786,324 |
5.375% 11/15/29 | | 655,000 | 607,799 |
6.625% 1/15/28 | | 1,076,000 | 1,069,890 |
6.875% 3/15/25 | | 40,000 | 40,400 |
7.125% 3/15/26 | | 535,000 | 543,689 |
7.875% 3/15/30 | | 1,375,000 | 1,398,422 |
9% 1/15/29 | | 1,795,000 | 1,885,181 |
PROG Holdings, Inc. 6% 11/15/29 (b) | | 1,000,000 | 919,125 |
SLM Corp. 4.2% 10/29/25 | | 352,000 | 341,331 |
| | | 19,642,380 |
Financial Services - 1.5% | | | |
At Home Cayman 11.5% 5/12/28 (b) | | 147,691 | 101,538 |
Block, Inc.: | | | |
2.75% 6/1/26 | | 100,000 | 93,284 |
3.5% 6/1/31 | | 495,000 | 422,271 |
Enact Holdings, Inc. 6.5% 8/15/25 (b) | | 1,540,000 | 1,540,062 |
Freedom Mortgage Corp.: | | | |
6.625% 1/15/27(b) | | 300,000 | 286,052 |
7.625% 5/1/26(b) | | 225,000 | 223,341 |
12% 10/1/28(b) | | 50,000 | 54,167 |
12.25% 10/1/30(b) | | 200,000 | 220,046 |
Freedom Mortgage Hold 9.25% 2/1/29 (b) | | 60,000 | 60,912 |
GGAM Finance Ltd.: | | | |
7.75% 5/15/26(b) | | 175,000 | 177,844 |
8% 2/15/27(b) | | 558,000 | 571,934 |
8% 6/15/28(b) | | 395,000 | 408,660 |
Gn Bondco LLC 9.5% 10/15/31 (b) | | 760,000 | 752,400 |
GTCR W-2 Merger Sub LLC 7.5% 1/15/31 (b) | | 2,195,000 | 2,289,385 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | | | |
4.375% 2/1/29 | | 1,045,000 | 881,708 |
5.25% 5/15/27 | | 441,000 | 405,169 |
6.25% 5/15/26 | | 1,465,000 | 1,427,556 |
LD Holdings Group LLC 6.125% 4/1/28 (b) | | 275,000 | 224,469 |
MidCap Financial Issuer Trust: | | | |
5.625% 1/15/30(b) | | 465,000 | 393,301 |
6.5% 5/1/28(b) | | 1,020,000 | 934,575 |
MPH Acquisition Holdings LLC 5.5% 9/1/28 (b) | | 900,000 | 785,250 |
Nationstar Mortgage Holdings, Inc.: | | | |
5.125% 12/15/30(b) | | 665,000 | 593,583 |
5.5% 8/15/28(b) | | 543,000 | 512,613 |
5.75% 11/15/31(b) | | 320,000 | 293,187 |
NCR Atleos Corp. 9.5% 4/1/29 (b) | | 757,000 | 800,751 |
P&L Development LLC/PLD Finance Corp. 7.75% 11/15/25 (b) | | 365,000 | 293,745 |
PennyMac Financial Services, Inc.: | | | |
4.25% 2/15/29(b) | | 1,165,000 | 1,050,329 |
5.375% 10/15/25(b) | | 525,000 | 516,662 |
5.75% 9/15/31(b) | | 50,000 | 45,975 |
7.875% 12/15/29(b) | | 817,000 | 836,289 |
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. 3.625% 3/1/29 (b) | | 150,000 | 133,056 |
Quicken Loans LLC/Quicken Loans Co.-Issuer, Inc. 4% 10/15/33 (b) | | 580,000 | 481,539 |
Scientific Games Holdings LP/Scientific Games U.S. Finco, Inc. 6.625% 3/1/30 (b) | | 1,210,000 | 1,134,375 |
United Shore Financial Services LLC: | | | |
5.5% 4/15/29(b) | | 525,000 | 490,043 |
5.75% 6/15/27(b) | | 740,000 | 717,855 |
Verscend Escrow Corp. 9.75% 8/15/26 (b) | | 1,340,000 | 1,342,586 |
| | | 21,496,512 |
Insurance - 1.0% | | | |
Acrisure LLC / Acrisure Finance, Inc.: | | | |
4.25% 2/15/29(b) | | 80,000 | 70,958 |
8.25% 2/1/29(b) | | 1,040,000 | 1,027,555 |
10.125% 8/1/26(b) | | 860,000 | 894,403 |
Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer: | | | |
5.875% 11/1/29(b) | | 960,000 | 878,774 |
6.75% 10/15/27(b) | | 1,761,000 | 1,710,856 |
6.75% 4/15/28(b) | | 100,000 | 99,333 |
7% 1/15/31(b) | | 1,315,000 | 1,309,858 |
AmWINS Group, Inc.: | | | |
4.875% 6/30/29(b) | | 235,000 | 216,741 |
6.375% 2/15/29(b) | | 485,000 | 485,316 |
GTCR AP Finance, Inc. 8% 5/15/27 (b) | | 1,430,000 | 1,432,414 |
HUB International Ltd.: | | | |
5.625% 12/1/29(b) | | 695,000 | 645,058 |
7.25% 6/15/30(b) | | 1,940,000 | 1,979,010 |
7.375% 1/31/32(b) | | 2,590,000 | 2,598,205 |
Jones DesLauriers Insurance Management, Inc. 8.5% 3/15/30 (b) | | 845,000 | 878,800 |
National Financial Partners Corp. 8.5% 10/1/31 (b) | | 100,000 | 110,382 |
Ryan Specialty Group LLC 4.375% 2/1/30 (b) | | 390,000 | 362,228 |
USI, Inc. 7.5% 1/15/32 (b) | | 95,000 | 94,644 |
| | | 14,794,535 |
Mortgage Real Estate Investment Trusts - 0.1% | | | |
Rithm Capital Corp. 6.25% 10/15/25 (b) | | 85,000 | 83,902 |
Starwood Property Trust, Inc.: | | | |
3.75% 12/31/24(b) | | 123,000 | 120,538 |
4.375% 1/15/27(b) | | 765,000 | 717,188 |
| | | 921,628 |
TOTAL FINANCIALS | | | 64,889,456 |
| | | |
HEALTH CARE - 3.4% | | | |
Biotechnology - 0.0% | | | |
Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) | | 587,000 | 237,730 |
Grifols SA 4.75% 10/15/28 (b) | | 220,000 | 183,216 |
| | | 420,946 |
Health Care Equipment & Supplies - 0.6% | | | |
AdaptHealth LLC: | | | |
4.625% 8/1/29(b) | | 1,388,000 | 1,155,510 |
5.125% 3/1/30(b) | | 330,000 | 275,963 |
Avantor Funding, Inc.: | | | |
3.875% 11/1/29(b) | | 235,000 | 210,631 |
4.625% 7/15/28(b) | | 1,475,000 | 1,392,228 |
Bausch + Lomb Corp. 8.375% 10/1/28 (b) | | 600,000 | 627,000 |
Embecta Corp.: | | | |
5% 2/15/30(b) | | 540,000 | 430,380 |
6.75% 2/15/30(b) | | 75,000 | 65,063 |
Hologic, Inc. 3.25% 2/15/29 (b) | | 120,000 | 106,993 |
Medline Borrower LP: | | | |
3.875% 4/1/29(b) | | 1,800,000 | 1,613,940 |
5.25% 10/1/29(b) | | 2,475,000 | 2,289,340 |
Teleflex, Inc. 4.25% 6/1/28 (b) | | 20,000 | 18,672 |
| | | 8,185,720 |
Health Care Providers & Services - 1.9% | | | |
180 Medical, Inc. 3.875% 10/15/29 (b) | | 180,000 | 161,100 |
AMN Healthcare: | | | |
4% 4/15/29(b) | | 617,000 | 541,418 |
4.625% 10/1/27(b) | | 200,000 | 188,190 |
Cano Health, Inc. 6.25% (b)(c) | | 140,000 | 1,400 |
Community Health Systems, Inc.: | | | |
4.75% 2/15/31(b) | | 710,000 | 540,282 |
5.25% 5/15/30(b) | | 1,730,000 | 1,380,243 |
5.625% 3/15/27(b) | | 515,000 | 471,187 |
6% 1/15/29(b) | | 990,000 | 851,400 |
6.125% 4/1/30(b) | | 950,000 | 594,301 |
6.875% 4/15/29(b) | | 566,000 | 361,161 |
8% 3/15/26(b) | | 20,000 | 19,801 |
8% 12/15/27(b) | | 1,355,000 | 1,295,854 |
10.875% 1/15/32(b) | | 5,000 | 5,092 |
DaVita, Inc.: | | | |
3.75% 2/15/31(b) | | 3,050,000 | 2,502,762 |
4.625% 6/1/30(b) | | 535,000 | 470,611 |
LifePoint Health, Inc. 4.375% 2/15/27 (b) | | 525,000 | 486,998 |
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (b) | | 60,000 | 44,250 |
Modivcare, Inc. 5.875% 11/15/25 (b) | | 326,000 | 318,308 |
Molina Healthcare, Inc.: | | | |
3.875% 5/15/32(b) | | 105,000 | 90,315 |
4.375% 6/15/28(b) | | 590,000 | 549,562 |
Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b) | | 270,000 | 242,669 |
Prime Healthcare Services 7.25% 11/1/25 (b) | | 625,000 | 623,438 |
Radiology Partners, Inc. 8.5% 1/31/29 pay-in-kind (b)(e) | | 321,000 | 308,561 |
Regionalcare Hospital Partners 9.75% 12/1/26 (b) | | 1,738,000 | 1,737,503 |
RegionalCare Hospital Partners Holdings, Inc.: | | | |
5.375% 1/15/29(b) | | 790,000 | 629,851 |
9.875% 8/15/30(b) | | 285,000 | 295,684 |
11% 10/15/30(b) | | 1,012,000 | 1,070,497 |
Select Medical Corp. 6.25% 8/15/26 (b) | | 855,000 | 852,845 |
Star Parent, Inc. 9% 10/1/30 (b) | | 568,000 | 599,450 |
Tenet Healthcare Corp.: | | | |
4.25% 6/1/29 | | 2,425,000 | 2,230,243 |
4.375% 1/15/30 | | 2,600,000 | 2,381,325 |
6.125% 10/1/28 | | 2,330,000 | 2,303,788 |
6.125% 6/15/30 | | 2,025,000 | 2,005,462 |
6.75% 5/15/31(b) | | 505,000 | 509,419 |
6.875% 11/15/31 | | 840,000 | 859,950 |
| | | 27,524,920 |
Health Care Technology - 0.1% | | | |
Athenahealth Group, Inc. 6.5% 2/15/30 (b) | | 1,330,000 | 1,190,718 |
IQVIA, Inc.: | | | |
5% 10/15/26(b) | | 30,000 | 29,323 |
6.5% 5/15/30(b) | | 500,000 | 506,930 |
| | | 1,726,971 |
Life Sciences Tools & Services - 0.1% | | | |
Charles River Laboratories International, Inc.: | | | |
3.75% 3/15/29(b) | | 225,000 | 202,979 |
4% 3/15/31(b) | | 180,000 | 158,762 |
4.25% 5/1/28(b) | | 70,000 | 65,653 |
| | | 427,394 |
Pharmaceuticals - 0.7% | | | |
1375209 BC Ltd. 9% 1/30/28 (b) | | 250,000 | 244,390 |
Bausch Health Companies, Inc.: | | | |
5% 1/30/28(b) | | 2,400,000 | 1,091,614 |
5.25% 1/30/30(b) | | 1,822,000 | 785,959 |
5.5% 11/1/25(b) | | 485,000 | 451,346 |
6.25% 2/15/29(b) | | 1,860,000 | 850,931 |
9% 12/15/25(b) | | 140,000 | 133,160 |
Jazz Securities DAC 4.375% 1/15/29 (b) | | 350,000 | 322,449 |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | | | |
4.125% 4/30/28(b) | | 590,000 | 539,768 |
5.125% 4/30/31(b) | | 2,390,000 | 2,048,517 |
Teva Pharmaceutical Finance Netherlands III BV: | | | |
5.125% 5/9/29 | | 1,585,000 | 1,496,747 |
6.75% 3/1/28 | | 1,145,000 | 1,158,522 |
7.875% 9/15/29 | | 435,000 | 462,742 |
8.125% 9/15/31 | | 555,000 | 599,599 |
Valeant Pharmaceuticals International, Inc. 8.5% 1/31/27 (b) | | 24,000 | 13,657 |
| | | 10,199,401 |
TOTAL HEALTH CARE | | | 48,485,352 |
| | | |
INDUSTRIALS - 5.2% | | | |
Aerospace & Defense - 1.1% | | | |
AAR Escrow Issuer LLC 6.75% 3/15/29 (b)(g)(j) | | 65,000 | 65,614 |
Bombardier, Inc.: | | | |
7.5% 2/1/29(b) | | 2,175,000 | 2,206,091 |
7.875% 4/15/27(b) | | 605,000 | 605,772 |
8.75% 11/15/30(b) | | 475,000 | 497,567 |
Howmet Aerospace, Inc.: | | | |
5.9% 2/1/27 | | 100,000 | 100,956 |
5.95% 2/1/37 | | 40,000 | 40,616 |
6.875% 5/1/25 | | 100,000 | 101,048 |
Moog, Inc. 4.25% 12/15/27 (b) | | 30,000 | 28,076 |
Spirit Aerosystems, Inc. 9.75% 11/15/30 (b) | | 565,000 | 605,317 |
The Boeing Co.: | | | |
5.805% 5/1/50 | | 800,000 | 771,104 |
5.93% 5/1/60 | | 625,000 | 598,368 |
TransDigm, Inc.: | | | |
4.625% 1/15/29 | | 950,000 | 871,160 |
5.5% 11/15/27 | | 1,399,000 | 1,350,035 |
6.375% 3/1/29(b) | | 1,150,000 | 1,155,198 |
6.625% 3/1/32(b) | | 1,490,000 | 1,499,310 |
6.75% 8/15/28(b) | | 795,000 | 802,950 |
6.875% 12/15/30(b) | | 2,086,000 | 2,110,844 |
7.125% 12/1/31(b) | | 1,215,000 | 1,246,371 |
7.5% 3/15/27 | | 425,000 | 424,655 |
| | | 15,081,052 |
Air Freight & Logistics - 0.1% | | | |
Aercap Global Aviation Trust 6.5% 6/15/45 (b)(e) | | 155,000 | 153,714 |
Rand Parent LLC 8.5% 2/15/30 (b) | | 910,000 | 883,762 |
| | | 1,037,476 |
Building Products - 0.5% | | | |
Advanced Drain Systems, Inc.: | | | |
5% 9/30/27(b) | | 40,000 | 38,644 |
6.375% 6/15/30(b) | | 435,000 | 434,986 |
AmeriTex Holdco Intermediate LLC 10.25% 10/15/28 (b) | | 40,000 | 41,900 |
BCPE Ulysses Intermediate, Inc. 7.75% 4/1/27 pay-in-kind (b)(e) | | 225,000 | 215,588 |
Builders FirstSource, Inc.: | | | |
4.25% 2/1/32(b) | | 275,000 | 241,622 |
6.375% 6/15/32(b) | | 294,000 | 293,954 |
6.375% 3/1/34(b) | | 605,000 | 603,588 |
Cornerstone Building Brands, Inc. 6.125% 1/15/29 (b) | | 600,000 | 540,750 |
EMRLD Borrower LP / Emerald Co. 6.625% 12/15/30 (b) | | 565,000 | 566,978 |
Griffon Corp. 5.75% 3/1/28 | | 150,000 | 145,125 |
Jeld-Wen, Inc. 4.625% 12/15/25 (b) | | 225,000 | 219,349 |
Masonite International Corp.: | | | |
3.5% 2/15/30(b) | | 250,000 | 220,652 |
5.375% 2/1/28(b) | | 48,000 | 47,820 |
MIWD Holdco II LLC / MIWD Finance Corp. 5.5% 2/1/30 (b) | | 330,000 | 301,106 |
New Enterprise Stone & Lime Co., Inc. 5.25% 7/15/28 (b) | | 840,000 | 800,429 |
Oscar Acquisition Co. LLC / Oscar Finance, Inc. 9.5% 4/15/30 (b) | | 180,000 | 175,056 |
Shea Homes Ltd. Partnership/Corp.: | | | |
4.75% 2/15/28 | | 600,000 | 572,290 |
4.75% 4/1/29 | | 75,000 | 70,439 |
Standard Industries, Inc./New Jersey 4.375% 7/15/30 (b) | | 1,370,000 | 1,221,472 |
| | | 6,751,748 |
Commercial Services & Supplies - 1.4% | | | |
ACCO Brands Corp. 4.25% 3/15/29 (b) | | 560,000 | 496,456 |
Allied Universal Holdco LLC 7.875% 2/15/31 (b) | | 1,084,000 | 1,076,498 |
Allied Universal Holdco LLC / Allied Universal Finance Corp.: | | | |
6% 6/1/29(b) | | 1,765,000 | 1,461,385 |
6.625% 7/15/26(b) | | 530,000 | 528,395 |
9.75% 7/15/27(b) | | 2,305,000 | 2,296,983 |
APX Group, Inc. 5.75% 7/15/29 (b) | | 375,000 | 356,599 |
Artera Services LLC 8.5% 2/15/31 (b) | | 770,000 | 786,596 |
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | | | |
4.625% 6/1/28(b) | | 785,000 | 697,944 |
4.625% 6/1/28(b) | | 915,000 | 810,551 |
Brand Industrial Services, Inc. 10.375% 8/1/30 (b) | | 855,000 | 909,230 |
Cimpress PLC 7% 6/15/26 | | 65,000 | 64,718 |
Clean Harbors, Inc. 6.375% 2/1/31 (b) | | 95,000 | 94,442 |
CoreCivic, Inc.: | | | |
4.75% 10/15/27 | | 90,000 | 84,833 |
8.25% 4/15/26 | | 790,000 | 807,317 |
Covanta Holding Corp.: | | | |
4.875% 12/1/29(b) | | 805,000 | 703,485 |
5% 9/1/30 | | 175,000 | 151,813 |
GFL Environmental, Inc.: | | | |
3.75% 8/1/25(b) | | 195,000 | 189,325 |
4% 8/1/28(b) | | 100,000 | 91,687 |
4.375% 8/15/29(b) | | 600,000 | 546,642 |
4.75% 6/15/29(b) | | 50,000 | 46,817 |
5.125% 12/15/26(b) | | 195,000 | 190,740 |
6.75% 1/15/31(b) | | 680,000 | 695,545 |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (b) | | 346,000 | 343,939 |
Madison IAQ LLC: | | | |
4.125% 6/30/28(b) | | 1,200,000 | 1,093,150 |
5.875% 6/30/29(b) | | 835,000 | 745,523 |
Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b) | | 1,015,000 | 951,563 |
NorthRiver Midstream Finance LP 5.625% 2/15/26 (b) | | 470,000 | 460,757 |
Prime Securities Services Borrower LLC/Prime Finance, Inc. 6.25% 1/15/28 (b) | | 900,000 | 888,015 |
Stericycle, Inc.: | | | |
3.875% 1/15/29(b) | | 480,000 | 431,961 |
5.375% 7/15/24(b) | | 155,000 | 154,923 |
The GEO Group, Inc.: | | | |
6% 4/15/26 | | 50,000 | 48,039 |
9.5% 12/31/28(b) | | 650,000 | 648,315 |
VT Topco, Inc. 8.5% 8/15/30 (b) | | 175,000 | 182,516 |
Williams Scotsman, Inc. 7.375% 10/1/31 (b) | | 403,000 | 418,052 |
| | | 19,454,754 |
Construction & Engineering - 0.3% | | | |
AECOM 5.125% 3/15/27 | | 1,030,000 | 1,008,943 |
Amsted Industries, Inc. 4.625% 5/15/30 (b) | | 540,000 | 491,656 |
ATP Tower Holdings LLC/Andean Tower Partners 4.05% 4/27/26 (b) | | 215,000 | 199,413 |
Cloud Crane LLC 11.5% 9/1/28 (b) | | 375,000 | 389,841 |
Pike Corp.: | | | |
5.5% 9/1/28(b) | | 74,000 | 70,194 |
8.625% 1/31/31(b) | | 475,000 | 501,625 |
Railworks Holdings LP 8.25% 11/15/28 (b) | | 410,000 | 407,236 |
SRS Distribution, Inc. 6% 12/1/29 (b) | | 1,305,000 | 1,214,962 |
| | | 4,283,870 |
Electrical Equipment - 0.3% | | | |
Albion Financing 1 SARL 6.125% 10/15/26 (b) | | 605,000 | 598,285 |
EnerSys 6.625% 1/15/32 (b) | | 65,000 | 65,269 |
GrafTech Global Enterprises, Inc. 9.875% 12/15/28 (b) | | 595,000 | 472,430 |
Regal Rexnord Corp.: | | | |
6.05% 2/15/26(b) | | 300,000 | 301,242 |
6.05% 4/15/28(b) | | 195,000 | 196,225 |
6.3% 2/15/30(b) | | 195,000 | 198,553 |
Sensata Technologies BV: | | | |
4% 4/15/29(b) | | 760,000 | 689,265 |
5% 10/1/25(b) | | 40,000 | 39,627 |
5.875% 9/1/30(b) | | 785,000 | 764,544 |
Wesco Distribution, Inc.: | | | |
6.375% 3/15/29(b) | | 170,000 | 170,016 |
6.625% 3/15/32(b) | | 140,000 | 140,046 |
7.125% 6/15/25(b) | | 150,000 | 150,896 |
7.25% 6/15/28(b) | | 540,000 | 551,846 |
| | | 4,338,244 |
Ground Transportation - 0.2% | | | |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | | | |
4.75% 4/1/28(b) | | 650,000 | 588,816 |
5.375% 3/1/29(b) | | 150,000 | 136,563 |
5.75% 7/15/27(b) | | 20,000 | 19,057 |
RXO, Inc. 7.5% 11/15/27 (b) | | 175,000 | 180,687 |
Uber Technologies, Inc. 8% 11/1/26 (b) | | 765,000 | 778,461 |
Watco Companies LLC / Watco Finance Corp. 6.5% 6/15/27 (b) | | 940,000 | 913,865 |
XPO, Inc.: | | | |
6.25% 6/1/28(b) | | 305,000 | 305,686 |
7.125% 6/1/31(b) | | 90,000 | 91,916 |
7.125% 2/1/32(b) | | 315,000 | 320,246 |
| | | 3,335,297 |
Industrial Conglomerates - 0.0% | | | |
Benteler International AG 10.5% 5/15/28 (b) | | 295,000 | 316,756 |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.75% 6/15/29 (b) | | 360,000 | 323,080 |
| | | 639,836 |
Machinery - 0.5% | | | |
Chart Industries, Inc.: | | | |
7.5% 1/1/30(b) | | 325,000 | 335,241 |
9.5% 1/1/31(b) | | 220,000 | 236,361 |
Hillenbrand, Inc. 3.75% 3/1/31 | | 590,000 | 502,975 |
Loxam SAS 6.375% 5/31/29 (b) | EUR | 190,000 | 212,283 |
Mueller Water Products, Inc. 4% 6/15/29 (b) | | 1,305,000 | 1,186,760 |
Stevens Holding Co., Inc. 6.125% 10/1/26 (b) | | 335,000 | 332,488 |
Terex Corp. 5% 5/15/29 (b) | | 435,000 | 406,204 |
Titan International, Inc. 7% 4/30/28 | | 425,000 | 421,998 |
TK Elevator U.S. Newco, Inc. 5.25% 7/15/27 (b) | | 1,435,000 | 1,378,384 |
Trinity Industries, Inc. 7.75% 7/15/28 (b) | | 275,000 | 283,375 |
Vertical Holdco GmbH: | | | |
6.625% 7/15/28 (Reg. S) | EUR | 1,125,000 | 1,167,361 |
7.625% 7/15/28(b) | | 581,000 | 568,485 |
| | | 7,031,915 |
Marine Transportation - 0.0% | | | |
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 10.75% 7/1/25 (b) | | 85,000 | 85,213 |
Seaspan Corp. 5.5% 8/1/29 (b) | | 380,000 | 323,961 |
| | | 409,174 |
Passenger Airlines - 0.3% | | | |
Air Canada 3.875% 8/15/26 (b) | | 145,000 | 137,323 |
American Airlines, Inc.: | | | |
7.25% 2/15/28(b) | | 300,000 | 302,497 |
8.5% 5/15/29(b) | | 115,000 | 120,895 |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd.: | | | |
5.5% 4/20/26(b) | | 772,500 | 765,419 |
5.75% 4/20/29(b) | | 1,520,000 | 1,486,482 |
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. 5.75% 1/20/26 (b) | | 325,000 | 306,719 |
Mileage Plus Holdings LLC 6.5% 6/20/27 (b) | | 70,000 | 70,017 |
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd. 8% 9/20/25 (b) | | 171,000 | 123,677 |
United Airlines, Inc.: | | | |
4.375% 4/15/26(b) | | 625,000 | 601,540 |
4.625% 4/15/29(b) | | 1,205,000 | 1,111,498 |
| | | 5,026,067 |
Professional Services - 0.1% | | | |
ASGN, Inc. 4.625% 5/15/28 (b) | | 175,000 | 163,206 |
CoreLogic, Inc. 4.5% 5/1/28 (b) | | 265,000 | 234,692 |
Korn Ferry 4.625% 12/15/27 (b) | | 75,000 | 70,877 |
TriNet Group, Inc.: | | | |
3.5% 3/1/29(b) | | 250,000 | 221,360 |
7.125% 8/15/31(b) | | 90,000 | 91,677 |
| | | 781,812 |
Trading Companies & Distributors - 0.4% | | | |
Alta Equipment Group, Inc. 5.625% 4/15/26 (b) | | 200,000 | 193,406 |
Beacon Roofing Supply, Inc. 6.5% 8/1/30 (b) | | 430,000 | 432,328 |
FLY Leasing Ltd. 7% 10/15/24 (b) | | 55,000 | 53,901 |
Fortress Transportation & Infrastructure Investors LLC 7.875% 12/1/30 (b) | | 190,000 | 199,215 |
Foundation Building Materials, Inc. 6% 3/1/29 (b) | | 650,000 | 567,178 |
H&E Equipment Services, Inc. 3.875% 12/15/28 (b) | | 2,280,000 | 2,057,330 |
United Rentals North America, Inc.: | | | |
3.75% 1/15/32 | | 150,000 | 129,812 |
3.875% 2/15/31 | | 945,000 | 835,144 |
4% 7/15/30 | | 877,000 | 793,930 |
4.875% 1/15/28 | | 525,000 | 506,780 |
5.25% 1/15/30 | | 100,000 | 96,824 |
| | | 5,865,848 |
TOTAL INDUSTRIALS | | | 74,037,093 |
| | | |
INFORMATION TECHNOLOGY - 2.5% | | | |
Communications Equipment - 0.2% | | | |
CommScope, Inc. 4.75% 9/1/29 (b) | | 345,000 | 236,325 |
HTA Group Ltd. 7% 12/18/25 (b) | | 725,000 | 718,388 |
Hughes Satellite Systems Corp. 6.625% 8/1/26 | | 303,000 | 199,683 |
IHS Netherlands Holdco BV 8% 9/18/27 (b) | | 95,000 | 85,182 |
ViaSat, Inc.: | | | |
5.625% 9/15/25(b) | | 1,325,000 | 1,286,005 |
5.625% 4/15/27(b) | | 775,000 | 727,531 |
7.5% 5/30/31(b) | | 450,000 | 316,125 |
| | | 3,569,239 |
Electronic Equipment, Instruments & Components - 0.1% | | | |
Coherent Corp. 5% 12/15/29 (b) | | 500,000 | 466,250 |
Likewize Corp. 9.75% 10/15/25 (b) | | 585,000 | 595,281 |
Sensata Technologies, Inc. 3.75% 2/15/31 (b) | | 95,000 | 81,239 |
TTM Technologies, Inc. 4% 3/1/29 (b) | | 885,000 | 787,736 |
| | | 1,930,506 |
IT Services - 0.4% | | | |
Acuris Finance U.S. 5% 5/1/28 (b) | | 580,000 | 519,292 |
Gartner, Inc.: | | | |
3.625% 6/15/29(b) | | 434,000 | 388,862 |
4.5% 7/1/28(b) | | 255,000 | 241,379 |
GCI LLC 4.75% 10/15/28 (b) | | 720,000 | 646,034 |
Go Daddy Operating Co. LLC / GD Finance Co., Inc.: | | | |
3.5% 3/1/29(b) | | 610,000 | 543,130 |
5.25% 12/1/27(b) | | 440,000 | 425,700 |
Presidio Holdings, Inc. 8.25% 2/1/28 (b) | | 845,000 | 833,246 |
Rackspace Hosting, Inc. 3.5% 2/15/28 (b) | | 475,000 | 191,247 |
Sabre GLBL, Inc. 11.25% 12/15/27 (b) | | 330,000 | 310,200 |
Tempo Acquisition LLC 5.75% 6/1/25 (b) | | 260,000 | 257,440 |
Twilio, Inc.: | | | |
3.625% 3/15/29 | | 350,000 | 311,157 |
3.875% 3/15/31 | | 540,000 | 469,904 |
Virtusa Corp. 7.125% 12/15/28 (b) | | 80,000 | 70,950 |
| | | 5,208,541 |
Semiconductors & Semiconductor Equipment - 0.2% | | | |
Entegris, Inc.: | | | |
3.625% 5/1/29(b) | | 175,000 | 154,875 |
4.75% 4/15/29(b) | | 35,000 | 33,002 |
5.95% 6/15/30(b) | | 2,670,000 | 2,618,080 |
| | | 2,805,957 |
Software - 1.5% | | | |
Black Knight InfoServ LLC 3.625% 9/1/28 (b) | | 795,000 | 747,300 |
Boxer Parent Co., Inc.: | | | |
7.125% 10/2/25(b) | | 970,000 | 970,960 |
9.125% 3/1/26(b) | | 605,000 | 602,529 |
Central Parent, Inc./Central Merger Sub, Inc. 7.25% 6/15/29 (b) | | 1,920,000 | 1,932,720 |
Clarivate Science Holdings Corp. 4.875% 7/1/29 (b) | | 425,000 | 385,437 |
Cloud Software Group, Inc.: | | | |
6.5% 3/31/29(b) | | 1,175,000 | 1,094,228 |
9% 9/30/29(b) | | 3,520,000 | 3,285,247 |
CNT PRNT/CDK GLO II/FIN 8% 6/15/29 (b) | | 1,075,000 | 1,101,812 |
Elastic NV 4.125% 7/15/29 (b) | | 170,000 | 152,699 |
Fair Isaac Corp.: | | | |
4% 6/15/28(b) | | 1,070,000 | 993,939 |
5.25% 5/15/26(b) | | 575,000 | 568,902 |
Gen Digital, Inc.: | | | |
5% 4/15/25(b) | | 815,000 | 806,850 |
6.75% 9/30/27(b) | | 765,000 | 768,931 |
7.125% 9/30/30(b) | | 995,000 | 1,016,517 |
ION Trading Technologies Ltd. 5.75% 5/15/28 (b) | | 405,000 | 363,488 |
McAfee Corp. 7.375% 2/15/30 (b) | | 1,785,000 | 1,575,402 |
MicroStrategy, Inc. 6.125% 6/15/28 (b) | | 545,000 | 525,489 |
NCR Voyix Corp.: | | | |
5.125% 4/15/29(b) | | 625,000 | 579,485 |
5.25% 10/1/30(b) | | 155,000 | 140,013 |
Open Text Corp. 3.875% 2/15/28 (b) | | 225,000 | 206,748 |
Open Text Holdings, Inc.: | | | |
4.125% 2/15/30(b) | | 345,000 | 304,591 |
4.125% 12/1/31(b) | | 385,000 | 329,529 |
UKG, Inc. 6.875% 2/1/31 (b) | | 3,625,000 | 3,662,700 |
Veritas U.S., Inc./Veritas Bermuda Ltd. 7.5% 9/1/25 (b) | | 120,000 | 110,033 |
| | | 22,225,549 |
Technology Hardware, Storage & Peripherals - 0.1% | | | |
Seagate HDD Cayman: | | | |
5.75% 12/1/34 | | 245,000 | 235,494 |
8.25% 12/15/29(b) | | 85,000 | 91,078 |
8.5% 7/15/31(b) | | 105,000 | 113,528 |
Western Digital Corp.: | | | |
2.85% 2/1/29 | | 331,000 | 278,767 |
3.1% 2/1/32 | | 140,000 | 109,578 |
| | | 828,445 |
TOTAL INFORMATION TECHNOLOGY | | | 36,568,237 |
| | | |
MATERIALS - 3.8% | | | |
Chemicals - 1.4% | | | |
Ashland, Inc.: | | | |
3.375% 9/1/31(b) | | 250,000 | 209,447 |
6.875% 5/15/43 | | 275,000 | 283,940 |
ASP Unifrax Holdings, Inc. 5.25% 9/30/28 (b) | | 300,000 | 190,232 |
Avient Corp. 7.125% 8/1/30 (b) | | 1,027,000 | 1,049,502 |
Axalta Coating Systems Dutch Holding B BV 7.25% 2/15/31 (b) | | 500,000 | 518,725 |
Celanese U.S. Holdings LLC: | | | |
6.55% 11/15/30 | | 290,000 | 301,508 |
6.7% 11/15/33 | | 1,065,000 | 1,118,767 |
Consolidated Energy Finance SA 12% 2/15/31 (b) | | 645,000 | 659,242 |
CVR Partners LP/CVR Nitrogen Finance Corp. 6.125% 6/15/28 (b) | | 1,005,000 | 950,308 |
Element Solutions, Inc. 3.875% 9/1/28 (b) | | 182,000 | 164,951 |
Gpd Companies, Inc. 10.125% 4/1/26 (b) | | 545,000 | 501,226 |
GrafTech Finance, Inc. 4.625% 12/15/28 (b) | | 887,000 | 583,037 |
INEOS Quattro Finance 2 PLC 9.625% 3/15/29 (b) | | 200,000 | 210,351 |
Invictus U.S. Newco LLC 5% 10/30/29 (b) | | 550,000 | 467,374 |
Iris Holding, Inc. 10% 12/15/28 (b) | | 475,000 | 411,695 |
Itelyum Regeneration SpA 4.625% 10/1/26 (b) | EUR | 215,000 | 226,061 |
Kobe U.S. Midco 2, Inc. 9.25% 11/1/26 pay-in-kind (b)(e) | | 214,500 | 180,045 |
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. 7% 12/31/27 (b) | | 475,000 | 458,375 |
LSB Industries, Inc. 6.25% 10/15/28 (b) | | 160,000 | 151,723 |
Methanex Corp.: | | | |
5.125% 10/15/27 | | 1,041,000 | 1,000,172 |
5.25% 12/15/29 | | 565,000 | 537,215 |
5.65% 12/1/44 | | 602,000 | 510,217 |
NOVA Chemicals Corp.: | | | |
4.25% 5/15/29(b) | | 435,000 | 359,807 |
5% 5/1/25(b) | | 200,000 | 195,313 |
5.25% 6/1/27(b) | | 122,000 | 112,998 |
8.5% 11/15/28(b) | | 110,000 | 116,144 |
9% 2/15/30(b) | | 100,000 | 100,320 |
Nufarm Australia Ltd. 5% 1/27/30 (b) | | 510,000 | 467,706 |
Olin Corp. 5% 2/1/30 | | 375,000 | 350,486 |
Olympus Water U.S. Holding Corp.: | | | |
4.25% 10/1/28(b) | | 380,000 | 340,290 |
6.25% 10/1/29(b) | | 405,000 | 359,238 |
9.75% 11/15/28(b) | | 985,000 | 1,046,609 |
Rain Carbon, Inc. 12.25% 9/1/29 (b) | | 225,000 | 225,029 |
Rain CII Carbon LLC/CII Carbon Corp. 7.25% 4/1/25 (b) | | 17,000 | 16,554 |
SCIH Salt Holdings, Inc.: | | | |
4.875% 5/1/28(b) | | 80,000 | 73,100 |
6.625% 5/1/29(b) | | 225,000 | 204,583 |
The Chemours Co. LLC: | | | |
4.625% 11/15/29(b) | | 520,000 | 427,584 |
5.375% 5/15/27 | | 215,000 | 196,400 |
5.75% 11/15/28(b) | | 450,000 | 394,671 |
The Scotts Miracle-Gro Co.: | | | |
4% 4/1/31 | | 1,090,000 | 924,560 |
4.375% 2/1/32 | | 60,000 | 50,173 |
TPC Group, Inc. 13% 12/16/27 (b) | | 170,000 | 173,272 |
Tronox, Inc. 4.625% 3/15/29 (b) | | 1,265,000 | 1,119,691 |
W.R. Grace Holding LLC: | | | |
5.625% 8/15/29(b) | | 1,670,000 | 1,464,466 |
7.375% 3/1/31(b) | | 80,000 | 81,115 |
| | | 19,484,222 |
Construction Materials - 0.3% | | | |
Eco Material Technologies, Inc. 7.875% 1/31/27 (b) | | 815,000 | 813,178 |
Knife River Holding Co. 7.75% 5/1/31 (b) | | 150,000 | 155,345 |
Smyrna Ready Mix LLC: | | | |
6% 11/1/28(b) | | 470,000 | 455,824 |
8.875% 11/15/31(b) | | 285,000 | 302,038 |
Summit Materials LLC/Summit Materials Finance Corp.: | | | |
5.25% 1/15/29(b) | | 730,000 | 706,655 |
6.5% 3/15/27(b) | | 1,000,000 | 1,000,000 |
7.25% 1/15/31(b) | | 605,000 | 626,175 |
VM Consolidated, Inc. 5.5% 4/15/29 (b) | | 40,000 | 37,698 |
White Cap Buyer LLC 6.875% 10/15/28 (b) | | 450,000 | 438,774 |
| | | 4,535,687 |
Containers & Packaging - 0.8% | | | |
ARD Finance SA 6.5% 6/30/27 pay-in-kind (b)(e) | | 883,279 | 377,602 |
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | | | |
4% 9/1/29(b) | | 210,000 | 170,554 |
6% 6/15/27(b) | | 805,000 | 790,430 |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | | | |
5.25% 4/30/25(b) | | 30,000 | 29,666 |
5.25% 8/15/27(b) | | 250,000 | 181,263 |
5.25% 8/15/27(b) | | 60,000 | 43,507 |
Ball Corp.: | | | |
2.875% 8/15/30 | | 100,000 | 84,661 |
6% 6/15/29 | | 1,280,000 | 1,286,208 |
6.875% 3/15/28 | | 950,000 | 973,081 |
Berry Global, Inc. 4.875% 7/15/26 (b) | | 160,000 | 156,228 |
BWAY Holding Co. 7.875% 8/15/26 (b) | | 645,000 | 653,589 |
Cascades, Inc. 5.375% 1/15/28 (b) | | 475,000 | 459,165 |
Clydesdale Acquisition Holdings, Inc.: | | | |
6.625% 4/15/29(b) | | 220,000 | 218,729 |
8.75% 4/15/30(b) | | 285,000 | 271,278 |
Graham Packaging Co., Inc. 7.125% 8/15/28 (b) | | 565,000 | 500,754 |
Graphic Packaging International, Inc. 3.75% 2/1/30 (b) | | 550,000 | 489,407 |
Intelligent Packaging Holdco I 9% 1/15/26 pay-in-kind (b)(e) | | 266,000 | 235,631 |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (b) | | 537,000 | 499,286 |
Owens-Brockway Glass Container, Inc.: | | | |
6.375% 8/15/25(b) | | 300,000 | 303,254 |
7.25% 5/15/31(b) | | 240,000 | 243,238 |
Pactiv Evergreen Group Issuer, Inc. 4.375% 10/15/28 (b) | | 375,000 | 347,553 |
Sealed Air Corp.: | | | |
5% 4/15/29(b) | | 720,000 | 682,047 |
6.875% 7/15/33(b) | | 425,000 | 439,834 |
Sealed Air Corp./Sealed Air Corp. U.S.: | | | |
6.125% 2/1/28(b) | | 510,000 | 508,439 |
7.25% 2/15/31(b) | | 555,000 | 572,973 |
Trident TPI Holdings, Inc. 12.75% 12/31/28 (b) | | 745,000 | 794,630 |
TriMas Corp. 4.125% 4/15/29 (b) | | 75,000 | 68,366 |
Trivium Packaging Finance BV: | | | |
5.5% 8/15/26(b) | | 19,000 | 18,528 |
8.5% 8/15/27(b) | | 17,000 | 16,572 |
| | | 11,416,473 |
Metals & Mining - 1.2% | | | |
Alcoa Nederland Holding BV 6.125% 5/15/28 (b) | | 580,000 | 580,106 |
Arsenal AIC Parent LLC: | | | |
8% 10/1/30(b) | | 580,000 | 607,550 |
11.5% 10/1/31(b) | | 810,000 | 891,000 |
ATI, Inc.: | | | |
5.125% 10/1/31 | | 495,000 | 453,108 |
7.25% 8/15/30 | | 630,000 | 647,558 |
Big River Steel LLC/BRS Finance Corp. 6.625% 1/31/29 (b) | | 1,556,000 | 1,565,266 |
Cleveland-Cliffs, Inc. 6.75% 4/15/30 (b) | | 425,000 | 421,890 |
Commercial Metals Co.: | | | |
3.875% 2/15/31 | | 120,000 | 104,765 |
4.125% 1/15/30 | | 360,000 | 329,322 |
Compass Minerals International, Inc. 6.75% 12/1/27 (b) | | 210,000 | 204,853 |
Constellium NV 5.875% 2/15/26 (b) | | 145,000 | 143,815 |
Eldorado Gold Corp. 6.25% 9/1/29 (b) | | 505,000 | 473,180 |
ERO Copper Corp. 6.5% 2/15/30 (b) | | 984,000 | 922,992 |
First Quantum Minerals Ltd.: | | | |
6.875% 10/15/27(b) | | 660,000 | 628,749 |
8.625% 6/1/31(b) | | 500,000 | 477,895 |
9.375% 3/1/29(b) | | 700,000 | 725,419 |
FMG Resources Pty Ltd.: | | | |
4.375% 4/1/31(b) | | 100,000 | 89,615 |
5.875% 4/15/30(b) | | 725,000 | 709,577 |
Hecla Mining Co. 7.25% 2/15/28 | | 1,800,000 | 1,795,653 |
HudBay Minerals, Inc.: | | | |
4.5% 4/1/26(b) | | 420,000 | 404,730 |
6.125% 4/1/29(b) | | 1,474,000 | 1,446,327 |
Kaiser Aluminum Corp.: | | | |
4.5% 6/1/31(b) | | 50,000 | 42,723 |
4.625% 3/1/28(b) | | 89,000 | 82,061 |
Mineral Resources Ltd.: | | | |
8% 11/1/27(b) | | 100,000 | 101,851 |
8.5% 5/1/30(b) | | 345,000 | 354,320 |
9.25% 10/1/28(b) | | 830,000 | 870,463 |
New Gold, Inc. 7.5% 7/15/27 (b) | | 580,000 | 574,377 |
Novelis Corp.: | | | |
3.25% 11/15/26(b) | | 55,000 | 51,004 |
3.875% 8/15/31(b) | | 95,000 | 80,395 |
4.75% 1/30/30(b) | | 1,305,000 | 1,191,736 |
PMHC II, Inc. 9% 2/15/30 (b) | | 365,000 | 335,800 |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (b) | | 300,000 | 273,310 |
| | | 17,581,410 |
Paper & Forest Products - 0.1% | | | |
Ahlstrom Holding 3 OY 4.875% 2/4/28 (b) | | 380,000 | 345,800 |
LABL, Inc.: | | | |
5.875% 11/1/28(b) | | 155,000 | 138,837 |
6.75% 7/15/26(b) | | 75,000 | 72,739 |
8.25% 11/1/29(b) | | 525,000 | 443,625 |
9.5% 11/1/28(b) | | 160,000 | 160,038 |
10.5% 7/15/27(b) | | 633,000 | 614,540 |
Mercer International, Inc. 5.125% 2/1/29 | | 125,000 | 107,690 |
| | | 1,883,269 |
TOTAL MATERIALS | | | 54,901,061 |
| | | |
REAL ESTATE - 1.3% | | | |
Equity Real Estate Investment Trusts (REITs) - 0.7% | | | |
CTR Partnership LP/CareTrust Capital Corp. 3.875% 6/30/28 (b) | | 175,000 | 158,268 |
Diversified Healthcare Trust: | | | |
4.375% 3/1/31 | | 675,000 | 512,865 |
4.75% 2/15/28 | | 25,000 | 19,893 |
9.75% 6/15/25 | | 115,000 | 114,485 |
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 | | 80,000 | 79,275 |
Iron Mountain, Inc. 4.5% 2/15/31 (b) | | 100,000 | 88,494 |
MGM Growth Properties Operating Partnership LP: | | | |
3.875% 2/15/29(b) | | 950,000 | 836,000 |
5.75% 2/1/27 | | 660,000 | 655,050 |
MPT Operating Partnership LP/MPT Finance Corp.: | | | |
3.5% 3/15/31 | | 1,070,000 | 716,577 |
4.625% 8/1/29 | | 430,000 | 320,298 |
5% 10/15/27 | | 2,455,000 | 2,008,344 |
5.25% 8/1/26 | | 80,000 | 71,234 |
Omega Healthcare Investors, Inc.: | | | |
3.25% 4/15/33 | | 447,000 | 355,802 |
3.375% 2/1/31 | | 4,000 | 3,368 |
Park Intermediate Holdings LLC 4.875% 5/15/29 (b) | | 565,000 | 519,094 |
RHP Hotel Properties LP/RHP Finance Corp.: | | | |
4.5% 2/15/29(b) | | 960,000 | 892,349 |
7.25% 7/15/28(b) | | 85,000 | 87,055 |
Safehold Operating Partnership LP: | | | |
2.8% 6/15/31 | | 356,000 | 289,264 |
2.85% 1/15/32 | | 59,000 | 47,446 |
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC 6% 1/15/30 (b) | | 830,000 | 605,942 |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC: | | | |
6.5% 2/15/29(b) | | 665,000 | 512,003 |
10.5% 2/15/28(b) | | 390,000 | 403,688 |
VICI Properties LP / VICI Note Co.: | | | |
4.125% 8/15/30(b) | | 195,000 | 174,910 |
4.5% 1/15/28(b) | | 550,000 | 522,572 |
| | | 9,994,276 |
Real Estate Management & Development - 0.6% | | | |
Anywhere Real Estate Group LLC 7% 4/15/30 (b) | | 143,200 | 129,768 |
Cushman & Wakefield U.S. Borrower LLC 6.75% 5/15/28 (b) | | 805,000 | 792,981 |
Five Point Operation Co. LP 10.5% 1/15/28 (b) | | 652,724 | 667,508 |
Forestar Group, Inc. 3.85% 5/15/26 (b) | | 675,000 | 641,196 |
Greystar Real Estate Partners 7.75% 9/1/30 (b) | | 200,000 | 207,489 |
Howard Hughes Corp.: | | | |
4.125% 2/1/29(b) | | 855,000 | 758,975 |
4.375% 2/1/31(b) | | 928,000 | 790,557 |
5.375% 8/1/28(b) | | 1,380,000 | 1,301,492 |
Hunt Companies, Inc. 5.25% 4/15/29 (b) | | 850,000 | 777,684 |
Kennedy-Wilson, Inc. 4.75% 2/1/30 | | 275,000 | 217,594 |
Mattamy Group Corp. 4.625% 3/1/30 (b) | | 1,250,000 | 1,121,735 |
Realogy Group LLC/Realogy Co-Issuer Corp. 5.75% 1/15/29 (b) | | 6,000 | 4,455 |
Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 4/15/30 (b) | | 5,000 | 3,502 |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.125% 8/1/30 (b) | | 1,158,000 | 1,092,981 |
| | | 8,507,917 |
TOTAL REAL ESTATE | | | 18,502,193 |
| | | |
UTILITIES - 2.0% | | | |
Electric Utilities - 0.9% | | | |
Clearway Energy Operating LLC: | | | |
3.75% 2/15/31(b) | | 365,000 | 307,792 |
3.75% 1/15/32(b) | | 45,000 | 37,641 |
4.75% 3/15/28(b) | | 165,000 | 154,249 |
DPL, Inc.: | | | |
4.125% 7/1/25 | | 250,000 | 242,440 |
4.35% 4/15/29 | | 35,000 | 31,715 |
FirstEnergy Corp. 3.4% 3/1/50 | | 380,000 | 253,890 |
NextEra Energy Partners LP: | | | |
4.5% 9/15/27(b) | | 90,000 | 83,965 |
7.25% 1/15/29(b) | | 50,000 | 50,825 |
NRG Energy, Inc.: | | | |
3.375% 2/15/29(b) | | 195,000 | 170,202 |
3.625% 2/15/31(b) | | 1,240,000 | 1,042,633 |
3.875% 2/15/32(b) | | 450,000 | 375,911 |
5.25% 6/15/29(b) | | 922,000 | 873,762 |
PG&E Corp.: | | | |
5% 7/1/28 | | 535,000 | 510,272 |
5.25% 7/1/30 | | 3,425,000 | 3,219,699 |
Vistra Operations Co. LLC: | | | |
4.375% 5/1/29(b) | | 1,225,000 | 1,117,393 |
5% 7/31/27(b) | | 1,652,000 | 1,583,467 |
5.5% 9/1/26(b) | | 205,000 | 201,859 |
5.625% 2/15/27(b) | | 1,797,000 | 1,751,085 |
7.75% 10/15/31(b) | | 1,140,000 | 1,179,213 |
| | | 13,188,013 |
Gas Utilities - 0.3% | | | |
AmeriGas Partners LP/AmeriGas Finance Corp.: | | | |
5.75% 5/20/27 | | 140,000 | 132,355 |
5.875% 8/20/26 | | 225,000 | 218,055 |
9.375% 6/1/28(b) | | 230,000 | 233,450 |
Ferrellgas LP/Ferrellgas Finance Corp.: | | | |
5.375% 4/1/26(b) | | 810,000 | 801,925 |
5.875% 4/1/29(b) | | 1,575,000 | 1,495,075 |
Suburban Propane Partners LP/Suburban Energy Finance Corp.: | | | |
5% 6/1/31(b) | | 750,000 | 673,756 |
5.875% 3/1/27 | | 210,000 | 206,850 |
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (b) | | 600,000 | 543,000 |
| | | 4,304,466 |
Independent Power and Renewable Electricity Producers - 0.7% | | | |
Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (b) | | 515,000 | 470,606 |
Calpine Corp.: | | | |
3.75% 3/1/31(b) | | 50,000 | 42,860 |
4.5% 2/15/28(b) | | 790,000 | 744,138 |
5% 2/1/31(b) | | 860,000 | 768,618 |
5.125% 3/15/28(b) | | 4,824,000 | 4,585,896 |
Sunnova Energy Corp.: | | | |
5.875% 9/1/26(b) | | 270,000 | 219,470 |
11.75% 10/1/28(b) | | 20,000 | 16,827 |
Talen Energy Supply LLC 8.625% 6/1/30 (b) | | 1,445,000 | 1,524,535 |
TerraForm Global, Inc. 6.125% 3/1/26 (b) | | 755,000 | 743,788 |
TerraForm Power Operating LLC 5% 1/31/28 (b) | | 801,000 | 756,879 |
TransAlta Corp. 7.75% 11/15/29 | | 205,000 | 213,149 |
| | | 10,086,766 |
Water Utilities - 0.1% | | | |
Solaris Midstream Holdings LLC 7.625% 4/1/26 (b) | | 515,000 | 514,608 |
| | | |
TOTAL UTILITIES | | | 28,093,853 |
| | | |
TOTAL NONCONVERTIBLE BONDS | | | 628,348,890 |
TOTAL CORPORATE BONDS (Cost $675,122,932) | | | 632,146,880 |
| | | |
U.S. Treasury Obligations - 1.1% |
| | Principal Amount (a) | Value ($) |
U.S. Treasury Notes: | | | |
2.625% 5/31/27 (k)(l) | | 3,530,000 | 3,341,366 |
2.75% 4/30/27 | | 1,175,000 | 1,118,040 |
3.875% 3/31/25 | | 2,965,000 | 2,930,022 |
4.25% 5/31/25 | | 5,930,000 | 5,881,356 |
4.5% 11/30/24 | | 1,615,000 | 1,606,294 |
4.625% 2/28/25 | | 1,240,000 | 1,234,817 |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $16,368,577) | | | 16,111,895 |
| | | |
Asset-Backed Securities - 0.9% |
| | Principal Amount (a) | Value ($) |
Battalion CLO Ltd. Series 2024-15A Class A1R, CME Term SOFR 3 Month Index + 1.300% 6.6195% 1/17/33 (b)(e)(f) | | 3,500,000 | 3,506,622 |
Octagon Investment Partners 31, Ltd. / Octagon Investment Partners 31 LLC Series 2024-1A Class ARR, CME Term SOFR 3 Month Index + 1.150% 0% 7/20/30 (e)(f) | | 2,400,000 | 2,400,000 |
Rockford Tower CLO Ltd. Series 2024-1A Class A1R, CME Term SOFR 3 Month Index + 1.520% 6.8394% 1/20/36 (b)(e)(f) | | 2,400,000 | 2,417,047 |
Sound Point CLO XXIX, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.330% 6.6563% 4/25/34 (b)(e)(f) | | 2,250,000 | 2,241,988 |
Trinitas CLO, Ltd. Series 2024-26A Class A1, CME Term SOFR 3 Month Index + 1.690% 7.0078% 1/20/35 (b)(e)(f) | | 2,300,000 | 2,313,766 |
TOTAL ASSET-BACKED SECURITIES (Cost $12,839,875) | | | 12,879,423 |
| | | |
Municipal Securities - 0.1% |
| | Principal Amount (a) | Value ($) |
Puerto Rico Commonwealth Pub. Impt. Gen. Oblig. Series 2022, 0% 11/1/43 (e) (Cost $1,351,272) | | 2,376,967 | 1,390,526 |
| | | |
Common Stocks - 1.1% |
| | Shares | Value ($) |
COMMUNICATION SERVICES - 0.1% | | | |
Wireless Telecommunication Services - 0.1% | | | |
Digicel Group Ltd. (d) | | 302,425 | 271,172 |
Intelsat Emergence SA (d) | | 35,616 | 1,292,861 |
| | | 1,564,033 |
ENERGY - 0.3% | | | |
Oil, Gas & Consumable Fuels - 0.3% | | | |
Chesapeake Energy Corp. | | 6,716 | 555,950 |
Mesquite Energy, Inc. (d)(m) | | 46,770 | 3,816,461 |
| | | 4,372,411 |
HEALTH CARE - 0.1% | | | |
Health Care Equipment & Supplies - 0.0% | | | |
Becton, Dickinson & Co. | | 2,461 | 579,689 |
Life Sciences Tools & Services - 0.1% | | | |
Avantor, Inc. (m) | | 29,068 | 716,236 |
Danaher Corp. | | 2,132 | 539,694 |
| | | 1,255,930 |
TOTAL HEALTH CARE | | | 1,835,619 |
INFORMATION TECHNOLOGY - 0.1% | | | |
IT Services - 0.1% | | | |
GTT Communications, Inc. (d)(m) | | 24,499 | 768,534 |
MATERIALS - 0.4% | | | |
Chemicals - 0.4% | | | |
TPC Group, Inc. (d)(i)(m) | | 164,025 | 4,054,698 |
Venator Materials PLC (d)(m) | | 1,499 | 1,446,535 |
| | | 5,501,233 |
Metals & Mining - 0.0% | | | |
Constellium NV (m) | | 41,600 | 806,624 |
TOTAL MATERIALS | | | 6,307,857 |
UTILITIES - 0.1% | | | |
Electric Utilities - 0.0% | | | |
Heritage Power LLC (d) | | 25,111 | 317,403 |
Heritage Power LLC (b)(d) | | 1,104 | 13,955 |
Heritage Power LLC (d) | | 28,900 | 14,450 |
| | | 345,808 |
Gas Utilities - 0.1% | | | |
Ferrellgas Partners LP Class B | | 5,547 | 915,255 |
TOTAL UTILITIES | | | 1,261,063 |
TOTAL COMMON STOCKS (Cost $9,875,954) | | | 16,109,517 |
| | | |
Nonconvertible Preferred Stocks - 0.1% |
| | Shares | Value ($) |
COMMUNICATION SERVICES - 0.1% | | | |
Wireless Telecommunication Services - 0.1% | | | |
Digicel Group Ltd. (d) (Cost $1,611,407) | | 97,707 | 761,867 |
| | | |
Bank Loan Obligations - 2.1% |
| | Principal Amount (a) | Value ($) |
COMMUNICATION SERVICES - 0.2% | | | |
Diversified Telecommunication Services - 0.0% | | | |
Gtt Remainco LLC 1LN, term loan CME Term SOFR 1 Month Index + 7.000% 12.4263% 12/30/27 (e)(f)(n) | | 500,262 | 452,111 |
Level 3 Financing, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1886% 3/1/27 (e)(f)(n) | | 30,000 | 29,450 |
Lumen Technologies, Inc.: | | | |
Tranche A 1LN, term loan CME Term SOFR 3 Month Index + 6.000% 6/1/28 (f)(n)(o) | | 25,407 | 23,382 |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.6806% 3/15/27 (e)(f)(n) | | 29,904 | 21,671 |
| | | 526,614 |
Media - 0.1% | | | |
Altice Financing SA Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.314% 10/31/27 (e)(f)(n) | | 275,000 | 273,853 |
CSC Holdings LLC Tranche B6 LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8176% 1/18/28 (e)(f)(n) | | 400,000 | 388,416 |
Diamond Sports Group LLC: | | | |
1LN, term loan CME Term SOFR 1 Month Index + 8.000% 15.4283% 8/24/26 (e)(f)(n) | | 357,832 | 345,308 |
2LN, term loan CME Term SOFR 1 Month Index + 3.250% 10.6625% (c)(e)(f)(n) | | 1,706,869 | 94,953 |
term loan 10% 11/30/24 (d)(n) | | 209,923 | 209,923 |
| | | 1,312,453 |
Wireless Telecommunication Services - 0.1% | | | |
Digicel International Finance Ltd. Tranche B, term loan CME Term SOFR 1 Month Index + 0.000% 12.0627% 5/29/27 (e)(f)(n) | | 43,294 | 41,021 |
Xplornet Communications, Inc.: | | | |
1LN, term loan CME Term SOFR 1 Month Index + 4.000% 10/1/28 (f)(n)(o) | | 1,561,060 | 708,659 |
2LN, term loan CME Term SOFR 1 Month Index + 7.000% 9/30/29 (f)(n)(o) | | 375,000 | 75,000 |
| | | 824,680 |
TOTAL COMMUNICATION SERVICES | | | 2,663,747 |
CONSUMER DISCRETIONARY - 0.4% | | | |
Automobile Components - 0.0% | | | |
PECF USS Intermediate Holding III Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.8239% 12/17/28 (e)(f)(n) | | 160,403 | 123,995 |
Tenneco, Inc. Tranche A 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 11/17/28 (f)(n)(o) | | 264,332 | 246,820 |
| | | 370,815 |
Broadline Retail - 0.0% | | | |
Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1907% 3/5/28 (e)(f)(n) | | 317,173 | 317,116 |
Diversified Consumer Services - 0.0% | | | |
Spin Holdco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.6246% 3/4/28 (e)(f)(n) | | 606,093 | 549,381 |
TKC Holdings, Inc. 1LN, term loan 13.5% 2/14/27 (e)(n) | | 21,350 | 10,675 |
| | | 560,056 |
Hotels, Restaurants & Leisure - 0.2% | | | |
City Football Group Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4354% 7/21/28 (e)(f)(n) | | 1,097,402 | 1,092,606 |
ClubCorp Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.000% 10.6098% 9/18/26 (e)(f)(n) | | 706,378 | 703,291 |
United PF Holdings LLC 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.5743% 12/30/26 (e)(f)(n) | | 269,456 | 240,961 |
| | | 2,036,858 |
Household Durables - 0.1% | | | |
Mattress Firm, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8598% 9/24/28 (e)(f)(n) | | 233,144 | 232,563 |
Sunset Debt Merger Sub, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 10/6/28 (f)(n)(o) | | 1,689,900 | 1,527,771 |
| | | 1,760,334 |
Specialty Retail - 0.1% | | | |
LBM Acquisition LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1763% 12/18/27 (e)(f)(n) | | 950,888 | 947,446 |
TOTAL CONSUMER DISCRETIONARY | | | 5,992,625 |
ENERGY - 0.1% | | | |
Oil, Gas & Consumable Fuels - 0.1% | | | |
EG America LLC Tranche BC 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 11.2383% 2/7/28 (e)(f)(n) | | 1,030,232 | 1,010,915 |
Mesquite Energy, Inc.: | | | |
1LN, term loan 3 month U.S. LIBOR + 8.000% 0% (c)(d)(f)(n) | | 864,602 | 0 |
term loan 0% (c)(d)(e)(n) | | 373,000 | 0 |
Prairie ECI Acquiror LP 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 3/11/26 (f)(n)(o) | | 683,148 | 679,049 |
| | | 1,689,964 |
FINANCIALS - 0.5% | | | |
Insurance - 0.5% | | | |
Acrisure LLC Tranche B-2 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1907% 2/15/27 (e)(f)(n) | | 322,525 | 321,819 |
Asurion LLC Tranche B4 2LN, term loan CME Term SOFR 1 Month Index + 5.250% 10.6907% 1/20/29 (e)(f)(n) | | 6,595,000 | 6,209,588 |
| | | 6,531,407 |
HEALTH CARE - 0.1% | | | |
Health Care Providers & Services - 0.0% | | | |
Cano Health, Inc.: | | | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4626% (c)(e)(f)(n) | | 410,538 | 120,595 |
Tranche DD, term loan CME Term SOFR 1 Month Index + 11.000% 16.3225% 10/2/24 (e)(n) | | 42,590 | 42,377 |
WCG Intermediate Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4407% 1/8/27 (e)(f)(n) | | 139 | 139 |
| | | 163,111 |
Health Care Technology - 0.1% | | | |
Athenahealth Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.5763% 2/15/29 (e)(f)(n) | | 267,898 | 265,345 |
Cotiviti, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 2/21/31 (f)(n)(o) | | 550,000 | 547,938 |
| | | 813,283 |
TOTAL HEALTH CARE | | | 976,394 |
INDUSTRIALS - 0.2% | | | |
Building Products - 0.0% | | | |
Acproducts Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8598% 5/17/28 (e)(f)(n) | | 433,730 | 388,041 |
Commercial Services & Supplies - 0.0% | | | |
Artera Services LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 2/7/31 (f)(n)(o) | | 85,000 | 85,213 |
Brand Industrial Services, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 5.500% 10.8064% 8/1/30 (e)(f)(n) | | 234,413 | 234,790 |
| | | 320,003 |
Machinery - 0.0% | | | |
LTI Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8/14/25 (f)(n)(o) | | 457,840 | 450,972 |
Passenger Airlines - 0.1% | | | |
Mileage Plus Holdings LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 5.250% 10.7704% 7/2/27 (e)(f)(n) | | 707,000 | 727,489 |
Professional Services - 0.1% | | | |
CoreLogic, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9407% 6/2/28 (e)(f)(n) | | 430,595 | 418,013 |
Galaxy U.S. Opco, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 10.0627% 4/29/29 (e)(f)(n) | | 70,000 | 61,250 |
Nielsen Holdings PLC 2LN, term loan 3 month U.S. LIBOR + 0.000% 10/11/29 (f)(n)(o) | | 415,000 | 406,700 |
Verscend Holding Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4407% 8/27/25 (e)(f)(n) | | 172,257 | 172,151 |
| | | 1,058,114 |
TOTAL INDUSTRIALS | | | 2,944,619 |
INFORMATION TECHNOLOGY - 0.5% | | | |
Communications Equipment - 0.0% | | | |
Radiate Holdco LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 9/25/26 (f)(n)(o) | | 175,656 | 143,892 |
IT Services - 0.1% | | | |
GTT Communications, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 9.000% 14.4481% 6/30/28 (e)(f)(n) | | 1,069,037 | 748,326 |
Software - 0.4% | | | |
Ascend Learning LLC: | | | |
2LN, term loan CME Term SOFR 1 Month Index + 5.750% 11.1763% 12/10/29 (e)(f)(n) | | 1,687,000 | 1,619,520 |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9263% 12/10/28 (e)(f)(n) | | 389,045 | 382,019 |
DH Corp./Societe term loan CME Term SOFR 3 Month Index + 7.250% 12.7129% 9/13/29 (d)(e)(f)(n) | | 6,732 | 6,732 |
Finastra U.S.A., Inc. term loan CME Term SOFR 1 Month Index + 7.250% 12.7129% 9/13/29 (d)(e)(f)(n) | | 288,268 | 288,268 |
McAfee Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1783% 3/1/29 (e)(f)(n) | | 246,791 | 245,248 |
RealPage, Inc. 2LN, term loan CME Term SOFR 1 Month Index + 0.000% 2/17/29 (f)(n)(o) | | 750,000 | 743,595 |
Skillsoft Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 7/16/28 (f)(n)(o) | | 536,472 | 498,538 |
Sophia LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9326% 10/7/27 (e)(f)(n) | | 113,835 | 113,693 |
UKG, Inc. 2LN, term loan CME Term SOFR 3 Month Index + 5.250% 10.6802% 5/3/27 (e)(f)(n) | | 1,919,462 | 1,936,257 |
| | | 5,833,870 |
TOTAL INFORMATION TECHNOLOGY | | | 6,726,088 |
MATERIALS - 0.1% | | | |
Chemicals - 0.1% | | | |
Consolidated Energy Finance SA Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8214% 11/15/30 (e)(f)(n) | | 375,000 | 363,281 |
Discovery Purchaser Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.370% 9.7052% 10/4/29 (e)(f)(n) | | 351,569 | 349,481 |
Hexion Holdings Corp. 1LN, term loan CME Term SOFR 3 Month Index + 4.500% 9.9757% 3/15/29 (e)(f)(n) | | 340,000 | 326,080 |
Iris Holding, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 6/15/28 (f)(n)(o) | | 328,763 | 310,362 |
Olympus Water U.S. Holding Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.3598% 11/9/28 (e)(f)(n) | | 7,528 | 7,514 |
Venator Materials LLC 1LN, term loan: | | | |
CME Term SOFR 1 Month Index + 8.000% 10/12/28 (f)(n)(o) | | 390,756 | 386,848 |
CME Term SOFR 1 Month Index + 8.000% 10/12/28 (f)(n)(o) | | 41,315 | 40,902 |
| | | 1,784,468 |
UTILITIES - 0.0% | | | |
Electric Utilities - 0.0% | | | |
Heritage Power LLC 1LN, term loan 0% 7/20/28 (e)(n) | | 181,637 | 172,555 |
TOTAL BANK LOAN OBLIGATIONS (Cost $33,198,159) | | | 29,481,867 |
| | | |
Fixed-Income Funds - 48.9% |
| | Shares | Value ($) |
High Yield Fixed-Income Funds - 48.9% | | | |
Artisan High Income Fund Investor Shares | | 23,028,470 | 206,795,629 |
BlackRock High Yield Bond Portfolio Class K | | 15,818,937 | 110,890,749 |
Eaton Vance Income Fund of Boston Class A | | 20,343,917 | 103,957,417 |
Fidelity Capital & Income Fund (p) | | 14,802,536 | 144,916,829 |
MainStay High Yield Corporate Bond Fund Class A | | 18,721,908 | 95,856,169 |
Vanguard High-Yield Corporate Fund Admiral Shares | | 7,176,211 | 38,464,489 |
| | | |
TOTAL FIXED-INCOME FUNDS (Cost $669,172,530) | | | 700,881,282 |
| | | |
Preferred Securities - 0.8% |
| | Principal Amount (a) | Value ($) |
ENERGY - 0.1% | | | |
Oil, Gas & Consumable Fuels - 0.1% | | | |
Energy Transfer LP 3 month U.S. LIBOR + 4.020% 9.5966% (e)(f)(q) | | 862,000 | 855,028 |
EnLink Midstream Partners LP CME Term SOFR 3 Month Index + 4.370% 9.7562% (e)(f)(q) | | 175,000 | 174,102 |
Plains All American Pipeline LP CME Term SOFR 3 Month Index + 4.110% 9.6786% (e)(f)(q) | | 395,000 | 394,413 |
| | | 1,423,543 |
FINANCIALS - 0.2% | | | |
Banks - 0.1% | | | |
Bank of America Corp. 5.875% (e)(q) | | 380,000 | 378,507 |
Citigroup, Inc. 3.875% (e)(q) | | 462,000 | 434,491 |
JPMorgan Chase & Co.: | | | |
4.6% (e)(q) | | 275,000 | 268,718 |
6.1% (e)(q) | | 380,000 | 389,140 |
Wells Fargo & Co. 5.9% (e)(q) | | 205,000 | 206,578 |
| | | 1,677,434 |
Capital Markets - 0.0% | | | |
Charles Schwab Corp. 4% (e)(q) | | 240,000 | 200,059 |
Consumer Finance - 0.1% | | | |
Ally Financial, Inc.: | | | |
4.7% (e)(q) | | 240,000 | 206,282 |
4.7% (e)(q) | | 285,000 | 224,283 |
| | | 430,565 |
TOTAL FINANCIALS | | | 2,308,058 |
INDUSTRIALS - 0.1% | | | |
Trading Companies & Distributors - 0.1% | | | |
AerCap Holdings NV 5.875% 10/10/79 (e) | | 480,000 | 486,035 |
Air Lease Corp. 4.125% (e)(q) | | 345,000 | 298,193 |
Aircastle Ltd. 5.25% (b)(e)(q) | | 311,000 | 295,779 |
| | | 1,080,007 |
UTILITIES - 0.4% | | | |
Electric Utilities - 0.0% | | | |
NRG Energy, Inc. 10.25% (b)(e)(q) | | 681,000 | 754,668 |
Independent Power and Renewable Electricity Producers - 0.4% | | | |
Vistra Corp.: | | | |
7% (b)(e)(q) | | 1,750,000 | 1,718,902 |
8% (b)(e)(q) | | 3,495,000 | 3,599,649 |
| | | 5,318,551 |
TOTAL UTILITIES | | | 6,073,219 |
TOTAL PREFERRED SECURITIES (Cost $10,286,855) | | | 10,884,827 |
| | | |
Money Market Funds - 0.4% |
| | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (r) | | 320,406 | 320,470 |
State Street Institutional U.S. Government Money Market Fund Premier Class 5.28% (s) | | 5,837,097 | 5,837,097 |
TOTAL MONEY MARKET FUNDS (Cost $6,157,419) | | | 6,157,567 |
| | | |
TOTAL INVESTMENT IN SECURITIES - 99.6% (Cost $1,435,984,980) | 1,426,805,651 |
NET OTHER ASSETS (LIABILITIES) - 0.4% | 6,134,696 |
NET ASSETS - 100.0% | 1,432,940,347 |
| |
Futures Contracts |
| Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
Purchased | | | | | |
| | | | | |
Treasury Contracts | | | | | |
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 40 | Jun 2024 | 4,417,500 | 3,430 | 3,430 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 47 | Jun 2024 | 9,623,250 | (2,103) | (2,103) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 71 | Jun 2024 | 7,590,344 | 1,609 | 1,609 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 7 | Jun 2024 | 834,750 | 6,175 | 6,175 |
| | | | | |
TOTAL PURCHASED | | | | | 9,111 |
| | | | | |
Sold | | | | | |
| | | | | |
Treasury Contracts | | | | | |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 4 | Jun 2024 | 511,500 | (7,475) | (7,475) |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | 1,636 |
The notional amount of futures purchased as a percentage of Net Assets is 1.6% |
The notional amount of futures sold as a percentage of Net Assets is 0.0% |
Forward Foreign Currency Contracts |
Currency Purchased
| Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) |
| | | | | | |
USD | 648,817 | EUR | 600,801 | Barclays Bank PLC | 5/24/24 | (2,734) |
USD | 135,622 | EUR | 125,474 | Deutsche Bank AG | 5/24/24 | (451) |
| | | | | | |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | | (3,185) |
Unrealized Appreciation | | | 0 |
Unrealized Depreciation | | | (3,185) |
Credit Default Swaps |
Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty(2) | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(3)(4) | Value ($)(1) | Upfront Premium Received/ (Paid) ($)(5) | Unrealized Appreciation/ (Depreciation) ($) |
Buy Protection | | | | | | | | | | |
5-Year CDX N.A. HY Series 41 | | Dec 2028 | ICE | (5%) | Quarterly | | 10,073,250 | (23,223) | 0 | (23,223) |
| | | | | | | | | | |
Sell Protection | | | | | | | | | | |
Community Health Systems, Inc. | Ca | Dec 2026 | ICE | 5% | Quarterly | | 484,000 | (68,950) | 0 | (68,950) |
| | | | | | | | | | |
TOTAL CREDIT DEFAULT SWAPS | | | | | | | | (92,173) | 0 | (92,173) |
(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 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 swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
Currency Abbreviations
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 $533,753,562 or 37.2% of net assets. |
(c) | Non-income producing - Security is in default. |
(e) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(f) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(g) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(h) | 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. |
(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 $5,482,463 or 0.4% of net assets. |
(j) | A portion of the security sold on a delayed delivery basis. |
(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 $410,582. |
(l) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $1,027,181. |
(n) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
(o) | The coupon rate will be determined upon settlement of the loan after period end. |
(q) | Security is perpetual in nature with no stated maturity date. |
(r) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(s) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost ($) |
Jonah Energy Parent LLC 12% 11/5/25 | 5/05/23 | 632,128 |
| | |
SilverBow Resources, Inc. CME Term SOFR 3 Month Index + 7.750% 13.1346% 12/15/28 | 11/30/23 | 739,900 |
| | |
TPC Group, Inc. | 12/16/22 | 1,776,472 |
| | |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.39% | 4,863,615 | 64,184,717 | 68,727,862 | 207,783 | - | - | 320,470 | 0.0% |
Total | 4,863,615 | 64,184,717 | 68,727,862 | 207,783 | - | - | 320,470 | |
| | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Capital & Income Fund | 154,562,357 | 7,561,089 | 25,854,027 | 7,561,069 | (513,661) | 9,161,071 | 144,916,829 |
| 154,562,357 | 7,561,089 | 25,854,027 | 7,561,069 | (513,661) | 9,161,071 | 144,916,829 |
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 February 29, 2024, 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 | 2,325,900 | - | - | 2,325,900 |
Energy | 4,372,411 | 555,950 | - | 3,816,461 |
Health Care | 1,835,619 | 1,835,619 | - | - |
Information Technology | 768,534 | - | - | 768,534 |
Materials | 6,307,857 | 806,624 | - | 5,501,233 |
Utilities | 1,261,063 | 915,255 | - | 345,808 |
|
Corporate Bonds | 632,146,880 | - | 631,449,199 | 697,681 |
|
U.S. Government and Government Agency Obligations | 16,111,895 | - | 16,111,895 | - |
|
Asset-Backed Securities | 12,879,423 | - | 12,879,423 | - |
|
Municipal Securities | 1,390,526 | - | 1,390,526 | - |
|
Bank Loan Obligations | 29,481,867 | - | 28,976,944 | 504,923 |
|
Fixed-Income Funds | 700,881,282 | 700,881,282 | - | - |
|
Preferred Securities | 10,884,827 | - | 10,884,827 | - |
|
Money Market Funds | 6,157,567 | 6,157,567 | - | - |
Total Investments in Securities: | 1,426,805,651 | 711,152,297 | 701,692,814 | 13,960,540 |
Derivative Instruments: Assets | | | | |
Futures Contracts | 11,214 | 11,214 | - | - |
Total Assets | 11,214 | 11,214 | - | - |
Liabilities | | | | |
Futures Contracts | (9,578) | (9,578) | - | - |
Forward Foreign Currency Contracts | (3,185) | - | (3,185) | - |
Swaps | (92,173) | - | (92,173) | - |
Total Liabilities | (104,936) | (9,578) | (95,358) | - |
Total Derivative Instruments: | (93,722) | 1,636 | (95,358) | - |
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:
| |
Investments in Securities: | |
Beginning Balance | $ | 20,713,321 | |
Net Realized Gain (Loss) on Investment Securities | | 356,035 | |
Net Unrealized Gain (Loss) on Investment Securities | | (9,488,854) | |
Cost of Purchases | | 8,014,600 | |
Proceeds of Sales | | (4,993,308) | |
Amortization/Accretion | | 5,446 | |
Transfers into Level 3 | | - | |
Transfers out of Level 3 | | (646,700) | |
Ending Balance | $ | 13,960,540 | |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at February 29, 2024 | $ | (2,970,380) | |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Cost of purchases and proceeds of sales may include securities received and/or delivered through in-kind transactions, corporate actions or exchanges. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. | |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
Credit Risk | | |
Swaps (a) | 0 | (92,173) |
Total Credit Risk | 0 | (92,173) |
Foreign Exchange Risk | | |
Forward Foreign Currency Contracts (b) | 0 | (3,185) |
Total Foreign Exchange Risk | 0 | (3,185) |
Interest Rate Risk | | |
Futures Contracts (c) | 11,214 | (9,578) |
Total Interest Rate Risk | 11,214 | (9,578) |
Total Value of Derivatives | 11,214 | (104,936) |
(a)For centrally cleared 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 swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).
(b)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
(c)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 |
| | | | February 29, 2024 |
| | | | |
Assets | | | | |
Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $1,320,923,769) | $ | 1,281,568,352 | | |
Fidelity Central Funds (cost $320,325) | | 320,470 | | |
Other affiliated issuers (cost $114,740,886) | | 144,916,829 | | |
| | | | |
| | | | |
Total Investment in Securities (cost $1,435,984,980) | | | $ | 1,426,805,651 |
Segregated cash with brokers for derivative instruments | | | | 286,850 |
Cash | | | | 789,445 |
Foreign currency held at value (cost $14,770) | | | | 14,758 |
Receivable for investments sold | | | | |
Regular delivery | | | | 3,156,901 |
Delayed delivery | | | | 166,041 |
Receivable for fund shares sold | | | | 577,962 |
Dividends receivable | | | | 4,319,392 |
Interest receivable | | | | 11,099,881 |
Distributions receivable from Fidelity Central Funds | | | | 10,003 |
Receivable for daily variation margin on futures contracts | | | | 4,868 |
Other receivables | | | | 59,621 |
Total assets | | | | 1,447,291,373 |
Liabilities | | | | |
Payable for investments purchased | | | | |
Regular delivery | $ | 10,145,036 | | |
Delayed delivery | | 1,760,625 | | |
Unrealized depreciation on forward foreign currency contracts | | 3,185 | | |
Payable for fund shares redeemed | | 2,051,301 | | |
Distributions payable | | 80,602 | | |
Accrued management fee | | 208,971 | | |
Payable for daily variation margin on centrally cleared swaps | | 13,532 | | |
Other payables and accrued expenses | | 87,774 | | |
Total Liabilities | | | | 14,351,026 |
Commitments and contingent liabilities (see Commitments note) | | | | |
Net Assets | | | $ | 1,432,940,347 |
Net Assets consist of: | | | | |
Paid in capital | | | $ | 1,663,499,921 |
Total accumulated earnings (loss) | | | | (230,559,574) |
Net Assets | | | $ | 1,432,940,347 |
Net Asset Value, offering price and redemption price per share ($1,432,940,347 ÷ 167,227,643 shares) | | | $ | 8.57 |
Statement of Operations |
| | | | Year ended February 29, 2024 |
Investment Income | | | | |
Dividends: | | | | |
Unaffiliated issuers | | | $ | 42,905,441 |
Affiliated issuers | | | | 7,561,069 |
Interest | | | | 49,909,394 |
Income from Fidelity Central Funds | | | | 207,783 |
Total Income | | | | 100,583,687 |
Expenses | | | | |
Management fee | $ | 6,322,503 | | |
Custodian fees and expenses | | 26,465 | | |
Independent trustees' fees and expenses | | 9,237 | | |
Registration fees | | 38,783 | | |
Audit | | 48,384 | | |
Legal | | 125,411 | | |
Miscellaneous | | 10,098 | | |
Total expenses before reductions | | 6,580,881 | | |
Expense reductions | | (3,804,368) | | |
Total expenses after reductions | | | | 2,776,513 |
Net Investment income (loss) | | | | 97,807,174 |
Realized and Unrealized Gain (Loss) | | | | |
Net realized gain (loss) on: | | | | |
Investment Securities: | | | | |
Unaffiliated issuers | | (46,071,850) | | |
Affiliated issuers | | (513,661) | | |
Forward foreign currency contracts | | 1,991 | | |
Foreign currency transactions | | 17,476 | | |
Futures contracts | | (232,276) | | |
Swaps | | (2,015,686) | | |
Total net realized gain (loss) | | | | (48,814,006) |
Change in net unrealized appreciation (depreciation) on: | | | | |
Investment Securities: | | | | |
Unaffiliated issuers | | 86,781,171 | | |
Affiliated issuers | | 9,161,071 | | |
Forward foreign currency contracts | | (18,939) | | |
Assets and liabilities in foreign currencies | | (311) | | |
Futures contracts | | 133,892 | | |
Swaps | | 1,363,697 | | |
Total change in net unrealized appreciation (depreciation) | | | | 97,420,581 |
Net gain (loss) | | | | 48,606,575 |
Net increase (decrease) in net assets resulting from operations | | | $ | 146,413,749 |
Statement of Changes in Net Assets |
|
| | Year ended February 29, 2024 | | Year ended February 28, 2023 |
Increase (Decrease) in Net Assets | | | | |
Operations | | | | |
Net investment income (loss) | $ | 97,807,174 | $ | 130,688,286 |
Net realized gain (loss) | | (48,814,006) | | (138,632,726) |
Change in net unrealized appreciation (depreciation) | | 97,420,581 | | (199,330,307) |
Net increase (decrease) in net assets resulting from operations | | 146,413,749 | | (207,274,747) |
Distributions to shareholders | | (95,153,330) | | (124,387,863) |
| | | | |
Share transactions | | | | |
Proceeds from sales of shares | | 165,367,277 | | 183,183,822 |
Reinvestment of distributions | | 94,283,349 | | 123,643,674 |
Cost of shares redeemed | | (525,770,981) | | (2,485,776,576) |
| | | | |
Net increase (decrease) in net assets resulting from share transactions | | (266,120,355) | | (2,178,949,080) |
Total increase (decrease) in net assets | | (214,859,936) | | (2,510,611,690) |
| | | | |
Net Assets | | | | |
Beginning of period | | 1,647,800,283 | | 4,158,411,973 |
End of period | $ | 1,432,940,347 | $ | 1,647,800,283 |
| | | | |
Other Information | | | | |
Shares | | | | |
Sold | | 19,765,197 | | 21,455,480 |
Issued in reinvestment of distributions | | 11,284,880 | | 14,620,666 |
Redeemed | | (63,093,112) | | (286,484,971) |
Net increase (decrease) | | (32,043,035) | | (250,408,825) |
| | | | |
Financial Highlights
Strategic Advisers® Income Opportunities Fund |
|
Years ended February 28, | | 2024 A | | 2023 | | 2022 | | 2021 | | 2020 A |
Selected Per-Share Data | | | | | | | | | | |
Net asset value, beginning of period | $ | 8.27 | $ | 9.25 | $ | 9.58 | $ | 9.32 | $ | 9.34 |
Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) B,C | | .537 | | .508 | | .440 | | .473 | | .515 |
Net realized and unrealized gain (loss) | | .285 | | (1.000) | | (.279) | | .241 | | (.001) |
Total from investment operations | | .822 | | (.492) | | .161 | | .714 | | .514 |
Distributions from net investment income | | (.522) | | (.488) | | (.461) | | (.454) | | (.530) |
Distributions from net realized gain | | - | | - | | (.030) | | - | | (.004) |
Total distributions | | (.522) | | (.488) | | (.491) | | (.454) | | (.534) |
Net asset value, end of period | $ | 8.57 | $ | 8.27 | $ | 9.25 | $ | 9.58 | $ | 9.32 |
Total Return D | | 10.29% | | (5.25)% | | 1.61% | | 8.05% | | 5.57% |
Ratios to Average Net Assets C,E,F | | | | | | | | | | |
Expenses before reductions | | .43% | | .42% | | .38% | | .39% | | .34% |
Expenses net of fee waivers, if any | | .18% | | .17% | | .13% | | .14% | | .09% |
Expenses net of all reductions | | .18% | | .17% | | .13% | | .14% | | .09% |
Net investment income (loss) | | 6.44% | | 5.96% | | 4.57% | | 5.10% | | 5.44% |
Supplemental Data | | | | | | | | | | |
Net assets, end of period (000 omitted) | $ | 1,432,940 | $ | 1,647,800 | $ | 4,158,412 | $ | 7,204,043 | $ | 2,042,054 |
Portfolio turnover rate G | | 26% | | 21% | | 33% | | 43% | | 40% |
AFor the year ended February 29.
BCalculated based on average shares outstanding during the period.
CNet 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.
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
EFees 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.
FExpense 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.
GAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended February 29, 2024
1. Organization.
Strategic Advisers Income Opportunities 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 loan 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. 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 Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
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.
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. 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 February 29, 2024, as well as a roll forward of Level 3 investments, 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. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. 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 Income Opportunities Fund | $47,897 |
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 February 29, 2024, 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, swaps, foreign currency transactions, market discount, partnerships, certain conversion ratio adjustments, equity-debt classifications, currency contract transactions, capital loss carryforwards and losses deferred due to currency contract transactions and wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $63,738,648 |
Gross unrealized depreciation | (69,030,540) |
Net unrealized appreciation (depreciation) | $(5,291,892) |
Tax Cost | $1,431,976,082 |
The tax-based components of distributable earnings as of period end were as follows:
Capital loss carryforward | $(223,307,035) |
Net unrealized appreciation (depreciation) on securities and other investments | $(5,291,966) |
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 | $(45,114,818) |
Long-term | (178,192,217) |
Total capital loss carryforward | $(223,307,035) |
The tax character of distributions paid was as follows:
| February 29, 2024 | February 28, 2023 |
Ordinary Income | $95,153,330 | $124,387,863 |
Total | $95,153,330 | $124,387,863 |
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.
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.
Commitments. A commitment is an agreement to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. Commitments outstanding at period end are presented in the table below. Unrealized appreciation (depreciation) on any commitments outstanding at period end is separately presented in the Statement of Assets and Liabilities as Unrealized appreciation (depreciation) on unfunded commitments, and any change in unrealized appreciation (depreciation) on unfunded commitments during the period is separately presented in the Statement of Operations, as applicable based on contractual conditions of each commitment.
| Investment to be Acquired | Commitment Amount | Unrealized Appreciation (Depreciation) |
Strategic Advisers Income Opportunities Fund | Level 3 Financing Inc. 1LN note 11% 11/15/29 | $166,976 | $ - |
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 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, 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 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 Income Opportunities Fund | | |
Credit Risk | | |
Swaps | (2,015,686) | 1,363,697 |
Total Credit Risk | (2,015,686) | 1,363,697 |
Foreign Exchange Risk | | |
Forward Foreign Currency Contracts | 1,991 | (18,939) |
Total Foreign Exchange Risk | 1,991 | (18,939) |
Interest Rate Risk | | |
Futures Contracts | (232,276) | 133,892 |
Total Interest Rate Risk | (232,276) | 133,892 |
Totals | (2,245,971) | 1,478,650 |
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.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared 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.
Centrally cleared 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 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 swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared 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.
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.
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 Income Opportunities Fund | 382,482,778 | 620,560,990 |
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 .75% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .42% 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), PGIM, Inc. 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.
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 Income Opportunities Fund | 2,524 |
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 RatioA |
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 Income Opportunities Fund | $2,759 |
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, 2026. During the period, this waiver reduced the Fund's management fee by $3,795,686.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $8,682.
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 Income Opportunities Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers Income Opportunities Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 29, 2024, the related statement of operations for the year ended February 29, 2024, the statement of changes in net assets for each of the two years in the period ended February 29, 2024, including the related notes, and the financial highlights for each of the five years in the period ended February 29, 2024 (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 February 29, 2024, 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 February 29, 2024 and the financial highlights for each of the five years in the period ended February 29, 2024 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 February 29, 2024 by correspondence with the custodian, issuers of privately offered securities, 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
April 16, 2024
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
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. Nancy D. Prior 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.
Nancy D. Prior (1967)
Year of Election or Appointment: 2023
Trustee
Chair of the Board of Trustees
Ms. Prior also serves as Trustee of other funds. Ms. Prior serves as a Senior Adviser at Fidelity Investments (investment adviser firm, 2021-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2018-present) and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2018-present). Prior to her retirement, Ms. Prior held a variety of positions at Fidelity Investments (2002-2020), including President of Fixed Income (2014-2020),), President of Multi-Asset Class Strategies (2017-2018), President of Money Markets and Short Duration Bonds (2013-2014), and President of Money Markets (2011-2013). Ms. Prior also served as President (2016-2019) and Director (2014-2019) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), Vice Chairman of FIAM LLC (investment adviser firm, 2014-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), Vice President of Global Asset Allocation Funds (2017-2019), Vice President of Fidelity's Bond Funds (2014-2020), and Vice President of Fidelity's Money Market Funds (2012-2020).
* 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+
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 Emerita (2024-present) and past Chair (2014-2023) and Chief Executive Officer (2013-2023) 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), and Member of the Ron Burton Training Village Executive Board of Advisors (2017-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Overseer of the Boston Symphony Orchestra (2014-2023), Member of the Board of Directors (2016-2023), Member of the Executive Committee (2019-2023) and Secretary (2022-2023) of The Advertising Council, Inc., Member of the Board of Directors of The Ad Club of Boston (2020-2023), 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).
Harold Singleton III (1962)
Year of Election or Appointment: 2023
Trustee
Mr. Singleton also serves as Trustee of other funds. Mr. Singleton is a member of the Board of Directors of Hershey Trust Company (2023-present). Previously, Mr. Singleton served as a member of the Board of Directors and Chair of the Audit Committee of WisdomTree, Inc. (global investment manager, 2022-2023). He also served as Vice President, Managing Director/Head of Manager Selection and Portfolio Construction (2016-2022) and Vice President/Head of Client Portfolio Management (2014-2016) of Lincoln Financial Group (insurance and retirement services). Mr. Singleton also served as a member of the Board of Directors and Investment Committee of The Vantagepoint Funds (2013-2014). Mr. Singleton served in various capacities at PineBridge Investments (global investment manager), including Managing Director, Head of Asset Management Companies and Global Head of Retail and Intermediary Sales (2010-2012), Managing Director, Global Head of Equity and Fixed Income Product Specialists (2009-2010) and Managing Director, Equity Product Specialist (Client Portfolio Manager) (2007-2010). He also served as Chairman of the Board of Directors of PineBridge East Africa (2011-2012) and PineBridge Taiwan (2011-2012). Mr. Singleton formerly served in various equity portfolio management and analyst positions, including at UBS Global Asset Management (2003-2006), Metropolitan West Capital Management (2000-2003) and Brinson Partners (investment manager, 1996-2000). Mr. Singleton is a Life Trustee, member of the Executive Committee and Chair of the Investment Committee of the Board of Trustees of the Illinois Institute of Technology (2012-present) and Chair of the Investment Committee (2010-present) of the Executive Leadership Council (nonprofit).
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.
Name, Year of Birth; Principal Occupations+
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).
Heather Bonner (1977)
Year of Election or Appointment: 2023
President and Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner is a Senior Vice President (2022-present) and is an employee of Fidelity Investments (2022-present). Ms. Bonner serves as Senior Vice President, Vice President, Treasurer, or Director of certain Fidelity entities. Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown is a Vice President (2015-present) and is an employee of Fidelity Investments. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-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 is Head of Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments. Mr. Burke serves as President, Executive Vice President, or Director of certain Fidelity entities. 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 Fidelity entities. Ms. Carey is a Senior Vice President, Deputy General Counsel (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 is a Vice President (2006-present) and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer or Director 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 is a Senior Vice President (2017-present) and is an employee of Fidelity Investments. Ms. Del Prato serves as Vice President or Assistant Treasurer of certain Fidelity entities. Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020).
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 is a Senior Vice President of Asset Management Compliance (2009-present) and is an employee of Fidelity Investments. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-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 is a Vice President (2016-present) and is an employee of Fidelity Investments. Mr. Hogan serves as Assistant Treasurer of certain Fidelity entities. 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 is a Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments. 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 is a Vice President (2008-present) and is an employee of Fidelity Investments. Mr. Maher serves as Assistant Treasurer of certain Fidelity entities. Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as AML Officer of other funds. Mr. Segaloff is a Vice President (2022-present) and is an employee of Fidelity Investments. Mr. Segaloff serves as Anti Money Laundering Compliance Officer or Anti Money Laundering/Bank Secrecy Act Compliance Officer of certain Fidelity entities.
Stacie M. Smith (1974)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith is a Senior Vice President (2016-present) and is an employee of Fidelity Investments. Ms. Smith serves as Assistant Treasurer of certain Fidelity entities and has served in other fund officer roles.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann is a Vice President (2016-present) and is an employee of Fidelity Investments. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
+ The information includes principal occupation during the last five years.
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 (September 1, 2023 to February 29, 2024). |
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 September 1, 2023 | | Ending Account Value February 29, 2024 | | Expenses Paid During Period- C September 1, 2023 to February 29, 2024 |
| | | | | | | | | | |
Strategic Advisers® Income Opportunities Fund | | | | .19% | | | | | | |
Actual | | | | | | $ 1,000 | | $ 1,059.20 | | $ .97 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,023.92 | | $ .96 |
|
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/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
A total of 1.34% 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 $55,310,176 of distributions paid during the fiscal year ended 2024 as qualifying to be taxed as section 163(j) interest dividends.
The fund will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Income Opportunities Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with FIAM LLC, PGIM, Inc., and T. Rowe Price Associates, Inc. (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, and Fidelity Management & Research (Hong Kong) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2023 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.
The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.
The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over different time periods, measured against an appropriate securities market index (benchmark index) and a peer group of mutual funds with similar objectives (peer group).
The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.
In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Strategic Advisers funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); and (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group").
The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for the 12-month period ended December 31, 2022 and below the competitive median of the asset size peer group for the 12-month period ended December 31, 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for the 12-month period ended December 31, 2022.
Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.
Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each 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, 2022 through November 30, 2023. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.
1.912881.113
SRQ-ANN-0424
Strategic Advisers® Small-Mid 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
February 29, 2024
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. © 2024 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 February 29, 2024 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Small-Mid Cap Fund | 13.37% | 9.46% | 8.12% |
$10,000 Over 10 Years |
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Let's say hypothetically that $10,000 was invested in Strategic Advisers® Small-Mid Cap Fund on February 28, 2014. The chart shows how the value of your investment would have changed, and also shows how the Russell 2500™ Index performed over the same period. |
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Market Recap:
U.S. equities gained 30.45% for the 12 months ending February 29, 2024, according to the S&P 500® index, as robust earnings, a slowing in the pace of inflation and resilient late-cycle expansion of the U.S. economy aided risk assets. The index ended February at a record high. Notably, the rally has been driven by a narrow set of firms in the information technology and communication services sectors, largely due to excitement for generative artificial intelligence. This is mostly reflected in semiconductor-related stocks (+113%) and media & entertainment (+68%) names. A likely shift in monetary policy also provided a boost. Aggressive rate hikes by the U.S. Federal Reserve continued until late July, when the Fed decided to pause a series of increases that began in March 2022 at a 22-year high while it observed the effect on inflation and the economy. Following the Fed's November 1 meeting, when the central bank hinted it might be done raising rates, the S&P 500® reversed a three-month decline and gained 14.09% through year-end and added 1.68% in January and 5.34% in February. By sector for the full 12 months, information technology (+61%) and communication services (+58%) were standouts, with AI a major tailwind. In sharp contrast, the defensive-oriented utilities sector (-1%) fared worst. Other notable laggards included real estate (+7%) and consumer staples (+8%), each also considered defensive, and energy (+6%).
Comments from Portfolio Manager Barry Golden:
For the fiscal year ending February 29, 2024, the Fund gained 13.37%, outpacing the 12.25% advance of the benchmark the Russell 2500® Index. Among the Fund's underlying managers, sub-adviser Portolan Capital Management (+32%) surpassed the broader Fund's benchmark by an outsized margin and was the top relative contributor. Portolan follows an opportunistic core strategy, which historically has outperformed when high-volatility stocks are leading the market. This period, it benefited from stock selection in the financials, health care and energy sectors, along with underweight exposure to the lagging banking industry. A large position in Super Micro Computer, a company that provides products for the artificial intelligence market, also added considerable value. The Quality Focus Index mandate from sub-adviser Geode (+21%) was another standout relative performer. This is a quantitative strategy that seeks to own SMID-cap companies exhibiting superior quality characteristics on the basis of profitability, stability and balance sheet metrics. Fidelity Advisor® Small Cap Growth Fund (+20%) rounded out the group of top relative contributors, as its growth strategy outpaced the broader Fund's core-oriented benchmark. On the downside, the largest relative detractors the past 12 months both pursue quality-oriented strategies. Sub-adviser JPMorgan Investment Management (+9%) runs a SMID-cap core mandate and underperformed due to stock picks among health care and financial companies. After a strong start, sub-adviser William Blair's SMID Core strategy (+16%) stumbled a bit later in the period with subpar investment choices in industrials, health care and materials. We hired William Blair in March 2023 and increased the position during the period. In November 2023, we hired BlackRock as a sub-adviser to run its Russell 2500 Alpha Tilts mandate. This is a quantitative strategy that sticks closely to the sector weights within the Russell 2500 Index. The addition of both William Blair and BlackRock reflected our emphasis on allocating more assets to managers offering core strategies.
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 Small Cap Index Fund | 9.2 | |
Fidelity Advisor Small Cap Growth Fund Class Z | 5.5 | |
Fidelity SAI Small-Mid Cap 500 Index Fund | 4.6 | |
PIMCO StocksPLUS Small Fund Institutional Class | 1.8 | |
Fidelity SAI Real Estate Index Fund | 0.9 | |
Alight, Inc. Class A | 0.6 | |
Chemed Corp. | 0.6 | |
Atkore, Inc. | 0.5 | |
Manhattan Associates, Inc. | 0.5 | |
Berry Global Group, Inc. | 0.5 | |
| 24.7 | |
|
Market Sectors (% of Fund's net assets) |
(Stocks Only) |
Industrials | 18.2 | |
Financials | 11.2 | |
Information Technology | 11.0 | |
Consumer Discretionary | 10.1 | |
Health Care | 9.5 | |
Consumer Staples | 3.9 | |
Materials | 3.6 | |
Energy | 3.0 | |
Real Estate | 2.4 | |
Communication Services | 2.1 | |
Utilities | 1.1 | |
|
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 - 76.1% |
| | Shares | Value ($) |
COMMUNICATION SERVICES - 2.1% | | | |
Diversified Telecommunication Services - 0.1% | | | |
ATN International, Inc. | | 2,606 | 87,405 |
Bandwidth, Inc. (a) | | 165,896 | 3,407,504 |
Cogent Communications Group, Inc. | | 9,625 | 778,759 |
Frontier Communications Parent, Inc. (a) | | 40,449 | 957,832 |
GCI Liberty, Inc. Class A (Escrow) (b)(i) | | 106,534 | 1 |
Iridium Communications, Inc. | | 150,936 | 4,369,597 |
Liberty Latin America Ltd. Class A (a) | | 360 | 2,315 |
Ooma, Inc. (a) | | 22,185 | 226,287 |
| | | 9,829,700 |
Entertainment - 0.2% | | | |
IMAX Corp. (a)(c) | | 31,245 | 535,227 |
Liberty Media Corp. Liberty Live Series A | | 3,824 | 147,568 |
Lions Gate Entertainment Corp.: | | | |
Class A (a)(c) | | 2,711 | 26,324 |
Class B (a) | | 14,021 | 127,311 |
Live Nation Entertainment, Inc. (a) | | 59,149 | 5,736,270 |
Marcus Corp. (c) | | 8,921 | 130,871 |
Playtika Holding Corp. (c) | | 167,500 | 1,241,175 |
Roku, Inc. Class A (a) | | 24,819 | 1,568,064 |
Take-Two Interactive Software, Inc. (a) | | 39,860 | 5,856,630 |
Vivid Seats, Inc. Class A (a) | | 259,543 | 1,562,449 |
| | | 16,931,889 |
Interactive Media & Services - 1.3% | | | |
Angi, Inc. (a) | | 6,331 | 18,170 |
Baidu, Inc. sponsored ADR (a) | | 106,114 | 10,752,532 |
Bumble, Inc. (a) | | 162,666 | 1,862,526 |
CarGurus, Inc. Class A (a) | | 654,727 | 14,495,656 |
Cars.com, Inc. (a) | | 115,020 | 2,109,467 |
EverQuote, Inc. Class A (a) | | 581,862 | 9,321,429 |
IAC, Inc. (a) | | 140,381 | 7,973,641 |
Match Group, Inc. (a) | | 49,209 | 1,773,492 |
Meta Platforms, Inc. Class A | | 10,995 | 5,388,979 |
QuinStreet, Inc. (a) | | 149,589 | 2,188,487 |
Shutterstock, Inc. (c) | | 68,238 | 3,327,285 |
Taboola.com Ltd. (a) | | 96,667 | 421,468 |
TripAdvisor, Inc. (a)(c) | | 394,624 | 10,583,816 |
Yelp, Inc. (a) | | 230,475 | 8,859,459 |
Ziff Davis, Inc. (a) | | 535,516 | 36,822,080 |
ZipRecruiter, Inc. (a) | | 754,383 | 9,595,752 |
| | | 125,494,239 |
Media - 0.5% | | | |
AMC Networks, Inc. Class A (a) | | 69,600 | 900,624 |
Cable One, Inc. (c) | | 7,783 | 3,549,048 |
Criteo SA sponsored ADR (a)(c) | | 198,212 | 6,412,158 |
EchoStar Holding Corp. Class A (a) | | 32,311 | 423,597 |
Fox Corp. Class A | | 112,200 | 3,342,438 |
Gray Television, Inc. | | 3,678 | 21,480 |
Integral Ad Science Holding Corp. (a) | | 15,928 | 165,014 |
Interpublic Group of Companies, Inc. | | 90,426 | 2,839,376 |
Liberty Media Corp. Liberty SiriusXM Class A | | 89,909 | 2,619,948 |
Nexstar Media Group, Inc. Class A | | 114,891 | 19,091,437 |
Perion Network Ltd. (a)(c) | | 81,186 | 1,863,219 |
TechTarget, Inc. (a) | | 1,971 | 62,500 |
TEGNA, Inc. | | 597,429 | 8,369,980 |
The New York Times Co. Class A | | 11,935 | 528,482 |
Thryv Holdings, Inc. (a) | | 47,922 | 1,003,487 |
| | | 51,192,788 |
Wireless Telecommunication Services - 0.0% | | | |
Telephone & Data Systems, Inc. | | 37,464 | 573,199 |
U.S. Cellular Corp. (a) | | 2,627 | 91,656 |
| | | 664,855 |
TOTAL COMMUNICATION SERVICES | | | 204,113,471 |
CONSUMER DISCRETIONARY - 10.1% | | | |
Automobile Components - 0.9% | | | |
Adient PLC (a) | | 311,536 | 10,573,532 |
Autoliv, Inc. | | 19,192 | 2,226,848 |
BorgWarner, Inc. (c) | | 178,271 | 5,549,576 |
Dana, Inc. (c) | | 331,471 | 4,143,388 |
Fox Factory Holding Corp. (a) | | 60,190 | 3,045,012 |
Garrett Motion, Inc. (a) | | 1,157,300 | 11,133,226 |
Gentex Corp. | | 223,043 | 8,147,761 |
LCI Industries (c) | | 64,619 | 8,140,702 |
Lear Corp. | | 78,331 | 10,758,763 |
Modine Manufacturing Co. (a) | | 129,090 | 11,580,664 |
Patrick Industries, Inc. | | 3,047 | 365,457 |
Phinia, Inc. (c) | | 42,300 | 1,447,506 |
Stoneridge, Inc. (a) | | 195,865 | 3,441,348 |
The Goodyear Tire & Rubber Co. (a) | | 225,100 | 2,674,188 |
Visteon Corp. (a) | | 13,310 | 1,505,627 |
| | | 84,733,598 |
Automobiles - 0.1% | | | |
Harley-Davidson, Inc. (c) | | 132,600 | 4,809,402 |
Thor Industries, Inc. (c) | | 15,692 | 2,011,401 |
Winnebago Industries, Inc. | | 34,600 | 2,481,858 |
| | | 9,302,661 |
Broadline Retail - 0.1% | | | |
1stDibs.com, Inc. (a) | | 355,085 | 1,828,688 |
Dillard's, Inc. Class A | | 3,344 | 1,386,857 |
Kohl's Corp. (c) | | 111,548 | 3,108,843 |
Macy's, Inc. (c) | | 99,400 | 1,733,536 |
Ollie's Bargain Outlet Holdings, Inc. (a) | | 6,987 | 560,148 |
PDD Holdings, Inc. ADR (a) | | 26,393 | 3,286,984 |
| | | 11,905,056 |
Distributors - 0.7% | | | |
LKQ Corp. | | 682,270 | 35,675,898 |
Pool Corp. | | 89,516 | 35,638,110 |
| | | 71,314,008 |
Diversified Consumer Services - 1.0% | | | |
ADT, Inc. (c) | | 1,796,196 | 13,040,383 |
Bright Horizons Family Solutions, Inc. (a)(c) | | 275,021 | 31,588,912 |
Chegg, Inc. (a) | | 2,614 | 23,369 |
Coursera, Inc. (a) | | 11,812 | 189,819 |
Duolingo, Inc. (a) | | 9,973 | 2,383,547 |
Frontdoor, Inc. (a) | | 195,373 | 6,126,897 |
Graham Holdings Co. | | 3,521 | 2,472,904 |
Grand Canyon Education, Inc. (a) | | 79,427 | 10,706,760 |
Laureate Education, Inc. Class A | | 247,155 | 3,314,349 |
Nerdy, Inc. Class A (a) | | 793,450 | 2,301,005 |
Perdoceo Education Corp. | | 159,803 | 2,846,091 |
Service Corp. International | | 144,141 | 10,549,680 |
Stride, Inc. (a) | | 98,397 | 5,879,221 |
| | | 91,422,937 |
Hotels, Restaurants & Leisure - 1.7% | | | |
Bloomin' Brands, Inc. (c) | | 210,098 | 5,710,464 |
Bowlero Corp. Class A (c) | | 878,471 | 10,936,964 |
Boyd Gaming Corp. | | 169,068 | 11,180,467 |
Brinker International, Inc. (a) | | 43,913 | 2,034,928 |
Cava Group, Inc. | | 41,794 | 2,441,188 |
Churchill Downs, Inc. | | 161,482 | 19,679,811 |
Dave & Buster's Entertainment, Inc. (a)(c) | | 30,368 | 1,874,920 |
Dine Brands Global, Inc. | | 99,048 | 4,804,818 |
Domino's Pizza, Inc. | | 4,890 | 2,192,432 |
Everi Holdings, Inc. (a) | | 18,637 | 221,035 |
Expedia, Inc. (a) | | 14,418 | 1,972,671 |
GEN Restaurant Group, Inc. | | 194,208 | 1,530,359 |
Genius Sports Ltd. (a)(c) | | 1,304,813 | 9,277,220 |
Jack in the Box, Inc. | | 17,400 | 1,270,200 |
Krispy Kreme, Inc. (c) | | 271,738 | 3,516,290 |
Kura Sushi U.S.A., Inc. Class A (a)(c) | | 26,652 | 2,532,740 |
Marriott Vacations Worldwide Corp. | | 19,840 | 1,848,890 |
MGM Resorts International (a) | | 47,009 | 2,034,550 |
Papa John's International, Inc. (c) | | 77,455 | 5,568,240 |
Planet Fitness, Inc. (a) | | 144,888 | 8,990,300 |
Potbelly Corp. (a) | | 420,968 | 5,843,036 |
Shake Shack, Inc. Class A (a) | | 2,363 | 251,234 |
Sportradar Holding AG (a)(c) | | 419,196 | 4,074,585 |
Sweetgreen, Inc. Class A (a) | | 943,634 | 12,021,897 |
Texas Roadhouse, Inc. Class A | | 89,810 | 13,414,920 |
TH International Ltd. (a)(c) | | 814,518 | 1,042,583 |
Vail Resorts, Inc. (c) | | 66,124 | 15,229,018 |
Wendy's Co. | | 490,806 | 8,888,497 |
Wingstop, Inc. | | 15,900 | 5,581,695 |
| | | 165,965,952 |
Household Durables - 1.6% | | | |
Beazer Homes U.S.A., Inc. (a) | | 3,978 | 124,631 |
Cavco Industries, Inc. (a) | | 7,710 | 2,872,515 |
Century Communities, Inc. (c) | | 7,988 | 689,285 |
Helen of Troy Ltd. (a) | | 611 | 76,375 |
Installed Building Products, Inc. (c) | | 64,121 | 15,320,431 |
KB Home | | 74,250 | 4,932,428 |
La-Z-Boy, Inc. (c) | | 103,200 | 3,920,568 |
Leggett & Platt, Inc. | | 50,840 | 1,038,153 |
M.D.C. Holdings, Inc. | | 4,648 | 291,430 |
M/I Homes, Inc. (a) | | 27,563 | 3,500,225 |
Meritage Homes Corp. (c) | | 52,641 | 8,299,380 |
Mohawk Industries, Inc. (a) | | 59,679 | 7,079,123 |
NVR, Inc. (a) | | 308 | 2,348,676 |
PulteGroup, Inc. | | 192,464 | 20,859,248 |
SharkNinja Hong Kong Co. Ltd. | | 75,896 | 4,098,384 |
Skyline Champion Corp. (a) | | 252,625 | 21,167,449 |
Taylor Morrison Home Corp. (a) | | 220,347 | 12,473,844 |
Tempur Sealy International, Inc. | | 55,135 | 3,003,203 |
Toll Brothers, Inc. | | 173,816 | 19,926,266 |
TopBuild Corp. (a) | | 36,560 | 14,711,013 |
TRI Pointe Homes, Inc. (a) | | 109,644 | 3,879,205 |
Whirlpool Corp. (c) | | 28,700 | 3,082,093 |
| | | 153,693,925 |
Leisure Products - 0.3% | | | |
Brunswick Corp. | | 245,825 | 21,485,105 |
Malibu Boats, Inc. Class A (a) | | 57,408 | 2,505,285 |
Polaris, Inc. | | 73,971 | 6,857,851 |
Topgolf Callaway Brands Corp. (a)(c) | | 132,344 | 1,884,579 |
YETI Holdings, Inc. (a)(c) | | 12,622 | 518,007 |
| | | 33,250,827 |
Specialty Retail - 2.5% | | | |
1-800-FLOWERS.com, Inc. Class A (a) | | 1,799 | 18,746 |
Abercrombie & Fitch Co. Class A (a) | | 6,186 | 790,323 |
Academy Sports & Outdoors, Inc. | | 72,776 | 5,437,823 |
Advance Auto Parts, Inc. (c) | | 41,271 | 2,787,443 |
Asbury Automotive Group, Inc. (a) | | 23,000 | 4,803,090 |
AutoNation, Inc. (a) | | 8,435 | 1,263,563 |
Bath & Body Works, Inc. | | 196,045 | 8,959,257 |
Boot Barn Holdings, Inc. (a) | | 51,539 | 4,767,358 |
Burlington Stores, Inc. (a) | | 83,418 | 17,109,032 |
Caleres, Inc. (c) | | 56,617 | 2,185,982 |
CarParts.com, Inc. (a) | | 50,611 | 129,058 |
Carvana Co. Class A (a)(c) | | 3,905 | 296,507 |
Chewy, Inc. (a) | | 27,597 | 486,811 |
Dick's Sporting Goods, Inc. | | 55,960 | 9,954,724 |
Duluth Holdings, Inc. (a) | | 257 | 1,223 |
Five Below, Inc. (a) | | 89,059 | 17,872,360 |
Floor & Decor Holdings, Inc. Class A (a) | | 18,364 | 2,224,248 |
Gap, Inc. | | 61,463 | 1,164,109 |
Group 1 Automotive, Inc. (c) | | 15,774 | 4,269,233 |
Haverty Furniture Companies, Inc. | | 86,300 | 2,960,090 |
Lithia Motors, Inc. Class A (sub. vtg.) | | 40,131 | 12,001,577 |
Monro, Inc. (c) | | 30,028 | 1,008,040 |
Murphy U.S.A., Inc. (c) | | 83,644 | 34,880,384 |
MYT Netherlands Parent BV ADR (a) | | 265,159 | 914,799 |
National Vision Holdings, Inc. (a) | | 636,733 | 14,899,552 |
Penske Automotive Group, Inc. | | 46,707 | 7,169,525 |
Petco Health & Wellness Co., Inc. (a)(c) | | 141,574 | 368,092 |
Revolve Group, Inc. (a)(c) | | 341,234 | 7,483,262 |
RH (a) | | 2,600 | 713,440 |
Sally Beauty Holdings, Inc. (a) | | 436,238 | 5,509,686 |
Signet Jewelers Ltd. (c) | | 78,480 | 7,986,125 |
Stitch Fix, Inc. (a) | | 70,657 | 228,222 |
The Aaron's Co., Inc. | | 186,715 | 1,447,041 |
The Buckle, Inc. | | 27,513 | 1,126,382 |
The ODP Corp. (a) | | 68,710 | 3,880,741 |
Upbound Group, Inc. | | 26,174 | 883,634 |
Valvoline, Inc. (a) | | 412,547 | 17,591,004 |
Warby Parker, Inc. (a) | | 568,782 | 7,229,219 |
Wayfair LLC Class A (a)(c) | | 70,483 | 4,200,787 |
Williams-Sonoma, Inc. (c) | | 91,317 | 21,507,893 |
Winmark Corp. | | 90 | 34,160 |
Zumiez, Inc. (a) | | 23,318 | 410,863 |
| | | 238,955,408 |
Textiles, Apparel & Luxury Goods - 1.2% | | | |
Amer Sports, Inc. (c) | | 87,841 | 1,433,565 |
Capri Holdings Ltd. (a) | | 49,100 | 2,264,983 |
Crocs, Inc. (a) | | 94,209 | 11,517,050 |
Deckers Outdoor Corp. (a) | | 31,612 | 28,311,391 |
Figs, Inc. Class A (a)(c) | | 10,029 | 52,452 |
G-III Apparel Group Ltd. (a) | | 62,095 | 2,065,901 |
On Holding AG (a)(c) | | 241,832 | 8,468,957 |
PLBY Group, Inc. (a)(c) | | 897,688 | 885,659 |
PVH Corp. | | 114,142 | 15,599,787 |
Ralph Lauren Corp. | | 79,979 | 14,869,696 |
Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | | 238,914 | 14,767,274 |
Steven Madden Ltd. (c) | | 77,431 | 3,315,595 |
Tapestry, Inc. | | 238,447 | 11,333,386 |
Under Armour, Inc. Class C (non-vtg.) (a)(c) | | 633,078 | 5,406,486 |
| | | 120,292,182 |
TOTAL CONSUMER DISCRETIONARY | | | 980,836,554 |
CONSUMER STAPLES - 3.9% | | | |
Beverages - 0.4% | | | |
Celsius Holdings, Inc. (a)(c) | | 78,486 | 6,406,027 |
Coca-Cola Bottling Co. Consolidated | | 4,478 | 3,765,102 |
Duckhorn Portfolio, Inc. (a) | | 40,373 | 383,947 |
Molson Coors Beverage Co. Class B | | 213,059 | 13,299,143 |
National Beverage Corp. (a) | | 33,072 | 1,740,910 |
Primo Water Corp. | | 672,963 | 10,908,730 |
The Vita Coco Co., Inc. (a) | | 29,100 | 759,510 |
| | | 37,263,369 |
Consumer Staples Distribution & Retail - 1.1% | | | |
Albertsons Companies, Inc. | | 149,300 | 3,027,804 |
Andersons, Inc. | | 1,029 | 56,883 |
BJ's Wholesale Club Holdings, Inc. (a) | | 498,708 | 36,425,632 |
Casey's General Stores, Inc. | | 54,258 | 16,521,018 |
Grocery Outlet Holding Corp. (a) | | 68,282 | 1,760,993 |
Ingles Markets, Inc. Class A | | 97,407 | 7,501,313 |
Performance Food Group Co. (a) | | 339,379 | 26,054,126 |
PriceSmart, Inc. | | 30,110 | 2,533,455 |
SpartanNash Co. | | 79,313 | 1,671,125 |
Sprouts Farmers Market LLC (a) | | 127,800 | 7,979,832 |
U.S. Foods Holding Corp. (a) | | 103,698 | 5,266,821 |
Weis Markets, Inc. | | 15,529 | 1,008,453 |
| | | 109,807,455 |
Food Products - 1.2% | | | |
Conagra Brands, Inc. | | 90,800 | 2,549,664 |
Darling Ingredients, Inc. (a) | | 7,402 | 313,179 |
Flowers Foods, Inc. | | 235,287 | 5,275,135 |
Fresh Del Monte Produce, Inc. | | 15,324 | 366,703 |
Freshpet, Inc. (a) | | 23,817 | 2,692,036 |
Ingredion, Inc. | | 141,557 | 16,651,350 |
John B. Sanfilippo & Son, Inc. | | 8,562 | 876,492 |
Lamb Weston Holdings, Inc. | | 317,921 | 32,494,705 |
Lancaster Colony Corp. | | 75,022 | 15,523,552 |
Nomad Foods Ltd. | | 1,280,054 | 23,591,395 |
Pilgrim's Pride Corp. (a) | | 16,508 | 525,615 |
SunOpta, Inc. (a)(c) | | 1,038,749 | 7,302,405 |
The Hain Celestial Group, Inc. (a) | | 356,708 | 3,567,080 |
The J.M. Smucker Co. | | 15,853 | 1,905,055 |
The Simply Good Foods Co. (a) | | 101,963 | 3,617,647 |
Tootsie Roll Industries, Inc. | | 16,206 | 527,019 |
Vital Farms, Inc. (a) | | 52,045 | 935,249 |
| | | 118,714,281 |
Household Products - 0.3% | | | |
Central Garden & Pet Co. Class A (non-vtg.) | | 19,077 | 719,012 |
Reynolds Consumer Products, Inc. | | 264,490 | 7,802,455 |
Spectrum Brands Holdings, Inc. | | 157,730 | 12,684,647 |
WD-40 Co. | | 12,959 | 3,478,066 |
| | | 24,684,180 |
Personal Care Products - 0.6% | | | |
BellRing Brands, Inc. (a) | | 133,685 | 7,613,361 |
elf Beauty, Inc. (a) | | 135,817 | 28,321,919 |
Herbalife Ltd. (a)(c) | | 156,030 | 1,377,745 |
Inter Parfums, Inc. | | 66,876 | 9,812,047 |
MediFast, Inc. (c) | | 10,400 | 416,936 |
The Honest Co., Inc. (a) | | 3,679,934 | 11,407,795 |
USANA Health Sciences, Inc. (a) | | 10,694 | 516,092 |
| | | 59,465,895 |
Tobacco - 0.3% | | | |
Turning Point Brands, Inc. | | 287,050 | 7,262,365 |
Universal Corp. | | 275 | 13,203 |
Vector Group Ltd. | | 1,529,973 | 17,074,499 |
| | | 24,350,067 |
TOTAL CONSUMER STAPLES | | | 374,285,247 |
ENERGY - 3.0% | | | |
Energy Equipment & Services - 0.5% | | | |
Archrock, Inc. | | 128,777 | 2,352,756 |
Cactus, Inc. | | 34,164 | 1,568,128 |
Championx Corp. | | 444,315 | 13,800,424 |
Expro Group Holdings NV (a) | | 188,490 | 3,372,086 |
Helix Energy Solutions Group, Inc. (a) | | 5,927 | 53,343 |
Helmerich & Payne, Inc. (c) | | 84,078 | 3,227,754 |
Newpark Resources, Inc. (a) | | 323,258 | 2,078,549 |
Noble Corp. PLC | | 80,009 | 3,345,176 |
NOV, Inc. | | 28,273 | 477,814 |
Patterson-UTI Energy, Inc. | | 97,294 | 1,125,692 |
ProPetro Holding Corp. (a) | | 41,945 | 310,393 |
RPC, Inc. (c) | | 15,848 | 117,117 |
Select Water Solutions, Inc. Class A | | 173,173 | 1,478,897 |
TechnipFMC PLC | | 388,511 | 8,426,804 |
Tidewater, Inc. (a) | | 45,538 | 3,189,026 |
U.S. Silica Holdings, Inc. (a) | | 201,283 | 2,314,755 |
Weatherford International PLC (a) | | 56,700 | 5,817,987 |
| | | 53,056,701 |
Oil, Gas & Consumable Fuels - 2.5% | | | |
Antero Resources Corp. (a) | | 28,853 | 741,522 |
APA Corp. | | 83,200 | 2,478,528 |
Ardmore Shipping Corp. (c) | | 35,049 | 568,845 |
Berry Corp. | | 177,200 | 1,249,260 |
California Resources Corp. | | 62,900 | 3,281,493 |
Callon Petroleum Co. (a) | | 50,300 | 1,567,348 |
Cameco Corp. (c) | | 394,199 | 15,976,885 |
Chesapeake Energy Corp. (c) | | 27,858 | 2,306,085 |
Civitas Resources, Inc. (c) | | 6,600 | 453,288 |
CNX Resources Corp. (a) | | 174,300 | 3,651,585 |
CONSOL Energy, Inc. | | 27,505 | 2,360,479 |
CVR Energy, Inc. (c) | | 27,867 | 924,627 |
Delek U.S. Holdings, Inc. | | 279,342 | 7,126,014 |
DHT Holdings, Inc. | | 164,134 | 1,775,930 |
DT Midstream, Inc. | | 134,986 | 7,779,243 |
Green Plains, Inc. (a) | | 191,843 | 4,086,256 |
HF Sinclair Corp. | | 536,983 | 29,802,557 |
International Seaways, Inc. | | 149,412 | 7,908,377 |
Kosmos Energy Ltd. (a) | | 294,365 | 1,807,401 |
Magnolia Oil & Gas Corp. Class A (c) | | 435,593 | 9,879,249 |
Matador Resources Co. (c) | | 132,706 | 8,380,384 |
Murphy Oil Corp. | | 86,940 | 3,448,910 |
Navigator Holdings Ltd. | | 89,510 | 1,339,965 |
New Fortress Energy, Inc. (c) | | 338,149 | 11,885,937 |
Northern Oil & Gas, Inc. | | 99,161 | 3,543,023 |
Overseas Shipholding Group, Inc. | | 422,663 | 2,569,791 |
Ovintiv, Inc. | | 157,393 | 7,776,788 |
Par Pacific Holdings, Inc. (a) | | 101,085 | 3,651,190 |
PBF Energy, Inc. Class A | | 66,063 | 3,085,142 |
Permian Resource Corp. Class A | | 827,493 | 12,875,791 |
Plains GP Holdings LP Class A | | 58,903 | 1,013,132 |
Range Resources Corp. | | 59,077 | 1,868,015 |
Rex American Resources Corp. (a) | | 2,559 | 112,545 |
Scorpio Tankers, Inc. (c) | | 133,117 | 8,936,144 |
SM Energy Co. | | 506,078 | 22,151,034 |
Southwestern Energy Co. (a) | | 336,072 | 2,342,422 |
Viper Energy, Inc. (c) | | 776,100 | 28,048,254 |
Vitesse Energy, Inc. (c) | | 13,405 | 304,696 |
Whitecap Resources, Inc. (c) | | 686,758 | 4,778,050 |
World Kinect Corp. (c) | | 282,008 | 6,869,715 |
| | | 240,705,900 |
TOTAL ENERGY | | | 293,762,601 |
FINANCIALS - 11.2% | | | |
Banks - 2.9% | | | |
1st Source Corp. | | 2,154 | 107,226 |
Ameris Bancorp | | 1,367 | 63,333 |
Banc of California, Inc. | | 42,970 | 628,651 |
Bancorp, Inc., Delaware (a) | | 51,864 | 2,315,209 |
Bank OZK | | 3,400 | 148,920 |
BankUnited, Inc. | | 187,614 | 5,031,807 |
Berkshire Hills Bancorp, Inc. (c) | | 56,303 | 1,209,951 |
Brookline Bancorp, Inc., Delaware | | 971 | 9,487 |
Cathay General Bancorp | | 66,800 | 2,608,540 |
Citizens Financial Group, Inc. | | 116,300 | 3,650,657 |
Coastal Financial Corp. of Washington (a) | | 12,967 | 497,803 |
Columbia Banking Systems, Inc. | | 362,981 | 6,569,956 |
Comerica, Inc. | | 210,627 | 10,400,761 |
Commerce Bancshares, Inc. | | 183,489 | 9,548,768 |
ConnectOne Bancorp, Inc. | | 14,534 | 287,628 |
CrossFirst Bankshares, Inc. (a) | | 9,397 | 120,939 |
Cullen/Frost Bankers, Inc. | | 100,228 | 10,875,740 |
Customers Bancorp, Inc. (a) | | 1,371 | 74,459 |
Dime Community Bancshares, Inc. | | 54,366 | 1,018,819 |
East West Bancorp, Inc. | | 293,878 | 21,411,951 |
Eastern Bankshares, Inc. | | 20,920 | 270,286 |
Enterprise Financial Services Corp. | | 12,896 | 514,808 |
Equity Bancshares, Inc. | | 1,763 | 56,116 |
Esquire Financial Holdings, Inc. | | 6,437 | 326,871 |
FB Financial Corp. (c) | | 12,408 | 442,221 |
Fifth Third Bancorp | | 94,000 | 3,227,960 |
First Bancorp, Puerto Rico (c) | | 657,260 | 11,160,275 |
First Bancshares, Inc. | | 3,250 | 80,698 |
First Citizens Bancshares, Inc. | | 17,952 | 28,253,037 |
First Financial Bankshares, Inc. | | 2,007 | 62,097 |
First Hawaiian, Inc. | | 352,700 | 7,392,592 |
First Horizon National Corp. | | 193,769 | 2,732,143 |
First Interstate Bancsystem, Inc. | | 305,267 | 8,034,627 |
First Merchants Corp. | | 56,345 | 1,870,654 |
Flushing Financial Corp. | | 1,452 | 18,644 |
FNB Corp., Pennsylvania | | 215,283 | 2,871,875 |
Fulton Financial Corp. | | 203,500 | 3,133,900 |
Glacier Bancorp, Inc. | | 57,596 | 2,155,242 |
Hancock Whitney Corp. | | 102,739 | 4,479,420 |
Hanmi Financial Corp. | | 108,800 | 1,643,968 |
Heartland Financial U.S.A., Inc. | | 1,133 | 38,522 |
Heritage Commerce Corp. | | 191,722 | 1,589,375 |
HomeStreet, Inc. | | 32,902 | 458,983 |
HomeTrust Bancshares, Inc. | | 3,891 | 102,139 |
Hope Bancorp, Inc. | | 278,100 | 3,050,757 |
Horizon Bancorp, Inc. Indiana | | 13,357 | 160,818 |
Huntington Bancshares, Inc. | | 229,304 | 2,990,124 |
Independent Bank Corp. | | 4,299 | 105,111 |
Independent Bank Group, Inc. | | 2,465 | 107,794 |
International Bancshares Corp. | | 11,917 | 618,373 |
KeyCorp | | 89,100 | 1,271,457 |
Lakeland Bancorp, Inc. | | 31,805 | 371,482 |
Live Oak Bancshares, Inc. (c) | | 3,174 | 126,071 |
Luther Burbank Corp. (a) | | 5,434 | 49,721 |
Mercantile Bank Corp. | | 1,540 | 56,734 |
Metropolitan Bank Holding Corp. (a) | | 678 | 26,584 |
Midland States Bancorp, Inc. | | 6,274 | 152,772 |
NB Bancorp, Inc. | | 53,971 | 755,594 |
New York Community Bancorp, Inc. (c) | | 690,303 | 3,306,551 |
OceanFirst Financial Corp. | | 60,098 | 913,490 |
OFG Bancorp | | 100,700 | 3,647,354 |
Old National Bancorp, Indiana | | 201,965 | 3,318,285 |
Pathward Financial, Inc. | | 25,068 | 1,274,457 |
Peapack-Gladstone Financial Corp. | | 42,782 | 1,036,608 |
Peoples Bancorp, Inc. | | 40,051 | 1,124,232 |
Pinnacle Financial Partners, Inc. | | 62,454 | 5,166,195 |
Popular, Inc. | | 530 | 44,350 |
Preferred Bank, Los Angeles (c) | | 46,352 | 3,330,391 |
Premier Financial Corp. | | 19,659 | 380,991 |
Provident Financial Services, Inc. | | 2,898 | 43,702 |
RBB Bancorp (c) | | 3,616 | 62,268 |
Regions Financial Corp. | | 171,700 | 3,198,771 |
ServisFirst Bancshares, Inc. | | 119,384 | 7,543,875 |
Southside Bancshares, Inc. | | 368 | 10,547 |
Southstate Corp. (c) | | 33,572 | 2,821,391 |
Summit Financial Group, Inc. | | 5,016 | 135,332 |
Texas Capital Bancshares, Inc. (a) | | 108,892 | 6,386,516 |
Tompkins Financial Corp. | | 854 | 41,129 |
UMB Financial Corp. | | 4,205 | 343,170 |
United Bankshares, Inc., West Virginia | | 2,576 | 89,361 |
Univest Corp. of Pennsylvania | | 3,494 | 69,950 |
Valley National Bancorp | | 128,390 | 1,051,514 |
Veritex Holdings, Inc. | | 89,800 | 1,762,774 |
Webster Financial Corp. | | 151,092 | 7,198,023 |
WesBanco, Inc. | | 48,800 | 1,414,224 |
Westamerica Bancorp. | | 25,472 | 1,164,325 |
Western Alliance Bancorp. (c) | | 328,722 | 18,977,121 |
Wintrust Financial Corp. | | 337,640 | 32,531,614 |
Zions Bancorporation NA | | 235,654 | 9,291,837 |
| | | 285,020,798 |
Capital Markets - 2.7% | | | |
Affiliated Managers Group, Inc. | | 50,332 | 7,867,395 |
Ares Management Corp. | | 7,321 | 970,984 |
Artisan Partners Asset Management, Inc. (c) | | 69,387 | 2,988,498 |
Assetmark Financial Holdings, Inc. (a) | | 177,833 | 6,286,397 |
BGC Group, Inc. Class A | | 403,738 | 2,805,979 |
Blue Owl Capital, Inc. Class A | | 117,860 | 2,116,766 |
Carlyle Group LP | | 358,847 | 16,453,135 |
Cboe Global Markets, Inc. | | 128,755 | 24,720,960 |
Cohen & Steers, Inc. (c) | | 26,685 | 1,962,682 |
Diamond Hill Investment Group, Inc. | | 2,817 | 407,564 |
Donnelley Financial Solutions, Inc. (a) | | 4,309 | 278,189 |
Evercore, Inc. Class A | | 156,087 | 29,200,756 |
FactSet Research Systems, Inc. | | 19,785 | 9,152,145 |
Federated Hermes, Inc. | | 113,702 | 4,005,721 |
Hamilton Lane, Inc. Class A | | 35,027 | 4,022,851 |
Houlihan Lokey | | 72,418 | 9,317,300 |
Invesco Ltd. | | 221,540 | 3,413,931 |
Janus Henderson Group PLC | | 6,481 | 201,948 |
Jefferies Financial Group, Inc. | | 54,029 | 2,259,493 |
Lazard, Inc. Class A | | 10,652 | 410,528 |
LPL Financial | | 89,527 | 23,983,388 |
MarketAxess Holdings, Inc. | | 60,967 | 13,010,967 |
Moelis & Co. Class A | | 166,156 | 8,979,070 |
Morningstar, Inc. | | 25,768 | 7,694,067 |
P10, Inc. (c) | | 1,130,294 | 10,477,825 |
PJT Partners, Inc. (c) | | 41,771 | 4,402,663 |
Robinhood Markets, Inc. (a) | | 16,714 | 272,605 |
SEI Investments Co. | | 155,352 | 10,447,422 |
Sprott, Inc. (c) | | 239,468 | 8,843,553 |
StepStone Group, Inc. Class A | | 254,809 | 8,849,517 |
Stifel Financial Corp. | | 98,958 | 7,506,954 |
TPG, Inc. | | 31,896 | 1,414,588 |
Tradeweb Markets, Inc. Class A | | 102,317 | 10,827,185 |
Victory Capital Holdings, Inc. | | 48,516 | 1,864,470 |
Virtu Financial, Inc. Class A | | 314,608 | 5,678,674 |
WisdomTree Investments, Inc. | | 916,971 | 7,390,786 |
XP, Inc. Class A | | 56,168 | 1,327,812 |
| | | 261,814,768 |
Consumer Finance - 0.4% | | | |
Ally Financial, Inc. | | 99,300 | 3,673,107 |
Atlanticus Holdings Corp. (a) | | 685 | 22,708 |
Encore Capital Group, Inc. (a) | | 1,842 | 88,416 |
Enova International, Inc. (a) | | 60,952 | 3,855,214 |
FirstCash Holdings, Inc. | | 59,882 | 6,856,489 |
LendingTree, Inc. (a) | | 7,438 | 294,322 |
Navient Corp. (c) | | 280,800 | 4,565,808 |
Nelnet, Inc. Class A (c) | | 5,064 | 434,846 |
OneMain Holdings, Inc. (c) | | 31,301 | 1,478,346 |
PRA Group, Inc. (a) | | 8,213 | 209,924 |
PROG Holdings, Inc. | | 91,529 | 2,825,500 |
Regional Management Corp. | | 73,803 | 1,726,990 |
SLM Corp. | | 390,950 | 8,143,489 |
World Acceptance Corp. (a) | | 30 | 3,593 |
| | | 34,178,752 |
Financial Services - 2.3% | | | |
Acacia Research Corp. (a)(c) | | 2,333,380 | 9,426,855 |
Affirm Holdings, Inc. (a)(c) | | 41,086 | 1,541,547 |
Banco Latinoamericano de Comer Series E | | 75,700 | 2,117,329 |
Cannae Holdings, Inc. (a) | | 500,938 | 10,930,467 |
Cass Information Systems, Inc. (c) | | 10,793 | 521,518 |
Enact Holdings, Inc. | | 58,677 | 1,626,526 |
Equitable Holdings, Inc. (c) | | 311,973 | 10,681,956 |
Essent Group Ltd. | | 67,498 | 3,615,868 |
Euronet Worldwide, Inc. (a) | | 316,744 | 34,664,463 |
EVERTEC, Inc. (c) | | 242,551 | 8,763,368 |
Federal Agricultural Mortgage Corp. Class C (non-vtg.) | | 27,898 | 4,990,115 |
FleetCor Technologies, Inc. (a) | | 37,520 | 10,478,210 |
Flywire Corp. (a) | | 68,489 | 1,944,403 |
i3 Verticals, Inc. Class A (a) | | 233,709 | 4,980,339 |
International Money Express, Inc. (a) | | 44,923 | 884,983 |
Jack Henry & Associates, Inc. | | 114,087 | 19,824,898 |
MGIC Investment Corp. | | 261,047 | 5,192,225 |
NCR Atleos Corp. | | 228,342 | 4,968,722 |
NMI Holdings, Inc. (a) | | 149,364 | 4,492,869 |
Nuvei Corp. (c)(d) | | 251,929 | 6,661,003 |
PagSeguro Digital Ltd. (a) | | 149,087 | 2,075,291 |
Payoneer Global, Inc. (a) | | 680,788 | 3,308,630 |
PennyMac Financial Services, Inc. | | 31,102 | 2,641,493 |
Radian Group, Inc. (c) | | 326,247 | 9,506,838 |
Remitly Global, Inc. (a) | | 254,957 | 5,257,213 |
Repay Holdings Corp. (a) | | 357,803 | 3,109,308 |
Shift4 Payments, Inc. (a)(c) | | 166,262 | 13,670,062 |
StoneCo Ltd. Class A (a) | | 50,331 | 866,197 |
The Western Union Co. | | 154,700 | 2,074,527 |
Toast, Inc. (a)(c) | | 13,481 | 310,063 |
Voya Financial, Inc. | | 56,358 | 3,852,633 |
Walker & Dunlop, Inc. | | 20,587 | 1,963,588 |
WEX, Inc. (a) | | 136,319 | 29,953,374 |
| | | 226,896,881 |
Insurance - 2.8% | | | |
AMBAC Financial Group, Inc. (a) | | 32,136 | 525,745 |
American Equity Investment Life Holding Co. (a) | | 59,102 | 3,282,525 |
American Financial Group, Inc. | | 127,368 | 16,261,073 |
American International Group, Inc. | | 57,464 | 4,188,551 |
Assurant, Inc. | | 12,887 | 2,338,346 |
Assured Guaranty Ltd. | | 53,220 | 4,874,952 |
Axis Capital Holdings Ltd. | | 240,327 | 15,037,260 |
Brighthouse Financial, Inc. (a) | | 16,247 | 756,298 |
Brown & Brown, Inc. | | 232,841 | 19,607,541 |
BRP Group, Inc. (a) | | 361,464 | 10,055,928 |
CNA Financial Corp. | | 148,634 | 6,532,464 |
CNO Financial Group, Inc. | | 168,152 | 4,487,977 |
Crawford & Co.: | | | |
Class A | | 410,965 | 4,812,400 |
Class B | | 117,226 | 1,288,314 |
Employers Holdings, Inc. | | 41,900 | 1,915,249 |
Erie Indemnity Co. Class A | | 23,832 | 9,696,764 |
Everest Re Group Ltd. | | 65,373 | 24,114,792 |
Fidelity National Financial, Inc. | | 64,821 | 3,278,646 |
First American Financial Corp. (c) | | 3,700 | 216,117 |
Genworth Financial, Inc. Class A (a) | | 1,758,178 | 10,812,795 |
Globe Life, Inc. | | 28,298 | 3,591,865 |
Goosehead Insurance (a) | | 22,835 | 1,727,468 |
Hanover Insurance Group, Inc. | | 33,142 | 4,357,179 |
Kemper Corp. | | 128,866 | 7,387,888 |
Kinsale Capital Group, Inc. (c) | | 43,163 | 22,279,877 |
Lincoln National Corp. | | 227,583 | 6,267,636 |
Old Republic International Corp. | | 209,200 | 6,058,432 |
Primerica, Inc. | | 34,174 | 8,381,515 |
Reinsurance Group of America, Inc. | | 50,138 | 8,866,905 |
RenaissanceRe Holdings Ltd. | | 22,353 | 5,025,401 |
RLI Corp. | | 135,772 | 19,883,809 |
Ryan Specialty Group Holdings, Inc. | | 54,351 | 2,846,905 |
Selective Insurance Group, Inc. | | 760 | 79,405 |
Universal Insurance Holdings, Inc. | | 41,976 | 847,495 |
Unum Group | | 148,758 | 7,356,083 |
W.R. Berkley Corp. | | 22,323 | 1,866,203 |
White Mountains Insurance Group Ltd. (c) | | 12,360 | 21,820,838 |
| | | 272,728,641 |
Mortgage Real Estate Investment Trusts - 0.1% | | | |
AGNC Investment Corp. | | 343,707 | 3,285,839 |
Annaly Capital Management, Inc. | | 93,300 | 1,781,097 |
Granite Point Mortgage Trust, Inc. | | 48,308 | 228,980 |
KKR Real Estate Finance Trust, Inc. | | 317 | 3,091 |
| | | 5,299,007 |
TOTAL FINANCIALS | | | 1,085,938,847 |
HEALTH CARE - 9.5% | | | |
Biotechnology - 2.0% | | | |
4D Molecular Therapeutics, Inc. (a) | | 2,360 | 66,127 |
ACADIA Pharmaceuticals, Inc. (a) | | 67,496 | 1,568,607 |
Agios Pharmaceuticals, Inc. (a)(c) | | 345,790 | 11,175,933 |
Akero Therapeutics, Inc. (a) | | 20,944 | 565,279 |
Alkermes PLC (a) | | 11,756 | 349,036 |
Altimmune, Inc. (a) | | 409,922 | 4,960,056 |
Apellis Pharmaceuticals, Inc. (a) | | 1,385 | 85,828 |
Arcturus Therapeutics Holdings, Inc. (a)(c) | | 134,246 | 5,203,375 |
Arcus Biosciences, Inc. (a) | | 39,481 | 755,272 |
Ascendis Pharma A/S sponsored ADR (a)(c) | | 6,445 | 952,313 |
Avid Bioservices, Inc. (a)(c) | | 450,594 | 3,460,562 |
Blueprint Medicines Corp. (a) | | 23,162 | 2,166,110 |
BridgeBio Pharma, Inc. (a) | | 28,990 | 990,009 |
Catalyst Pharmaceutical Partners, Inc. (a) | | 123,425 | 1,978,503 |
Crinetics Pharmaceuticals, Inc. (a) | | 168,462 | 6,896,834 |
Cytokinetics, Inc. (a) | | 17,480 | 1,262,755 |
Deciphera Pharmaceuticals, Inc. (a) | | 9,037 | 150,828 |
Dynavax Technologies Corp. (a) | | 10,492 | 132,934 |
Emergent BioSolutions, Inc. (a)(c) | | 88,638 | 286,301 |
Exact Sciences Corp. (a) | | 38,605 | 2,220,946 |
Exelixis, Inc. (a) | | 42,800 | 937,320 |
Fate Therapeutics, Inc. (a) | | 9,071 | 64,313 |
Halozyme Therapeutics, Inc. (a) | | 384,171 | 15,293,848 |
Incyte Corp. (a) | | 30,300 | 1,768,308 |
Insmed, Inc. (a) | | 257,061 | 7,125,731 |
Intellia Therapeutics, Inc. (a) | | 91,274 | 2,931,721 |
Ionis Pharmaceuticals, Inc. (a) | | 31,940 | 1,444,007 |
Ironwood Pharmaceuticals, Inc. Class A (a)(c) | | 420,000 | 3,960,600 |
iTeos Therapeutics, Inc. (a) | | 51,670 | 553,386 |
Kiniksa Pharmaceuticals Ltd. (a) | | 6,572 | 138,932 |
Kyverna Therapeutics, Inc. (c) | | 2,596 | 70,533 |
Legend Biotech Corp. ADR (a)(c) | | 84,108 | 5,480,477 |
Moonlake Immunotherapeutics (a) | | 12,330 | 594,799 |
Natera, Inc. (a) | | 258,919 | 22,393,904 |
Neurocrine Biosciences, Inc. (a) | | 87,577 | 11,420,041 |
Nurix Therapeutics, Inc. (a) | | 2,467 | 30,467 |
Oyster Point Pharma, Inc. rights (a)(b) | | 203,167 | 2 |
PTC Therapeutics, Inc. (a) | | 31,947 | 900,586 |
PureTech Health PLC (a) | | 676,493 | 1,682,256 |
Relay Therapeutics, Inc. (a) | | 227,508 | 2,279,630 |
Repare Therapeutics, Inc. (a)(c) | | 3,460 | 24,047 |
Repligen Corp. (a) | | 40,131 | 7,785,013 |
Revolution Medicines, Inc. (a) | | 4,597 | 135,520 |
Sarepta Therapeutics, Inc. (a) | | 17,038 | 2,179,160 |
SpringWorks Therapeutics, Inc. (a) | | 97,584 | 4,806,988 |
Syndax Pharmaceuticals, Inc. (a) | | 9,694 | 227,227 |
TG Therapeutics, Inc. (a) | | 3,433 | 59,116 |
Twist Bioscience Corp. (a)(c) | | 2,488 | 97,754 |
Ultragenyx Pharmaceutical, Inc. (a) | | 147,255 | 7,616,029 |
United Therapeutics Corp. (a) | | 111,760 | 25,217,526 |
Vanda Pharmaceuticals, Inc. (a) | | 97,770 | 437,032 |
Vaxcyte, Inc. (a) | | 19,759 | 1,458,609 |
Veracyte, Inc. (a) | | 385,472 | 9,077,866 |
Viking Therapeutics, Inc. (a) | | 88,527 | 6,821,005 |
Vir Biotechnology, Inc. (a) | | 21,613 | 242,930 |
Xenon Pharmaceuticals, Inc. (a) | | 19,649 | 927,433 |
| | | 191,411,724 |
Health Care Equipment & Supplies - 2.6% | | | |
Abiomed, Inc. (a)(b) | | 14,700 | 40,866 |
Align Technology, Inc. (a) | | 9,876 | 2,986,700 |
Angiodynamics, Inc. (a) | | 44,330 | 243,372 |
Atricure, Inc. (a) | | 49,425 | 1,728,392 |
Atrion Corp. (c) | | 1,256 | 462,195 |
AxoGen, Inc. (a) | | 864,924 | 9,133,597 |
Axonics, Inc. (a) | | 1,038 | 70,522 |
Bausch + Lomb Corp. (a)(c) | | 215,421 | 3,554,447 |
Dentsply Sirona, Inc. | | 1,525 | 49,837 |
Embecta Corp. | | 280,653 | 4,007,725 |
Enovis Corp. (a) | | 15,229 | 910,846 |
Envista Holdings Corp. (a) | | 948,969 | 19,596,210 |
Establishment Labs Holdings, Inc. (a)(c) | | 2,629 | 120,093 |
Globus Medical, Inc. (a)(c) | | 310,994 | 16,790,566 |
Haemonetics Corp. (a) | | 45,895 | 3,349,417 |
ICU Medical, Inc. (a) | | 78,827 | 8,610,273 |
Inari Medical, Inc. (a) | | 35,172 | 1,622,133 |
InMode Ltd. (a) | | 18,592 | 409,024 |
Inspire Medical Systems, Inc. (a) | | 6,722 | 1,203,507 |
Integra LifeSciences Holdings Corp. (a) | | 386,828 | 14,277,821 |
iRhythm Technologies, Inc. (a) | | 16,677 | 1,978,726 |
Lantheus Holdings, Inc. (a) | | 360,747 | 23,585,639 |
LeMaitre Vascular, Inc. | | 16,662 | 1,166,340 |
LivaNova PLC (a) | | 1,697 | 93,013 |
Masimo Corp. (a) | | 39,891 | 5,127,589 |
Merit Medical Systems, Inc. (a) | | 317,526 | 24,195,481 |
Neogen Corp. (a) | | 430,242 | 7,395,860 |
Nevro Corp. (a) | | 219,763 | 3,199,749 |
Novocure Ltd. (a) | | 48,453 | 741,815 |
Omnicell, Inc. (a) | | 59,561 | 1,562,881 |
Penumbra, Inc. (a) | | 32,329 | 7,594,729 |
QuidelOrtho Corp. (a) | | 447,122 | 20,388,763 |
Shockwave Medical, Inc. (a) | | 10,380 | 2,707,831 |
STERIS PLC | | 138,455 | 32,247,554 |
Tandem Diabetes Care, Inc. (a) | | 200,254 | 5,332,764 |
Teleflex, Inc. | | 28,107 | 6,261,959 |
The Cooper Companies, Inc. | | 120,784 | 11,305,382 |
TransMedics Group, Inc. (a)(c) | | 72,132 | 5,885,971 |
Varex Imaging Corp. (a) | | 4,158 | 71,518 |
| | | 250,011,107 |
Health Care Providers & Services - 2.3% | | | |
Acadia Healthcare Co., Inc. (a) | | 261,192 | 21,796,472 |
AdaptHealth Corp. (a) | | 246 | 2,517 |
agilon health, Inc. (a)(c) | | 359,395 | 2,203,091 |
Amedisys, Inc. (a) | | 16,154 | 1,502,645 |
AMN Healthcare Services, Inc. (a) | | 167,658 | 9,434,116 |
BrightSpring Health Services, Inc. | | 83,725 | 752,688 |
Castle Biosciences, Inc. (a) | | 329,861 | 5,957,290 |
Chemed Corp. | | 86,169 | 53,952,996 |
Corvel Corp. (a) | | 8,814 | 2,150,616 |
Cross Country Healthcare, Inc. (a) | | 913 | 16,681 |
DaVita, Inc. (a) | | 17,900 | 2,272,763 |
dentalcorp Holdings Ltd. (a) | | 2,609,069 | 12,765,146 |
Encompass Health Corp. | | 327,244 | 24,346,954 |
Guardant Health, Inc. (a) | | 35,866 | 681,454 |
HealthEquity, Inc. (a) | | 275,639 | 22,770,538 |
Henry Schein, Inc. (a) | | 112,354 | 8,591,710 |
Molina Healthcare, Inc. (a) | | 30,041 | 11,833,450 |
National Research Corp. Class A | | 13,844 | 558,190 |
Opko Health, Inc. (a)(c) | | 1,532,324 | 1,532,324 |
Option Care Health, Inc. (a) | | 1,409 | 45,468 |
Owens & Minor, Inc. (a) | | 9,519 | 231,597 |
Patterson Companies, Inc. | | 158,937 | 4,305,603 |
Pediatrix Medical Group, Inc. (a) | | 563,536 | 5,156,354 |
Privia Health Group, Inc. (a) | | 4,882 | 108,966 |
Progyny, Inc. (a) | | 39,206 | 1,431,803 |
R1 RCM, Inc. (a)(c) | | 933,043 | 13,109,254 |
RadNet, Inc. (a) | | 49,054 | 1,857,184 |
Surgery Partners, Inc. (a) | | 47,542 | 1,475,228 |
Tenet Healthcare Corp. (a) | | 124 | 11,532 |
The Ensign Group, Inc. | | 9,402 | 1,174,498 |
Universal Health Services, Inc. Class B | | 87,958 | 14,694,263 |
| | | 226,723,391 |
Health Care Technology - 0.4% | | | |
American Well Corp. (a) | | 2,804 | 3,028 |
Certara, Inc. (a) | | 663,734 | 11,203,830 |
Doximity, Inc. (a)(c) | | 805,791 | 22,747,480 |
Health Catalyst, Inc. (a) | | 14,974 | 124,584 |
HealthStream, Inc. | | 23,148 | 631,477 |
iCAD, Inc. (a) | | 678,124 | 1,213,842 |
Phreesia, Inc. (a) | | 6,945 | 171,889 |
Simulations Plus, Inc. (c) | | 14,939 | 619,969 |
Teladoc Health, Inc. (a)(c) | | 159,000 | 2,397,720 |
| | | 39,113,819 |
Life Sciences Tools & Services - 1.7% | | | |
Avantor, Inc. (a) | | 724,992 | 17,863,803 |
Azenta, Inc. (a)(c) | | 147,861 | 9,633,144 |
Bio-Rad Laboratories, Inc. Class A (a) | | 57,246 | 18,655,326 |
Bio-Techne Corp. | | 204,126 | 15,017,550 |
BioLife Solutions, Inc. (a) | | 329,502 | 5,568,584 |
Bruker Corp. | | 11,353 | 982,489 |
CryoPort, Inc. (a)(c) | | 88,242 | 1,559,236 |
Fortrea Holdings, Inc. | | 269,147 | 10,103,778 |
Gerresheimer AG | | 72,100 | 8,447,144 |
Harvard Bioscience, Inc. (a) | | 412,870 | 1,787,727 |
ICON PLC (a) | | 24,744 | 7,933,421 |
Lonza Group AG ADR (c) | | 52,391 | 2,739,525 |
MaxCyte, Inc. (a)(c) | | 806,151 | 3,708,295 |
Medpace Holdings, Inc. (a) | | 51,775 | 20,581,598 |
Pacific Biosciences of California, Inc. (a)(c) | | 47,868 | 264,710 |
Quanterix Corp. (a) | | 543,734 | 13,027,867 |
Seer, Inc. (a) | | 53,794 | 97,905 |
Sotera Health Co. (a)(c) | | 718,362 | 10,782,614 |
Stevanato Group SpA (c) | | 107,049 | 3,548,674 |
West Pharmaceutical Services, Inc. | | 24,725 | 8,860,451 |
| | | 161,163,841 |
Pharmaceuticals - 0.5% | | | |
Amphastar Pharmaceuticals, Inc. (a) | | 42,947 | 2,000,042 |
Arvinas Holding Co. LLC (a) | | 94,956 | 4,366,077 |
Atea Pharmaceuticals, Inc. (a) | | 110,737 | 477,276 |
Corcept Therapeutics, Inc. (a)(c) | | 170,801 | 4,013,824 |
Elanco Animal Health, Inc. (a) | | 88,531 | 1,406,758 |
Harmony Biosciences Holdings, Inc. (a)(c) | | 8,976 | 288,130 |
Innoviva, Inc. (a) | | 10,307 | 157,491 |
Intra-Cellular Therapies, Inc. (a) | | 116,783 | 8,118,754 |
Jazz Pharmaceuticals PLC (a) | | 57,436 | 6,829,140 |
Nuvation Bio, Inc. (a) | | 42,169 | 78,856 |
Organon & Co. | | 176,657 | 3,075,598 |
Pacira Biosciences, Inc. (a) | | 11,095 | 329,743 |
Perrigo Co. PLC | | 126,640 | 3,325,566 |
Phathom Pharmaceuticals, Inc. (a)(c) | | 229,213 | 2,452,579 |
Prestige Brands Holdings, Inc. (a) | | 51,878 | 3,609,671 |
Royalty Pharma PLC | | 175,095 | 5,312,382 |
Supernus Pharmaceuticals, Inc. (a) | | 84,238 | 2,501,869 |
Tilray Brands, Inc. Class 2 (a)(c) | | 16,668 | 28,836 |
Viatris, Inc. | | 235,900 | 2,918,083 |
| | | 51,290,675 |
TOTAL HEALTH CARE | | | 919,714,557 |
INDUSTRIALS - 18.2% | | | |
Aerospace & Defense - 1.6% | | | |
AAR Corp. (a) | | 42,254 | 2,821,722 |
AeroVironment, Inc. (a) | | 16,520 | 2,094,571 |
Axon Enterprise, Inc. (a) | | 62,820 | 19,308,983 |
BWX Technologies, Inc. | | 214,044 | 21,582,057 |
Cadre Holdings, Inc. | | 9,396 | 337,598 |
Curtiss-Wright Corp. | | 54,145 | 12,792,839 |
Ducommun, Inc. (a) | | 6,168 | 294,337 |
Hexcel Corp. | | 19,843 | 1,477,510 |
Howmet Aerospace, Inc. | | 183,794 | 12,231,491 |
Huntington Ingalls Industries, Inc. | | 6,800 | 1,983,016 |
Intuitive Machines, Inc. Class A (a) | | 6,424 | 38,737 |
Kratos Defense & Security Solutions, Inc. (a) | | 830,589 | 15,149,943 |
Leonardo DRS, Inc. (a) | | 85,594 | 1,943,840 |
Mercury Systems, Inc. (a)(c) | | 347,378 | 10,376,181 |
Moog, Inc. Class A | | 18,450 | 2,766,578 |
Rheinmetall AG ADR | | 235,624 | 21,750,451 |
Spirit AeroSystems Holdings, Inc. Class A (a)(c) | | 241,411 | 6,904,355 |
Textron, Inc. | | 144,224 | 12,846,032 |
Thales SA ADR | | 137,873 | 4,085,177 |
Woodward, Inc. | | 380 | 53,766 |
| | | 150,839,184 |
Air Freight & Logistics - 0.2% | | | |
Air Transport Services Group, Inc. (a) | | 670,467 | 8,092,537 |
Forward Air Corp. | | 57,221 | 2,124,616 |
GXO Logistics, Inc. (a) | | 137,713 | 7,128,025 |
Hub Group, Inc. Class A | | 12,434 | 528,818 |
| | | 17,873,996 |
Building Products - 1.9% | | | |
A.O. Smith Corp. | | 169,505 | 14,051,965 |
Advanced Drain Systems, Inc. | | 2,141 | 349,497 |
American Woodmark Corp. (a) | | 2,240 | 224,538 |
Apogee Enterprises, Inc. (c) | | 70,192 | 4,015,684 |
Armstrong World Industries, Inc. | | 68,684 | 8,283,977 |
Builders FirstSource, Inc. (a) | | 165,478 | 32,297,996 |
Carlisle Companies, Inc. | | 61,956 | 21,684,600 |
Fortune Brands Innovations, Inc. | | 251,413 | 20,449,933 |
Gibraltar Industries, Inc. (a) | | 111,593 | 8,642,878 |
Griffon Corp. | | 27,200 | 1,942,080 |
Hayward Holdings, Inc. (a) | | 710,561 | 10,509,197 |
Janus International Group, Inc. (a) | | 35,682 | 512,037 |
Jeld-Wen Holding, Inc. (a) | | 10,971 | 199,672 |
Lennox International, Inc. | | 23,802 | 11,215,740 |
Masonite International Corp. (a) | | 1,723 | 224,404 |
MasterBrand, Inc. (a) | | 3,359 | 58,144 |
Owens Corning (c) | | 76,781 | 11,500,258 |
Quanex Building Products Corp. | | 1,132 | 39,145 |
Resideo Technologies, Inc. (a) | | 5,037 | 112,476 |
Simpson Manufacturing Co. Ltd. | | 50,105 | 10,455,911 |
Tecnoglass, Inc. (c) | | 294,193 | 13,756,465 |
The AZEK Co., Inc. (a) | | 123,252 | 5,929,654 |
Trex Co., Inc. (a) | | 101,556 | 9,318,779 |
| | | 185,775,030 |
Commercial Services & Supplies - 2.3% | | | |
ABM Industries, Inc. | | 126,017 | 5,205,762 |
ACCO Brands Corp. | | 96,400 | 537,912 |
ACV Auctions, Inc. Class A (a) | | 2,057,224 | 36,515,726 |
Brady Corp. Class A (c) | | 101,709 | 5,927,601 |
Casella Waste Systems, Inc. Class A (a) | | 149,817 | 13,498,512 |
Cimpress PLC (a) | | 87,600 | 8,585,676 |
Civeo Corp. | | 2,473 | 57,918 |
CoreCivic, Inc. (a) | | 1,004,691 | 15,301,444 |
Deluxe Corp. | | 56,100 | 1,088,901 |
Driven Brands Holdings, Inc. (a) | | 571,104 | 7,875,524 |
Ennis, Inc. | | 22,937 | 466,080 |
GFL Environmental, Inc. (c) | | 70,445 | 2,541,656 |
Healthcare Services Group, Inc. (a)(c) | | 28,912 | 368,917 |
Millerknoll, Inc. | | 169,580 | 5,180,669 |
MSA Safety, Inc. | | 87,966 | 16,198,939 |
RB Global, Inc. (c) | | 398,876 | 30,278,677 |
Steelcase, Inc. Class A | | 4,187 | 57,529 |
Stericycle, Inc. (a) | | 358,029 | 19,473,197 |
Tetra Tech, Inc. | | 15,401 | 2,730,905 |
The Brink's Co. | | 190,887 | 15,811,170 |
UniFirst Corp. | | 73,024 | 12,320,609 |
Viad Corp. (a) | | 108,233 | 4,029,515 |
Waste Connections, Inc. (United States) | | 97,170 | 16,172,975 |
| | | 220,225,814 |
Construction & Engineering - 1.3% | | | |
AECOM | | 61,952 | 5,503,196 |
Argan, Inc. | | 109,703 | 5,140,683 |
Comfort Systems U.S.A., Inc. (c) | | 35,452 | 10,838,740 |
Construction Partners, Inc. Class A (a) | | 8,595 | 413,248 |
Dycom Industries, Inc. (a) | | 77,808 | 9,841,934 |
EMCOR Group, Inc. | | 74,655 | 23,405,836 |
Fluor Corp. (a) | | 229,786 | 8,456,125 |
Granite Construction, Inc. | | 62,366 | 3,213,720 |
MasTec, Inc. (a) | | 128,170 | 9,671,708 |
Matrix Service Co. (a) | | 410,895 | 4,848,561 |
MDU Resources Group, Inc. | | 259,859 | 5,633,743 |
MYR Group, Inc. (a) | | 1,636 | 265,785 |
Primoris Services Corp. | | 8,462 | 334,334 |
Valmont Industries, Inc. | | 10,504 | 2,226,113 |
Willscot Mobile Mini Holdings (a) | | 684,908 | 32,704,357 |
| | | 122,498,083 |
Electrical Equipment - 1.7% | | | |
Acuity Brands, Inc. (c) | | 66,287 | 16,653,946 |
Array Technologies, Inc. (a) | | 123,931 | 1,690,419 |
Atkore, Inc. (c) | | 300,461 | 50,898,093 |
Encore Wire Corp. (c) | | 32,301 | 7,784,541 |
EnerSys | | 49,354 | 4,534,646 |
Generac Holdings, Inc. (a) | | 65,487 | 7,367,942 |
Hubbell, Inc. Class B | | 52,334 | 19,921,984 |
Nextracker, Inc. Class A | | 58,010 | 3,262,482 |
Regal Rexnord Corp. | | 56,738 | 9,730,000 |
Sensata Technologies, Inc. PLC | | 689,038 | 23,716,688 |
Shoals Technologies Group, Inc. (a) | | 786,502 | 10,090,821 |
Vertiv Holdings Co. | | 110,165 | 7,449,357 |
| | | 163,100,919 |
Ground Transportation - 0.6% | | | |
ArcBest Corp. | | 80,548 | 11,507,087 |
Heartland Express, Inc. | | 249,226 | 3,185,108 |
Knight-Swift Transportation Holdings, Inc. Class A | | 283,074 | 15,948,389 |
Landstar System, Inc. | | 81,137 | 15,432,257 |
Lyft, Inc. (a) | | 4,217 | 66,966 |
Ryder System, Inc. | | 53,528 | 6,107,545 |
Saia, Inc. (a) | | 8,222 | 4,730,939 |
Schneider National, Inc. Class B | | 25,174 | 592,848 |
XPO, Inc. (a) | | 17,177 | 2,066,737 |
| | | 59,637,876 |
Machinery - 3.4% | | | |
AGCO Corp. | | 86,277 | 9,464,587 |
Allison Transmission Holdings, Inc. | | 284,070 | 21,398,993 |
Chart Industries, Inc. (a) | | 127,664 | 18,238,079 |
CNH Industrial NV | | 252,700 | 3,019,765 |
Crane Co. | | 46,651 | 5,670,896 |
Donaldson Co., Inc. | | 162,325 | 11,625,717 |
Flowserve Corp. | | 145,625 | 6,162,850 |
Gates Industrial Corp. PLC (a) | | 552,770 | 8,136,774 |
Graco, Inc. | | 225,076 | 20,540,436 |
Hillman Solutions Corp. Class A (a) | | 824,273 | 8,028,419 |
IDEX Corp. | | 72,995 | 17,219,521 |
Ingersoll Rand, Inc. | | 27,722 | 2,531,850 |
ITT, Inc. | | 69,376 | 8,751,089 |
Kadant, Inc. | | 10,357 | 3,493,416 |
Kennametal, Inc. | | 57,724 | 1,456,954 |
Lincoln Electric Holdings, Inc. | | 118,714 | 30,462,012 |
Manitowoc Co., Inc. (a) | | 39,707 | 553,516 |
Middleby Corp. (a) | | 106,540 | 16,211,126 |
Mueller Industries, Inc. | | 199,303 | 10,240,188 |
Nordson Corp. | | 108,762 | 28,892,625 |
Omega Flex, Inc. (c) | | 3,173 | 220,999 |
Oshkosh Corp. | | 160,675 | 17,812,431 |
Pentair PLC | | 1,221 | 94,982 |
RBC Bearings, Inc. (a) | | 85,132 | 23,226,564 |
Shyft Group, Inc. (The) | | 8,167 | 84,202 |
Snap-On, Inc. | | 72,861 | 20,084,863 |
Tennant Co. | | 754 | 85,345 |
Terex Corp. | | 12,324 | 706,781 |
Timken Co. (c) | | 24,900 | 2,091,351 |
Titan International, Inc. (a) | | 109,800 | 1,401,048 |
Toro Co. (c) | | 271,711 | 25,081,642 |
Watts Water Technologies, Inc. Class A (c) | | 26,163 | 5,335,944 |
| | | 328,324,965 |
Marine Transportation - 0.4% | | | |
Kirby Corp. (a) | | 130,402 | 11,438,863 |
Matson, Inc. | | 225,588 | 25,051,547 |
Star Bulk Carriers Corp. (c) | | 279,382 | 6,668,848 |
| | | 43,159,258 |
Passenger Airlines - 0.1% | | | |
Alaska Air Group, Inc. (a) | | 239,605 | 8,958,831 |
Hawaiian Holdings, Inc. (a) | | 3,948 | 55,706 |
JetBlue Airways Corp. (a) | | 333,800 | 2,163,024 |
United Airlines Holdings, Inc. (a) | | 49,900 | 2,269,951 |
| | | 13,447,512 |
Professional Services - 3.5% | | | |
Alight, Inc. Class A (a) | | 6,046,438 | 54,478,406 |
Asure Software, Inc. (a) | | 494,649 | 4,610,129 |
Barrett Business Services, Inc. | | 6,188 | 754,874 |
Booz Allen Hamilton Holding Corp. Class A | | 45,146 | 6,668,516 |
Broadridge Financial Solutions, Inc. | | 38,106 | 7,757,619 |
CACI International, Inc. Class A (a) | | 66,318 | 24,859,302 |
CBIZ, Inc. (a) | | 275,784 | 20,829,966 |
Clarivate PLC (a)(c) | | 755,139 | 5,421,898 |
Concentrix Corp. | | 44,382 | 3,215,476 |
CSG Systems International, Inc. | | 31,500 | 1,718,640 |
Dun & Bradstreet Holdings, Inc. | | 760,194 | 8,012,445 |
ExlService Holdings, Inc. (a) | | 507,088 | 15,780,579 |
Exponent, Inc. | | 46,959 | 3,798,514 |
First Advantage Corp. | | 746,220 | 11,685,805 |
Forrester Research, Inc. (a) | | 137,132 | 2,765,952 |
Franklin Covey Co. (a) | | 11,983 | 457,511 |
FTI Consulting, Inc. (a) | | 33,352 | 6,899,862 |
Genpact Ltd. | | 159,639 | 5,427,726 |
Heidrick & Struggles International, Inc. | | 62,635 | 2,129,590 |
Huron Consulting Group, Inc. (a) | | 12,719 | 1,248,115 |
Insperity, Inc. | | 74,416 | 7,574,805 |
Jacobs Solutions, Inc. | | 23,133 | 3,392,454 |
Kelly Services, Inc. Class A (non-vtg.) | | 52,395 | 1,285,249 |
Kforce, Inc. (c) | | 20,268 | 1,411,464 |
Korn Ferry | | 66,070 | 4,206,016 |
LegalZoom.com, Inc. (a) | | 299,197 | 3,710,043 |
Manpower, Inc. | | 76,247 | 5,501,984 |
Marlowe PLC (a)(c) | | 2,389,828 | 15,083,399 |
Maximus, Inc. | | 131,118 | 10,969,332 |
Paycor HCM, Inc. (a)(c) | | 172,517 | 3,643,559 |
Paylocity Holding Corp. (a) | | 143,115 | 24,130,620 |
Robert Half, Inc. | | 208,100 | 16,731,240 |
Science Applications International Corp. | | 37,864 | 5,299,445 |
SS&C Technologies Holdings, Inc. | | 232,311 | 14,812,149 |
TransUnion | | 171,463 | 13,310,673 |
TriNet Group, Inc. | | 23,047 | 2,950,246 |
Ttec Holdings, Inc. | | 6,087 | 106,218 |
Verra Mobility Corp. (a) | | 460,563 | 9,957,372 |
WNS Holdings Ltd. sponsored ADR (a) | | 94,970 | 5,479,769 |
| | | 338,076,962 |
Trading Companies & Distributors - 1.2% | | | |
Air Lease Corp. Class A | | 1,204 | 48,280 |
Applied Industrial Technologies, Inc. | | 22,110 | 4,198,468 |
Beacon Roofing Supply, Inc. (a) | | 119,450 | 10,259,561 |
BlueLinx Corp. (a) | | 8,554 | 1,085,075 |
Boise Cascade Co. | | 35,029 | 4,760,791 |
Core & Main, Inc. (a) | | 475,897 | 22,714,564 |
Custom Truck One Source, Inc. Class A (a) | | 600,138 | 3,852,886 |
DNOW, Inc. (a) | | 160,761 | 2,274,768 |
EVI Industries, Inc. | | 172,797 | 3,720,319 |
GMS, Inc. (a) | | 3,336 | 297,938 |
Herc Holdings, Inc. | | 51,190 | 8,122,829 |
Hudson Technologies, Inc. (a) | | 562,338 | 8,238,252 |
McGrath RentCorp. | | 20,186 | 2,512,753 |
MSC Industrial Direct Co., Inc. Class A (c) | | 71,753 | 7,242,748 |
SiteOne Landscape Supply, Inc. (a)(c) | | 76,294 | 12,854,013 |
Watsco, Inc. (c) | | 29,537 | 11,641,122 |
WESCO International, Inc. | | 100,489 | 15,022,101 |
| | | 118,846,468 |
TOTAL INDUSTRIALS | | | 1,761,806,067 |
INFORMATION TECHNOLOGY - 11.0% | | | |
Communications Equipment - 0.6% | | | |
Applied Optoelectronics, Inc. (a)(c) | | 777,941 | 12,431,497 |
Calix, Inc. (a) | | 333,028 | 11,612,686 |
Ciena Corp. (a) | | 97,180 | 5,537,316 |
Clearfield, Inc. (a)(c) | | 75,899 | 2,289,873 |
Extreme Networks, Inc. (a) | | 285,800 | 3,612,512 |
Juniper Networks, Inc. | | 307,054 | 11,370,210 |
KVH Industries, Inc. (a) | | 1,756 | 8,341 |
Lantronix, Inc. (a) | | 393,302 | 1,592,873 |
Lumentum Holdings, Inc. (a) | | 129,210 | 6,262,809 |
NETGEAR, Inc. (a) | | 69,933 | 1,048,296 |
NetScout Systems, Inc. (a) | | 62,794 | 1,359,490 |
ViaSat, Inc. (a)(c) | | 24,156 | 472,733 |
| | | 57,598,636 |
Electronic Equipment, Instruments & Components - 2.7% | | | |
Arrow Electronics, Inc. (a)(c) | | 116,242 | 13,658,435 |
Avnet, Inc. | | 182,878 | 8,520,286 |
Badger Meter, Inc. (c) | | 28,578 | 4,535,043 |
Bel Fuse, Inc. Class B (non-vtg.) | | 225,986 | 11,744,492 |
Belden, Inc. | | 94,936 | 8,086,648 |
Benchmark Electronics, Inc. | | 1,787 | 54,879 |
Celestica, Inc. (a) | | 470,566 | 20,013,172 |
Cognex Corp. | | 731,793 | 28,869,234 |
Coherent Corp. (a) | | 47,558 | 2,828,750 |
CTS Corp. | | 29,862 | 1,330,651 |
ePlus, Inc. (a) | | 122,461 | 10,089,562 |
Fabrinet (a) | | 50,793 | 10,949,447 |
Flex Ltd. (a) | | 527,012 | 14,835,388 |
Identiv, Inc. (a) | | 575,784 | 4,951,742 |
Insight Enterprises, Inc. (a) | | 10,785 | 2,027,580 |
IPG Photonics Corp. (a) | | 28,512 | 2,462,011 |
Itron, Inc. (a) | | 10,640 | 986,115 |
Jabil, Inc. | | 43,462 | 6,262,440 |
Methode Electronics, Inc. Class A | | 28,600 | 609,180 |
Napco Security Technologies, Inc. (c) | | 27,754 | 1,249,763 |
Novanta, Inc. (a) | | 21,034 | 3,637,620 |
Par Technology Corp. (a)(c) | | 152,993 | 6,704,153 |
PC Connection, Inc. | | 10,777 | 715,377 |
Powerfleet, Inc. (a)(c) | | 1,588,444 | 5,035,367 |
Sanmina Corp. (a) | | 133,870 | 8,460,584 |
ScanSource, Inc. (a) | | 52,000 | 2,247,960 |
TD SYNNEX Corp. | | 250,768 | 26,054,795 |
Trimble, Inc. (a) | | 574,881 | 35,176,968 |
TTM Technologies, Inc. (a) | | 462,136 | 6,862,720 |
Vishay Intertechnology, Inc. (c) | | 83,500 | 1,816,125 |
Vishay Precision Group, Inc. (a) | | 11,906 | 411,352 |
Vontier Corp. | | 205,298 | 8,827,814 |
Zebra Technologies Corp. Class A (a) | | 19,009 | 5,312,635 |
| | | 265,328,288 |
IT Services - 0.7% | | | |
Amdocs Ltd. | | 156,687 | 14,289,854 |
Applied Digital Corp. (a)(c) | | 785,812 | 3,261,120 |
Brightcove, Inc. (a) | | 4,709 | 10,430 |
Couchbase, Inc. (a) | | 337,087 | 9,465,403 |
Digitalocean Holdings, Inc. (a)(c) | | 108,802 | 4,125,772 |
Fastly, Inc. Class A (a) | | 343,499 | 4,884,556 |
GDS Holdings Ltd. ADR (a)(c) | | 646,021 | 4,412,323 |
Globant SA (a) | | 45,928 | 10,249,752 |
Hackett Group, Inc. (c) | | 22,118 | 546,757 |
Kyndryl Holdings, Inc. (a) | | 34,970 | 768,291 |
MongoDB, Inc. Class A (a) | | 5,252 | 2,350,690 |
Okta, Inc. (a) | | 118,810 | 12,748,313 |
Squarespace, Inc. Class A (a) | | 6,513 | 216,753 |
Unisys Corp. (a) | | 2,456 | 12,747 |
| | | 67,342,761 |
Semiconductors & Semiconductor Equipment - 2.4% | | | |
ACM Research, Inc. (a) | | 413,954 | 12,799,458 |
Allegro MicroSystems LLC (a)(c) | | 279,546 | 8,802,904 |
Ambarella, Inc. (a) | | 60,278 | 3,366,526 |
Amkor Technology, Inc. | | 525,583 | 16,303,585 |
Axcelis Technologies, Inc. (a) | | 66,238 | 7,463,035 |
AXT, Inc. (a) | | 681,565 | 2,923,914 |
Cirrus Logic, Inc. (a) | | 85,321 | 7,834,174 |
Credo Technology Group Holding Ltd. (a) | | 11,827 | 254,754 |
Diodes, Inc. (a) | | 15,788 | 1,073,268 |
Entegris, Inc. | | 221,068 | 29,702,696 |
FormFactor, Inc. (a) | | 217,939 | 9,377,915 |
GlobalFoundries, Inc. (a)(c) | | 200,715 | 10,973,089 |
indie Semiconductor, Inc. (a)(c) | | 934,425 | 5,784,091 |
Lattice Semiconductor Corp. (a) | | 231,233 | 17,714,760 |
MACOM Technology Solutions Holdings, Inc. (a) | | 115,250 | 10,180,033 |
Maxeon Solar Technologies Ltd. (a)(c) | | 23,234 | 93,168 |
MaxLinear, Inc. Class A (a) | | 39,808 | 773,868 |
Micron Technology, Inc. | | 83,234 | 7,541,833 |
Monolithic Power Systems, Inc. | | 3,057 | 2,201,162 |
NVE Corp. (c) | | 4,622 | 386,353 |
ON Semiconductor Corp. (a) | | 37,047 | 2,923,749 |
Onto Innovation, Inc. (a) | | 26,575 | 4,894,052 |
Photronics, Inc. (a) | | 64,975 | 1,870,630 |
Power Integrations, Inc. (c) | | 292,213 | 20,881,541 |
Qorvo, Inc. (a) | | 23,953 | 2,743,816 |
Silicon Laboratories, Inc. (a) | | 35,555 | 4,890,235 |
Silicon Motion Tech Corp. sponsored ADR | | 88,485 | 6,263,853 |
Skyworks Solutions, Inc. | | 13,100 | 1,374,452 |
SMART Global Holdings, Inc. (a) | | 497,907 | 10,590,482 |
Synaptics, Inc. (a) | | 71,891 | 7,196,289 |
Teradyne, Inc. | | 89,220 | 9,242,300 |
Universal Display Corp. | | 14,294 | 2,493,159 |
| | | 230,915,144 |
Software - 4.1% | | | |
8x8, Inc. (a) | | 1,024,530 | 2,899,420 |
ACI Worldwide, Inc. (a) | | 523,745 | 17,236,448 |
Adeia, Inc. | | 126,664 | 1,436,370 |
Alarm.com Holdings, Inc. (a) | | 137,834 | 10,432,655 |
American Software, Inc. Class A | | 28,352 | 318,109 |
AppFolio, Inc. (a) | | 1,001 | 242,332 |
AppLovin Corp. (a) | | 109,830 | 6,559,048 |
Blackbaud, Inc. (a) | | 27,157 | 1,878,721 |
BlackLine, Inc. (a) | | 2,916 | 165,425 |
CCC Intelligent Solutions Holdings, Inc. Class A (a) | | 592,222 | 6,934,920 |
Cellebrite DI Ltd. (a) | | 537,124 | 6,429,374 |
Check Point Software Technologies Ltd. (a) | | 33,765 | 5,416,581 |
Clear Secure, Inc. | | 8,385 | 161,411 |
Clearwater Analytics Holdings, Inc. (a)(c) | | 774,180 | 13,331,380 |
CommVault Systems, Inc. (a) | | 119,906 | 11,476,203 |
Confluent, Inc. (a) | | 29,812 | 1,009,732 |
Consensus Cloud Solutions, Inc. (a) | | 330,049 | 5,254,380 |
CyberArk Software Ltd. (a) | | 46,094 | 12,157,753 |
Descartes Systems Group, Inc. (a) | | 71,695 | 6,213,806 |
Digital Turbine, Inc. (a) | | 423,907 | 1,343,785 |
Dolby Laboratories, Inc. Class A | | 58,870 | 4,768,470 |
Domo, Inc. Class B (a) | | 131,927 | 1,518,480 |
Dropbox, Inc. Class A (a) | | 195,656 | 4,685,961 |
Dynatrace, Inc. (a) | | 384,507 | 19,052,322 |
Elastic NV (a) | | 30,196 | 4,040,527 |
Fair Isaac Corp. (a) | | 1,489 | 1,890,896 |
Five9, Inc. (a) | | 58,553 | 3,571,733 |
Freshworks, Inc. (a) | | 127,767 | 2,611,557 |
Gen Digital, Inc. | | 525,961 | 11,302,902 |
GitLab, Inc. (a) | | 5,687 | 410,146 |
Guidewire Software, Inc. (a) | | 81,412 | 9,715,708 |
HubSpot, Inc. (a) | | 3,780 | 2,339,102 |
Hut 8 Mining Corp. (a)(c) | | 22,104 | 187,663 |
Informatica, Inc. (a)(c) | | 44,056 | 1,435,344 |
Intapp, Inc. (a) | | 4,396 | 172,455 |
InterDigital, Inc. (c) | | 62,535 | 6,692,496 |
JFrog Ltd. (a) | | 286,206 | 12,819,167 |
Klaviyo, Inc. Class A (c) | | 63,568 | 1,684,552 |
Liveramp Holdings, Inc. (a) | | 3,535 | 123,654 |
Manhattan Associates, Inc. (a) | | 186,868 | 47,339,270 |
Model N, Inc. (a) | | 12,252 | 300,909 |
Monday.com Ltd. (a) | | 11,558 | 2,577,550 |
N-able, Inc. (a) | | 284,467 | 3,831,770 |
nCino, Inc. (a)(c) | | 226,313 | 6,753,180 |
NCR Voyix Corp. (a) | | 363,801 | 5,315,133 |
NICE Ltd. sponsored ADR (a) | | 49,145 | 12,047,897 |
Nutanix, Inc. Class A (a) | | 98,238 | 6,204,712 |
Oracle Corp. | | 5,326 | 594,808 |
Pegasystems, Inc. | | 44,392 | 2,887,256 |
Porch Group, Inc. Class A (a)(c) | | 1,030,529 | 3,441,967 |
Procore Technologies, Inc. (a) | | 76,600 | 5,977,098 |
PTC, Inc. (a) | | 18,825 | 3,445,163 |
Q2 Holdings, Inc. (a) | | 14,603 | 675,097 |
Qualys, Inc. (a) | | 54,534 | 9,372,213 |
Rapid7, Inc. (a) | | 61,927 | 3,627,684 |
RingCentral, Inc. (a) | | 7,706 | 257,535 |
Sapiens International Corp. NV | | 1,281 | 39,416 |
Semrush Holdings, Inc. (a) | | 5,584 | 69,688 |
SentinelOne, Inc. (a) | | 13,833 | 389,676 |
Similarweb Ltd. (a) | | 1,040,742 | 9,231,382 |
Smartsheet, Inc. (a) | | 272,316 | 11,494,458 |
Sprinklr, Inc. (a) | | 10,677 | 139,121 |
Telos Corp. (a) | | 569,942 | 2,091,687 |
Tenable Holdings, Inc. (a) | | 147,077 | 7,083,228 |
Teradata Corp. (a) | | 73,240 | 2,755,289 |
Tyler Technologies, Inc. (a) | | 46,690 | 20,410,067 |
UiPath, Inc. Class A (a) | | 6,447 | 153,116 |
Varonis Systems, Inc. (a) | | 27,426 | 1,393,241 |
Verint Systems, Inc. (a) | | 14,876 | 470,230 |
WalkMe Ltd. (a) | | 1,079,582 | 10,050,908 |
Workiva, Inc. (a) | | 3,506 | 301,937 |
Zeta Global Holdings Corp. (a) | | 1,049,013 | 11,014,637 |
Zuora, Inc. (a) | | 8,555 | 69,124 |
| | | 391,727,435 |
Technology Hardware, Storage & Peripherals - 0.5% | | | |
Dell Technologies, Inc. | | 11,321 | 1,071,646 |
NetApp, Inc. | | 33,108 | 2,950,585 |
Pure Storage, Inc. Class A (a) | | 133,902 | 7,049,940 |
Super Micro Computer, Inc. (a) | | 27,200 | 23,558,464 |
Western Digital Corp. (a) | | 216,809 | 12,893,631 |
Xerox Holdings Corp. | | 164,200 | 3,062,330 |
| | | 50,586,596 |
TOTAL INFORMATION TECHNOLOGY | | | 1,063,498,860 |
MATERIALS - 3.6% | | | |
Chemicals - 1.0% | | | |
AdvanSix, Inc. | | 2,906 | 81,310 |
Ashland, Inc. | | 37,161 | 3,479,756 |
Avient Corp. | | 124,321 | 5,032,514 |
Axalta Coating Systems Ltd. (a) | | 330,455 | 10,815,792 |
Cabot Corp. (c) | | 28,148 | 2,391,173 |
CF Industries Holdings, Inc. | | 120,934 | 9,761,792 |
Eastman Chemical Co. | | 22,300 | 1,956,602 |
Ecovyst, Inc. (a) | | 261,052 | 2,519,152 |
Element Solutions, Inc. | | 330,521 | 7,767,244 |
FMC Corp. | | 104,146 | 5,872,793 |
Hawkins, Inc. | | 18,355 | 1,289,439 |
Huntsman Corp. | | 11,983 | 306,765 |
Ingevity Corp. (a) | | 2,526 | 115,388 |
Innospec, Inc. | | 23,758 | 2,952,407 |
Koppers Holdings, Inc. | | 68,000 | 3,850,160 |
LSB Industries, Inc. (a) | | 44,706 | 329,036 |
Methanex Corp. | | 33,691 | 1,510,704 |
Minerals Technologies, Inc. | | 57,146 | 4,135,085 |
NewMarket Corp. | | 6,597 | 4,233,097 |
Perimeter Solutions SA (a) | | 807,031 | 4,906,748 |
Quaker Houghton | | 3,522 | 706,161 |
Rayonier Advanced Materials, Inc. (a) | | 17,106 | 57,989 |
RPM International, Inc. (c) | | 194,107 | 22,390,242 |
The Chemours Co. LLC | | 50,800 | 999,236 |
The Mosaic Co. | | 74,300 | 2,315,188 |
| | | 99,775,773 |
Construction Materials - 0.3% | | | |
Eagle Materials, Inc. | | 102,019 | 25,866,917 |
Summit Materials, Inc. (a) | | 137,505 | 5,872,839 |
| | | 31,739,756 |
Containers & Packaging - 1.5% | | | |
Aptargroup, Inc. | | 177,438 | 24,922,941 |
Avery Dennison Corp. | | 43,379 | 9,392,855 |
Berry Global Group, Inc. (c) | | 807,059 | 46,978,904 |
CCL Industries, Inc. Class B | | 425,088 | 21,668,635 |
Crown Holdings, Inc. | | 240,644 | 18,438,143 |
Graphic Packaging Holding Co. | | 413,696 | 10,735,411 |
Greif, Inc. Class A (c) | | 29,442 | 1,897,831 |
O-I Glass, Inc. (a) | | 138,600 | 2,345,112 |
Ranpak Holdings Corp. (A Shares) (a) | | 1,264,738 | 6,007,506 |
Silgan Holdings, Inc. | | 43,900 | 1,927,649 |
TriMas Corp. | | 88,331 | 2,075,779 |
WestRock Co. | | 42,112 | 1,907,252 |
| | | 148,298,018 |
Metals & Mining - 0.6% | | | |
Agnico Eagle Mines Ltd. (United States) | | 126,017 | 6,056,377 |
Alcoa Corp. | | 133,227 | 3,625,107 |
Arch Resources, Inc. | | 7,442 | 1,230,088 |
ATI, Inc. (a)(c) | | 168,980 | 8,310,436 |
Cleveland-Cliffs, Inc. (a) | | 59,757 | 1,242,946 |
Coeur d'Alene Mines Corp. (a) | | 11,083 | 28,705 |
Eldorado Gold Corp. (a)(c) | | 411,920 | 4,279,849 |
Materion Corp. | | 6,302 | 846,485 |
Olympic Steel, Inc. (c) | | 2,891 | 196,646 |
Radius Recycling, Inc. Class A | | 25,013 | 494,257 |
Ramaco Resources, Inc. (c) | | 512,098 | 9,002,683 |
Reliance, Inc. | | 16,000 | 5,139,520 |
Ryerson Holding Corp. | | 42,106 | 1,329,707 |
SSR Mining, Inc. | | 6,929 | 29,795 |
Steel Dynamics, Inc. | | 62,600 | 8,377,132 |
United States Steel Corp. (c) | | 17,302 | 819,077 |
Warrior Metropolitan Coal, Inc. | | 47,147 | 2,685,965 |
| | | 53,694,775 |
Paper & Forest Products - 0.2% | | | |
Louisiana-Pacific Corp. | | 13,046 | 965,013 |
Sylvamo Corp. | | 229,855 | 13,885,541 |
| | | 14,850,554 |
TOTAL MATERIALS | | | 348,358,876 |
REAL ESTATE - 2.4% | | | |
Equity Real Estate Investment Trusts (REITs) - 2.1% | | | |
Agree Realty Corp. | | 133,240 | 7,321,538 |
American Assets Trust, Inc. | | 79,609 | 1,717,166 |
American Homes 4 Rent Class A | | 25,691 | 950,824 |
Americold Realty Trust | | 397,882 | 10,066,415 |
Apartment Income (REIT) Corp. | | 376,491 | 11,415,207 |
Apple Hospitality (REIT), Inc. | | 111,100 | 1,787,599 |
Brandywine Realty Trust (SBI) | | 309,103 | 1,329,143 |
Brixmor Property Group, Inc. | | 283,651 | 6,413,349 |
Broadstone Net Lease, Inc. | | 279,310 | 4,164,512 |
Camden Property Trust (SBI) | | 9,345 | 882,916 |
City Office REIT, Inc. | | 261,000 | 1,195,380 |
Cousins Properties, Inc. | | 12,721 | 290,166 |
CubeSmart | | 321,014 | 13,999,421 |
EastGroup Properties, Inc. | | 86,171 | 15,139,383 |
EPR Properties | | 72,200 | 2,965,976 |
Equity Commonwealth | | 139,839 | 2,633,168 |
Equity Lifestyle Properties, Inc. | | 165,802 | 11,161,791 |
Essex Property Trust, Inc. | | 7,969 | 1,844,027 |
First Industrial Realty Trust, Inc. | | 105,639 | 5,598,867 |
Franklin Street Properties Corp. | | 275,093 | 651,970 |
Healthcare Trust of America, Inc. | | 554,011 | 7,634,272 |
Host Hotels & Resorts, Inc. | | 270,282 | 5,605,649 |
Industrial Logistics Properties Trust | | 121,900 | 466,877 |
Kilroy Realty Corp. | | 43,293 | 1,640,372 |
Kimco Realty Corp. | | 162,286 | 3,206,771 |
Kite Realty Group Trust | | 109,752 | 2,349,790 |
Lamar Advertising Co. Class A | | 73,420 | 8,116,581 |
Mid-America Apartment Communities, Inc. | | 84,817 | 10,659,801 |
NexPoint Residential Trust, Inc. | | 34,049 | 994,571 |
NNN (REIT), Inc. | | 224,764 | 9,145,647 |
Office Properties Income Trust | | 199,826 | 533,535 |
Omega Healthcare Investors, Inc. | | 61,500 | 1,913,880 |
Outfront Media, Inc. | | 6,290 | 90,387 |
Park Hotels & Resorts, Inc. | | 246,497 | 4,091,850 |
Pebblebrook Hotel Trust | | 342,754 | 5,429,223 |
Piedmont Office Realty Trust, Inc. Class A | | 272,092 | 1,706,017 |
RLJ Lodging Trust | | 9,871 | 117,169 |
Ryman Hospitality Properties, Inc. | | 134,714 | 15,960,915 |
Sabra Health Care REIT, Inc. | | 228,700 | 3,174,356 |
Service Properties Trust | | 233,100 | 1,585,080 |
Stag Industrial, Inc. | | 205,028 | 7,614,740 |
Summit Hotel Properties, Inc. | | 2,244 | 14,406 |
Sun Communities, Inc. | | 35,027 | 4,685,212 |
Tanger, Inc. | | 56,600 | 1,630,646 |
Uniti Group, Inc. | | 315,720 | 1,850,119 |
Vornado Realty Trust | | 2,037 | 53,573 |
| | | 201,800,257 |
Real Estate Management & Development - 0.3% | | | |
Anywhere Real Estate, Inc. (a) | | 35,847 | 224,761 |
Compass, Inc. (a) | | 1,382,549 | 5,461,069 |
Cushman & Wakefield PLC (a) | | 942,870 | 9,419,271 |
Douglas Elliman, Inc. | | 1,400,306 | 2,576,563 |
eXp World Holdings, Inc. (c) | | 25,164 | 329,648 |
Forestar Group, Inc. (a) | | 15,006 | 506,002 |
Jones Lang LaSalle, Inc. (a) | | 48,568 | 9,239,576 |
Newmark Group, Inc. | | 237,778 | 2,565,625 |
Opendoor Technologies, Inc. (a) | | 60,850 | 187,418 |
Real Matters, Inc. (a) | | 633,277 | 2,823,067 |
Redfin Corp. (a) | | 17,090 | 121,424 |
The RMR Group, Inc. | | 13,741 | 336,242 |
The St. Joe Co. | | 12,484 | 672,513 |
Zillow Group, Inc.: | | | |
Class A (a) | | 4,359 | 235,648 |
Class C (a) | | 12,735 | 715,070 |
| | | 35,413,897 |
TOTAL REAL ESTATE | | | 237,214,154 |
UTILITIES - 1.1% | | | |
Electric Utilities - 0.4% | | | |
Allete, Inc. | | 7,765 | 439,810 |
IDACORP, Inc. | | 170,686 | 15,039,143 |
MGE Energy, Inc. | | 1,826 | 115,385 |
NRG Energy, Inc. | | 136,300 | 7,540,116 |
Pinnacle West Capital Corp. | | 25,429 | 1,737,564 |
PNM Resources, Inc. | | 192,408 | 7,024,816 |
Portland General Electric Co. | | 184,569 | 7,414,137 |
| | | 39,310,971 |
Gas Utilities - 0.3% | | | |
Atmos Energy Corp. | | 97,698 | 11,031,081 |
Brookfield Infrastructure Corp. A Shares | | 1,913 | 63,454 |
National Fuel Gas Co. | | 39,456 | 1,923,085 |
New Jersey Resources Corp. | | 69,431 | 2,889,024 |
ONE Gas, Inc. (c) | | 9,945 | 592,722 |
Southwest Gas Holdings, Inc. (c) | | 105,399 | 7,182,942 |
UGI Corp. | | 119,022 | 2,913,659 |
| | | 26,595,967 |
Independent Power and Renewable Electricity Producers - 0.2% | | | |
Vistra Corp. | | 432,034 | 23,563,134 |
Multi-Utilities - 0.2% | | | |
Avista Corp. | | 4,185 | 138,942 |
Black Hills Corp. | | 705 | 36,681 |
CenterPoint Energy, Inc. | | 169,000 | 4,647,500 |
NiSource, Inc. | | 78,391 | 2,042,869 |
NorthWestern Energy Corp. | | 153,060 | 7,334,635 |
| | | 14,200,627 |
Water Utilities - 0.0% | | | |
Consolidated Water Co., Inc. | | 13,385 | 395,661 |
TOTAL UTILITIES | | | 104,066,360 |
TOTAL COMMON STOCKS (Cost $5,564,704,892) | | | 7,373,595,594 |
| | | |
Equity Funds - 22.0% |
| | Shares | Value ($) |
Mid-Cap Blend Funds - 4.6% | | | |
Fidelity SAI Small-Mid Cap 500 Index Fund (e) | | 70,024,966 | 443,958,288 |
Sector Funds - 0.9% | | | |
Fidelity SAI Real Estate Index Fund (e) | | 11,950,630 | 84,012,926 |
Small Blend Funds - 11.0% | | | |
Fidelity Small Cap Discovery Fund (e) | | 50,073 | 1,387,535 |
Fidelity Small Cap Index Fund (e) | | 34,961,489 | 889,070,661 |
PIMCO StocksPLUS Small Fund Institutional Class | | 24,074,985 | 180,080,885 |
TOTAL SMALL BLEND FUNDS | | | 1,070,539,081 |
Small Growth Funds - 5.5% | | | |
Fidelity Advisor Small Cap Growth Fund Class Z (e) | | 17,294,980 | 539,430,413 |
TOTAL EQUITY FUNDS (Cost $2,062,485,963) | | | 2,137,940,708 |
| | | |
Money Market Funds - 6.6% |
| | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (f) | | 1,085,736 | 1,085,953 |
Fidelity Securities Lending Cash Central Fund 5.39% (f)(g) | | 462,438,257 | 462,484,501 |
State Street Institutional U.S. Government Money Market Fund Investor Class 5.20% (h) | | 9,346,347 | 9,346,347 |
State Street Institutional U.S. Government Money Market Fund Premier Class 5.28% (h) | | 163,729,837 | 163,729,837 |
TOTAL MONEY MARKET FUNDS (Cost $636,646,638) | | | 636,646,638 |
| | | |
TOTAL INVESTMENT IN SECURITIES - 104.7% (Cost $8,263,837,493) | 10,148,182,940 |
NET OTHER ASSETS (LIABILITIES) - (4.7)% | (456,728,016) |
NET ASSETS - 100.0% | 9,691,454,924 |
| |
Futures Contracts |
| Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
Purchased | | | | | |
| | | | | |
Equity Index Contracts | | | | | |
CME E-mini Russell 2000 Index Contracts (United States) | 26 | Mar 2024 | 2,674,490 | 123,788 | 123,788 |
CME E-mini S&P MidCap 400 Index Contracts (United States) | 3 | Mar 2024 | 867,780 | 48,075 | 48,075 |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | 171,863 |
The notional amount of futures purchased as a percentage of Net Assets is 0.0% |
Legend
(c) | Security or a portion of the security is on loan at period end. |
(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 $6,661,003 or 0.1% of net assets. |
(f) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, 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. |
(g) | Investment made with cash collateral received from securities on loan. |
(h) | The rate quoted is the annualized seven-day yield of the fund at period end. |
(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 $1 or 0.0% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost ($) |
GCI Liberty, Inc. Class A (Escrow) | 5/23/23 | 0 |
| | |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.39% | 3,637,066 | 45,028,748 | 47,579,861 | 61,865 | - | - | 1,085,953 | 0.0% |
Fidelity Securities Lending Cash Central Fund 5.39% | 608,507,105 | 1,857,491,053 | 2,003,513,657 | 2,145,797 | - | - | 462,484,501 | 1.5% |
Total | 612,144,171 | 1,902,519,801 | 2,051,093,518 | 2,207,662 | - | - | 463,570,454 | |
| | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
Affiliate | Value, beginning of period ($) | 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 | 447,939,948 | 23 | - | - | - | 91,490,442 | 539,430,413 |
Fidelity SAI Real Estate Index Fund | 81,244,783 | 3,277,228 | 851,625 | 3,277,228 | (740,854) | 1,083,394 | 84,012,926 |
Fidelity SAI Small-Mid Cap 500 Index Fund | 445,974,380 | 422,991,259 | 461,737,448 | 10,224,248 | (40,572,843) | 77,302,940 | 443,958,288 |
Fidelity Small Cap Discovery Fund | 1,236,850 | 14,936 | - | 59,000 | - | 135,749 | 1,387,535 |
Fidelity Small Cap Index Fund | 84,935,420 | 1,017,779,670 | 285,606,032 | 7,319,482 | 255,880 | 71,705,723 | 889,070,661 |
| 1,061,331,381 | 1,444,063,116 | 748,195,105 | 20,879,958 | (41,057,817) | 241,718,248 | 1,957,859,823 |
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) ($) | Value, end of period ($) |
Acacia Research Corp. | 11,063,676 | 2,968,724 | 3,621,444 | - | (529,584) | (454,516) | - |
Acacia Research Corp. rights 3/1/23 | 6 | - | - | - | - | (6) | - |
Total | 11,063,682 | 2,968,724 | 3,621,444 | - | (529,584) | (454,522) | - |
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 February 29, 2024, 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 | 204,113,471 | 204,113,470 | - | 1 |
Consumer Discretionary | 980,836,554 | 980,836,554 | - | - |
Consumer Staples | 374,285,247 | 374,285,247 | - | - |
Energy | 293,762,601 | 293,762,601 | - | - |
Financials | 1,085,938,847 | 1,085,938,847 | - | - |
Health Care | 919,714,557 | 919,673,689 | - | 40,868 |
Industrials | 1,761,806,067 | 1,761,806,067 | - | - |
Information Technology | 1,063,498,860 | 1,063,498,860 | - | - |
Materials | 348,358,876 | 348,358,876 | - | - |
Real Estate | 237,214,154 | 237,214,154 | - | - |
Utilities | 104,066,360 | 104,066,360 | - | - |
|
Equity Funds | 2,137,940,708 | 2,137,940,708 | - | - |
|
Money Market Funds | 636,646,638 | 636,646,638 | - | - |
Total Investments in Securities: | 10,148,182,940 | 10,148,142,071 | - | 40,869 |
Derivative Instruments: Assets | | | | |
Futures Contracts | 171,863 | 171,863 | - | - |
Total Assets | 171,863 | 171,863 | - | - |
Total Derivative Instruments: | 171,863 | 171,863 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2024. 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) | 171,863 | 0 |
Total Equity Risk | 171,863 | 0 |
Total Value of Derivatives | 171,863 | 0 |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
Statement of Assets and Liabilities |
| | | | February 29, 2024 |
| | | | |
Assets | | | | |
Investment in securities, at value (including securities loaned of $457,381,030) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $5,921,295,171) | $ | 7,726,752,663 | | |
Fidelity Central Funds (cost $463,570,454) | | 463,570,454 | | |
Other affiliated issuers (cost $1,878,971,868) | | 1,957,859,823 | | |
| | | | |
| | | | |
Total Investment in Securities (cost $8,263,837,493) | | | $ | 10,148,182,940 |
Segregated cash with brokers for derivative instruments | | | | 246,300 |
Cash | | | | 942,526 |
Foreign currency held at value (cost $168,402) | | | | 167,359 |
Receivable for investments sold | | | | 44,967,308 |
Receivable for fund shares sold | | | | 12,768,929 |
Dividends receivable | | | | 6,503,653 |
Interest receivable | | | | 676,292 |
Distributions receivable from Fidelity Central Funds | | | | 200,392 |
Receivable for daily variation margin on futures contracts | | | | 24,062 |
Other receivables | | | | 94,785 |
Total assets | | | | 10,214,774,546 |
Liabilities | | | | |
Payable for investments purchased | $ | 46,695,791 | | |
Payable for fund shares redeemed | | 11,796,286 | | |
Accrued management fee | | 2,090,971 | | |
Other payables and accrued expenses | | 259,507 | | |
Collateral on securities loaned | | 462,477,067 | | |
Total Liabilities | | | | 523,319,622 |
Net Assets | | | $ | 9,691,454,924 |
Net Assets consist of: | | | | |
Paid in capital | | | $ | 7,764,876,284 |
Total accumulated earnings (loss) | | | | 1,926,578,640 |
Net Assets | | | $ | 9,691,454,924 |
Net Asset Value, offering price and redemption price per share ($9,691,454,924 ÷ 619,747,700 shares) | | | $ | 15.64 |
Statement of Operations |
| | | | Year ended February 29, 2024 |
Investment Income | | | | |
Dividends: | | | | |
Unaffiliated issuers | | | $ | 81,060,406 |
Affiliated issuers | | | | 14,568,115 |
Interest | | | | 7,546,448 |
Income from Fidelity Central Funds (including $2,145,797 from security lending) | | | | 2,207,662 |
Total Income | | | | 105,382,631 |
Expenses | | | | |
Management fee | $ | 43,746,267 | | |
Custodian fees and expenses | | 156,533 | | |
Independent trustees' fees and expenses | | 47,484 | | |
Registration fees | | 118,768 | | |
Audit | | 78,265 | | |
Legal | | 25,794 | | |
Miscellaneous | | 269,093 | | |
Total expenses before reductions | | 44,442,204 | | |
Expense reductions | | (20,115,722) | | |
Total expenses after reductions | | | | 24,326,482 |
Net Investment income (loss) | | | | 81,056,149 |
Realized and Unrealized Gain (Loss) | | | | |
Net realized gain (loss) on: | | | | |
Investment Securities: | | | | |
Unaffiliated issuers | | 246,228,012 | | |
Affiliated issuers | | (41,587,401) | | |
Foreign currency transactions | | 74,943 | | |
Futures contracts | | 177,358 | | |
Capital gain distributions from underlying funds: | | | | |
Affiliated issuers | | 6,311,843 | | |
Total net realized gain (loss) | | | | 211,204,755 |
Change in net unrealized appreciation (depreciation) on: | | | | |
Investment Securities: | | | | |
Unaffiliated issuers | | 575,490,561 | | |
Affiliated issuers | | 241,263,726 | | |
Assets and liabilities in foreign currencies | | (36,813) | | |
Futures contracts | | 147,360 | | |
Total change in net unrealized appreciation (depreciation) | | | | 816,864,834 |
Net gain (loss) | | | | 1,028,069,589 |
Net increase (decrease) in net assets resulting from operations | | | $ | 1,109,125,738 |
Statement of Changes in Net Assets |
|
| | Year ended February 29, 2024 | | Year ended February 28, 2023 |
Increase (Decrease) in Net Assets | | | | |
Operations | | | | |
Net investment income (loss) | $ | 81,056,149 | $ | 76,153,897 |
Net realized gain (loss) | | 211,204,755 | | 120,157,860 |
Change in net unrealized appreciation (depreciation) | | 816,864,834 | | (811,474,372) |
Net increase (decrease) in net assets resulting from operations | | 1,109,125,738 | | (615,162,615) |
Distributions to shareholders | | (162,598,594) | | (468,095,077) |
| | | | |
Share transactions | | | | |
Proceeds from sales of shares | | 2,399,204,651 | | 1,519,191,608 |
Reinvestment of distributions | | 147,777,158 | | 449,566,228 |
Cost of shares redeemed | | (1,812,836,431) | | (2,646,106,935) |
| | | | |
Net increase (decrease) in net assets resulting from share transactions | | 734,145,378 | | (677,349,099) |
Total increase (decrease) in net assets | | 1,680,672,522 | | (1,760,606,791) |
| | | | |
Net Assets | | | | |
Beginning of period | | 8,010,782,402 | | 9,771,389,193 |
End of period | $ | 9,691,454,924 | $ | 8,010,782,402 |
| | | | |
Other Information | | | | |
Shares | | | | |
Sold | | 170,733,488 | | 109,890,523 |
Issued in reinvestment of distributions | | 10,453,552 | | 31,691,128 |
Redeemed | | (130,709,358) | | (189,244,531) |
Net increase (decrease) | | 50,477,682 | | (47,662,880) |
| | | | |
Financial Highlights
Strategic Advisers® Small-Mid Cap Fund |
|
Years ended February 28, | | 2024 A | | 2023 | | 2022 | | 2021 | | 2020 A |
Selected Per-Share Data | | | | | | | | | | |
Net asset value, beginning of period | $ | 14.07 | $ | 15.84 | $ | 18.08 | $ | 12.87 | $ | 13.62 |
Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) B,C | | .14 | | .13 | | .17 | | .14 | | .13 |
Net realized and unrealized gain (loss) | | 1.71 | | (1.12) | | .61 | | 5.63 | | (.41) |
Total from investment operations | | 1.85 | | (.99) | | .78 | | 5.77 | | (.28) |
Distributions from net investment income | | (.13) | | (.12) | | (.19) | | (.16) | | (.13) |
Distributions from net realized gain | | (.15) | | (.67) | | (2.84) | | (.40) | | (.34) |
Total distributions | | (.28) | | (.78) D | | (3.02) D | | (.56) | | (.47) |
Net asset value, end of period | $ | 15.64 | $ | 14.07 | $ | 15.84 | $ | 18.08 | $ | 12.87 |
Total Return E | | 13.37% | | (6.19)% | | 3.45% | | 46.31% | | (2.40)% |
Ratios to Average Net Assets C,F,G | | | | | | | | | | |
Expenses before reductions | | .55% | | .58% | | .60% | | .62% | | .65% |
Expenses net of fee waivers, if any | | .30% | | .33% | | .35% | | .37% | | .40% |
Expenses net of all reductions | | .30% | | .33% | | .35% | | .37% | | .40% |
Net investment income (loss) | | 1.01% | | .92% | | .96% | | 1.02% | | .96% |
Supplemental Data | | | | | | | | | | |
Net assets, end of period (000 omitted) | $ | 9,691,455 | $ | 8,010,782 | $ | 9,771,389 | $ | 9,026,250 | $ | 6,975,346 |
Portfolio turnover rate H | | 70% | | 80% | | 61% | | 104% | | 67% |
AFor the year ended February 29.
BCalculated based on average shares outstanding during the period.
CNet 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.
DTotal distributions per share do not sum due to rounding.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees 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.
GExpense 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.
HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended February 29, 2024
1. Organization.
Strategic Advisers Small-Mid 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.
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 February 29, 2024 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 Small-Mid Cap Fund | $90,354 |
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 February 29, 2024, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), partnerships 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 | $2,296,915,345 |
Gross unrealized depreciation | (462,762,921) |
Net unrealized appreciation (depreciation) | $1,834,152,424 |
Tax Cost | $8,314,030,516 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $52,917,410 |
Undistributed long-term capital gain | $39,509,843 |
Net unrealized appreciation (depreciation) on securities and other investments | $1,834,151,385 |
The tax character of distributions paid was as follows:
| February 29, 2024 | February 28, 2023 |
Ordinary Income | $82,738,167 | $69,211,966 |
Long-term Capital Gains | 79,860,427 | 398,883,111 |
Total | $162,598,594 | $468,095,077 |
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 and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) |
Strategic Advisers Small-Mid Cap Fund | 6,216,685,375 | 5,555,012,585 |
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 1.10% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .54% 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), ArrowMark Colorado Holdings, LLC (d/b/a ArrowMark Partners), BlackRock Investment Management, LLC, Boston Partners Global Investors, Inc., FIAM LLC (an affiliate of the investment adviser)(managed a portion of the Fund's assets through April 18, 2023), Geode Capital Management, LLC, GW&K Investment Management, LLC, J.P. Morgan Investment Management, Inc., LSV Asset Management, Portolan Capital Management, LLC, River Road Asset Management LLC and William Blair Investment 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 (FIA) has been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, FIA has not been allocated any portion of the Fund's assets. FIA 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.
Effective March 7, 2024, the Fund's sub-subadvisory agreement with FIL Investment Advisors (FIA) and FIL Investment Advisors (UK) Limited (FIA(UK)) will be amended. Pursuant to the sub-subadvisory agreement, FIA may receive from the sub-subadviser investment research and advice on issuers outside the United States (non-discretionary services) and FIA may grant the sub-subadviser investment management authority and the authority to buy and sell securities if FIA believes it would be beneficial to the Fund (discretionary services). FIA, not the Fund, pays FIA(UK). For providing non-discretionary services, FIA will pay FIA(UK) a fee equal to 110% of FIA(UK)'s costs incurred in connection with providing such services. For providing discretionary services, FIA will pay FIA(UK) a fee equal to a percentage of the Fund's monthly average net assets managed by FIA(UK) on a discretionary basis. The fee rate will be based on the monthly average net assets managed by FIA(UK) on behalf of FIA pursuant to sub-advisory arrangements less any assets managed by FIA(UK) on behalf of FIA on which a reduction is applicable to the fee paid to FIA(UK) (Average Group Assets). The fee rate will be calculated on a cumulative basis pursuant to the following graduated fee rate schedule. FIA(UK)'s fee will not exceed 50% of the fee that FIA receives from Strategic Advisers for services provided on behalf of the Fund.
Average Group Assets | Annualized Fee Rate |
From $0 - $500 million | .32% |
$500 million - $1 billion | .27% |
Over $1 billion | .24% |
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 Small-Mid Cap Fund | $44,031 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
| Purchases ($) | Sales ($) | Realized Gain (Loss) ($) |
Strategic Advisers Small-Mid Cap Fund | 257,864 | 9,320,469 | 644,369 |
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
| Amount ($) |
Strategic Advisers Small-Mid Cap Fund | 6,102 |
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 RatioA |
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 Small-Mid Cap Fund | $13,868 |
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 Small-Mid Cap Fund | $230,455 | $- | $- |
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, 2026. During the period, this waiver reduced the Fund's management fee by $20,094,589.
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 $21,133.
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 Small-Mid Cap Fund |
Fidelity SAI Real Estate Index Fund | 99% |
Fidelity SAI Small-Mid Cap 500 Index Fund | 26% |
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.
12. Proposed Reorganization.
The Board of Trustees of the Fund approved an Agreement and Plan of Reorganization (the Agreement) between the Fund and Strategic Advisers U.S. Total Stock Fund. The Agreement provides for the transfer of all the assets and the assumption of all the liabilities of the Fund in exchange for shares of Strategic Advisers U.S. Total Stock Fund equal in value to the net assets of the Fund on the day the reorganization is effective.
A meeting of shareholders of the Fund is expected to be held during the third quarter of 2024 to vote on the reorganization. If approved by shareholders, the reorganization is expected to become effective in August 2024. The reorganization is expected to qualify as a tax-free transaction for federal income tax purposes with no gain or loss recognized by the funds or their shareholders.
To the Board of Trustees of Fidelity Rutland Square Trust II and Shareholders of Strategic Advisers Small-Mid 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 Small-Mid Cap Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 29, 2024, the related statement of operations for the year ended February 29, 2024, the statement of changes in net assets for each of the two years in the period ended February 29, 2024, including the related notes, and the financial highlights for each of the five years in the period ended February 29, 2024 (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 February 29, 2024, 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 February 29, 2024 and the financial highlights for each of the five years in the period ended February 29, 2024 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 February 29, 2024 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
April 11, 2024
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
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. Nancy D. Prior 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.
Nancy D. Prior (1967)
Year of Election or Appointment: 2023
Trustee
Chair of the Board of Trustees
Ms. Prior also serves as Trustee of other funds. Ms. Prior serves as a Senior Adviser at Fidelity Investments (investment adviser firm, 2021-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2018-present) and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2018-present). Prior to her retirement, Ms. Prior held a variety of positions at Fidelity Investments (2002-2020), including President of Fixed Income (2014-2020),), President of Multi-Asset Class Strategies (2017-2018), President of Money Markets and Short Duration Bonds (2013-2014), and President of Money Markets (2011-2013). Ms. Prior also served as President (2016-2019) and Director (2014-2019) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), Vice Chairman of FIAM LLC (investment adviser firm, 2014-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), Vice President of Global Asset Allocation Funds (2017-2019), Vice President of Fidelity's Bond Funds (2014-2020), and Vice President of Fidelity's Money Market Funds (2012-2020).
* 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+
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 Emerita (2024-present) and past Chair (2014-2023) and Chief Executive Officer (2013-2023) 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), and Member of the Ron Burton Training Village Executive Board of Advisors (2017-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Overseer of the Boston Symphony Orchestra (2014-2023), Member of the Board of Directors (2016-2023), Member of the Executive Committee (2019-2023) and Secretary (2022-2023) of The Advertising Council, Inc., Member of the Board of Directors of The Ad Club of Boston (2020-2023), 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).
Harold Singleton III (1962)
Year of Election or Appointment: 2023
Trustee
Mr. Singleton also serves as Trustee of other funds. Mr. Singleton is a member of the Board of Directors of Hershey Trust Company (2023-present). Previously, Mr. Singleton served as a member of the Board of Directors and Chair of the Audit Committee of WisdomTree, Inc. (global investment manager, 2022-2023). He also served as Vice President, Managing Director/Head of Manager Selection and Portfolio Construction (2016-2022) and Vice President/Head of Client Portfolio Management (2014-2016) of Lincoln Financial Group (insurance and retirement services). Mr. Singleton also served as a member of the Board of Directors and Investment Committee of The Vantagepoint Funds (2013-2014). Mr. Singleton served in various capacities at PineBridge Investments (global investment manager), including Managing Director, Head of Asset Management Companies and Global Head of Retail and Intermediary Sales (2010-2012), Managing Director, Global Head of Equity and Fixed Income Product Specialists (2009-2010) and Managing Director, Equity Product Specialist (Client Portfolio Manager) (2007-2010). He also served as Chairman of the Board of Directors of PineBridge East Africa (2011-2012) and PineBridge Taiwan (2011-2012). Mr. Singleton formerly served in various equity portfolio management and analyst positions, including at UBS Global Asset Management (2003-2006), Metropolitan West Capital Management (2000-2003) and Brinson Partners (investment manager, 1996-2000). Mr. Singleton is a Life Trustee, member of the Executive Committee and Chair of the Investment Committee of the Board of Trustees of the Illinois Institute of Technology (2012-present) and Chair of the Investment Committee (2010-present) of the Executive Leadership Council (nonprofit).
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.
Name, Year of Birth; Principal Occupations+
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).
Heather Bonner (1977)
Year of Election or Appointment: 2023
President and Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner is a Senior Vice President (2022-present) and is an employee of Fidelity Investments (2022-present). Ms. Bonner serves as Senior Vice President, Vice President, Treasurer, or Director of certain Fidelity entities. Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown is a Vice President (2015-present) and is an employee of Fidelity Investments. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-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 is Head of Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments. Mr. Burke serves as President, Executive Vice President, or Director of certain Fidelity entities. 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 Fidelity entities. Ms. Carey is a Senior Vice President, Deputy General Counsel (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 is a Vice President (2006-present) and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer or Director 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 is a Senior Vice President (2017-present) and is an employee of Fidelity Investments. Ms. Del Prato serves as Vice President or Assistant Treasurer of certain Fidelity entities. Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020).
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 is a Senior Vice President of Asset Management Compliance (2009-present) and is an employee of Fidelity Investments. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-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 is a Vice President (2016-present) and is an employee of Fidelity Investments. Mr. Hogan serves as Assistant Treasurer of certain Fidelity entities. 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 is a Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments. 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 is a Vice President (2008-present) and is an employee of Fidelity Investments. Mr. Maher serves as Assistant Treasurer of certain Fidelity entities. Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as AML Officer of other funds. Mr. Segaloff is a Vice President (2022-present) and is an employee of Fidelity Investments. Mr. Segaloff serves as Anti Money Laundering Compliance Officer or Anti Money Laundering/Bank Secrecy Act Compliance Officer of certain Fidelity entities.
Stacie M. Smith (1974)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith is a Senior Vice President (2016-present) and is an employee of Fidelity Investments. Ms. Smith serves as Assistant Treasurer of certain Fidelity entities and has served in other fund officer roles.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann is a Vice President (2016-present) and is an employee of Fidelity Investments. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
+ The information includes principal occupation during the last five years.
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 (September 1, 2023 to February 29, 2024). |
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 September 1, 2023 | | Ending Account Value February 29, 2024 | | Expenses Paid During Period- C September 1, 2023 to February 29, 2024 |
| | | | | | | | | | |
Strategic Advisers® Small-Mid Cap Fund | | | | .30% | | | | | | |
Actual | | | | | | $ 1,000 | | $ 1,106.70 | | $ 1.57 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,023.37 | | $ 1.51 |
|
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/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
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 February 29, 2024, $39,773,510, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 98%, and 68% of the dividends distributed in April and December, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 98.20%, and 75.70% of the dividends distributed in April 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 0.88%, and 11.83% of the dividends distributed in April and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Small-Mid Cap Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with AllianceBernstein L.P., ArrowMark Colorado Holdings, LLC, doing business as ArrowMark Partners, Boston Partners Global Investors, Inc., FIAM LLC (FIAM), FIL Investment Advisors, Geode Capital Management, LLC, GW&K Investment Management LLC, J.P. Morgan Investment Management Inc., LSV Asset Management, Portolan Capital Management, LLC, and River Road Asset Management LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, and FIL Investment Advisors (UK) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2023 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved an amendment to the Sub-Advisory Agreement with FIAM to remove a mandate (Amendment). The Board also noted that no other contract terms are impacted by the Amendment.
In reaching its determination to renew the fund's Advisory Contracts and approve the Amendment, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts and approve the Amendment was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendment is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.
The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.
The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over different time periods, measured against an appropriate securities market index (benchmark index) and a peer group of mutual funds with similar objectives (peer group).
The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program. In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Strategic Advisers funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); and (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group").
The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for the 12-month period ended December 31, 2022 and below the competitive median of the asset size peer group for the 12-month period ended December 31, 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for the 12-month period ended December 31, 2022.
Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.
Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed and the Amendment should be approved because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.
Board Approval of New Sub-Advisory Agreement
Strategic Advisers Small-Mid Cap Fund
In September 2023, the Board of Trustees, including the Independent Trustees (together, the Board) voted to approve a new sub-advisory agreement among Strategic Advisers LLC (Strategic Advisers), BlackRock Investment Management, LLC (New Sub-Adviser), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (New 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 New 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 New 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 New Sub-Advisory Agreement was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board. In addition, individual Trustees did not necessarily attribute the same weight or importance to each factor.
Nature, Extent, and Quality of Services Provided. The Board considered the backgrounds of the investment personnel that will provide services to the fund, 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 also considered the detailed information provided by Strategic Advisers and the New Sub-Adviser in the June 2023 annual contract renewal materials with respect to the other Strategic Advisers fund that New Sub-Adviser sub-advises with a different investment mandate. The Board also took into consideration additional information regarding the new investment mandate provided by Strategic Advisers and the New Sub-Adviser.
Resources Dedicated to Investment Management and Support Services. 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 its investment in business continuity planning.
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.
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.
Competitiveness of Management Fee and Total Fund Expenses. 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 the New 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 New Sub-Adviser, the fund's management fee and total net expenses are each expected to decrease, and each is expected to continue to rank below the competitive peer group median reported in the June 2023 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 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 New 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 New 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 the New 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 New Sub-Advisory Agreement's fee structure bears a reasonable relationship to the services to be rendered and that the New 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 New 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, 2022 through November 30, 2023. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.
1.912857.113
SMC-ANN-0424
Strategic Advisers® International 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
February 29, 2024
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. © 2024 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 February 29, 2024 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® International Fund | 14.97% | 7.59% | 4.93% |
$10,000 Over 10 Years |
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Let's say hypothetically that $10,000 was invested in Strategic Advisers® International Fund on February 28, 2014. The chart shows how the value of your investment would have changed, and also shows how the MSCI EAFE Index performed over the same period. |
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Market Recap:
International (non-U.S.) equities gained 12.70% for the 12 months ending February 29, 2024, according to the MSCI ACWI (All Country World Index) ex USA Index, as global economic expansion and a slowing in the pace of inflation in some markets provided a mostly favorable backdrop for risk assets. The index's strong performance this period was driven, in part, by a narrow set of companies in the information technology sector and exuberance for generative artificial intelligence. Following historic global monetary tightening in some countries throughout 2022 and for most of 2023, investor sentiment shifted in the fourth quarter of last year to a view that policy rates had peaked, and policymakers would likely cut rates in 2024. This provided support for international stocks, with the index gaining 9.78% in the fourth quarter of 2023, reversing a three-month decline (-3.75%) at the end of September amid a stalling pattern in disinflationary trends, heightened geopolitical risk, soaring yields on longer-term U.S. government bonds, and weak economic conditions in the eurozone and China. For the full 12 months, each of six regions advanced, with Japan (+27%) leading by the widest margin, while Europe ex U.K. (+16%) also outpaced the benchmark. The Asia Pacific ex Japan (+3%) and U.K. (+5%) regions lagged most. Nine of the 11 sectors notably advanced, with information technology (+33%) and industrials (+21%) registering the largest gains. Conversely, real estate (-1%) lagged by the greatest amount, followed by consumer staples (0%) and communication services (+1%).
Comments from Portfolio Manager Wilfred Chilangwa:
For the fiscal year ending February 29, 2024, the Fund gained 14.97%, topping the 14.66% advance of the benchmark MSCI EAFE Index. Among the Fund's underlying active managers, sub-adviser ArrowStreet Capital (+21%) was the top relative contributor the past 12 months. ArrowStreet runs a value-tilted, quantitative strategy, and benefited from an overweight in the energy sector. Favorable overall positioning in Japan provided a further boost to its performance. Fidelity® Overseas Fund (+19%) also aided the broader Fund's relative result. Positive stock selection in Europe and the U.K. fueled this fund's positive performance. Outside of active managers, Fidelity® SAI Japan Stock Index Fund (+27%) added considerable relative value by mirroring the strong performance of that market. On the downside, Oakmark International Fund (+3%) notably lagged the broader Fund's benchmark and was the primary relative detractor. Adverse stock picks among financial, consumer discretionary and health care companies weighed on this fund's result. Sub-adviser Thompson Siegel & Walmsley (+12%) also dampened the broader Fund's relative result, hampered by poor investment choices across several sectors. During the 12-month reporting period, we hired Wellington Management as a sub-adviser to provide its International Research Equity mandate to the Fund. This is a sector-neutral, core strategy that focuses exclusively on international developed markets (DM; i.e., no emerging-markets exposure). We also funded the Select International mandate from sub-adviser FIAM - another core strategy that only invests in DM. These additions reflected our goal of aligning the portfolio more closely with core DM markets represented in the Fund's benchmark. Overall, we continued to keep the portfolio's risk level and style tilts close to the benchmark, relying on the expertise of our underlying managers to navigate through the current market environment.
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 International Low Volatility Index Fund | 4.9 | |
Fidelity Advisor International Discovery Fund Class Z | 4.5 | |
Artisan International Value Fund Investor Class | 4.5 | |
Fidelity Overseas Fund | 3.8 | |
Fidelity SAI Japan Stock Index Fund | 2.9 | |
Fidelity SAI International Value Index Fund | 2.8 | |
Oakmark International Fund Investor Class | 2.8 | |
Fidelity Diversified International Fund | 2.7 | |
iShares MSCI EAFE Value ETF | 2.2 | |
JPMorgan International Research Enhanced Equity ETF | 2.2 | |
| 33.3 | |
|
Asset Allocation (% of Fund's net assets) |
|
Futures - 1.4% |
|
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 - 46.7% |
| | Shares | Value ($) |
COMMUNICATION SERVICES - 1.5% | | | |
Diversified Telecommunication Services - 0.7% | | | |
Bezeq The Israel Telecommunication Corp. Ltd. | | 145,093 | 195,856 |
BT Group PLC | | 1,584,287 | 2,088,839 |
Cellnex Telecom SA (a) | | 333,872 | 12,070,991 |
Deutsche Telekom AG | | 2,301,529 | 54,705,024 |
Hellenic Telecommunications Organization SA | | 231,573 | 3,493,966 |
HKT Trust/HKT Ltd. unit | | 3,834,700 | 4,677,359 |
Internet Initiative Japan, Inc. (b) | | 66,500 | 1,232,015 |
KT Corp. | | 163,459 | 4,781,000 |
Liberty Global Ltd. Class C (b) | | 369,100 | 6,846,805 |
Nippon Telegraph & Telephone Corp. | | 12,825,600 | 15,598,063 |
Orange SA | | 1,619,241 | 18,561,310 |
Proximus | | 292,378 | 2,443,329 |
Singapore Telecommunications Ltd. | | 1,120,500 | 1,955,624 |
United Internet AG (b) | | 122,637 | 2,969,032 |
| | | 131,619,213 |
Entertainment - 0.2% | | | |
37 Interactive Entertainment Network Technology Group Co. Ltd. (A Shares) | | 31,200 | 84,547 |
Boat Rocker Media, Inc. (b)(c) | | 118,285 | 82,799 |
Capcom Co. Ltd. | | 111,200 | 4,471,884 |
Cloud Music, Inc. (a)(c) | | 22,300 | 251,211 |
CTS Eventim AG | | 39,229 | 3,082,386 |
GungHo Online Entertainment, Inc. | | 7,600 | 110,157 |
MIXI, Inc. | | 19,700 | 324,435 |
NetEase, Inc. | | 133,200 | 2,893,449 |
Nintendo Co. Ltd. | | 416,200 | 23,257,371 |
Sea Ltd. ADR (c) | | 64,700 | 3,139,244 |
Square Enix Holdings Co. Ltd. | | 120,760 | 5,110,068 |
Universal Music Group NV | | 84,590 | 2,553,807 |
| | | 45,361,358 |
Interactive Media & Services - 0.2% | | | |
Auto Trader Group PLC (a) | | 117,838 | 1,103,414 |
CAR Group Ltd. | | 466,815 | 11,154,078 |
Hemnet Group AB | | 57,643 | 1,759,362 |
LY Corp. | | 2,938,000 | 8,091,650 |
NAVER Corp. | | 24,307 | 3,549,357 |
Scout24 AG (a) | | 3,165 | 229,873 |
SEEK Ltd. | | 149,355 | 2,546,428 |
Tencent Holdings Ltd. | | 378,500 | 13,259,095 |
| | | 41,693,257 |
Media - 0.2% | | | |
CyberAgent, Inc. | | 468,000 | 3,279,309 |
Hakuhodo DY Holdings, Inc. | | 200,700 | 1,862,821 |
Informa PLC | | 480,069 | 4,909,740 |
JCDecaux SA (c) | | 136,114 | 2,809,839 |
Publicis Groupe SA | | 58,503 | 6,189,944 |
WPP PLC | | 1,580,298 | 14,138,159 |
| | | 33,189,812 |
Wireless Telecommunication Services - 0.2% | | | |
Advanced Info Service PCL (For. Reg.) | | 896,300 | 5,015,836 |
KDDI Corp. | | 371,200 | 11,222,040 |
SoftBank Corp. (b) | | 255,100 | 3,356,355 |
SoftBank Group Corp. | | 225,800 | 13,374,760 |
Vodafone Group PLC | | 4,799,365 | 4,215,805 |
Vodafone Group PLC sponsored ADR | | 1,241,278 | 11,097,025 |
| | | 48,281,821 |
TOTAL COMMUNICATION SERVICES | | | 300,145,461 |
CONSUMER DISCRETIONARY - 4.7% | | | |
Automobile Components - 0.4% | | | |
Aisin Seiki Co. Ltd. | | 12,500 | 470,834 |
Autoliv, Inc. (depository receipt) (b) | | 62,603 | 7,246,836 |
Bridgestone Corp. | | 155,600 | 6,690,219 |
Compagnie Generale des Etablissements Michelin SCA Series B | | 187,147 | 6,925,653 |
Continental AG | | 8,647 | 693,622 |
DENSO Corp. | | 1,514,800 | 27,865,237 |
Dowlais Group PLC | | 2,721,783 | 3,118,247 |
FCC Co. Ltd. | | 12,400 | 175,099 |
JTEKT Corp. | | 72,300 | 672,267 |
Koito Manufacturing Co. Ltd. | | 240,400 | 3,037,872 |
Magna International, Inc. Class A (b) | | 117,302 | 6,465,686 |
Musashi Seimitsu Industry Co. Ltd. | | 136,100 | 1,515,147 |
Niterra Co. Ltd. | | 15,100 | 457,371 |
Nokian Tyres PLC | | 117,630 | 1,072,507 |
Stanley Electric Co. Ltd. | | 132,000 | 2,255,763 |
Sumitomo Electric Industries Ltd. | | 137,200 | 2,032,101 |
Tokai Rika Co. Ltd. | | 27,400 | 448,138 |
Toyoda Gosei Co. Ltd. | | 8,100 | 166,463 |
TPR Co. Ltd. | | 19,100 | 275,059 |
Valeo SA | | 437,696 | 5,051,039 |
| | | 76,635,160 |
Automobiles - 1.0% | | | |
Bayerische Motoren Werke AG (BMW) | | 111,706 | 13,213,497 |
Bayerische Motoren Werke AG (BMW) ADR | | 108,762 | 4,293,924 |
Ferrari NV | | 12,147 | 5,159,681 |
Honda Motor Co. Ltd. | | 2,096,800 | 24,915,351 |
Honda Motor Co. Ltd. sponsored ADR (b) | | 35,644 | 1,268,570 |
Isuzu Motors Ltd. | | 396,100 | 5,632,906 |
Mahindra & Mahindra Ltd. | | 123,650 | 2,882,457 |
Mazda Motor Corp. | | 39,800 | 462,178 |
Mercedes-Benz Group AG (Germany) | | 508,751 | 40,539,771 |
Nissan Motor Co. Ltd. | | 167,800 | 661,076 |
Renault SA | | 71,275 | 2,968,121 |
Stellantis NV (b) | | 475,336 | 12,482,323 |
Stellantis NV | | 384,267 | 10,021,570 |
Stellantis NV (Italy) | | 729,952 | 19,040,877 |
Subaru Corp. | | 70,800 | 1,607,545 |
Suzuki Motor Corp. | | 433,900 | 19,035,221 |
Toyota Motor Corp. | | 1,397,500 | 33,660,782 |
Volkswagen AG | | 4,566 | 718,611 |
Yamaha Motor Co. Ltd. | | 635,000 | 5,673,576 |
| | | 204,238,037 |
Broadline Retail - 0.3% | | | |
Alibaba Group Holding Ltd. sponsored ADR | | 20,308 | 1,503,401 |
B&M European Value Retail SA | | 230,750 | 1,531,528 |
Dollarama, Inc. | | 85,463 | 6,610,843 |
MercadoLibre, Inc. (c) | | 3,122 | 4,980,527 |
Next PLC | | 65,228 | 6,845,523 |
Pan Pacific International Holdings Ltd. | | 450,900 | 10,601,804 |
PDD Holdings, Inc. ADR (c) | | 3,671 | 457,186 |
Prosus NV | | 331,507 | 9,670,322 |
Rakuten Group, Inc. | | 1,597,600 | 8,738,207 |
Wesfarmers Ltd. | | 78,885 | 3,416,983 |
| | | 54,356,324 |
Distributors - 0.0% | | | |
GigaCloud Technology, Inc. Class A (b)(c) | | 2,300 | 86,135 |
Inchcape PLC | | 783,053 | 6,741,214 |
| | | 6,827,349 |
Diversified Consumer Services - 0.0% | | | |
Global Kids Co. Corp. | | 48,800 | 219,066 |
Pearson PLC | | 372,200 | 4,524,685 |
Pearson PLC sponsored ADR | | 15,561 | 189,533 |
| | | 4,933,284 |
Hotels, Restaurants & Leisure - 0.8% | | | |
Accor SA | | 346,029 | 14,993,185 |
Amadeus IT Holding SA Class A | | 723,011 | 42,494,179 |
Aristocrat Leisure Ltd. | | 242,432 | 7,347,993 |
Compass Group PLC | | 1,196,963 | 32,843,021 |
Entain PLC | | 466,500 | 5,376,319 |
Evolution AB (a) | | 60,415 | 7,817,630 |
Flutter Entertainment PLC (c) | | 38,758 | 8,368,488 |
Genting Singapore Ltd. | | 438,600 | 296,627 |
Greggs PLC | | 53,914 | 1,834,780 |
InterContinental Hotel Group PLC ADR | | 5,250 | 562,590 |
Oriental Land Co. Ltd. | | 128,900 | 4,611,064 |
Sands China Ltd. (c) | | 1,270,800 | 3,619,496 |
Sodexo SA | | 112,500 | 8,961,183 |
Trainline PLC (a)(c) | | 438,557 | 1,713,916 |
Whitbread PLC | | 98,461 | 4,105,210 |
Yum China Holdings, Inc. | | 83,957 | 3,600,916 |
| | | 148,546,597 |
Household Durables - 0.5% | | | |
Barratt Developments PLC | | 1,047,570 | 6,168,752 |
Beijing Roborock Technology Co. Ltd. (A Shares) | | 14,379 | 651,617 |
Berkeley Group Holdings PLC | | 172,712 | 10,122,407 |
Iida Group Holdings Co. Ltd. | | 53,800 | 693,134 |
Midea Group Co. Ltd. (A Shares) | | 526,866 | 4,590,238 |
Panasonic Holdings Corp. | | 1,561,900 | 14,765,628 |
Persimmon PLC | | 545,553 | 9,389,764 |
SEB SA | | 8,517 | 1,007,046 |
Sekisui Chemical Co. Ltd. | | 56,600 | 796,221 |
Sony Group Corp. | | 569,278 | 49,042,269 |
| | | 97,227,076 |
Leisure Products - 0.1% | | | |
Bandai Namco Holdings, Inc. | | 249,994 | 4,813,956 |
Games Workshop Group PLC | | 20,885 | 2,479,453 |
Sega Sammy Holdings, Inc. | | 78,800 | 986,577 |
Yamaha Corp. | | 98,900 | 2,157,830 |
| | | 10,437,816 |
Specialty Retail - 0.4% | | | |
EDION Corp. | | 13,100 | 134,303 |
Fast Retailing Co. Ltd. | | 45,050 | 12,999,353 |
H&M Hennes & Mauritz AB (B Shares) (b) | | 565,149 | 7,657,512 |
Industria de Diseno Textil SA | | 200,282 | 8,910,170 |
JD Sports Fashion PLC | | 1,739,000 | 2,588,070 |
Kingfisher PLC | | 7,296,672 | 21,638,986 |
Premier Investments Ltd. | | 18,317 | 359,444 |
Super Retail Group Ltd. | | 62,280 | 660,261 |
WH Smith PLC | | 650,163 | 10,143,861 |
Zalando SE (a)(c) | | 382,995 | 8,105,438 |
ZOZO, Inc. | | 204,600 | 4,631,886 |
| | | 77,829,284 |
Textiles, Apparel & Luxury Goods - 1.2% | | | |
adidas AG | | 82,729 | 16,731,055 |
Asics Corp. | | 28,100 | 1,193,575 |
Brunello Cucinelli SpA | | 24,613 | 2,952,792 |
Burberry Group PLC | | 366,373 | 5,942,773 |
Compagnie Financiere Richemont SA Series A | | 371,808 | 59,183,361 |
Hermes International SCA | | 10,193 | 25,481,383 |
Kering SA | | 69,200 | 31,875,462 |
lululemon athletica, Inc. (c) | | 10,306 | 4,813,830 |
LVMH Moet Hennessy Louis Vuitton SE | | 75,456 | 68,871,379 |
Moncler SpA | | 134,307 | 9,676,299 |
NIKE, Inc. Class B | | 26,461 | 2,750,092 |
Pandora A/S | | 8,309 | 1,340,958 |
Samsonite International SA (a)(c) | | 974,400 | 3,403,773 |
Swatch Group AG (Bearer) (Reg.) | | 24,731 | 1,131,191 |
Titan Co. Ltd. | | 42,276 | 1,848,424 |
| | | 237,196,347 |
TOTAL CONSUMER DISCRETIONARY | | | 918,227,274 |
CONSUMER STAPLES - 4.0% | | | |
Beverages - 1.1% | | | |
Anheuser-Busch InBev SA NV | | 645,048 | 38,987,066 |
Carlsberg A/S Series B | | 49,955 | 6,977,867 |
Coca-Cola HBC AG | | 42,300 | 1,316,194 |
Davide Campari Milano NV | | 299,060 | 3,029,256 |
Diageo PLC | | 2,199,469 | 82,236,663 |
Heineken Holding NV | | 128,796 | 9,939,074 |
Heineken NV (Bearer) | | 246,038 | 22,731,775 |
Kirin Holdings Co. Ltd. | | 615,000 | 8,551,011 |
Kweichow Moutai Co. Ltd. (A Shares) | | 17,300 | 4,079,139 |
Pernod Ricard SA | | 162,185 | 27,091,000 |
Suntory Beverage & Food Ltd. | | 64,900 | 2,130,722 |
Varun Beverages Ltd. | | 96,791 | 1,644,612 |
| | | 208,714,379 |
Consumer Staples Distribution & Retail - 0.6% | | | |
Alimentation Couche-Tard, Inc. Class A (multi-vtg.) | | 424,130 | 26,304,404 |
Bid Corp. Ltd. | | 101,116 | 2,365,524 |
Carrefour SA | | 655,800 | 11,018,337 |
Clicks Group Ltd. | | 57,276 | 896,139 |
Coles Group Ltd. | | 186,634 | 2,050,174 |
MatsukiyoCocokara & Co. | | 107,200 | 1,774,034 |
Ocado Group PLC (c) | | 402,065 | 2,595,491 |
Raia Drogasil SA | | 318,384 | 1,706,212 |
Seven & i Holdings Co. Ltd. (b) | | 3,258,900 | 48,474,833 |
Sundrug Co. Ltd. | | 49,500 | 1,542,913 |
Tesco PLC | | 3,707,552 | 13,076,666 |
Tsuruha Holdings, Inc. | | 19,000 | 1,432,097 |
Wal-Mart de Mexico SA de CV Series V | | 1,144,700 | 4,583,703 |
Welcia Holdings Co. Ltd. (b) | | 85,100 | 1,604,140 |
| | | 119,424,667 |
Food Products - 0.9% | | | |
Ajinomoto Co., Inc. | | 195,000 | 7,157,717 |
Barry Callebaut AG | | 2,439 | 3,425,384 |
Britannia Industries Ltd. | | 21,699 | 1,299,715 |
Danone SA | | 384,226 | 24,517,993 |
Ezaki Glico Co. Ltd. | | 136,600 | 4,071,030 |
Itoham Yonekyu Holdings, Inc. | | 29,800 | 816,956 |
Lindt & Spruengli AG (participation certificate) | | 320 | 3,915,192 |
Megmilk Snow Brand Co. Ltd. | | 126,700 | 1,900,669 |
Nestle India Ltd. | | 34,530 | 1,081,450 |
Nestle SA (Reg. S) | | 934,093 | 96,881,519 |
Nissin Food Holdings Co. Ltd. | | 132,600 | 3,871,333 |
Tate & Lyle PLC | | 526,101 | 3,987,904 |
Toyo Suisan Kaisha Ltd. | | 234,700 | 13,629,257 |
WH Group Ltd. (a) | | 649,500 | 391,550 |
Wilmar International Ltd. | | 2,271,200 | 5,603,942 |
Yamazaki Baking Co. Ltd. | | 9,600 | 225,720 |
| | | 172,777,331 |
Household Products - 0.4% | | | |
Essity AB (B Shares) | | 664,567 | 15,494,853 |
Henkel AG & Co. KGaA | | 19,212 | 1,296,172 |
Lion Corp. | | 302,600 | 2,666,319 |
Niitaka Co. Ltd. | | 13,700 | 174,266 |
Reckitt Benckiser Group PLC | | 828,524 | 52,348,575 |
| | | 71,980,185 |
Personal Care Products - 0.9% | | | |
Beiersdorf AG | | 126,155 | 18,072,970 |
Haleon PLC | | 8,492,851 | 35,629,495 |
Kao Corp. | | 190,800 | 7,219,495 |
Kose Corp. | | 23,100 | 1,288,281 |
L'Oreal SA | | 72,802 | 34,775,281 |
Rohto Pharmaceutical Co. Ltd. | | 514,100 | 10,428,082 |
Unilever PLC | | 1,291,321 | 63,060,735 |
| | | 170,474,339 |
Tobacco - 0.1% | | | |
British American Tobacco PLC (United Kingdom) | | 957,575 | 28,450,922 |
TOTAL CONSUMER STAPLES | | | 771,821,823 |
ENERGY - 2.6% | | | |
Oil, Gas & Consumable Fuels - 2.6% | | | |
Aker BP ASA | | 791,143 | 19,195,160 |
Ampol Ltd. | | 11,844 | 303,325 |
BP PLC | | 9,667,225 | 56,167,265 |
BP PLC sponsored ADR | | 459,567 | 16,080,249 |
ENEOS Holdings, Inc. (b) | | 1,632,100 | 7,035,927 |
Eni SpA | | 2,266,833 | 34,905,701 |
Eni SpA sponsored ADR | | 6,480 | 199,260 |
Equinor ASA | | 725,603 | 17,877,972 |
Equinor ASA sponsored ADR | | 44,438 | 1,094,064 |
Galp Energia SGPS SA Class B | | 1,124,409 | 17,706,356 |
Gazprom OAO (c)(d) | | 3,670,010 | 390,530 |
Gazprom OAO sponsored ADR (Reg. S) (c)(d) | | 33,845 | 7,732 |
Idemitsu Kosan Co. Ltd. | | 73,000 | 461,606 |
INPEX Corp. | | 1,205,500 | 16,067,763 |
Japan Petroleum Exploration Co. Ltd. | | 18,600 | 755,563 |
LUKOIL PJSC (c)(d) | | 35,755 | 11,254 |
OMV AG | | 123,777 | 5,450,123 |
Paladin Energy Ltd. (Australia) (c) | | 3,781,030 | 3,047,510 |
Parkland Corp. | | 63,476 | 2,030,353 |
Petroleo Brasileiro SA - Petrobras (ON) | | 232,900 | 1,931,190 |
Reliance Industries Ltd. | | 442,656 | 15,601,228 |
Repsol SA | | 539,539 | 8,570,618 |
Rosneft Oil Co. OJSC (c)(d) | | 420,640 | 71,538 |
San-Ai Obbli Co. Ltd. | | 55,400 | 725,019 |
Santos Ltd. | | 2,897,380 | 13,341,099 |
Shell PLC: | | | |
ADR | | 157,307 | 9,883,599 |
(Amsterdam) | | 1,078,671 | 33,902,267 |
(London) | | 1,905,280 | 58,930,004 |
rights (c)(e) | | 1,506,426 | 518,211 |
rights (c)(e) | | 1,276,005 | 438,946 |
TotalEnergies SE | | 1,954,087 | 124,551,936 |
Whitehaven Coal Ltd. | | 458,318 | 2,061,514 |
Woodside Energy Group Ltd. | | 1,377,335 | 27,173,167 |
| | | 496,488,049 |
FINANCIALS - 8.5% | | | |
Banks - 4.1% | | | |
Agricultural Bank of China Ltd. (H Shares) | | 4,713,000 | 1,938,292 |
AIB Group PLC | | 7,535,525 | 34,906,879 |
ANZ Group Holdings Ltd. | | 718,563 | 13,288,026 |
Banco Bilbao Vizcaya Argentaria SA | | 457,630 | 4,564,536 |
Banco Bilbao Vizcaya Argentaria SA sponsored ADR (b) | | 52,074 | 518,136 |
Banco BPM SpA | | 92,138 | 535,158 |
Banco Comercial Portugues SA (Reg.) (c) | | 726,365 | 209,610 |
Banco de Sabadell SA | | 2,819,461 | 3,647,586 |
Banco Santander SA (Spain) | | 3,813,751 | 15,893,762 |
Banco Santander SA (Spain) sponsored ADR | | 146,996 | 604,154 |
Bank Hapoalim BM (Reg.) | | 96,454 | 922,710 |
Bank Leumi le-Israel BM | | 117,693 | 985,565 |
Bank of China Ltd. (H Shares) | | 9,426,000 | 3,708,038 |
Bank of Ireland Group PLC | | 2,703,472 | 23,609,387 |
Bankinter SA | | 252,760 | 1,603,038 |
Barclays PLC | | 16,975,944 | 35,241,696 |
Barclays PLC sponsored ADR (b) | | 252,713 | 2,148,061 |
BAWAG Group AG (a) | | 82,929 | 4,683,150 |
BNP Paribas SA | | 856,888 | 51,430,468 |
BOC Hong Kong (Holdings) Ltd. | | 1,567,500 | 4,134,220 |
CaixaBank SA | | 6,167,661 | 27,900,620 |
Chiba Bank Ltd. | | 1,549,600 | 12,589,466 |
China Construction Bank Corp. (H Shares) | | 2,878,000 | 1,784,810 |
China Merchants Bank Co. Ltd.: | | | |
(A Shares) | | 635,700 | 2,833,331 |
(H Shares) | | 293,000 | 1,133,037 |
Commerzbank AG | | 195,286 | 2,257,341 |
Credicorp Ltd. (United States) | | 8,511 | 1,454,360 |
DBS Group Holdings Ltd. | | 1,202,100 | 29,776,666 |
DNB Bank ASA | | 1,153,911 | 23,105,595 |
Erste Group Bank AG (c) | | 3,409 | 135,981 |
Erste Group Bank AG | | 46,411 | 1,850,941 |
FinecoBank SpA | | 280,070 | 3,868,502 |
First International Bank of Israel | | 2,775 | 119,685 |
HDFC Bank Ltd. | | 1,004,236 | 16,964,851 |
HSBC Holdings PLC (United Kingdom) | | 1,387,413 | 10,799,317 |
Huaxia Bank Co. Ltd. (A Shares) | | 794,700 | 700,882 |
Industrial & Commercial Bank of China Ltd. (H Shares) | | 6,707,000 | 3,438,095 |
ING Groep NV (Certificaten Van Aandelen) | | 3,616,596 | 49,771,071 |
Intesa Sanpaolo SpA | | 6,568,028 | 20,915,289 |
Israel Discount Bank Ltd. (Class A) | | 94,276 | 491,308 |
Jyske Bank A/S (Reg.) | | 50,502 | 4,080,289 |
KBC Group NV | | 228,332 | 16,016,102 |
Kyoto Financial Group, Inc. | | 357,100 | 6,229,956 |
Lloyds Banking Group PLC | | 31,897,320 | 18,860,105 |
Mebuki Financial Group, Inc. | | 1,309,100 | 4,084,825 |
Mediobanca SpA | | 39,868 | 542,710 |
Mitsubishi UFJ Financial Group, Inc. | | 2,674,371 | 27,473,313 |
Mizrahi Tefahot Bank Ltd. | | 11,097 | 438,855 |
Mizuho Financial Group, Inc. (b) | | 455,400 | 8,507,826 |
National Bank of Canada | | 134,889 | 10,528,528 |
NatWest Group PLC | | 13,489,612 | 40,787,241 |
Nordea Bank Abp | | 898,634 | 10,917,384 |
Nordea Bank Abp (Helsinki Stock Exchange) | | 620,870 | 7,556,297 |
North Pacific Bank Ltd. (b) | | 472,700 | 1,258,053 |
PT Bank Central Asia Tbk | | 13,456,600 | 8,455,865 |
Rakuten Bank Ltd. | | 105,100 | 2,088,400 |
Resona Holdings, Inc. | | 3,423,200 | 18,632,145 |
Sberbank of Russia (c)(d) | | 1,813,540 | 11,339 |
Shanghai Rural Commercial Bank Co. Ltd. (A Shares) | | 2,861,384 | 2,567,370 |
Skandinaviska Enskilda Banken AB (A Shares) | | 635,000 | 9,421,111 |
Societe Generale Series A | | 442,042 | 10,735,278 |
Standard Chartered PLC (United Kingdom) | | 1,770,585 | 14,970,240 |
Sumitomo Mitsui Financial Group, Inc. (b) | | 531,600 | 29,617,861 |
Sumitomo Mitsui Trust Holdings, Inc. (b) | | 305,200 | 6,184,342 |
Svenska Handelsbanken AB (A Shares) | | 735,204 | 8,792,909 |
Swedbank AB (A Shares) | | 66,793 | 1,465,188 |
Sydbank A/S | | 85,368 | 4,575,076 |
The Hachijuni Bank Ltd. | | 315,500 | 1,930,417 |
Turkiye Is Bankasi A/S Series C | | 3,900,036 | 1,386,113 |
UniCredit SpA | | 1,625,647 | 54,450,442 |
United Overseas Bank Ltd. | | 1,418,937 | 29,526,109 |
Westpac Banking Corp. | | 746,000 | 12,777,115 |
| | | 791,332,424 |
Capital Markets - 1.5% | | | |
3i Group PLC | | 437,191 | 13,659,188 |
Allfunds Group PLC | | 193,379 | 1,371,066 |
Amundi SA (a) | | 156,530 | 10,294,458 |
Azimut Holding SpA | | 130,058 | 3,727,829 |
Banca Generali SpA | | 10,131 | 374,038 |
Bridgepoint Group PLC (a) | | 828,805 | 2,707,567 |
Brookfield Corp. (Canada) Class A | | 153,441 | 6,331,427 |
Daiwa Securities Group, Inc. | | 389,600 | 2,863,789 |
Deutsche Bank AG | | 116,538 | 1,557,047 |
Deutsche Bank AG (NY Shares) (b) | | 30,482 | 409,373 |
Deutsche Borse AG | | 144,403 | 30,230,395 |
Euronext NV (a) | | 298,482 | 27,501,594 |
Georgia Capital PLC (c) | | 75,897 | 1,174,567 |
Hong Kong Exchanges and Clearing Ltd. | | 408,720 | 12,587,995 |
Intermediate Capital Group PLC | | 159,935 | 3,887,314 |
Japan Exchange Group, Inc. | | 290,200 | 7,576,326 |
Julius Baer Group Ltd. | | 671,169 | 35,954,054 |
London Stock Exchange Group PLC | | 285,001 | 32,009,400 |
Macquarie Group Ltd. | | 276,541 | 35,017,419 |
Nomura Holdings, Inc. | | 570,400 | 3,247,668 |
Nomura Holdings, Inc. sponsored ADR | | 32,822 | 187,742 |
Partners Group Holding AG | | 3,666 | 5,260,535 |
SBI Holdings, Inc. Japan | | 534,300 | 14,344,701 |
Strike Co. Ltd. | | 15,500 | 569,670 |
UBS Group AG | | 1,490,673 | 42,494,336 |
XP, Inc. Class A | | 105,398 | 2,491,609 |
| | | 297,831,107 |
Financial Services - 0.4% | | | |
Adyen BV (a)(c) | | 5,378 | 8,509,280 |
Challenger Ltd. | | 465,869 | 2,037,944 |
Edenred SA | | 25,558 | 1,264,861 |
EXOR NV | | 36,300 | 3,915,457 |
Groupe Bruxelles Lambert SA | | 73,300 | 5,493,298 |
Helia Group Ltd. | | 167,596 | 449,911 |
Industrivarden AB (A Shares) | | 3,558 | 121,261 |
Investor AB (B Shares) | | 505,496 | 12,697,866 |
Mitsubishi UFJ Lease & Finance Co. Ltd. | | 481,500 | 3,317,699 |
ORIX Corp. | | 1,195,500 | 25,015,231 |
Paragon Banking Group PLC | | 170,220 | 1,383,754 |
Visa, Inc. Class A | | 42,358 | 11,972,065 |
Wise PLC (c) | | 207,452 | 2,403,412 |
| | | 78,582,039 |
Insurance - 2.5% | | | |
Admiral Group PLC | | 50,792 | 1,709,299 |
AIA Group Ltd. | | 4,482,910 | 36,137,575 |
Allianz SE | | 194,747 | 53,488,329 |
Aon PLC | | 42,517 | 13,434,947 |
ASR Nederland NV | | 76,350 | 3,517,788 |
Assicurazioni Generali SpA | | 321,727 | 7,622,078 |
Aviva PLC | | 1,287,575 | 7,253,740 |
AXA SA | | 1,590,948 | 56,640,799 |
Beazley PLC | | 1,962,201 | 16,149,299 |
Dai-ichi Mutual Life Insurance Co. | | 361,900 | 8,226,756 |
Definity Financial Corp. | | 85,692 | 2,897,547 |
Gjensidige Forsikring ASA | | 60,952 | 961,799 |
Hannover Reuck SE | | 19,418 | 4,980,209 |
Hiscox Ltd. | | 965,040 | 13,801,866 |
Intact Financial Corp. | | 34,754 | 5,779,231 |
Japan Post Holdings Co. Ltd. | | 1,085,500 | 10,473,424 |
Japan Post Insurance Co. Ltd. | | 40,900 | 753,507 |
Legal & General Group PLC | | 7,627,190 | 23,308,908 |
Mandatum Holding OY | | 191,132 | 838,593 |
MAPFRE SA (Reg.) | | 1,272,068 | 2,693,333 |
MS&AD Insurance Group Holdings, Inc. (b) | | 222,500 | 11,118,827 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | 68,189 | 31,719,908 |
NN Group NV | | 56,018 | 2,498,056 |
Ping An Insurance Group Co. of China Ltd. (H Shares) | | 313,500 | 1,394,188 |
Poste Italiane SpA (a) | | 36,071 | 422,603 |
Prudential PLC | | 3,074,805 | 30,295,583 |
QBE Insurance Group Ltd. | | 8,727 | 98,078 |
Sampo Oyj (A Shares) | | 288,892 | 12,917,140 |
Sompo Holdings, Inc. (b) | | 98,000 | 5,740,635 |
Steadfast Group Ltd. | | 1,466,261 | 5,518,273 |
Storebrand ASA (A Shares) (b) | | 672,514 | 5,999,965 |
Sun Life Financial, Inc. (b) | | 153,097 | 8,131,181 |
Swiss Re Ltd. | | 53,865 | 6,492,915 |
T&D Holdings, Inc. | | 392,100 | 6,807,873 |
Talanx AG | | 52,539 | 3,747,754 |
Tokio Marine Holdings, Inc. | | 795,900 | 23,231,446 |
UNIQA Insurance Group AG | | 110,504 | 966,211 |
Willis Towers Watson PLC | | 52,192 | 14,228,061 |
Zurich Insurance Group Ltd. | | 79,084 | 42,030,282 |
| | | 484,028,006 |
TOTAL FINANCIALS | | | 1,651,773,576 |
HEALTH CARE - 5.3% | | | |
Biotechnology - 0.2% | | | |
Argenx SE (c) | | 26,604 | 9,971,591 |
Argenx SE ADR (c) | | 9,935 | 3,775,399 |
CSL Ltd. | | 49,822 | 9,269,682 |
Genmab A/S (c) | | 23,940 | 6,651,015 |
| | | 29,667,687 |
Health Care Equipment & Supplies - 0.8% | | | |
Alcon, Inc. (Switzerland) | | 109,361 | 9,296,953 |
Allmed Medical Products Co. Ltd. (A Shares) | | 56,000 | 59,750 |
ASAHI INTECC Co. Ltd. | | 57,000 | 1,182,811 |
ConvaTec Group PLC (a) | | 3,872,041 | 12,033,462 |
DiaSorin SpA | | 16,167 | 1,631,656 |
Elekta AB (B Shares) (b) | | 470,260 | 3,399,568 |
EssilorLuxottica SA | | 142,089 | 30,124,250 |
Hoya Corp. | | 120,100 | 15,609,315 |
Koninklijke Philips Electronics NV | | 1,585,825 | 31,950,049 |
Koninklijke Philips Electronics NV (depository receipt) (NY Reg.) | | 17,026 | 341,371 |
Olympus Corp. | | 1,167,900 | 16,608,610 |
Siemens Healthineers AG (a) | | 229,192 | 13,747,945 |
Smith & Nephew PLC | | 1,141,486 | 15,059,354 |
Straumann Holding AG | | 18,095 | 2,856,405 |
Terumo Corp. | | 253,300 | 9,860,318 |
| | | 163,761,817 |
Health Care Providers & Services - 0.2% | | | |
Apollo Hospitals Enterprise Ltd. | | 20,677 | 1,521,959 |
Fresenius SE & Co. KGaA | | 626,825 | 17,532,987 |
Galenica AG (a) | | 20,585 | 1,767,887 |
Max Healthcare Institute Ltd. | | 150,024 | 1,435,811 |
Medipal Holdings Corp. | | 14,500 | 219,115 |
Sonic Healthcare Ltd. | | 340,500 | 6,606,551 |
Suzuken Co. Ltd. | | 104,600 | 3,110,371 |
| | | 32,194,681 |
Health Care Technology - 0.0% | | | |
M3, Inc. | | 303,600 | 4,366,759 |
Pro Medicus Ltd. | | 32,677 | 2,205,142 |
| | | 6,571,901 |
Life Sciences Tools & Services - 0.3% | | | |
Agilent Technologies, Inc. | | 100,117 | 13,752,071 |
Bruker Corp. | | 132,860 | 11,497,704 |
Evotec OAI AG (b)(c) | | 135,982 | 2,004,662 |
ICON PLC (c) | | 22,592 | 7,243,447 |
QIAGEN NV (Germany) | | 299,887 | 12,846,412 |
Siegfried Holding AG | | 1,676 | 1,679,127 |
Stevanato Group SpA (b) | | 55,811 | 1,850,135 |
Tecan Group AG | | 11,558 | 4,506,359 |
| | | 55,379,917 |
Pharmaceuticals - 3.8% | | | |
Astellas Pharma, Inc. | | 1,849,500 | 20,212,730 |
AstraZeneca PLC: | | | |
(United Kingdom) | | 511,034 | 64,417,632 |
sponsored ADR | | 257,049 | 16,492,264 |
Bayer AG | | 690,669 | 20,867,987 |
Chugai Pharmaceutical Co. Ltd. | | 237,200 | 9,493,063 |
Daiichi Sankyo Kabushiki Kaisha | | 593,000 | 19,529,810 |
Eisai Co. Ltd. | | 125,400 | 5,231,134 |
GSK PLC | | 2,972,810 | 62,186,606 |
GSK PLC sponsored ADR | | 88,523 | 3,709,114 |
Kyowa Hakko Kirin Co., Ltd. | | 433,200 | 8,586,271 |
Merck KGaA | | 110,108 | 18,734,545 |
Novartis AG | | 774,108 | 78,105,619 |
Novo Nordisk A/S: | | | |
Series B | | 1,308,628 | 156,205,278 |
Series B sponsored ADR | | 80,687 | 9,663,882 |
Ono Pharmaceutical Co. Ltd. | | 19,800 | 327,880 |
Otsuka Holdings Co. Ltd. | | 234,600 | 9,517,324 |
Roche Holding AG (participation certificate) | | 497,623 | 130,109,130 |
Sanofi SA | | 666,356 | 63,513,473 |
Santen Pharmaceutical Co. Ltd. | | 405,300 | 4,018,666 |
Takeda Pharmaceutical Co. Ltd. (b) | | 722,600 | 21,133,308 |
UCB SA | | 118,759 | 13,669,778 |
| | | 735,725,494 |
TOTAL HEALTH CARE | | | 1,023,301,497 |
INDUSTRIALS - 8.4% | | | |
Aerospace & Defense - 1.1% | | | |
Airbus Group NV | | 113,382 | 18,760,091 |
BAE Systems PLC | | 1,044,885 | 16,401,215 |
BAE Systems PLC sponsored ADR (b) | | 13,917 | 888,461 |
Dassault Aviation SA | | 25,900 | 5,119,869 |
Kongsberg Gruppen ASA | | 19,083 | 1,215,449 |
Leonardo SpA | | 100,033 | 2,135,825 |
Melrose Industries PLC | | 1,071,636 | 8,589,811 |
MTU Aero Engines AG | | 62,771 | 15,081,476 |
Rheinmetall AG | | 20,961 | 9,605,571 |
Rolls-Royce Holdings PLC (c) | | 16,361,667 | 76,364,907 |
Saab AB (B Shares) | | 116,070 | 9,141,028 |
Safran SA | | 134,479 | 28,198,992 |
Thales SA | | 90,280 | 13,372,602 |
| | | 204,875,297 |
Air Freight & Logistics - 0.2% | | | |
DHL Group | | 726,119 | 33,675,314 |
DSV A/S | | 35,043 | 5,619,888 |
Konoike Transport Co. Ltd. | | 3,800 | 47,044 |
| | | 39,342,246 |
Building Products - 0.4% | | | |
AGC, Inc. | | 104,800 | 3,741,958 |
ASSA ABLOY AB (B Shares) | | 419,449 | 11,972,965 |
Belimo Holding AG (Reg.) | | 3,106 | 1,473,712 |
Compagnie de St.-Gobain | | 268,387 | 20,690,131 |
Daikin Industries Ltd. | | 116,028 | 16,353,253 |
Kingspan Group PLC (Ireland) | | 127,890 | 11,538,899 |
Nibe Industrier AB (B Shares) | | 221,005 | 1,231,833 |
Noritz Corp. | | 13,300 | 149,217 |
Sekisui Jushi Corp. | | 52,300 | 893,063 |
Xinyi Glass Holdings Ltd. | | 1,271,000 | 1,298,678 |
| | | 69,343,709 |
Commercial Services & Supplies - 0.2% | | | |
Boyd Group Services, Inc. | | 5,906 | 1,386,081 |
Element Fleet Management Corp. | | 560,615 | 9,356,320 |
Japan Elevator Service Holdings Co. Ltd. | | 61,200 | 981,764 |
Pluxee France SA | | 96,800 | 2,765,668 |
RB Global, Inc. | | 86,150 | 6,539,647 |
Rentokil Initial PLC | | 899,586 | 5,007,978 |
Secom Co. Ltd. | | 40,100 | 2,920,838 |
| | | 28,958,296 |
Construction & Engineering - 0.3% | | | |
Ferrovial SE | | 120,330 | 4,506,325 |
INFRONEER Holdings, Inc. | | 36,400 | 372,814 |
Kajima Corp. | | 118,600 | 2,197,249 |
Kinden Corp. | | 38,800 | 660,599 |
Okumura Corp. | | 7,400 | 251,241 |
Sanki Engineering Co. Ltd. | | 48,300 | 642,411 |
Taisei Corp. (b) | | 125,600 | 3,943,431 |
VINCI SA | | 250,662 | 32,076,394 |
Voltas Ltd. | | 105,624 | 1,413,204 |
WorleyParsons Ltd. | | 542,055 | 5,894,577 |
| | | 51,958,245 |
Electrical Equipment - 1.2% | | | |
ABB Ltd.: | | | |
(Reg.) | | 544,659 | 25,131,837 |
sponsored ADR | | 1,361 | 62,660 |
Eurogroup Laminations SpA (b) | | 114,517 | 408,441 |
Fuji Electric Co. Ltd. | | 124,300 | 7,544,891 |
Furukawa Electric Co. Ltd. | | 139,300 | 2,754,501 |
Havells India Ltd. | | 97,895 | 1,808,451 |
Hirakawa Hewtech Corp. | | 39,500 | 352,791 |
Legrand SA | | 540,493 | 54,741,836 |
Mitsubishi Electric Corp. | | 3,173,500 | 50,411,488 |
Prysmian SpA | | 429,853 | 21,394,145 |
Schneider Electric SA | | 330,763 | 75,179,907 |
Suzhou Anjie Technology Co. Ltd. | | 24,800 | 45,297 |
Weg SA | | 188,700 | 1,392,731 |
| | | 241,228,976 |
Ground Transportation - 0.2% | | | |
ALD SA (a) | | 166,001 | 1,015,483 |
Aurizon Holdings Ltd. | | 203,070 | 502,903 |
Canadian National Railway Co. (b) | | 46,974 | 6,090,716 |
Canadian Pacific Kansas City Ltd. | | 198,824 | 16,881,324 |
Canadian Pacific Kansas City Ltd. | | 98,005 | 8,331,405 |
Central Japan Railway Co. | | 145,500 | 3,657,881 |
Grab Holdings Ltd. (c) | | 515,297 | 1,581,962 |
Rumo SA | | 281,700 | 1,287,486 |
TFI International, Inc. (Canada) | | 42,567 | 6,289,308 |
| | | 45,638,468 |
Industrial Conglomerates - 1.0% | | | |
CK Hutchison Holdings Ltd. | | 2,635,900 | 13,314,148 |
DCC PLC (United Kingdom) | | 249,065 | 17,656,409 |
Hitachi Ltd. | | 728,980 | 61,583,056 |
Jardine Matheson Holdings Ltd. | | 10,500 | 440,055 |
Jardine Matheson Holdings Ltd. ADR | | 999 | 41,259 |
Lifco AB | | 96,397 | 2,564,660 |
Siemens AG | | 492,734 | 97,546,038 |
Siemens AG sponsored ADR | | 5,571 | 550,749 |
| | | 193,696,374 |
Machinery - 1.7% | | | |
Airtac International Group | | 43,158 | 1,649,906 |
Alstom SA (b) | | 1,856,792 | 24,817,280 |
Amada Co. Ltd. | | 51,000 | 565,552 |
Atlas Copco AB (A Shares) | | 375,283 | 6,519,471 |
AutoStore Holdings Ltd. (a)(b)(c) | | 634,784 | 1,016,606 |
CNH Industrial NV | | 877,200 | 10,482,540 |
Daimler Truck Holding AG | | 147,252 | 6,012,686 |
Ebara Corp. | | 1,600 | 134,632 |
Epiroc AB (A Shares) | | 431,861 | 7,839,204 |
FANUC Corp. | | 1,140,400 | 33,241,963 |
Furukawa Co. Ltd. | | 2,900 | 34,238 |
GEA Group AG | | 426,093 | 17,163,629 |
Harmonic Drive Systems, Inc. | | 46,000 | 1,201,241 |
Husqvarna AB (B Shares) | | 266,700 | 2,054,586 |
IMI PLC | | 844,653 | 18,477,341 |
Indutrade AB | | 258,059 | 6,820,899 |
Kawasaki Heavy Industries Ltd. | | 202,300 | 5,577,014 |
KION Group AG | | 85,391 | 4,302,587 |
Kitz Corp. | | 12,600 | 105,644 |
Knorr-Bremse AG | | 100,316 | 7,012,705 |
Kone OYJ (B Shares) | | 24,395 | 1,192,276 |
Makita Corp. | | 150,129 | 3,912,447 |
Metso Corp. | | 105,728 | 1,128,082 |
Mitsubishi Heavy Industries Ltd. | | 116,800 | 9,212,647 |
NGK Insulators Ltd. | | 80,500 | 1,049,206 |
NTN Corp. | | 88,600 | 187,578 |
Rotork PLC | | 1,126,214 | 4,384,276 |
Sandvik AB | | 702,445 | 15,817,150 |
Schindler Holding AG (participation certificate) | | 32,620 | 8,590,714 |
Sinotruk Ji'nan Truck Co. Ltd. (A Shares) | | 513,400 | 1,227,678 |
SMC Corp. | | 63,500 | 38,327,092 |
Spirax-Sarco Engineering PLC | | 85,634 | 11,160,891 |
Sumitomo Heavy Industries Ltd. | | 8,200 | 243,779 |
Techtronic Industries Co. Ltd. | | 1,638,900 | 17,740,185 |
The Weir Group PLC | | 289,293 | 6,693,650 |
THK Co. Ltd. | | 118,900 | 2,612,437 |
Toyota Industries Corp. | | 296,100 | 29,408,545 |
Valmet Corp. | | 33,808 | 884,626 |
VAT Group AG (a) | | 15,103 | 7,562,174 |
Volvo AB (B Shares) | | 176,778 | 4,861,804 |
Yangzijiang Shipbuilding Holdings Ltd. | | 1,936,400 | 2,518,450 |
| | | 323,745,411 |
Marine Transportation - 0.1% | | | |
A.P. Moller - Maersk A/S: | | | |
Series A | | 3,326 | 4,509,258 |
Series B | | 1,493 | 2,118,780 |
Kawasaki Kisen Kaisha Ltd. (b) | | 98,700 | 4,709,186 |
Mitsui OSK Lines Ltd. (b) | | 200,000 | 6,846,318 |
SITC International Holdings Co. Ltd. | | 754,900 | 1,241,856 |
Stolt-Nielsen SA | | 11,356 | 425,531 |
| | | 19,850,929 |
Passenger Airlines - 0.2% | | | |
Air France KLM (Reg.) (c) | | 261,235 | 2,943,706 |
InterGlobe Aviation Ltd. (a)(c) | | 49,155 | 1,871,057 |
Ryanair Holdings PLC sponsored ADR (b) | | 260,748 | 36,048,411 |
| | | 40,863,174 |
Professional Services - 0.8% | | | |
BayCurrent Consulting, Inc. | | 37,000 | 827,761 |
Bureau Veritas SA | | 191,217 | 5,553,151 |
Experian PLC | | 531,163 | 22,747,359 |
Intertek Group PLC | | 163,270 | 9,525,744 |
Persol Holdings Co. Ltd. (b) | | 1,641,000 | 2,367,585 |
Recruit Holdings Co. Ltd. | | 279,641 | 11,279,557 |
RELX PLC: | | | |
(Euronext N.V.) | | 417,458 | 18,241,555 |
(London Stock Exchange) | | 630,906 | 27,636,274 |
SGS SA (Reg.) | | 98,051 | 9,402,075 |
TechnoPro Holdings, Inc. | | 268,000 | 5,367,294 |
Teleperformance | | 76,572 | 9,480,045 |
Wolters Kluwer NV | | 226,611 | 35,721,753 |
Wolters Kluwer NV ADR (b) | | 1,265 | 199,680 |
| | | 158,349,833 |
Trading Companies & Distributors - 0.9% | | | |
AerCap Holdings NV (c) | | 216,000 | 16,670,880 |
Ashtead Group PLC | | 358,070 | 25,673,132 |
Azelis Group NV | | 100,000 | 2,047,035 |
Beijer Ref AB (B Shares) | | 249,929 | 3,510,347 |
Brenntag SE | | 49,207 | 4,487,575 |
Bunzl PLC | | 402,488 | 16,019,151 |
Diploma PLC | | 61,680 | 2,690,795 |
Hanwa Co. Ltd. | | 6,300 | 239,108 |
IMCD NV | | 34,733 | 5,289,305 |
Itochu Corp. (b) | | 441,717 | 19,198,426 |
Kanamoto Co. Ltd. | | 28,600 | 547,124 |
Marubeni Corp. | | 175,400 | 2,892,134 |
Mitsubishi Corp. | | 1,056,100 | 22,577,378 |
Mitsui & Co. Ltd. (b) | | 529,200 | 23,131,321 |
MonotaRO Co. Ltd. | | 170,800 | 1,633,686 |
Ochi Holdings Co. Ltd. | | 70,900 | 792,139 |
Rexel SA | | 135,200 | 3,463,143 |
Seven Group Holdings Ltd. | | 14,596 | 365,360 |
Sojitz Corp. (b) | | 157,800 | 3,998,681 |
Sumiseki Holdings, Inc. (b) | | 231,800 | 4,302,958 |
Sumitomo Corp. (b) | | 407,100 | 9,523,077 |
Toromont Industries Ltd. | | 39,824 | 3,657,710 |
Toyota Tsusho Corp. | | 18,400 | 1,187,311 |
Wakita & Co. Ltd. | | 22,400 | 229,349 |
Yamazen Co. Ltd. | | 244,600 | 2,068,789 |
Yuasa Trading Co. Ltd. | | 31,500 | 1,054,763 |
| | | 177,250,677 |
Transportation Infrastructure - 0.1% | | | |
Aena SME SA (a) | | 130,838 | 24,767,911 |
Grupo Aeroportuario del Sureste S.A.B. de CV Series B sponsored ADR | | 4,738 | 1,394,725 |
Hubei Chutian Smart Communication Co. Ltd. (A Shares) | | 92,000 | 49,784 |
The Sumitomo Warehouse Co. Ltd. | | 3,800 | 65,370 |
| | | 26,277,790 |
TOTAL INDUSTRIALS | | | 1,621,379,425 |
INFORMATION TECHNOLOGY - 6.7% | | | |
Communications Equipment - 0.1% | | | |
Ericsson: | | | |
(B Shares) | | 1,124,285 | 6,104,878 |
(B Shares) sponsored ADR (b) | | 299,531 | 1,629,449 |
Nokia Corp. | | 959,370 | 3,381,870 |
Vtech Holdings Ltd. | | 56,700 | 327,693 |
| | | 11,443,890 |
Electronic Equipment, Instruments & Components - 0.7% | | | |
Hagiwara Electric Holdings Co. Ltd. | | 95,900 | 3,115,215 |
Halma PLC | | 277,241 | 8,056,109 |
Hamamatsu Photonics K.K. | | 94,400 | 3,382,583 |
Hexagon AB (B Shares) | | 341,919 | 4,010,910 |
Hirose Electric Co. Ltd. | | 85,290 | 9,054,098 |
Ibiden Co. Ltd. | | 47,800 | 2,200,292 |
Keyence Corp. | | 47,700 | 22,284,605 |
Kyocera Corp. | | 1,239,200 | 18,288,735 |
Largan Precision Co. Ltd. | | 25,000 | 2,045,749 |
Murata Manufacturing Co. Ltd. | | 1,424,600 | 28,708,538 |
OMRON Corp. | | 53,700 | 1,988,677 |
Sanshin Electronic Co. Ltd. | | 8,100 | 126,644 |
Shimadzu Corp. | | 545,800 | 14,864,604 |
Spectris PLC | | 39,714 | 1,757,091 |
TDK Corp. | | 52,500 | 2,726,554 |
Unimicron Technology Corp. | | 166,000 | 941,424 |
VusionGroup (b)(c) | | 7,572 | 1,175,196 |
Yokogawa Electric Corp. | | 225,100 | 4,750,643 |
| | | 129,477,667 |
IT Services - 0.7% | | | |
ALTEN | | 5,700 | 835,988 |
Biprogy, Inc. | | 10,100 | 312,189 |
Capgemini SA | | 203,910 | 49,599,857 |
Fujitsu Ltd. | | 224,240 | 35,042,600 |
Globant SA (c) | | 9,300 | 2,075,481 |
Infosys Ltd. | | 160,555 | 3,231,916 |
Mitsubishi Research Institute, Inc. | | 4,400 | 147,919 |
NEC Corp. | | 35,700 | 2,402,701 |
Nomura Research Institute Ltd. | | 593,200 | 16,634,290 |
NTT Data Corp. | | 690,000 | 11,204,676 |
OBIC Co. Ltd. | | 1,100 | 171,875 |
Otsuka Corp. | | 4,300 | 188,727 |
SCSK Corp. | | 66,900 | 1,231,617 |
SHIFT, Inc. (c) | | 6,600 | 1,214,168 |
Shopify, Inc. Class A (c) | | 88,342 | 6,746,679 |
Simplex Holdings, Inc. | | 64,200 | 1,093,267 |
Softcat PLC | | 62,003 | 1,148,951 |
Tata Consultancy Services Ltd. | | 66,844 | 3,302,164 |
TIS, Inc. | | 137,400 | 3,093,150 |
Wix.com Ltd. (c) | | 19,477 | 2,730,286 |
| | | 142,408,501 |
Semiconductors & Semiconductor Equipment - 2.8% | | | |
Advantest Corp. | | 67,104 | 3,158,981 |
Alchip Technologies Ltd. | | 18,000 | 2,354,428 |
Analog Devices, Inc. | | 73,341 | 14,068,271 |
ASML Holding NV: | | | |
(depository receipt) | | 15,312 | 14,572,124 |
(Netherlands) | | 177,786 | 168,719,256 |
ASMPT Ltd. | | 95,900 | 1,175,248 |
BE Semiconductor Industries NV | | 21,538 | 3,890,963 |
Broadcom, Inc. | | 13,719 | 17,841,422 |
Disco Corp. | | 87,500 | 28,166,689 |
Global Unichip Corp. | | 20,000 | 1,004,708 |
GlobalWafers Co. Ltd. | | 74,000 | 1,304,603 |
Infineon Technologies AG | | 1,238,096 | 44,454,584 |
Lasertec Corp. | | 25,500 | 6,795,124 |
MediaTek, Inc. | | 172,000 | 6,195,065 |
NXP Semiconductors NV | | 81,239 | 20,287,815 |
Parade Technologies Ltd. | | 27,000 | 865,849 |
Renesas Electronics Corp. | | 1,796,184 | 29,678,503 |
ROHM Co. Ltd. | | 204,800 | 3,473,212 |
Rorze Corp. | | 3,200 | 449,093 |
Screen Holdings Co. Ltd. | | 22,900 | 2,861,736 |
Shenzhen Sunmoon Microelectronics Co. Ltd. (A Shares) | | 103,573 | 425,032 |
Siltronic AG (b) | | 9,983 | 932,224 |
SK Hynix, Inc. | | 106,540 | 12,461,705 |
Socionext, Inc. | | 67,200 | 1,722,583 |
STMicroelectronics NV: | | | |
(depository receipt) (b) | | 121,015 | 5,520,704 |
(France) | | 69,634 | 3,161,892 |
(Italy) | | 13,902 | 631,438 |
Sumco Corp. | | 444,100 | 6,943,506 |
Taiwan Semiconductor Manufacturing Co. Ltd. | | 1,069,000 | 23,395,907 |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | | 443,905 | 57,117,256 |
Tokyo Electron Ltd. | | 246,625 | 61,189,860 |
| | | 544,819,781 |
Software - 1.4% | | | |
Cadence Design Systems, Inc. (c) | | 135,798 | 41,334,195 |
Check Point Software Technologies Ltd. (c) | | 115,657 | 18,553,696 |
Constellation Software, Inc. | | 5,961 | 16,595,795 |
Constellation Software, Inc. warrants 8/22/28 (c)(d) | | 6,340 | 0 |
CyberArk Software Ltd. (c) | | 3,118 | 822,404 |
Dassault Systemes SA | | 321,049 | 15,044,713 |
Fortnox AB | | 185,255 | 1,289,194 |
Kinaxis, Inc. (c) | | 10,565 | 1,095,151 |
Lightspeed Commerce, Inc. (b)(c) | | 66,815 | 938,083 |
Nemetschek SE | | 29,396 | 2,801,584 |
Neusoft Corp. Ltd. (A Shares) (c) | | 121,600 | 142,767 |
Newland Digital Technology Co. Ltd. (A Shares) | | 348,300 | 934,627 |
NICE Ltd. (c) | | 4,781 | 1,173,121 |
NICE Ltd. sponsored ADR (c) | | 36,997 | 9,069,815 |
OBIC Business Consultants Ltd. | | 20,000 | 953,842 |
Oracle Corp. Japan | | 12,800 | 979,296 |
Rakus Co. Ltd. | | 64,600 | 1,015,838 |
Sage Group PLC | | 396,200 | 6,224,034 |
Sansan, Inc. (c) | | 167,199 | 1,986,269 |
SAP SE | | 692,348 | 129,741,450 |
SAP SE sponsored ADR (b) | | 92,177 | 17,317,293 |
Technology One Ltd. | | 45,161 | 497,268 |
Temenos AG | | 8,144 | 610,558 |
Trend Micro, Inc. | | 18,400 | 911,409 |
WiseTech Global Ltd. | | 68,790 | 4,224,531 |
Xero Ltd. (c) | | 50,168 | 4,151,477 |
| | | 278,408,410 |
Technology Hardware, Storage & Peripherals - 1.0% | | | |
Brother Industries Ltd. | | 144,200 | 2,413,753 |
Canon, Inc. | | 629,200 | 18,369,853 |
FUJIFILM Holdings Corp. | | 328,400 | 20,860,147 |
Konica Minolta, Inc. (c) | | 502,900 | 1,656,766 |
Lenovo Group Ltd. | | 312,000 | 345,493 |
Logitech International SA (b) | | 28,122 | 2,469,674 |
Logitech International SA (Reg.) | | 138,548 | 12,216,852 |
Ricoh Co. Ltd. | | 286,500 | 2,379,219 |
Samsung Electronics Co. Ltd. (c) | | 2,202,111 | 121,037,241 |
Seiko Epson Corp. | | 215,000 | 3,471,952 |
Shenzhen Transsion Holdings Co. Ltd. (A Shares) | | 49,379 | 1,090,114 |
TPV Technology Co. Ltd. (A Shares) (c) | | 678,100 | 237,710 |
Wacom Co. Ltd. | | 128,700 | 539,112 |
| | | 187,087,886 |
TOTAL INFORMATION TECHNOLOGY | | | 1,293,646,135 |
MATERIALS - 3.3% | | | |
Chemicals - 1.6% | | | |
Air Liquide SA | | 167,888 | 34,123,707 |
Air Water, Inc. | | 26,400 | 380,451 |
Akzo Nobel NV | | 530,504 | 38,667,975 |
Arkema SA | | 20,137 | 2,084,127 |
Asahi Kasei Corp. | | 502,000 | 3,487,413 |
Asian Paints Ltd. | | 63,469 | 2,160,603 |
BASF AG | | 251,406 | 12,805,881 |
Covestro AG (a)(c) | | 102,117 | 5,551,513 |
Croda International PLC (b) | | 257,222 | 15,474,789 |
Denka Co. Ltd. | | 163,460 | 2,677,813 |
DSM-Firmenich AG | | 13,131 | 1,405,007 |
Givaudan SA | | 1,935 | 8,111,093 |
Icl Group Ltd. | | 34,536 | 182,590 |
Icl Group Ltd. (b) | | 19,996 | 107,179 |
Johnson Matthey PLC | | 185,068 | 3,601,119 |
K+S AG | | 215,900 | 3,010,147 |
Kansai Paint Co. Ltd. | | 207,000 | 2,996,198 |
Lanxess AG (b) | | 480,282 | 12,120,723 |
Linde PLC | | 43,647 | 19,589,647 |
Linde PLC (b) | | 78,176 | 34,916,576 |
Methanex Corp. | | 35,280 | 1,577,936 |
Nitto Denko Corp. | | 170,400 | 15,628,335 |
NOF Corp. | | 45,200 | 2,028,754 |
Novozymes A/S Series B | | 207,955 | 11,723,759 |
PhosAgro PJSC (c)(d) | | 3,751 | 235 |
Shin-Etsu Chemical Co. Ltd. | | 410,700 | 17,526,362 |
Shin-Etsu Chemical Co. Ltd. ADR | | 3,801 | 80,771 |
Sika AG | | 109,267 | 31,601,812 |
Symrise AG | | 179,609 | 18,356,120 |
Umicore SA | | 150,098 | 3,141,156 |
| | | 305,119,791 |
Construction Materials - 0.4% | | | |
CRH PLC (b) | | 136,105 | 11,475,013 |
CRH PLC | | 323,653 | 26,857,892 |
HeidelbergCement AG | | 145,600 | 14,115,594 |
Holcim AG | | 251,692 | 20,520,148 |
| | | 72,968,647 |
Containers & Packaging - 0.2% | | | |
Amcor PLC CDI | | 185,080 | 1,644,528 |
CCL Industries, Inc. Class B | | 123,600 | 6,300,444 |
Orora Ltd. | | 429,342 | 747,914 |
Sig Group AG | | 114,468 | 2,265,155 |
Smurfit Kappa Group PLC | | 562,968 | 23,991,413 |
| | | 34,949,454 |
Metals & Mining - 1.1% | | | |
Agnico Eagle Mines Ltd. (Canada) (b) | | 121,848 | 5,843,928 |
Anglo American PLC (United Kingdom) | | 375,588 | 8,092,784 |
Antofagasta PLC | | 306,927 | 7,041,612 |
ArcelorMittal SA | | 38,277 | 998,253 |
ArcelorMittal SA: | | | |
(Netherlands) | | 703,195 | 18,331,517 |
sponsored GDR (depository receipt) Class A (b) | | 77,251 | 2,014,706 |
Baoshan Iron & Steel Co. Ltd. (A Shares) | | 274,500 | 254,695 |
Barrick Gold Corp. (Canada) | | 67,395 | 982,756 |
BHP Group Ltd. | | 735,360 | 21,080,069 |
BHP Group Ltd.: | | | |
(London) | | 229,282 | 6,568,447 |
sponsored ADR (b) | | 52,100 | 2,987,414 |
First Quantum Minerals Ltd. | | 102,099 | 966,711 |
Franco-Nevada Corp. | | 244,030 | 25,549,293 |
Glencore PLC | | 8,640,922 | 41,080,091 |
IGO Ltd. (b) | | 589,418 | 3,041,986 |
JFE Holdings, Inc. | | 425,900 | 6,974,283 |
Jiangxi Copper Co. Ltd. (A Shares) | | 116,100 | 316,388 |
Mitsui Mining & Smelting Co. Ltd. | | 74,800 | 2,201,291 |
Nippon Light Metal Holding Co. Ltd. | | 48,400 | 557,866 |
Nippon Steel & Sumitomo Metal Corp. (b) | | 511,300 | 12,669,954 |
Pilbara Minerals Ltd. (b) | | 1,934,636 | 5,281,556 |
Rio Tinto Ltd. | | 51,300 | 4,127,444 |
Rio Tinto PLC | | 400,292 | 25,678,880 |
South32 Ltd. | | 1,553,267 | 2,975,559 |
Tokyo Steel Manufacturing Co. Ltd. | | 161,900 | 1,801,289 |
Voestalpine AG | | 3,798 | 103,607 |
Wheaton Precious Metals Corp. | | 193,755 | 7,984,907 |
| | | 215,507,286 |
Paper & Forest Products - 0.0% | | | |
Stora Enso Oyj (R Shares) | | 408,554 | 5,157,481 |
Svenska Cellulosa AB SCA (B Shares) | | 380,239 | 5,379,114 |
| | | 10,536,595 |
TOTAL MATERIALS | | | 639,081,773 |
REAL ESTATE - 0.5% | | | |
Equity Real Estate Investment Trusts (REITs) - 0.2% | | | |
Goodman Group unit | | 642,368 | 12,484,422 |
Great Portland Estates PLC | | 465,980 | 2,121,073 |
Klepierre SA | | 114,329 | 2,901,348 |
Link (REIT) | | 1,360,000 | 6,765,694 |
National Storage REIT unit | | 2,950,000 | 4,333,550 |
Scentre Group unit | | 2,965,847 | 5,995,460 |
Segro PLC | | 773,226 | 8,251,469 |
Stockland Corp. Ltd. unit | | 770,043 | 2,247,370 |
Warehouses de Pauw | | 161,500 | 4,307,874 |
| | | 49,408,260 |
Real Estate Management & Development - 0.3% | | | |
CK Asset Holdings Ltd. | | 2,245,600 | 10,368,279 |
LEG Immobilien AG (c) | | 177,238 | 13,029,832 |
Mitsubishi Estate Co. Ltd. | | 294,200 | 4,514,455 |
Mitsui Fudosan Co. Ltd. | | 559,700 | 15,161,031 |
TAG Immobilien AG (c) | | 105,250 | 1,284,285 |
Vonovia SE | | 232,306 | 6,483,466 |
| | | 50,841,348 |
TOTAL REAL ESTATE | | | 100,249,608 |
UTILITIES - 1.2% | | | |
Electric Utilities - 0.4% | | | |
Chubu Electric Power Co., Inc. | | 66,200 | 824,188 |
CLP Holdings Ltd. | | 542,500 | 4,521,122 |
Enel SpA | | 4,571,500 | 29,088,696 |
Iberdrola SA (b) | | 1,899,887 | 21,820,501 |
Kansai Electric Power Co., Inc. | | 1,282,800 | 16,432,880 |
SSE PLC | | 398,460 | 8,189,312 |
Tokyo Electric Power Co., Inc. (c) | | 454,400 | 2,455,069 |
| | | 83,331,768 |
Gas Utilities - 0.1% | | | |
APA Group unit | | 517,648 | 2,641,299 |
Beijing Enterprises Holdings Ltd. | | 493,500 | 1,859,410 |
China Resource Gas Group Ltd. | | 913,200 | 2,764,268 |
Osaka Gas Co. Ltd. | | 130,400 | 2,604,173 |
Tokyo Gas Co. Ltd. | | 324,900 | 7,106,104 |
| | | 16,975,254 |
Independent Power and Renewable Electricity Producers - 0.2% | | | |
EF-ON, Inc. | | 72,200 | 197,934 |
Electric Power Development Co. Ltd. | | 466,000 | 7,652,695 |
RWE AG | | 754,843 | 25,285,249 |
| | | 33,135,878 |
Multi-Utilities - 0.5% | | | |
E.ON SE | | 1,476,701 | 18,848,978 |
Engie SA | | 2,187,542 | 35,102,170 |
National Grid PLC | | 1,514,615 | 19,818,765 |
Veolia Environnement SA | | 563,476 | 17,466,826 |
| | | 91,236,739 |
TOTAL UTILITIES | | | 224,679,639 |
TOTAL COMMON STOCKS (Cost $6,826,064,721) | | | 9,040,794,260 |
| | | |
Nonconvertible Preferred Stocks - 0.4% |
| | Shares | Value ($) |
CONSUMER DISCRETIONARY - 0.2% | | | |
Automobiles - 0.2% | | | |
Bayerische Motoren Werke AG (BMW) (non-vtg.) | | 100,992 | 11,057,113 |
Dr. Ing. h.c. F. Porsche AG Series F (a) | | 70,201 | 6,550,896 |
Volkswagen AG | | 107,694 | 14,624,927 |
| | | 32,232,936 |
CONSUMER STAPLES - 0.0% | | | |
Household Products - 0.0% | | | |
Henkel AG & Co. KGaA | | 121,421 | 9,134,967 |
ENERGY - 0.2% | | | |
Oil, Gas & Consumable Fuels - 0.2% | | | |
Petroleo Brasileiro SA - Petrobras: | | | |
(PN) (non-vtg.) | | 1,855,000 | 14,978,516 |
(PN) sponsored ADR (non-vtg.) | | 562,553 | 9,096,482 |
sponsored ADR | | 523,769 | 8,652,664 |
| | | 32,727,662 |
FINANCIALS - 0.0% | | | |
Banks - 0.0% | | | |
Banco Bradesco SA (PN) sponsored ADR | | 2,075,367 | 5,769,520 |
Insurance - 0.0% | | | |
Samsung Fire & Marine Insurance Co. Ltd. | | 34 | 5,792 |
TOTAL FINANCIALS | | | 5,775,312 |
TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $61,554,033) | | | 79,870,877 |
| | | |
Equity Funds - 50.4% |
| | Shares | Value ($) |
Diversified Emerging Markets Funds - 0.0% | | | |
Matthews Pacific Tiger Fund Investor Class | | 19,976 | 363,360 |
Europe Stock Funds - 1.7% | | | |
iShares MSCI EMU Index ETF (b) | | 6,120,185 | 300,195,074 |
WisdomTree Europe Hedged Equity ETF (b) | | 419,228 | 19,418,641 |
TOTAL EUROPE STOCK FUNDS | | | 319,613,715 |
Foreign Large Blend Funds - 14.8% | | | |
Artisan International Value Fund Investor Class | | 18,661,936 | 871,512,423 |
Fidelity SAI International Index Fund (f) | | 27,211,460 | 378,783,520 |
Fidelity SAI International Low Volatility Index Fund (f) | | 86,991,376 | 957,775,040 |
Harbor International Fund Institutional Class | | 9,619 | 433,829 |
JPMorgan International Research Enhanced Equity ETF (b) | | 7,038,860 | 425,851,030 |
Morgan Stanley Institutional Fund, Inc. International Equity Portfolio Class I | | 16,903,195 | 231,404,735 |
TOTAL FOREIGN LARGE BLEND FUNDS | | | 2,865,760,577 |
Foreign Large Growth Funds - 16.5% | | | |
American Funds EuroPacific Growth Fund Class F2 (c) | | 156,787 | 8,864,746 |
Fidelity Advisor International Discovery Fund Class Z (f) | | 18,555,371 | 871,545,791 |
Fidelity Diversified International Fund (f) | | 12,123,132 | 521,415,928 |
Fidelity Overseas Fund (f) | | 11,591,392 | 732,112,346 |
Fidelity SAI International Momentum Index Fund (f) | | 10,302,846 | 141,355,041 |
Fidelity SAI International Quality Index Fund (f) | | 15,152,441 | 192,739,045 |
Invesco Oppenheimer International Growth Fund Class A | | 665,519 | 24,404,572 |
JOHCM International Select Fund Investor Shares | | 14,448,928 | 356,021,591 |
WCM Focused International Growth Fund Investor Class | | 14,366,487 | 352,840,915 |
TOTAL FOREIGN LARGE GROWTH FUNDS | | | 3,201,299,975 |
Foreign Large Value Funds - 9.1% | | | |
Fidelity SAI International Value Index Fund (f) | | 57,999,459 | 544,614,922 |
iShares MSCI EAFE Value ETF (b) | | 8,200,898 | 427,676,831 |
Oakmark International Fund Investor Class | | 20,744,270 | 541,425,436 |
Pear Tree Polaris Foreign Value Fund Institutional Shares | | 10,832,820 | 249,696,492 |
TOTAL FOREIGN LARGE VALUE FUNDS | | | 1,763,413,681 |
Foreign Small Mid Blend Funds - 1.0% | | | |
Fidelity Advisor International Small Cap Fund Class Z (f) | | 1,106,358 | 34,894,545 |
Fidelity SAI International Small Cap Index Fund (f) | | 11,809,002 | 96,125,276 |
Victory Trivalent International Small-Cap Fund Class I | | 4,448,768 | 65,174,455 |
TOTAL FOREIGN SMALL MID BLEND FUNDS | | | 196,194,276 |
Foreign Small Mid Growth Funds - 0.5% | | | |
Fidelity Advisor International Small Cap Opportunities Fund Class Z (f) | | 2,559,228 | 51,133,370 |
Oberweis International Opportunities Institutional Fund | | 1,417,377 | 12,359,528 |
T. Rowe Price International Discovery Fund | | 671,798 | 42,424,073 |
Wasatch International Growth Fund Investor Class (c) | | 110 | 2,585 |
TOTAL FOREIGN SMALL MID GROWTH FUNDS | | | 105,919,556 |
Foreign Small Mid Value Funds - 0.5% | | | |
Brandes International Small Cap Equity Fund Class A | | 1,339,003 | 20,700,989 |
Oakmark International Small Cap Fund Investor Class | | 950,743 | 18,225,749 |
Transamerica International Small Cap Value Fund Class I | | 4,315,823 | 62,536,276 |
TOTAL FOREIGN SMALL MID VALUE FUNDS | | | 101,463,014 |
Other - 6.3% | | | |
Fidelity Advisor Japan Fund Class Z (f) | | 15,545,049 | 256,648,758 |
Fidelity Japan Smaller Companies Fund (f) | | 5,697,781 | 88,315,611 |
Fidelity SAI Japan Stock Index Fund (f) | | 56,117,350 | 567,907,585 |
iShares MSCI Australia ETF (b) | | 10,001,860 | 239,244,491 |
Matthews Japan Fund Investor Class (c) | | 237 | 4,558 |
WisdomTree Japan Hedged Equity ETF (b) | | 465,136 | 48,029,943 |
WisdomTree Japan SmallCap Dividend ETF | | 276,379 | 20,986,038 |
TOTAL OTHER | | | 1,221,136,984 |
TOTAL EQUITY FUNDS (Cost $7,669,854,012) | | | 9,775,165,138 |
| | | |
U.S. Treasury Obligations - 0.2% |
| | Principal Amount (g) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.26% to 5.3% 3/28/24 to 5/16/24 (h) (Cost $32,893,612) | | 33,220,000 | 32,891,601 |
| | | |
Money Market Funds - 4.4% |
| | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (i) | | 23,052,071 | 23,056,682 |
Fidelity Securities Lending Cash Central Fund 5.39% (i)(j) | | 445,324,211 | 445,368,743 |
State Street Institutional U.S. Government Money Market Fund Premier Class 5.28% (k) | | 393,218,822 | 393,218,822 |
TOTAL MONEY MARKET FUNDS (Cost $861,644,247) | | | 861,644,247 |
| | | |
TOTAL INVESTMENT IN SECURITIES - 102.1% (Cost $15,452,010,625) | 19,790,366,123 |
NET OTHER ASSETS (LIABILITIES) - (2.1)% | (410,360,163) |
NET ASSETS - 100.0% | 19,380,005,960 |
| |
Futures Contracts |
| Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
Purchased | | | | | |
| | | | | |
Equity Index Contracts | | | | | |
CME Nikkei 225 Index Contracts (United States) | 222 | Mar 2024 | 43,628,550 | 6,964,349 | 6,964,349 |
ICE MSCI EAFE Index Contracts (United States) | 2,052 | Mar 2024 | 234,738,540 | 9,507,852 | 9,507,852 |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | 16,472,201 |
The notional amount of futures purchased as a percentage of Net Assets is 1.4% |
Security Type Abbreviations
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 $165,091,382 or 0.9% of net assets. |
(b) | Security or a portion of the security is on loan at period end. |
(e) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(g) | Amount is stated in United States dollars unless otherwise noted. |
(h) | 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 $8,855,995. |
(i) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(j) | Investment made with cash collateral received from securities on loan. |
(k) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.39% | - | 664,518,572 | 641,461,890 | 259,117 | - | - | 23,056,682 | 0.0% |
Fidelity Securities Lending Cash Central Fund 5.39% | 189,895,696 | 2,973,270,187 | 2,717,797,140 | 1,765,252 | - | - | 445,368,743 | 1.4% |
Total | 189,895,696 | 3,637,788,759 | 3,359,259,030 | 2,024,369 | - | - | 468,425,425 | |
| | | | | | | | |
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 International Discovery Fund Class Z | 762,223,228 | 16,279,799 | 20,000,000 | 16,279,793 | 5,990,482 | 107,052,282 | 871,545,791 |
Fidelity Advisor International Small Cap Fund Class Z | 36,356,224 | 680,826 | 5,311,313 | 680,826 | 621,127 | 2,547,681 | 34,894,545 |
Fidelity Advisor International Small Cap Opportunities Fund Class Z | 53,586,840 | 1,897,152 | 7,784,029 | 1,897,151 | (476,083) | 3,909,490 | 51,133,370 |
Fidelity Advisor Japan Fund Class Z | 53,625,692 | 184,289,629 | - | 9,289,628 | - | 18,733,437 | 256,648,758 |
Fidelity Diversified International Fund | 463,248,691 | 20,434,799 | 18,000,000 | 20,434,798 | 5,922,781 | 49,809,657 | 521,415,928 |
Fidelity Japan Smaller Companies Fund | 95,282,551 | 2,352,136 | 21,000,000 | 2,352,136 | (310,217) | 11,991,141 | 88,315,611 |
Fidelity Overseas Fund | 605,809,736 | 41,732,206 | 20,000,000 | 6,732,206 | (3,622,385) | 108,192,789 | 732,112,346 |
Fidelity SAI International Index Fund | 3,779,269 | 384,759,689 | 34,500,000 | 6,529,092 | 133,514 | 24,611,048 | 378,783,520 |
Fidelity SAI International Low Volatility Index Fund | 587,804,624 | 295,028,762 | - | 21,028,770 | - | 74,941,654 | 957,775,040 |
Fidelity SAI International Momentum Index Fund | 115,734,605 | 4,368,657 | - | 4,368,658 | - | 21,251,779 | 141,355,041 |
Fidelity SAI International Quality Index Fund | 2,597,246 | 184,074,173 | - | 74,173 | - | 6,067,626 | 192,739,045 |
Fidelity SAI International Small Cap Index Fund | 105,356,169 | 2,951,650 | 15,238,711 | 2,951,651 | (4,429,164) | 7,485,332 | 96,125,276 |
Fidelity SAI International Value Index Fund | 562,494,302 | 91,394,539 | 137,000,000 | 26,394,539 | (12,010,521) | 39,736,602 | 544,614,922 |
Fidelity SAI Japan Stock Index Fund | 813,934,192 | 120,762,858 | 491,000,000 | 22,762,858 | (64,285,785) | 188,496,320 | 567,907,585 |
| 4,261,833,369 | 1,351,006,875 | 769,834,053 | 141,776,279 | (72,466,251) | 664,826,838 | 5,435,366,778 |
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 February 29, 2024, 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 ($) |
Investments in Securities: | | | | |
|
Equities: | | | | |
Communication Services | 300,145,461 | 100,265,605 | 199,879,856 | - |
Consumer Discretionary | 950,460,210 | 476,554,111 | 473,906,099 | - |
Consumer Staples | 780,956,790 | 334,849,925 | 446,106,865 | - |
Energy | 529,215,711 | 171,149,132 | 357,585,525 | 481,054 |
Financials | 1,657,548,888 | 823,491,467 | 834,046,082 | 11,339 |
Health Care | 1,023,301,497 | 299,958,731 | 723,342,766 | - |
Industrials | 1,621,379,425 | 964,371,017 | 657,008,408 | - |
Information Technology | 1,293,646,135 | 666,100,247 | 627,545,888 | - |
Materials | 639,081,773 | 402,307,262 | 236,774,276 | 235 |
Real Estate | 100,249,608 | 93,766,142 | 6,483,466 | - |
Utilities | 224,679,639 | 67,908,120 | 156,771,519 | - |
|
Equity Funds | 9,775,165,138 | 9,775,165,138 | - | - |
|
Other Short-Term Investments | 32,891,601 | - | 32,891,601 | - |
|
Money Market Funds | 861,644,247 | 861,644,247 | - | - |
Total Investments in Securities: | 19,790,366,123 | 15,037,531,144 | 4,752,342,351 | 492,628 |
Derivative Instruments: Assets | | | | |
Futures Contracts | 16,472,201 | 16,472,201 | - | - |
Total Assets | 16,472,201 | 16,472,201 | - | - |
Total Derivative Instruments: | 16,472,201 | 16,472,201 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
Equity Risk | | |
Futures Contracts (a) | 16,472,201 | 0 |
Total Equity Risk | 16,472,201 | 0 |
Total Value of Derivatives | 16,472,201 | 0 |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
Statement of Assets and Liabilities |
| | | | February 29, 2024 |
| | | | |
Assets | | | | |
Investment in securities, at value (including securities loaned of $432,186,139) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $10,497,670,339) | $ | 13,886,573,920 | | |
Fidelity Central Funds (cost $468,425,425) | | 468,425,425 | | |
Other affiliated issuers (cost $4,485,914,861) | | 5,435,366,778 | | |
| | | | |
| | | | |
Total Investment in Securities (cost $15,452,010,625) | | | $ | 19,790,366,123 |
Cash | | | | 304,980 |
Foreign currency held at value (cost $5,265,640) | | | | 5,264,623 |
Receivable for investments sold | | | | 26,895,015 |
Receivable for fund shares sold | | | | 22,640,878 |
Dividends receivable | | | | 11,708,356 |
Reclaims receivable | | | | 26,866,531 |
Interest receivable | | | | 3,783,414 |
Distributions receivable from Fidelity Central Funds | | | | 249,110 |
Receivable for daily variation margin on futures contracts | | | | 770,409 |
Other receivables | | | | 272,193 |
Total assets | | | | 19,889,121,632 |
Liabilities | | | | |
Payable for investments purchased | | | | |
Regular delivery | $ | 41,566,341 | | |
Delayed delivery | | 962,734 | | |
Payable for fund shares redeemed | | 17,379,594 | | |
Accrued management fee | | 2,183,647 | | |
Other payables and accrued expenses | | 1,573,464 | | |
Collateral on securities loaned | | 445,449,892 | | |
Total Liabilities | | | | 509,115,672 |
Net Assets | | | $ | 19,380,005,960 |
Net Assets consist of: | | | | |
Paid in capital | | | $ | 15,226,283,896 |
Total accumulated earnings (loss) | | | | 4,153,722,064 |
Net Assets | | | $ | 19,380,005,960 |
Net Asset Value, offering price and redemption price per share ($19,380,005,960 ÷ 1,647,742,798 shares) | | | $ | 11.76 |
Statement of Operations |
| | | | Year ended February 29, 2024 |
Investment Income | | | | |
Dividends: | | | | |
Unaffiliated issuers | | | $ | 322,469,949 |
Affiliated issuers | | | | 120,678,391 |
Interest | | | | 35,490,468 |
Income from Fidelity Central Funds (including $1,765,252 from security lending) | | | | 2,024,369 |
Income before foreign taxes withheld | | | $ | 480,663,177 |
Less foreign taxes withheld | | | | (21,099,293) |
Total Income | | | | 459,563,884 |
Expenses | | | | |
Management fee | $ | 66,336,693 | | |
Custodian fees and expenses | | 596,964 | | |
Independent trustees' fees and expenses | | 96,062 | | |
Registration fees | | 215,188 | | |
Audit | | 169,123 | | |
Legal | | 18,104 | | |
Miscellaneous | | 177,888 | | |
Total expenses before reductions | | 67,610,022 | | |
Expense reductions | | (41,229,932) | | |
Total expenses after reductions | | | | 26,380,090 |
Net Investment income (loss) | | | | 433,183,794 |
Realized and Unrealized Gain (Loss) | | | | |
Net realized gain (loss) on: | | | | |
Investment Securities: | | | | |
Unaffiliated issuers (net of foreign taxes of $248,069) | | 233,884,331 | | |
Affiliated issuers | | (72,466,251) | | |
Foreign currency transactions | | (1,211,533) | | |
Futures contracts | | 98,357,366 | | |
Capital gain distributions from underlying funds: | | | | |
Unaffiliated issuers | | 25,160,752 | | |
Affiliated issuers | | 21,097,888 | | |
Total net realized gain (loss) | | | | 304,822,553 |
Change in net unrealized appreciation (depreciation) on: | | | | |
Investment Securities: | | | | |
Unaffiliated issuers (net of increase in deferred foreign taxes of $643,504) | | 969,280,140 | | |
Affiliated issuers | | 664,826,838 | | |
Assets and liabilities in foreign currencies | | 349,892 | | |
Futures contracts | | 14,237,394 | | |
Total change in net unrealized appreciation (depreciation) | | | | 1,648,694,264 |
Net gain (loss) | | | | 1,953,516,817 |
Net increase (decrease) in net assets resulting from operations | | | $ | 2,386,700,611 |
Statement of Changes in Net Assets |
|
| | Year ended February 29, 2024 | | Year ended February 28, 2023 |
Increase (Decrease) in Net Assets | | | | |
Operations | | | | |
Net investment income (loss) | $ | 433,183,794 | $ | 372,948,535 |
Net realized gain (loss) | | 304,822,553 | | (429,459,615) |
Change in net unrealized appreciation (depreciation) | | 1,648,694,264 | | (1,501,788,025) |
Net increase (decrease) in net assets resulting from operations | | 2,386,700,611 | | (1,558,299,105) |
Distributions to shareholders | | (428,173,704) | | (767,544,263) |
| | | | |
Share transactions | | | | |
Proceeds from sales of shares | | 4,276,689,073 | | 2,127,444,820 |
Reinvestment of distributions | | 371,761,231 | | 701,384,533 |
Cost of shares redeemed | | (2,773,852,087) | | (7,614,587,352) |
| | | | |
Net increase (decrease) in net assets resulting from share transactions | | 1,874,598,217 | | (4,785,757,999) |
Total increase (decrease) in net assets | | 3,833,125,124 | | (7,111,601,367) |
| | | | |
Net Assets | | | | |
Beginning of period | | 15,546,880,836 | | 22,658,482,203 |
End of period | $ | 19,380,005,960 | $ | 15,546,880,836 |
| | | | |
Other Information | | | | |
Shares | | | | |
Sold | | 384,330,227 | | 206,337,946 |
Issued in reinvestment of distributions | | 32,439,898 | | 66,242,351 |
Redeemed | | (251,991,459) | | (750,797,416) |
Net increase (decrease) | | 164,778,666 | | (478,217,119) |
| | | | |
Financial Highlights
Strategic Advisers® International Fund |
|
Years ended February 28, | | 2024 A | | 2023 | | 2022 | | 2021 | | 2020 A |
Selected Per-Share Data | | | | | | | | | | |
Net asset value, beginning of period | $ | 10.48 | $ | 11.55 | $ | 12.55 | $ | 9.93 | $ | 10.03 |
Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) B,C | | .29 | | .22 | | .24 | | .13 | | .20 |
Net realized and unrealized gain (loss) | | 1.27 | | (.83) | | (.12) | | 2.71 | | .06 |
Total from investment operations | | 1.56 | | (.61) | | .12 | | 2.84 | | .26 |
Distributions from net investment income | | (.28) | | (.23) | | (.26) | | (.14) | | (.22) |
Distributions from net realized gain | | - | | (.22) | | (.86) | | (.08) | | (.14) |
Total distributions | | (.28) | | (.46) D | | (1.12) | | (.22) | | (.36) |
Net asset value, end of period | $ | 11.76 | $ | 10.48 | $ | 11.55 | $ | 12.55 | $ | 9.93 |
Total Return E | | 14.97% | | (5.30)% | | .30% | | 28.99% | | 2.35% |
Ratios to Average Net Assets C,F,G | | | | | | | | | | |
Expenses before reductions | | .41% | | .41% | | .41% | | .43% | | .44% |
Expenses net of fee waivers, if any | | .16% | | .16% | | .16% | | .18% | | .19% |
Expenses net of all reductions | | .16% | | .16% | | .16% | | .18% | | .19% |
Net investment income (loss) | | 2.66% | | 2.16% | | 1.83% | | 1.25% | | 1.91% |
Supplemental Data | | | | | | | | | | |
Net assets, end of period (000 omitted) | $ | 19,380,006 | $ | 15,546,881 | $ | 22,658,482 | $ | 19,800,311 | $ | 15,096,568 |
Portfolio turnover rate H | | 27% | | 25% | | 29% | | 41% | | 33% |
AFor the year ended February 29.
BCalculated based on average shares outstanding during the period.
CNet 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.
DTotal distributions per share do not sum due to rounding.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees 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.
GExpense 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.
HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended February 29, 2024
1. Organization.
Strategic Advisers International 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. 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 February 29, 2024 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 reclaims receivable. The Fund has filed tax reclaims for previously withheld taxes on dividends earned in certain European Union (EU) countries. These additional filings are subject to various administrative proceedings by the local jurisdictions' tax authorities within the EU, as well as a number of related judicial proceedings. Income recognized for EU reclaims is included with other reclaims in the Statement of Operations in foreign taxes withheld. These reclaims are recorded when the amount is known and there are no significant uncertainties on collectability.
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 International Fund | $244,556 |
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 February 29, 2024, 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, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), deferred Trustee compensation, capital loss carryforwards and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $4,613,743,192 |
Gross unrealized depreciation | (395,641,191) |
Net unrealized appreciation (depreciation) | $4,218,102,001 |
Tax Cost | $15,572,264,122 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $31,524,862 |
Capital loss carryforward | $(94,393,973) |
Net unrealized appreciation (depreciation) on securities and other investments | $4,217,644,198 |
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.
The tax character of distributions paid was as follows:
| February 29, 2024 | February 28, 2023 |
Ordinary Income | $428,173,704 | $345,097,221 |
Long-term Capital Gains | - | 422,447,042 |
Total | $428,173,704 | $767,544,263 |
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):
| |
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 International Fund | 6,429,874,498 | 4,224,172,223 |
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 .41% 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. Arrowstreet Capital, Limited Partnership, Causeway Capital Management, LLC, FIAM LLC (an affiliate of the investment adviser), Massachusetts Financial Services Company (MFS), Thompson, Siegel & Walmsley LLC, T. Rowe Price Associates, Inc., Wellington Management Company LLP and William Blair Investment 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 and Geode Capital Management, LLC, have been retained to serve as a sub-adviser for the Fund. As of the date of this report, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Effective March 7, 2024, the Fund's sub-subadvisory agreement with FIL Investment Advisors (FIA) and FIL Investment Advisors (UK) Limited (FIA(UK)) will be amended. Pursuant to the sub-subadvisory agreement, FIA may receive from the sub-subadviser investment research and advice on issuers outside the United States (non-discretionary services) and FIA may grant the sub-subadviser investment management authority and the authority to buy and sell securities if FIA believes it would be beneficial to the Fund (discretionary services). FIA, not the Fund, pays FIA(UK). For providing non-discretionary services, FIA will pay FIA(UK) a fee equal to 110% of FIA(UK)'s costs incurred in connection with providing such services. For providing discretionary services, FIA will pay FIA(UK) a fee equal to a percentage of the Fund's monthly average net assets managed by FIA(UK) on a discretionary basis. The fee rate will be based on the monthly average net assets managed by FIA(UK) on behalf of FIA pursuant to sub-advisory arrangements less any assets managed by FIA(UK) on behalf of FIA on which a reduction is applicable to the fee paid to FIA(UK) (Average Group Assets). The fee rate will be calculated on a cumulative basis pursuant to the following graduated fee rate schedule. FIA(UK)'s fee will not exceed 50% of the fee that FIA receives from Strategic Advisers for services provided on behalf of the Fund.
Average Group Assets | Annualized Fee Rate |
From $0 - $500 million | .32% |
$500 million - $1 billion | .27% |
Over $1 billion | .24% |
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 International Fund | $133 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
| Purchases ($) | Sales ($) | Realized Gain (Loss) ($) |
Strategic Advisers International Fund | 15,136,227 | 2,305,190 | (105,782) |
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
| Amount ($) |
Strategic Advisers International Fund | 64,513 |
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 RatioA |
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 International Fund | $27,909 |
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 International Fund | $191,036 | $- | $- |
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, 2026. During the period, this waiver reduced the Fund's management fee by $40,834,659. Expense reductions also include certain voluntary fee discount arrangements, which are currently in effect for the Fund. During the period, these voluntary arrangements amounted to $381,400.
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 $13,873.
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 International Fund |
Fidelity Japan Fund | 38% |
Fidelity Japan Smaller Companies Fund | 19% |
Fidelity SAI International Low Volatility Index Fund | 13% |
Fidelity SAI International Momentum Index Fund | 19% |
Fidelity SAI International Quality Index Fund | 37% |
Fidelity SAI International Small Cap Index Fund | 13% |
Fidelity SAI International Value Index Fund | 11% |
Fidelity SAI Japan Stock Index Fund | 87% |
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 International Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Strategic Advisers International Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 29, 2024, the related statement of operations for the year ended February 29, 2024, the statement of changes in net assets for each of the two years in the period ended February 29, 2024, including the related notes, and the financial highlights for each of the five years in the period ended February 29, 2024 (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 February 29, 2024, 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 February 29, 2024 and the financial highlights for each of the five years in the period ended February 29, 2024 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 February 29, 2024 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
April 15, 2024
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
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. Nancy D. Prior 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.
Nancy D. Prior (1967)
Year of Election or Appointment: 2023
Trustee
Chair of the Board of Trustees
Ms. Prior also serves as Trustee of other funds. Ms. Prior serves as a Senior Adviser at Fidelity Investments (investment adviser firm, 2021-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2018-present) and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2018-present). Prior to her retirement, Ms. Prior held a variety of positions at Fidelity Investments (2002-2020), including President of Fixed Income (2014-2020),), President of Multi-Asset Class Strategies (2017-2018), President of Money Markets and Short Duration Bonds (2013-2014), and President of Money Markets (2011-2013). Ms. Prior also served as President (2016-2019) and Director (2014-2019) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), Vice Chairman of FIAM LLC (investment adviser firm, 2014-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), Vice President of Global Asset Allocation Funds (2017-2019), Vice President of Fidelity's Bond Funds (2014-2020), and Vice President of Fidelity's Money Market Funds (2012-2020).
* 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+
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 Emerita (2024-present) and past Chair (2014-2023) and Chief Executive Officer (2013-2023) 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), and Member of the Ron Burton Training Village Executive Board of Advisors (2017-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Overseer of the Boston Symphony Orchestra (2014-2023), Member of the Board of Directors (2016-2023), Member of the Executive Committee (2019-2023) and Secretary (2022-2023) of The Advertising Council, Inc., Member of the Board of Directors of The Ad Club of Boston (2020-2023), 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).
Harold Singleton III (1962)
Year of Election or Appointment: 2023
Trustee
Mr. Singleton also serves as Trustee of other funds. Mr. Singleton is a member of the Board of Directors of Hershey Trust Company (2023-present). Previously, Mr. Singleton served as a member of the Board of Directors and Chair of the Audit Committee of WisdomTree, Inc. (global investment manager, 2022-2023). He also served as Vice President, Managing Director/Head of Manager Selection and Portfolio Construction (2016-2022) and Vice President/Head of Client Portfolio Management (2014-2016) of Lincoln Financial Group (insurance and retirement services). Mr. Singleton also served as a member of the Board of Directors and Investment Committee of The Vantagepoint Funds (2013-2014). Mr. Singleton served in various capacities at PineBridge Investments (global investment manager), including Managing Director, Head of Asset Management Companies and Global Head of Retail and Intermediary Sales (2010-2012), Managing Director, Global Head of Equity and Fixed Income Product Specialists (2009-2010) and Managing Director, Equity Product Specialist (Client Portfolio Manager) (2007-2010). He also served as Chairman of the Board of Directors of PineBridge East Africa (2011-2012) and PineBridge Taiwan (2011-2012). Mr. Singleton formerly served in various equity portfolio management and analyst positions, including at UBS Global Asset Management (2003-2006), Metropolitan West Capital Management (2000-2003) and Brinson Partners (investment manager, 1996-2000). Mr. Singleton is a Life Trustee, member of the Executive Committee and Chair of the Investment Committee of the Board of Trustees of the Illinois Institute of Technology (2012-present) and Chair of the Investment Committee (2010-present) of the Executive Leadership Council (nonprofit).
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.
Name, Year of Birth; Principal Occupations+
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).
Heather Bonner (1977)
Year of Election or Appointment: 2023
President and Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner is a Senior Vice President (2022-present) and is an employee of Fidelity Investments (2022-present). Ms. Bonner serves as Senior Vice President, Vice President, Treasurer, or Director of certain Fidelity entities. Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown is a Vice President (2015-present) and is an employee of Fidelity Investments. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-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 is Head of Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments. Mr. Burke serves as President, Executive Vice President, or Director of certain Fidelity entities. 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 Fidelity entities. Ms. Carey is a Senior Vice President, Deputy General Counsel (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 is a Vice President (2006-present) and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer or Director 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 is a Senior Vice President (2017-present) and is an employee of Fidelity Investments. Ms. Del Prato serves as Vice President or Assistant Treasurer of certain Fidelity entities. Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020).
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 is a Senior Vice President of Asset Management Compliance (2009-present) and is an employee of Fidelity Investments. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-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 is a Vice President (2016-present) and is an employee of Fidelity Investments. Mr. Hogan serves as Assistant Treasurer of certain Fidelity entities. 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 is a Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments. 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 is a Vice President (2008-present) and is an employee of Fidelity Investments. Mr. Maher serves as Assistant Treasurer of certain Fidelity entities. Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as AML Officer of other funds. Mr. Segaloff is a Vice President (2022-present) and is an employee of Fidelity Investments. Mr. Segaloff serves as Anti Money Laundering Compliance Officer or Anti Money Laundering/Bank Secrecy Act Compliance Officer of certain Fidelity entities.
Stacie M. Smith (1974)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith is a Senior Vice President (2016-present) and is an employee of Fidelity Investments. Ms. Smith serves as Assistant Treasurer of certain Fidelity entities and has served in other fund officer roles.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann is a Vice President (2016-present) and is an employee of Fidelity Investments. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
+ The information includes principal occupation during the last five years.
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 (September 1, 2023 to February 29, 2024). |
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 September 1, 2023 | | Ending Account Value February 29, 2024 | | Expenses Paid During Period- C September 1, 2023 to February 29, 2024 |
| | | | | | | | | | |
Strategic Advisers® International Fund | | | | .16% | | | | | | |
Actual | | | | | | $ 1,000 | | $ 1,087.40 | | $ .83 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.07 | | $ .81 |
|
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/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund designates $3,408,586 of distributions paid during the fiscal year ended 2024 as qualifying to be taxed as section 163(j) interest dividends.
The fund designates 78.56% 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 amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are $0.2796 and $0.0243 for the dividend paid December 29th, 2023.
The fund will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers International Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with Arrowstreet Capital, Limited Partnership, Causeway Capital Management LLC, FIAM LLC, FIL Investment Advisors, Geode Capital Management, LLC, Massachusetts Financial Services Company, Thompson, Siegel & Walmsley, LLC, T. Rowe Price Associates, Inc. and William Blair Investment Management, LLC (William Blair) (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, and FIL Investment Advisors (UK) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2023 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved an amendment to lower the existing fee schedule to the Sub-Advisory Agreement with William Blair (Amendment). The Board also noted that no other contract terms are impacted by the Amendment.
In reaching its determination to renew the fund's Advisory Contracts and approve the Amendment, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts and approve the Amendment was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendment is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.
The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.
The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over different time periods, measured against an appropriate securities market index (benchmark index) and a peer group of mutual funds with similar objectives (peer group).
The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program. In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Strategic Advisers funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); and (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group").
The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for the 12-month period ended December 31, 2022 and below the competitive median of the asset size peer group for the 12-month period ended December 31, 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for the 12-month period ended December 31, 2022.
Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.
Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed and the Amendment should be approved because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of the Amendment do 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, 2022 through November 30, 2023. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.
1.912865.113
SIT-ANN-0424
Strategic Advisers® Fidelity® International 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
February 29, 2024
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. © 2024 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 February 29, 2024 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Fidelity® International Fund | 15.91% | 7.97% | 5.24% |
$10,000 Over 10 Years |
|
Let's say hypothetically that $10,000 was invested in Strategic Advisers® Fidelity® International Fund on February 28, 2014. The chart shows how the value of your investment would have changed, and also shows how the MSCI EAFE Index performed over the same period. |
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Management's Discussion of Fund Performance
Market Recap:
International (non-U.S.) equities gained 12.70% for the 12 months ending February 29, 2024, according to the MSCI ACWI (All Country World Index) ex USA Index, as global economic expansion and a slowing in the pace of inflation in some markets provided a mostly favorable backdrop for risk assets. The index's strong performance this period was driven, in part, by a narrow set of companies in the information technology sector and exuberance for generative artificial intelligence. Following historic global monetary tightening in some countries throughout 2022 and for most of 2023, investor sentiment shifted in the fourth quarter of last year to a view that policy rates had peaked, and policymakers would likely cut rates in 2024. This provided support for international stocks, with the index gaining 9.78% in the fourth quarter of 2023, reversing a three-month decline (-3.75%) at the end of September amid a stalling pattern in disinflationary trends, heightened geopolitical risk, soaring yields on longer-term U.S. government bonds, and weak economic conditions in the eurozone and China. For the full 12 months, each of six regions advanced, with Japan (+27%) leading by the widest margin, while Europe ex U.K. (+16%) also outpaced the benchmark. The Asia Pacific ex Japan (+3%) and U.K. (+5%) regions lagged most. Nine of the 11 sectors notably advanced, with information technology (+33%) and industrials (+21%) registering the largest gains. Conversely, real estate (-1%) lagged by the greatest amount, followed by consumer staples (0%) and communication services (+1%).
Comments from Portfolio Manager Wilfred Chilangwa:
For the fiscal year ending February 29, 2024, the Fund gained 15.91%, outpacing the 14.66% advance of the benchmark MSCI EAFE Index. Among the Fund's underlying managers, Fidelity® International Capital Appreciation Fund (+26%) was the top relative contributor the past 12 months. This manager's quality growth with a momentum tilt approach yielded strong stock selection among consumer discretionary companies, along with favorable overall positioning in the information technology and consumer staples sectors. Regionally, picks in Europe ex U.K. and emerging markets helped the most. Fidelity® Overseas Fund (+19%) also aided the broader Fund's relative result. Positive stock picks in continental Europe and the U.K. fueled this fund's contribution. The International Equity Value mandate from sub-adviser FIAM® (+17%) rounded out the group of leading relative contributors. This strategy benefited from investment choices across several sectors in Japan, as well as Europe ex U.K. On the downside, Fidelity® SAI International Value Index Fund (+12%) was the foremost detractor versus the benchmark. Within developed markets, value stocks lagged their growth counterparts during the latter months of the period, creating a stylistic headwind for this fund. Fidelity® SAI International Low Volatility Index Fund (+14%) also dampened the broader Fund's relative return. This strategy modestly lagged in an up-trending market where risk-taking was rewarded. During the 12-month reporting period, we reduced overall market risk in the portfolio. We did this by increasing the allocation to Fidelity® SAI International Low Volatility Index Fund. We also added to our stake in the Select International mandate from FIAM®, which tends to keep its sector weightings close to the benchmark. Lastly, we trimmed the Fund's exposure to value-focused strategies to rebalance the portfolio following the relative outperformance of these holdings in the third quarter of 2023.
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 International Value Index Fund | 12.6 | |
Fidelity Overseas Fund | 10.6 | |
Fidelity SAI International Index Fund | 8.9 | |
Fidelity SAI International Low Volatility Index Fund | 8.8 | |
Fidelity Advisor International Discovery Fund Class Z | 8.7 | |
Fidelity Diversified International Fund | 7.8 | |
Fidelity International Capital Appreciation Fund | 6.6 | |
Fidelity SAI International Small Cap Index Fund | 1.6 | |
Fidelity SAI International Momentum Index Fund | 1.1 | |
Novo Nordisk A/S Series B | 0.7 | |
| 67.4 | |
|
Asset Allocation (% of Fund's net assets) |
|
Futures - 1.7% |
|
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 - 28.5% |
| | Shares | Value ($) |
COMMUNICATION SERVICES - 1.2% | | | |
Diversified Telecommunication Services - 0.4% | | | |
Cellnex Telecom SA (a) | | 1,210,767 | 43,774,734 |
Deutsche Telekom AG | | 2,158,437 | 51,303,871 |
HKT Trust/HKT Ltd. unit | | 19,305,200 | 23,547,437 |
| | | 118,626,042 |
Entertainment - 0.2% | | | |
Capcom Co. Ltd. | | 558,400 | 22,455,934 |
Sea Ltd. ADR (b) | | 325,550 | 15,795,686 |
Universal Music Group NV | | 808,069 | 24,395,938 |
| | | 62,647,558 |
Interactive Media & Services - 0.2% | | | |
CAR Group Ltd. | | 1,592,630 | 38,054,301 |
LY Corp. | | 12,290,050 | 33,848,463 |
| | | 71,902,764 |
Media - 0.2% | | | |
Vivendi SA | | 2,226,200 | 24,854,775 |
WPP PLC | | 2,874,162 | 25,713,731 |
| | | 50,568,506 |
Wireless Telecommunication Services - 0.2% | | | |
SoftBank Group Corp. | | 957,100 | 56,691,688 |
TOTAL COMMUNICATION SERVICES | | | 360,436,558 |
CONSUMER DISCRETIONARY - 3.2% | | | |
Automobile Components - 0.3% | | | |
DENSO Corp. | | 4,316,900 | 79,410,774 |
Automobiles - 1.0% | | | |
Mercedes-Benz Group AG (Germany) | | 748,280 | 59,626,614 |
Suzuki Motor Corp. | | 1,570,000 | 68,876,001 |
Toyota Motor Corp. | | 6,968,300 | 167,841,451 |
| | | 296,344,066 |
Broadline Retail - 0.2% | | | |
B&M European Value Retail SA | | 2,759,411 | 18,314,689 |
Pan Pacific International Holdings Ltd. | | 987,000 | 23,206,877 |
Prosus NV | | 768,260 | 22,410,753 |
| | | 63,932,319 |
Hotels, Restaurants & Leisure - 0.2% | | | |
Compass Group PLC | | 678,697 | 18,622,514 |
Evolution AB (a) | | 92,200 | 11,930,572 |
Flutter Entertainment PLC (b) | | 178,792 | 38,604,127 |
| | | 69,157,213 |
Household Durables - 0.4% | | | |
Barratt Developments PLC | | 6,101,745 | 35,930,915 |
Berkeley Group Holdings PLC | | 307,137 | 18,000,866 |
Sony Group Corp. | | 950,040 | 81,844,226 |
| | | 135,776,007 |
Leisure Products - 0.1% | | | |
Bandai Namco Holdings, Inc. | | 771,200 | 14,850,446 |
Games Workshop Group PLC | | 105,678 | 12,546,020 |
| | | 27,396,466 |
Specialty Retail - 0.3% | | | |
Fast Retailing Co. Ltd. | | 189,600 | 54,709,819 |
Industria de Diseno Textil SA | | 421,780 | 18,764,199 |
JD Sports Fashion PLC | | 13,645,270 | 20,307,596 |
ZOZO, Inc. | | 387,200 | 8,765,720 |
| | | 102,547,334 |
Textiles, Apparel & Luxury Goods - 0.7% | | | |
Compagnie Financiere Richemont SA Series A | | 450,988 | 71,787,013 |
Hermes International SCA | | 18,942 | 47,352,924 |
LVMH Moet Hennessy Louis Vuitton SE | | 99,582 | 90,892,038 |
| | | 210,031,975 |
TOTAL CONSUMER DISCRETIONARY | | | 984,596,154 |
CONSUMER STAPLES - 1.5% | | | |
Beverages - 0.4% | | | |
Carlsberg A/S Series B | | 251,259 | 35,096,624 |
Coca-Cola HBC AG | | 212,880 | 6,623,909 |
Davide Campari Milano NV | | 1,505,576 | 15,250,367 |
Diageo PLC | | 1,426,806 | 53,347,314 |
Heineken NV (Bearer) | | 164,430 | 15,191,904 |
| | | 125,510,118 |
Food Products - 0.7% | | | |
Ajinomoto Co., Inc. | | 595,140 | 21,845,354 |
Danone SA | | 423,840 | 27,045,817 |
Nestle SA (Reg. S) | | 1,244,167 | 129,041,529 |
Nissin Food Holdings Co. Ltd. | | 667,600 | 19,490,963 |
Tate & Lyle PLC | | 2,649,916 | 20,086,659 |
| | | 217,510,322 |
Personal Care Products - 0.4% | | | |
Haleon PLC | | 5,450,044 | 22,864,209 |
L'Oreal SA | | 142,309 | 67,976,641 |
Unilever PLC | | 608,309 | 29,706,334 |
| | | 120,547,184 |
Tobacco - 0.0% | | | |
Imperial Brands PLC | | 790,654 | 17,032,510 |
TOTAL CONSUMER STAPLES | | | 480,600,134 |
ENERGY - 1.8% | | | |
Oil, Gas & Consumable Fuels - 1.8% | | | |
ENEOS Holdings, Inc. (c) | | 3,046,000 | 13,131,202 |
Eni SpA | | 2,835,200 | 43,657,668 |
Equinor ASA | | 840,357 | 20,705,371 |
INPEX Corp. | | 4,407,200 | 58,742,303 |
Paladin Energy Ltd. (Australia) (b) | | 19,017,060 | 15,327,750 |
Reliance Industries Ltd. GDR (a) | | 310,900 | 22,136,080 |
Santos Ltd. | | 2,579,007 | 11,875,138 |
Shell PLC: | | | |
ADR | | 1,921,700 | 120,740,411 |
(London) | | 3,375,310 | 104,397,795 |
rights (b)(d) | | 3,140,310 | 1,080,267 |
Thungela Resources Ltd. | | 147,000 | 793,446 |
TotalEnergies SE | | 1,882,745 | 120,004,655 |
Woodside Energy Group Ltd. | | 2,041,638 | 40,279,068 |
| | | 572,871,154 |
FINANCIALS - 6.8% | | | |
Banks - 3.4% | | | |
AIB Group PLC | | 2,706,920 | 12,539,289 |
Banco Santander SA (Spain) | | 26,906,763 | 112,133,614 |
Bank of Ireland Group PLC | | 4,498,059 | 39,281,493 |
Bankinter SA | | 1,271,885 | 8,066,466 |
BNP Paribas SA | | 1,568,360 | 94,133,059 |
BOC Hong Kong (Holdings) Ltd. | | 7,892,900 | 20,817,215 |
CaixaBank SA | | 9,823,689 | 44,439,378 |
Chiba Bank Ltd. | | 2,669,700 | 21,689,532 |
Commonwealth Bank of Australia | | 192,510 | 14,566,558 |
FinecoBank SpA | | 897,491 | 12,396,706 |
HSBC Holdings PLC (United Kingdom) | | 1,930,400 | 15,025,809 |
KBC Group NV | | 339,800 | 23,834,904 |
Kyoto Financial Group, Inc. | | 1,805,000 | 31,489,978 |
Lloyds Banking Group PLC | | 96,593,759 | 57,113,526 |
Mediobanca SpA | | 2,146,800 | 29,223,693 |
Mitsubishi UFJ Financial Group, Inc. | | 6,697,900 | 68,806,273 |
Mizuho Financial Group, Inc. (c) | | 2,292,200 | 42,823,097 |
Nordea Bank Abp | | 2,371,081 | 28,805,944 |
Nordea Bank Abp (Helsinki Stock Exchange) | | 692,440 | 8,427,340 |
PT Bank Rakyat Indonesia (Persero) Tbk | | 45,029,600 | 17,550,512 |
Standard Chartered PLC (United Kingdom) | | 7,879,430 | 66,620,329 |
Sumitomo Mitsui Financial Group, Inc. (c) | | 1,569,300 | 87,432,861 |
Unicaja Banco SA (a) | | 5,269,300 | 5,378,984 |
UniCredit SpA | | 2,817,428 | 94,368,703 |
United Overseas Bank Ltd. | | 3,043,403 | 63,328,990 |
Westpac Banking Corp. | | 1,977,996 | 33,878,126 |
| | | 1,054,172,379 |
Capital Markets - 0.9% | | | |
3i Group PLC | | 1,072,909 | 33,520,969 |
Amundi SA (a) | | 260,220 | 17,113,806 |
Hong Kong Exchanges and Clearing Ltd. | | 533,100 | 16,418,723 |
London Stock Exchange Group PLC | | 258,386 | 29,020,182 |
Macquarie Group Ltd. | | 660,024 | 83,576,529 |
UBS Group AG | | 2,287,854 | 65,219,426 |
UBS Group AG (c) | | 1,578,400 | 44,905,480 |
| | | 289,775,115 |
Financial Services - 0.5% | | | |
Adyen BV (a)(b) | | 9,665 | 15,292,338 |
Investor AB (B Shares) | | 3,691,010 | 92,716,758 |
ORIX Corp. | | 2,668,600 | 55,839,102 |
| | | 163,848,198 |
Insurance - 2.0% | | | |
AIA Group Ltd. | | 4,365,800 | 35,193,530 |
Allianz SE | | 200,845 | 55,163,178 |
ASR Nederland NV | | 404,170 | 18,621,932 |
AXA SA | | 3,743,880 | 133,289,307 |
Beazley PLC | | 1,586,100 | 13,053,914 |
Hannover Reuck SE | | 148,100 | 37,983,776 |
Hiscox Ltd. | | 1,129,488 | 16,153,778 |
Mandatum Holding OY | | 607,700 | 2,666,288 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | 202,198 | 94,057,722 |
Prudential PLC | | 2,892,262 | 28,497,015 |
Sampo Oyj (A Shares) | | 1,169,700 | 52,300,441 |
Steadfast Group Ltd. | | 5,030,630 | 18,932,776 |
Swiss Life Holding AG | | 31,020 | 22,505,153 |
Tokio Marine Holdings, Inc. | | 1,228,600 | 35,861,483 |
Zurich Insurance Group Ltd. | | 120,479 | 64,030,226 |
| | | 628,310,519 |
TOTAL FINANCIALS | | | 2,136,106,211 |
HEALTH CARE - 2.8% | | | |
Biotechnology - 0.1% | | | |
Argenx SE (b) | | 101,313 | 37,973,679 |
Health Care Equipment & Supplies - 0.4% | | | |
EssilorLuxottica SA | | 203,171 | 43,074,229 |
Hoya Corp. | | 412,500 | 53,612,343 |
Siemens Healthineers AG (a) | | 256,646 | 15,394,756 |
| | | 112,081,328 |
Health Care Providers & Services - 0.1% | | | |
Fresenius SE & Co. KGaA | | 1,663,167 | 46,520,617 |
Pharmaceuticals - 2.2% | | | |
AstraZeneca PLC (United Kingdom) | | 945,199 | 119,145,657 |
Bayer AG | | 226,100 | 6,831,423 |
Daiichi Sankyo Kabushiki Kaisha | | 1,322,100 | 43,541,925 |
Eisai Co. Ltd. | | 570,700 | 23,807,082 |
GSK PLC | | 5,225,760 | 109,314,850 |
Merck KGaA | | 230,795 | 39,269,075 |
Novo Nordisk A/S Series B | | 1,715,323 | 204,750,705 |
Roche Holding AG (participation certificate) | | 177,133 | 46,313,415 |
Sanofi SA | | 107,600 | 10,255,854 |
UCB SA | | 612,569 | 70,509,877 |
| | | 673,739,863 |
TOTAL HEALTH CARE | | | 870,315,487 |
INDUSTRIALS - 5.1% | | | |
Aerospace & Defense - 1.1% | | | |
Airbus Group NV | | 187,566 | 31,034,514 |
BAE Systems PLC | | 6,715,318 | 105,408,132 |
Dassault Aviation SA | | 130,172 | 25,732,182 |
Rheinmetall AG | | 216,348 | 99,143,462 |
Rolls-Royce Holdings PLC (b) | | 3,508,700 | 16,376,177 |
Saab AB (B Shares) | | 275,510 | 21,697,635 |
Safran SA | | 209,302 | 43,888,678 |
| | | 343,280,780 |
Air Freight & Logistics - 0.2% | | | |
DHL Group | | 1,404,928 | 65,156,526 |
Building Products - 0.2% | | | |
ASSA ABLOY AB (B Shares) | | 959,905 | 27,400,015 |
Kingspan Group PLC (Ireland) | | 212,786 | 19,198,656 |
| | | 46,598,671 |
Construction & Engineering - 0.4% | | | |
Ferrovial SE | | 605,829 | 22,688,126 |
VINCI SA | | 695,804 | 89,039,756 |
| | | 111,727,882 |
Electrical Equipment - 0.4% | | | |
Fuji Electric Co. Ltd. | | 590,700 | 35,854,923 |
Legrand SA | | 205,330 | 20,796,090 |
Mitsubishi Electric Corp. | | 1,162,000 | 18,458,531 |
Prysmian SpA | | 1,243,405 | 61,885,311 |
| | | 136,994,855 |
Industrial Conglomerates - 1.0% | | | |
Hitachi Ltd. | | 1,854,600 | 156,673,619 |
Siemens AG | | 851,742 | 168,618,479 |
| | | 325,292,098 |
Machinery - 0.6% | | | |
Indutrade AB | | 801,519 | 21,185,388 |
Kawasaki Heavy Industries Ltd. | | 1,017,900 | 28,061,504 |
Minebea Mitsumi, Inc. | | 636,400 | 13,138,060 |
Mitsubishi Heavy Industries Ltd. | | 949,300 | 74,876,417 |
Sandvik AB | | 1,096,050 | 24,680,063 |
Techtronic Industries Co. Ltd. | | 1,590,500 | 17,216,281 |
VAT Group AG (a) | | 36,776 | 18,413,991 |
| | | 197,571,704 |
Marine Transportation - 0.0% | | | |
SITC International Holdings Co. Ltd. | | 3,637,400 | 5,983,743 |
Passenger Airlines - 0.1% | | | |
Ryanair Holdings PLC sponsored ADR (c) | | 208,700 | 28,852,775 |
Professional Services - 0.3% | | | |
RELX PLC (London Stock Exchange) | | 1,198,838 | 52,514,029 |
Wolters Kluwer NV | | 228,350 | 35,995,879 |
| | | 88,509,908 |
Trading Companies & Distributors - 0.7% | | | |
Bunzl PLC | | 592,770 | 23,592,435 |
Ferguson PLC | | 106,600 | 22,182,410 |
IMCD NV | | 85,666 | 13,045,623 |
Itochu Corp. | | 2,735,000 | 118,871,798 |
Mitsubishi Corp. | | 1,600,400 | 34,213,461 |
| | | 211,905,727 |
Transportation Infrastructure - 0.1% | | | |
Aena SME SA (a) | | 165,719 | 31,370,958 |
TOTAL INDUSTRIALS | | | 1,593,245,627 |
INFORMATION TECHNOLOGY - 2.5% | | | |
Electronic Equipment, Instruments & Components - 0.2% | | | |
Halma PLC | | 381,160 | 11,075,803 |
Ibiden Co. Ltd. | | 268,600 | 12,363,985 |
Keyence Corp. | | 74,900 | 34,991,969 |
| | | 58,431,757 |
IT Services - 0.5% | | | |
ALTEN | | 151,990 | 22,291,547 |
Capgemini SA | | 275,576 | 67,032,172 |
Fujitsu Ltd. | | 368,800 | 57,633,387 |
TIS, Inc. | | 706,800 | 15,911,486 |
| | | 162,868,592 |
Semiconductors & Semiconductor Equipment - 1.1% | | | |
ASML Holding NV (Netherlands) | | 161,612 | 153,370,099 |
Infineon Technologies AG | | 1,172,994 | 42,117,057 |
Renesas Electronics Corp. | | 4,862,600 | 80,345,158 |
Sumco Corp. | | 1,023,800 | 16,007,118 |
Tokyo Electron Ltd. | | 150,680 | 37,385,050 |
| | | 329,224,482 |
Software - 0.4% | | | |
Sage Group PLC | | 1,996,326 | 31,360,931 |
SAP SE | | 343,444 | 64,359,141 |
WiseTech Global Ltd. | | 346,570 | 21,283,557 |
Xero Ltd. (b) | | 246,770 | 20,420,588 |
| | | 137,424,217 |
Technology Hardware, Storage & Peripherals - 0.3% | | | |
FUJIFILM Holdings Corp. | | 1,190,100 | 75,595,800 |
Samsung Electronics Co. Ltd. (b) | | 458,700 | 25,212,073 |
| | | 100,807,873 |
TOTAL INFORMATION TECHNOLOGY | | | 788,756,921 |
MATERIALS - 2.5% | | | |
Chemicals - 0.9% | | | |
Air Liquide SA | | 385,512 | 78,356,397 |
Covestro AG (a)(b) | | 150,500 | 8,181,818 |
Linde PLC | | 88,500 | 39,720,570 |
NOF Corp. | | 414,300 | 18,595,416 |
Shin-Etsu Chemical Co. Ltd. | | 2,433,600 | 103,852,338 |
Sika AG | | 151,585 | 43,840,874 |
| | | 292,547,413 |
Construction Materials - 0.5% | | | |
CRH PLC | | 1,194,459 | 99,120,510 |
Holcim AG | | 584,589 | 47,660,843 |
| | | 146,781,353 |
Containers & Packaging - 0.2% | | | |
Smurfit Kappa Group PLC | | 1,281,070 | 54,594,008 |
Metals & Mining - 0.9% | | | |
Anglo American PLC (United Kingdom) | | 801,440 | 17,268,604 |
ArcelorMittal SA (Netherlands) | | 1,100,975 | 28,701,203 |
BHP Group Ltd. | | 4,710,504 | 135,032,839 |
Glencore PLC | | 16,424,910 | 78,086,203 |
Rio Tinto Ltd. | | 258,670 | 20,811,812 |
| | | 279,900,661 |
TOTAL MATERIALS | | | 773,823,435 |
REAL ESTATE - 0.4% | | | |
Equity Real Estate Investment Trusts (REITs) - 0.2% | | | |
Goodman Group unit | | 1,740,329 | 33,823,294 |
National Storage REIT unit | | 14,865,732 | 21,837,760 |
Warehouses de Pauw | | 822,126 | 21,929,507 |
| | | 77,590,561 |
Real Estate Management & Development - 0.2% | | | |
CK Asset Holdings Ltd. | | 4,165,790 | 19,234,090 |
Mitsubishi Estate Co. Ltd. | | 1,480,900 | 22,724,189 |
Vonovia SE | | 716,860 | 20,006,964 |
| | | 61,965,243 |
TOTAL REAL ESTATE | | | 139,555,804 |
UTILITIES - 0.7% | | | |
Electric Utilities - 0.4% | | | |
Kansai Electric Power Co., Inc. | | 4,925,800 | 63,100,313 |
SSE PLC | | 2,006,510 | 41,238,610 |
| | | 104,338,923 |
Independent Power and Renewable Electricity Producers - 0.2% | | | |
RWE AG | | 1,848,959 | 61,935,249 |
Multi-Utilities - 0.1% | | | |
National Grid PLC | | 3,043,381 | 39,822,696 |
TOTAL UTILITIES | | | 206,096,868 |
TOTAL COMMON STOCKS (Cost $7,664,624,078) | | | 8,906,404,353 |
| | | |
Nonconvertible Preferred Stocks - 0.1% |
| | Shares | Value ($) |
CONSUMER DISCRETIONARY - 0.1% | | | |
Automobiles - 0.1% | | | |
Porsche Automobil Holding SE (Germany) (Cost $21,264,682) | | 383,100 | 20,480,384 |
| | | |
Equity Funds - 69.0% |
| | Shares | Value ($) |
Foreign Large Blend Funds - 18.1% | | | |
Fidelity Pacific Basin Fund (e) | | 3,631,096 | 106,173,261 |
Fidelity SAI International Index Fund (e) | | 199,885,935 | 2,782,412,214 |
Fidelity SAI International Low Volatility Index Fund (e) | | 249,001,715 | 2,741,508,883 |
TOTAL FOREIGN LARGE BLEND FUNDS | | | 5,630,094,358 |
Foreign Large Growth Funds - 35.2% | | | |
Fidelity Advisor International Discovery Fund Class Z (e) | | 57,436,472 | 2,697,791,079 |
Fidelity Diversified International Fund (e) | | 56,417,446 | 2,426,514,357 |
Fidelity International Capital Appreciation Fund (e) | | 73,272,627 | 2,063,357,165 |
Fidelity Overseas Fund (e) | | 52,423,926 | 3,311,095,164 |
Fidelity SAI International Momentum Index Fund (e) | | 25,168,385 | 345,310,246 |
Fidelity SAI International Quality Index Fund (e) | | 9,181,390 | 116,787,285 |
TOTAL FOREIGN LARGE GROWTH FUNDS | | | 10,960,855,296 |
Foreign Large Value Funds - 12.6% | | | |
Fidelity SAI International Value Index Fund (e) | | 419,184,969 | 3,936,146,856 |
Foreign Small Mid Blend Funds - 1.6% | | | |
Fidelity SAI International Small Cap Index Fund (e) | | 60,794,512 | 494,867,327 |
Foreign Small Mid Growth Funds - 0.4% | | | |
Fidelity Advisor International Small Cap Opportunities Fund Class Z (e) | | 5,837,123 | 116,625,713 |
Sector Funds - 0.2% | | | |
Fidelity Advisor International Real Estate Fund Class Z (e) | | 7,827,715 | 74,363,296 |
Other - 0.9% | | | |
Fidelity Advisor Japan Fund Class Z (e) | | 9,715,552 | 160,403,756 |
Fidelity Japan Smaller Companies Fund (e) | | 2,985,336 | 46,272,712 |
Fidelity SAI Japan Stock Index Fund (e) | | 8,572,309 | 86,751,768 |
TOTAL OTHER | | | 293,428,236 |
TOTAL EQUITY FUNDS (Cost $19,354,111,459) | | | 21,506,381,082 |
| | | |
Other - 0.0% |
| | Shares | Value ($) |
Commodity Funds - Broad Basket - 0.0% | | | |
Fidelity SAI Inflation-Focused Fund (e) (Cost $1,054) | | 13 | 1,157 |
| | | |
U.S. Treasury Obligations - 0.2% |
| | Principal Amount (f) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.26% to 5.31% 3/7/24 to 5/2/24 (g) (Cost $60,542,190) | | 60,780,000 | 60,539,329 |
| | | |
Money Market Funds - 2.4% |
| | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (h) | | 147,640,508 | 147,670,036 |
Fidelity Securities Lending Cash Central Fund 5.39% (h)(i) | | 123,275,369 | 123,287,697 |
State Street Institutional U.S. Government Money Market Fund Premier Class 5.28% (j) | | 471,818,998 | 471,818,998 |
TOTAL MONEY MARKET FUNDS (Cost $742,776,731) | | | 742,776,731 |
| | | |
TOTAL INVESTMENT IN SECURITIES - 100.2% (Cost $27,843,320,194) | 31,236,583,036 |
NET OTHER ASSETS (LIABILITIES) - (0.2)% | (52,503,346) |
NET ASSETS - 100.0% | 31,184,079,690 |
| |
Futures Contracts |
| Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
Purchased | | | | | |
| | | | | |
Equity Index Contracts | | | | | |
CME Nikkei 225 Index Contracts (United States) | 250 | Mar 2024 | 49,131,250 | 7,842,735 | 7,842,735 |
ICE MSCI EAFE Index Contracts (United States) | 4,071 | Mar 2024 | 465,702,045 | 3,616,362 | 3,616,362 |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | 11,459,097 |
The notional amount of futures purchased as a percentage of Net Assets is 1.7% |
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 $188,988,037 or 0.6% 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. |
(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 $15,034,817. |
(h) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(i) | Investment made with cash collateral received from securities on loan. |
(j) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | 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 5.39% | 81,228,114 | 3,161,968,842 | 3,095,526,920 | 5,475,696 | - | - | 147,670,036 | 0.3% |
Fidelity Securities Lending Cash Central Fund 5.39% | 63,065,474 | 971,941,065 | 911,718,842 | 736,041 | - | - | 123,287,697 | 0.4% |
Total | 144,293,588 | 4,133,909,907 | 4,007,245,762 | 6,211,737 | - | - | 270,957,733 | |
| | | | | | | | |
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 International Discovery Fund Class Z | 1,956,894,915 | 417,210,240 | - | 46,210,238 | - | 323,685,924 | 2,697,791,079 |
Fidelity Advisor International Real Estate Fund Class Z | 78,676,681 | 1,660,183 | - | 1,660,184 | - | (5,973,568) | 74,363,296 |
Fidelity Advisor International Small Cap Opportunities Fund Class Z | 104,645,069 | 4,327,049 | - | 4,327,048 | - | 7,653,595 | 116,625,713 |
Fidelity Advisor Japan Fund Class Z | 369,028,981 | - | 235,000,000 | 6,043,073 | (9,905,705) | 36,280,480 | 160,403,756 |
Fidelity Diversified International Fund | 1,685,079,660 | 514,234,924 | - | 83,234,925 | - | 227,199,773 | 2,426,514,357 |
Fidelity International Capital Appreciation Fund | 1,484,013,020 | 176,142,398 | - | 7,142,397 | - | 403,201,747 | 2,063,357,165 |
Fidelity Japan Smaller Companies Fund | 39,465,642 | 1,232,395 | - | 1,232,395 | - | 5,574,675 | 46,272,712 |
Fidelity Overseas Fund | 2,184,876,804 | 707,012,554 | - | 27,012,554 | - | 419,205,806 | 3,311,095,164 |
Fidelity Pacific Basin Fund | 136,555,327 | - | 32,000,000 | 5,755,288 | (2,651,129) | 4,269,063 | 106,173,261 |
Fidelity SAI Inflation-Focused Fund | 12,162,626 | 27 | 12,003,811 | 27 | 513,226 | (670,911) | 1,157 |
Fidelity SAI International Index Fund | 165,378,810 | 2,409,469,644 | - | 54,434,047 | - | 207,563,760 | 2,782,412,214 |
Fidelity SAI International Low Volatility Index Fund | 1,179,763,482 | 1,383,350,862 | - | 53,850,862 | - | 178,394,539 | 2,741,508,883 |
Fidelity SAI International Momentum Index Fund | 282,723,166 | 10,672,010 | - | 10,672,009 | - | 51,915,070 | 345,310,246 |
Fidelity SAI International Quality Index Fund | 98,012,695 | 2,799,085 | - | 2,799,085 | - | 15,975,505 | 116,787,285 |
Fidelity SAI International Small Cap Index Fund | 464,111,834 | 15,195,539 | - | 15,195,540 | - | 15,559,954 | 494,867,327 |
Fidelity SAI International Value Index Fund | 3,864,706,011 | 580,443,453 | 715,000,000 | 195,443,452 | (58,144,034) | 264,141,426 | 3,936,146,856 |
Fidelity SAI Japan Stock Index Fund | 89,132,420 | 73,459,902 | 85,000,000 | 459,903 | (10,593,817) | 19,753,263 | 86,751,768 |
| 14,195,227,143 | 6,297,210,265 | 1,079,003,811 | 515,473,027 | (80,781,459) | 2,173,730,101 | 21,506,382,239 |
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 February 29, 2024, 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 ($) |
Investments in Securities: | | | | |
|
Equities: | | | | |
Communication Services | 360,436,558 | 158,556,596 | 201,879,962 | - |
Consumer Discretionary | 1,005,076,538 | 380,956,879 | 624,119,659 | - |
Consumer Staples | 480,600,134 | 136,644,566 | 343,955,568 | - |
Energy | 572,871,154 | 173,209,156 | 399,661,998 | - |
Financials | 2,136,106,211 | 995,776,497 | 1,140,329,714 | - |
Health Care | 870,315,487 | 252,918,904 | 617,396,583 | - |
Industrials | 1,593,245,627 | 1,102,529,450 | 490,716,177 | - |
Information Technology | 788,756,921 | 286,514,857 | 502,242,064 | - |
Materials | 773,823,435 | 317,386,180 | 456,437,255 | - |
Real Estate | 139,555,804 | 119,548,840 | 20,006,964 | - |
Utilities | 206,096,868 | 63,100,313 | 142,996,555 | - |
|
Equity Funds | 21,506,381,082 | 21,506,381,082 | - | - |
|
Other | 1,157 | 1,157 | - | - |
|
Other Short-Term Investments | 60,539,329 | - | 60,539,329 | - |
|
Money Market Funds | 742,776,731 | 742,776,731 | - | - |
Total Investments in Securities: | 31,236,583,036 | 26,236,301,208 | 5,000,281,828 | - |
Derivative Instruments: Assets | | | | |
Futures Contracts | 11,459,097 | 11,459,097 | - | - |
Total Assets | 11,459,097 | 11,459,097 | - | - |
Total Derivative Instruments: | 11,459,097 | 11,459,097 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
Equity Risk | | |
Futures Contracts (a) | 11,459,097 | 0 |
Total Equity Risk | 11,459,097 | 0 |
Total Value of Derivatives | 11,459,097 | 0 |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
Statement of Assets and Liabilities |
| | | | February 29, 2024 |
| | | | |
Assets | | | | |
Investment in securities, at value (including securities loaned of $118,865,329) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $8,218,249,948) | $ | 9,459,243,064 | | |
Fidelity Central Funds (cost $270,957,733) | | 270,957,733 | | |
Other affiliated issuers (cost $19,354,112,513) | | 21,506,382,239 | | |
| | | | |
| | | | |
Total Investment in Securities (cost $27,843,320,194) | | | $ | 31,236,583,036 |
Cash | | | | 1 |
Foreign currency held at value (cost $14,328,167) | | | | 14,285,274 |
Receivable for investments sold | | | | 64,442,391 |
Receivable for fund shares sold | | | | 63,220,029 |
Dividends receivable | | | | 19,009,695 |
Interest receivable | | | | 4,867,430 |
Distributions receivable from Fidelity Central Funds | | | | 913,167 |
Receivable for daily variation margin on futures contracts | | | | 1,212,909 |
Other receivables | | | | 107,978 |
Total assets | | | | 31,404,641,910 |
Liabilities | | | | |
Payable for investments purchased | | | | |
Regular delivery | $ | 77,200,061 | | |
Delayed delivery | | 1,086,496 | | |
Payable for fund shares redeemed | | 16,271,503 | | |
Accrued management fee | | 1,883,947 | | |
Other payables and accrued expenses | | 832,516 | | |
Collateral on securities loaned | | 123,287,697 | | |
Total Liabilities | | | | 220,562,220 |
Net Assets | | | $ | 31,184,079,690 |
Net Assets consist of: | | | | |
Paid in capital | | | $ | 28,974,841,941 |
Total accumulated earnings (loss) | | | | 2,209,237,749 |
Net Assets | | | $ | 31,184,079,690 |
Net Asset Value, offering price and redemption price per share ($31,184,079,690 ÷ 2,610,569,593 shares) | | | $ | 11.95 |
Statement of Operations |
| | | | Year ended February 29, 2024 |
Investment Income | | | | |
Dividends: | | | | |
Unaffiliated issuers | | | $ | 187,765,762 |
Affiliated issuers | | | | 452,659,122 |
Interest | | | | 66,205,814 |
Income from Fidelity Central Funds (including $736,041 from security lending) | | | | 6,211,737 |
Income before foreign taxes withheld | | | $ | 712,842,435 |
Less foreign taxes withheld | | | | (16,319,708) |
Total Income | | | | 696,522,727 |
Expenses | | | | |
Management fee | $ | 76,370,904 | | |
Custodian fees and expenses | | 398,484 | | |
Independent trustees' fees and expenses | | 136,894 | | |
Registration fees | | 1,282,359 | | |
Audit | | 88,372 | | |
Legal | | 24,488 | | |
Miscellaneous | | 122,620 | | |
Total expenses before reductions | | 78,424,121 | | |
Expense reductions | | (59,528,514) | | |
Total expenses after reductions | | | | 18,895,607 |
Net Investment income (loss) | | | | 677,627,120 |
Realized and Unrealized Gain (Loss) | | | | |
Net realized gain (loss) on: | | | | |
Investment Securities: | | | | |
Unaffiliated issuers | | (166,859,102) | | |
Affiliated issuers | | (80,781,459) | | |
Foreign currency transactions | | 485,926 | | |
Futures contracts | | 78,877,395 | | |
Capital gain distributions from underlying funds: | | | | |
Affiliated issuers | | 62,813,905 | | |
Total net realized gain (loss) | | | | (105,463,335) |
Change in net unrealized appreciation (depreciation) on: | | | | |
Investment Securities: | | | | |
Unaffiliated issuers | | 1,015,183,145 | | |
Affiliated issuers | | 2,173,730,101 | | |
Assets and liabilities in foreign currencies | | 125,775 | | |
Futures contracts | | 11,363,713 | | |
Total change in net unrealized appreciation (depreciation) | | | | 3,200,402,734 |
Net gain (loss) | | | | 3,094,939,399 |
Net increase (decrease) in net assets resulting from operations | | | $ | 3,772,566,519 |
Statement of Changes in Net Assets |
|
| | Year ended February 29, 2024 | | Year ended February 28, 2023 |
Increase (Decrease) in Net Assets | | | | |
Operations | | | | |
Net investment income (loss) | $ | 677,627,120 | $ | 411,623,331 |
Net realized gain (loss) | | (105,463,335) | | (1,055,181,421) |
Change in net unrealized appreciation (depreciation) | | 3,200,402,734 | | (893,194,304) |
Net increase (decrease) in net assets resulting from operations | | 3,772,566,519 | | (1,536,752,394) |
Distributions to shareholders | | (655,693,107) | | (932,369,267) |
| | | | |
Share transactions | | | | |
Proceeds from sales of shares | | 10,931,031,106 | | 6,042,249,354 |
Reinvestment of distributions | | 619,143,606 | | 908,934,682 |
Cost of shares redeemed | | (3,812,653,511) | | (8,739,005,114) |
| | | | |
Net increase (decrease) in net assets resulting from share transactions | | 7,737,521,201 | | (1,787,821,078) |
Total increase (decrease) in net assets | | 10,854,394,613 | | (4,256,942,739) |
| | | | |
Net Assets | | | | |
Beginning of period | | 20,329,685,077 | | 24,586,627,816 |
End of period | $ | 31,184,079,690 | $ | 20,329,685,077 |
| | | | |
Other Information | | | | |
Shares | | | | |
Sold | | 975,924,560 | | 582,743,564 |
Issued in reinvestment of distributions | | 53,559,135 | | 84,478,706 |
Redeemed | | (343,347,643) | | (851,489,717) |
Net increase (decrease) | | 686,136,052 | | (184,267,447) |
| | | | |
Financial Highlights
Strategic Advisers® Fidelity® International Fund |
|
Years ended February 28, | | 2024 A | | 2023 | | 2022 | | 2021 | | 2020 A |
Selected Per-Share Data | | | | | | | | | | |
Net asset value, beginning of period | $ | 10.56 | $ | 11.66 | $ | 12.16 | $ | 9.84 | $ | 9.66 |
Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) B,C | | .32 | | .21 | | .27 | | .10 | | .20 |
Net realized and unrealized gain (loss) | | 1.35 | | (.84) | | (.03) | | 2.37 | | .31 |
Total from investment operations | | 1.67 | | (.63) | | .24 | | 2.47 | | .51 |
Distributions from net investment income | | (.28) | | (.21) | | (.25) | | (.08) | | (.19) |
Distributions from net realized gain | | - | | (.26) | | (.49) | | (.07) | | (.14) |
Total distributions | | (.28) | | (.47) | | (.74) | | (.15) | | (.33) |
Net asset value, end of period | $ | 11.95 | $ | 10.56 | $ | 11.66 | $ | 12.16 | $ | 9.84 |
Total Return D | | 15.91% | | (5.41)% | | 1.59% | | 25.35% | | 5.10% |
Ratios to Average Net Assets C,E,F | | | | | | | | | | |
Expenses before reductions | | .33% | | .32% | | .30% | | .28% | | .29% |
Expenses net of fee waivers, if any | | .08% | | .07% | | .05% | | .03% | | .04% |
Expenses net of all reductions | | .08% | | .07% | | .05% | | .03% | | .04% |
Net investment income (loss) | | 2.85% | | 2.02% | | 2.09% | | .93% | | 1.97% |
Supplemental Data | | | | | | | | | | |
Net assets, end of period (000 omitted) | $ | 31,184,080 | $ | 20,329,685 | $ | 24,586,628 | $ | 16,450,240 | $ | 8,776,005 |
Portfolio turnover rate G | | 16% | | 16% | | 17% | | 6% | | 6% |
AFor the year ended February 29.
BCalculated based on average shares outstanding during the period.
CNet 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.
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
EFees 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.
FExpense 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.
GAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended February 29, 2024
1. Organization.
Strategic Advisers Fidelity International 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.
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 February 29, 2024 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. The Fund has filed tax reclaims for previously withheld taxes on dividends earned in certain European Union (EU) countries. These additional filings are subject to various administrative proceedings by the local jurisdictions' tax authorities within the EU, as well as a number of related judicial proceedings. Income recognized for EU reclaims is included with other reclaims in the Statement of Operations in foreign tax withheld. These reclaims are recorded when the amount is known and there are no significant uncertainties on collectability.
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 International Fund | $43,045 |
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 February 29, 2024, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to short-term gain distributions from the underlying mutual funds or exchange-traded funds, futures contracts, foreign currency transactions, passive foreign investment companies (PFIC), 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 | $3,823,260,841 |
Gross unrealized depreciation | (562,589,677) |
Net unrealized appreciation (depreciation) | $3,260,671,164 |
Tax Cost | $27,975,911,872 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $41,415,119 |
Capital loss carryforward | $(1,092,750,270) |
Net unrealized appreciation (depreciation) on securities and other investments | $3,260,572,900 |
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 | $(621,496,238) |
Long-term | (471,254,032) |
Total capital loss carryforward | $(1,092,750,270) |
The tax character of distributions paid was as follows:
| February 29, 2024 | February 28, 2023 |
Ordinary Income | $655,693,107 | $ 394,858,096 |
Long-term Capital Gains | - | 537,511,171 |
Total | $655,693,107 | $ 932,369,267 |
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):
| |
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 and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) |
Strategic Advisers Fidelity International Fund | 11,671,888,372 | 3,538,544,948 |
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 .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) 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 and Geode Capital Management, LLC have been retained to serve as a sub-adviser for the Fund. As of the date of this report, however, these sub-advisers have not been allocated any portion of the Fund's assets. These sub-advisers in the future may provide discretionary investment advisory services for an allocated portion of the Fund's assets and will be paid by the investment adviser for providing these services.
Effective March 7, 2024, the Fund's sub-subadvisory agreement with FIL Investment Advisors (FIA) and FIL Investment Advisors (UK) Limited (FIA(UK)) will be amended. Pursuant to the sub-subadvisory agreement, FIA may receive from the sub-subadviser investment research and advice on issuers outside the United States (non-discretionary services) and FIA may grant the sub-subadviser investment management authority and the authority to buy and sell securities if FIA believes it would be beneficial to the Fund (discretionary services). FIA, not the Fund, pays FIA(UK). For providing non-discretionary services, FIA will pay FIA(UK) a fee equal to 110% of FIA(UK)'s costs incurred in connection with providing such services. For providing discretionary services, FIA will pay FIA(UK) a fee equal to a percentage of the Fund's monthly average net assets managed by FIA(UK) on a discretionary basis. The fee rate will be based on the monthly average net assets managed by FIA(UK) on behalf of FIA pursuant to sub-advisory arrangements less any assets managed by FIA(UK) on behalf of FIA on which a reduction is applicable to the fee paid to FIA(UK) (Average Group Assets). The fee rate will be calculated on a cumulative basis pursuant to the following graduated fee rate schedule. FIA(UK)'s fee will not exceed 50% of the fee that FIA receives from Strategic Advisers for services provided on behalf of the Fund.
Average Group Assets | Annualized Fee Rate |
from $0 - $500 million | .32% |
$500 million - $1 billion | .27% |
Over $1 billion | .24% |
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 International Fund | $ 754 |
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) ($) |
Strategic Advisers Fidelity International Fund | 64,423,245 | 66,875,003 | (7,146,995) |
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
| Amount ($) |
Strategic Advisers Fidelity International Fund | 8,243 |
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 RatioA |
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 International Fund | $38,956 |
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 International Fund | $79,852 | $ - | $- |
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, 2026. During the period, this waiver reduced the Fund's management fee by $ 59,523,566.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $4,948.
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 International Fund |
Fidelity Diversified International Fund | 24% |
Fidelity International Capital Appreciation Fund | 38% |
Fidelity International Discovery Fund | 31% |
Fidelity International Real Estate Fund | 15% |
Fidelity Japan Fund | 24% |
Fidelity Japan Smaller Companies Fund | 10% |
Fidelity Overseas Fund | 33% |
Fidelity Pacific Basin Fund | 16% |
Fidelity SAI International Index Fund | 41% |
Fidelity SAI International Low Volatility Index Fund | 38% |
Fidelity SAI International Momentum Index Fund | 47% |
Fidelity SAI International Quality Index Fund | 22% |
Fidelity SAI International Small Cap Index Fund | 68% |
Fidelity SAI International Value Index Fund | 83% |
Fidelity SAI Japan Stock Index Fund | 13% |
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 International 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 International Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 29, 2024, the related statement of operations for the year ended February 29, 2024, the statement of changes in net assets for each of the two years in the period ended February 29, 2024, including the related notes, and the financial highlights for each of the five years in the period ended February 29, 2024 (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 February 29, 2024, 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 February 29, 2024 and the financial highlights for each of the five years in the period ended February 29, 2024 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 February 29, 2024 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
April 11, 2024
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
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. Nancy D. Prior 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.
Nancy D. Prior (1967)
Year of Election or Appointment: 2023
Trustee
Chair of the Board of Trustees
Ms. Prior also serves as Trustee of other funds. Ms. Prior serves as a Senior Adviser at Fidelity Investments (investment adviser firm, 2021-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2018-present) and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2018-present). Prior to her retirement, Ms. Prior held a variety of positions at Fidelity Investments (2002-2020), including President of Fixed Income (2014-2020),), President of Multi-Asset Class Strategies (2017-2018), President of Money Markets and Short Duration Bonds (2013-2014), and President of Money Markets (2011-2013). Ms. Prior also served as President (2016-2019) and Director (2014-2019) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), Vice Chairman of FIAM LLC (investment adviser firm, 2014-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), Vice President of Global Asset Allocation Funds (2017-2019), Vice President of Fidelity's Bond Funds (2014-2020), and Vice President of Fidelity's Money Market Funds (2012-2020).
* 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+
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 Emerita (2024-present) and past Chair (2014-2023) and Chief Executive Officer (2013-2023) 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), and Member of the Ron Burton Training Village Executive Board of Advisors (2017-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Overseer of the Boston Symphony Orchestra (2014-2023), Member of the Board of Directors (2016-2023), Member of the Executive Committee (2019-2023) and Secretary (2022-2023) of The Advertising Council, Inc., Member of the Board of Directors of The Ad Club of Boston (2020-2023), 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).
Harold Singleton III (1962)
Year of Election or Appointment: 2023
Trustee
Mr. Singleton also serves as Trustee of other funds. Mr. Singleton is a member of the Board of Directors of Hershey Trust Company (2023-present). Previously, Mr. Singleton served as a member of the Board of Directors and Chair of the Audit Committee of WisdomTree, Inc. (global investment manager, 2022-2023). He also served as Vice President, Managing Director/Head of Manager Selection and Portfolio Construction (2016-2022) and Vice President/Head of Client Portfolio Management (2014-2016) of Lincoln Financial Group (insurance and retirement services). Mr. Singleton also served as a member of the Board of Directors and Investment Committee of The Vantagepoint Funds (2013-2014). Mr. Singleton served in various capacities at PineBridge Investments (global investment manager), including Managing Director, Head of Asset Management Companies and Global Head of Retail and Intermediary Sales (2010-2012), Managing Director, Global Head of Equity and Fixed Income Product Specialists (2009-2010) and Managing Director, Equity Product Specialist (Client Portfolio Manager) (2007-2010). He also served as Chairman of the Board of Directors of PineBridge East Africa (2011-2012) and PineBridge Taiwan (2011-2012). Mr. Singleton formerly served in various equity portfolio management and analyst positions, including at UBS Global Asset Management (2003-2006), Metropolitan West Capital Management (2000-2003) and Brinson Partners (investment manager, 1996-2000). Mr. Singleton is a Life Trustee, member of the Executive Committee and Chair of the Investment Committee of the Board of Trustees of the Illinois Institute of Technology (2012-present) and Chair of the Investment Committee (2010-present) of the Executive Leadership Council (nonprofit).
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.
Name, Year of Birth; Principal Occupations+
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).
Heather Bonner (1977)
Year of Election or Appointment: 2023
President and Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner is a Senior Vice President (2022-present) and is an employee of Fidelity Investments (2022-present). Ms. Bonner serves as Senior Vice President, Vice President, Treasurer, or Director of certain Fidelity entities. Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown is a Vice President (2015-present) and is an employee of Fidelity Investments. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-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 is Head of Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments. Mr. Burke serves as President, Executive Vice President, or Director of certain Fidelity entities. 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 Fidelity entities. Ms. Carey is a Senior Vice President, Deputy General Counsel (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 is a Vice President (2006-present) and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer or Director 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 is a Senior Vice President (2017-present) and is an employee of Fidelity Investments. Ms. Del Prato serves as Vice President or Assistant Treasurer of certain Fidelity entities. Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020).
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 is a Senior Vice President of Asset Management Compliance (2009-present) and is an employee of Fidelity Investments. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-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 is a Vice President (2016-present) and is an employee of Fidelity Investments. Mr. Hogan serves as Assistant Treasurer of certain Fidelity entities. 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 is a Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments. 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 is a Vice President (2008-present) and is an employee of Fidelity Investments. Mr. Maher serves as Assistant Treasurer of certain Fidelity entities. Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as AML Officer of other funds. Mr. Segaloff is a Vice President (2022-present) and is an employee of Fidelity Investments. Mr. Segaloff serves as Anti Money Laundering Compliance Officer or Anti Money Laundering/Bank Secrecy Act Compliance Officer of certain Fidelity entities.
Stacie M. Smith (1974)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith is a Senior Vice President (2016-present) and is an employee of Fidelity Investments. Ms. Smith serves as Assistant Treasurer of certain Fidelity entities and has served in other fund officer roles.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann is a Vice President (2016-present) and is an employee of Fidelity Investments. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
+ The information includes principal occupation during the last five years.
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 (September 1, 2023 to February 29, 2024). |
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 September 1, 2023 | | Ending Account Value February 29, 2024 | | Expenses Paid During Period- C September 1, 2023 to February 29, 2024 |
| | | | | | | | | | |
Strategic Advisers® Fidelity® International Fund | | | | .08% | | | | | | |
Actual | | | | | | $ 1,000 | | $ 1,098.80 | | $ .42 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.47 | | $ .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/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund designates $15,001,616 of distributions paid during the fiscal year ended 2024 as qualifying to be taxed as section 163(j) interest dividends.
The fund designates 76.81% of the dividend 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 amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are $0.2922 and $0.0202 for the dividend paid December 29, 2023.
The fund will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Fidelity International Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with FIAM LLC, FIL Investment Advisors, and Geode Capital Management, LLC (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, and FIL Investment Advisors (UK) Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2023 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.
The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.
The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over different time periods, measured against an appropriate securities market index (benchmark index) and a peer group of mutual funds with similar objectives (peer group).
The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. The Board also considered information about
performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The
Independent Trustees generally give greater weight to fund performance over longer time periods than
over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain
periods.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.
In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Strategic Advisers funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); and (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group").
The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for the 12-month period ended December 31, 2022 and below the competitive median of the asset size peer group for the 12-month period ended December 31, 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for the 12-month period ended December 31, 2022.
Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.
Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each 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, 2022 through November 30, 2023. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.
1.912839.113
SIL-ANN-0424
Strategic Advisers® 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
February 29, 2024
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. © 2024 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 February 29, 2024 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Emerging Markets Fund | 10.55% | 2.85% | 3.27% |
$10,000 Over 10 Years |
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Let's say hypothetically that $10,000 was invested in Strategic Advisers® Emerging Markets Fund on February 28, 2014. 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. |
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Management's Discussion of Fund Performance
Market Recap:
International (non-U.S.) equities gained 12.70% for the 12 months ending February 29, 2024, according to the MSCI ACWI (All Country World Index) ex USA Index, as global economic expansion and a slowing in the pace of inflation in some markets provided a mostly favorable backdrop for risk assets. The index's strong performance this period was driven, in part, by a narrow set of companies in the information technology sector and exuberance for generative artificial intelligence. Following historic global monetary tightening in some countries throughout 2022 and for most of 2023, investor sentiment shifted in the fourth quarter of last year to a view that policy rates had peaked, and policymakers would likely cut rates in 2024. This provided support for international stocks, with the index gaining 9.78% in the fourth quarter of 2023, reversing a three-month decline (-3.75%) at the end of September amid a stalling pattern in disinflationary trends, heightened geopolitical risk, soaring yields on longer-term U.S. government bonds, and weak economic conditions in the eurozone and China. For the full 12 months, each of six regions advanced, with Japan (+27%) leading by the widest margin, while Europe ex U.K. (+16%) also outpaced the benchmark. The Asia Pacific ex Japan (+3%) and U.K. (+5%) regions lagged most. Nine of the 11 sectors notably advanced, with information technology (+33%) and industrials (+21%) registering the largest gains. Conversely, real estate (-1%) lagged by the greatest amount, followed by consumer staples (0%) and communication services (+1%).
Comments from Portfolio Manager Wilfred Chilangwa:
For the fiscal year ending February 29, 2024, the Fund gained 10.55%, topping the 8.76% advance of the benchmark MSCI Emerging Markets Index. Among the Fund's underlying managers, sub-adviser Acadian Asset Management (+25%) handily outperformed and was the top relative contributor. Acadian employs a quantitative strategy combining country and economic inputs with bottom-up metrics. During the past 12 months, stock selection in China fueled its performance, supplemented by picks in India and Taiwan. Fidelity® SAI Emerging Markets Value Index Fund (+17%) also notably aided the broader Fund's relative result, aided by security selection and an underweight in China, investment choices and an overweight in India, as well as strong picks in South Korea. It was also propelled by the generally favorable performance of value stocks during the period. Sub-adviser Causeway Capital Management (+25%) also outpaced the broader Fund's benchmark by a large margin, rounding out the group of top contributors. Favorable investment choices in India, Taiwan and China drove Causeway's strong result this period. In contrast, sub-adviser T. Rowe Price (+0.2%) sharply underperformed the MSCI EM Index and was the primary relative detractor, pressured by security selection in China, Brazil, Taiwan and India. The iShares® MSCI China exchange-traded fund (-16%) also meaningfully detracted, as its result mirrored the poor performance of the Chinese market this period. During the period, we defunded our sub-advisory relationship with Somerset Capital Management and reallocated those assets to other sub-advisers in the portfolio. Overall, we kept the portfolio's risk level and style tilts close to the benchmark, relying on the expertise of our underlying managers to drive the Fund's relative performance.
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 | 11.5 | |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 8.3 | |
Fidelity Advisor Emerging Markets Fund Class Z | 7.1 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | 5.1 | |
Fidelity SAI Emerging Markets Index Fund | 4.9 | |
Goldman Sachs Emerging Markets Equity Fund Institutional Shares | 3.1 | |
Samsung Electronics Co. Ltd. | 2.7 | |
Tencent Holdings Ltd. | 2.5 | |
Invesco Developing Markets Fund Class R6 | 1.9 | |
abrdn Emerging Markets Fund Institutional Service Class | 1.5 | |
| 48.6 | |
|
Market Sectors (% of Fund's net assets) |
(Stocks Only) |
Information Technology | 14.7 | |
Financials | 12.1 | |
Consumer Discretionary | 8.6 | |
Communication Services | 4.6 | |
Industrials | 4.0 | |
Energy | 2.8 | |
Materials | 2.6 | |
Consumer Staples | 2.6 | |
Health Care | 1.5 | |
Utilities | 0.6 | |
Real Estate | 0.6 | |
|
Asset Allocation (% of Fund's net assets) |
|
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.
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 - 53.1% |
| | Shares | Value ($) |
COMMUNICATION SERVICES - 4.6% | | | |
Diversified Telecommunication Services - 0.3% | | | |
Emirates Integrated Telecommunications Co. | | 18,464 | 29,659 |
Indus Towers Ltd. (a) | | 685,656 | 2,091,005 |
KT Corp. | | 175,471 | 5,132,338 |
LG Uplus Corp. | | 460,835 | 3,561,303 |
Ooredoo QSC | | 386,288 | 1,206,288 |
PT Telkom Indonesia Persero Tbk | | 36,022,304 | 9,182,424 |
Saudi Telecom Co. | | 111,471 | 1,261,751 |
Telekom Malaysia Bhd | | 241,800 | 308,269 |
| | | 22,773,037 |
Entertainment - 0.8% | | | |
37 Interactive Entertainment Network Technology Group Co. Ltd. (A Shares) | | 1,406,386 | 3,811,063 |
Com2uS Corp. | | 2,100 | 66,990 |
FriendTimes, Inc. | | 125,932 | 17,210 |
G-bits Network Technology Xiamen Co. Ltd. (A Shares) | | 57,917 | 1,745,007 |
Gravity Co. Ltd. ADR (a) | | 279 | 21,503 |
IGG, Inc. (a) | | 421,000 | 197,340 |
International Games Systems Co. Ltd. | | 502,088 | 13,515,496 |
iQIYI, Inc. ADR (a) | | 426,969 | 1,575,516 |
JYP Entertainment Corp. | | 44,809 | 2,472,957 |
Kingnet Network Co. Ltd. (A Shares) | | 1,228,500 | 2,136,180 |
Kingsoft Corp. Ltd. | | 202,600 | 565,401 |
Mgame Corp. (a) | | 34,930 | 153,801 |
NetDragon WebSoft, Inc. | | 85,000 | 122,243 |
NetEase, Inc. | | 1,060,369 | 23,033,961 |
NetEase, Inc. ADR | | 165,288 | 17,837,881 |
Perfect World Co. Ltd. (A Shares) | | 883,773 | 1,440,857 |
Sea Ltd. ADR (a) | | 95,517 | 4,634,485 |
Tencent Music Entertainment Group ADR (a) | | 149,541 | 1,565,694 |
UserJoy Technology Co. Ltd. | | 19,950 | 48,219 |
Webzen, Inc. | | 11,695 | 145,901 |
| | | 75,107,705 |
Interactive Media & Services - 2.9% | | | |
AfreecaTV Co. Ltd. | | 10,135 | 974,479 |
Autohome, Inc. ADR Class A | | 144,738 | 3,761,741 |
Baidu, Inc.: | | | |
Class A (a) | | 234,150 | 2,962,794 |
sponsored ADR (a) | | 27,122 | 2,748,272 |
Focus Technology Co. Ltd. (A Shares) (a) | | 104,700 | 472,185 |
Hello Group, Inc. ADR | | 228,215 | 1,503,937 |
JOYY, Inc. ADR | | 51,985 | 1,637,528 |
Kuaishou Technology Class B (a)(b) | | 235,500 | 1,338,495 |
NAVER Corp. | | 106,854 | 15,603,037 |
Tencent Holdings Ltd. | | 6,788,655 | 237,810,892 |
VTEX (a) | | 25,857 | 215,647 |
Weibo Corp. sponsored ADR (c) | | 236,382 | 2,155,804 |
Yalla Group Ltd. ADR (a)(c) | | 26,264 | 134,472 |
Yandex NV Series A (a)(d) | | 317,300 | 3,414,148 |
| | | 274,733,431 |
Media - 0.1% | | | |
Arabian Contracting Services Co. | | 10,494 | 734,801 |
Central China Land Media Co. Ltd. (A Shares) | | 675,700 | 958,753 |
Changjiang Publishing & Media Co. Ltd. (A Shares) | | 303,860 | 314,062 |
Cheil Worldwide, Inc. | | 5,436 | 75,307 |
Chinese Universe Publishing and Media Group Co. Ltd. (A Shares) | | 1,657,241 | 3,543,335 |
Focus Media Information Technology Co. Ltd. (A Shares) | | 1,440,500 | 1,262,428 |
Jagran Prakashan Ltd. (a) | | 30,888 | 43,894 |
Korea Business News Co. Ltd. | | 6,677 | 29,750 |
LG HelloVision Co. Ltd. (a) | | 10,601 | 28,777 |
Media Prima Bhd | | 279,200 | 26,476 |
PT Media Nusantara Citra Tbk | | 3,989,800 | 82,766 |
Shandong Publishing & Media Co. Ltd. (A Shares) | | 1,516,200 | 2,227,271 |
Woongjin Holdings Co. Ltd. | | 19,424 | 36,218 |
Xiamen Jihong Technology Co. Ltd. | | 88,800 | 198,757 |
Xinhua Winshare Publishing and Media Co. Ltd. | | 18,795 | 17,116 |
Zhejiang Publishing & Media Co. Ltd. | | 174,000 | 203,563 |
| | | 9,783,274 |
Wireless Telecommunication Services - 0.5% | | | |
America Movil S.A.B. de CV Series L | | 3,350,265 | 3,137,142 |
Bharti Airtel Ltd. | | 1,654,371 | 22,419,177 |
Etihad Etisalat Co. | | 352,806 | 5,202,296 |
Far EasTone Telecommunications Co. Ltd. | | 612,000 | 1,521,734 |
Mobile Telecommunication Co. | | 704,037 | 1,150,709 |
Mobile Telecommunications Co. Saudi Arabia | | 525,232 | 2,086,755 |
MTN Group Ltd. | | 2,207,051 | 9,608,382 |
SK Telecom Co. Ltd. | | 15,497 | 611,685 |
TIM SA | | 1,028,100 | 3,757,836 |
Vodafone Qatar QSC | | 93,166 | 44,267 |
| | | 49,539,983 |
TOTAL COMMUNICATION SERVICES | | | 431,937,430 |
CONSUMER DISCRETIONARY - 8.6% | | | |
Automobile Components - 0.3% | | | |
Ajin Industrial Co. Ltd. (a) | | 27,212 | 87,418 |
FIEM Industries Ltd. | | 6,622 | 93,281 |
Fras-Le SA | | 16,700 | 54,926 |
Fuyao Glass Industries Group Co. Ltd.: | | | |
(A Shares) | | 2,408,200 | 14,502,164 |
Class A | | 261,873 | 1,576,997 |
Guangdong Dongfang Precision Science & Technology Co. Ltd. (a) | | 553,700 | 559,966 |
Hankook Tire Co. Ltd. | | 55,054 | 2,234,457 |
HDC Hyundai Engineering Plastics Co. Ltd. | | 9,827 | 32,526 |
Hyundai Mobis | | 13,384 | 2,430,421 |
Hyundai Wia Corp. | | 3,892 | 175,158 |
JK Tyre & Industries Ltd. | | 304,810 | 1,913,727 |
Kumho Tire Co., Inc. (a) | | 33,596 | 158,745 |
MAHLE Metal Leve SA | | 47,165 | 340,519 |
Pecca Group Bhd | | 355,500 | 101,133 |
Pha Co. Ltd. | | 10,325 | 90,615 |
PT Gadjah Tunggal Tbk (a) | | 2,245,700 | 167,909 |
Sandhar Technologies Ltd. | | 11,178 | 70,807 |
Sejong Industrial Co. Ltd. | | 11,274 | 50,992 |
Seoyon Co. Ltd. | | 15,754 | 128,588 |
Somboon Advance Technology PCL NVDR unit | | 71,100 | 36,819 |
Tianneng Power International Ltd. | | 243,826 | 220,174 |
Yoosung Enterprise Co. Ltd. | | 12,624 | 27,603 |
| | | 25,054,945 |
Automobiles - 1.7% | | | |
Bajaj Auto Ltd. | | 34,417 | 3,283,866 |
Brilliance China Automotive Holdings Ltd. | | 3,544,000 | 2,059,544 |
BYD Co. Ltd. (H Shares) | | 468,259 | 11,533,253 |
Dongfeng Motor Group Co. Ltd. (H Shares) | | 918,000 | 392,784 |
Eicher Motors Ltd. | | 62,451 | 2,857,098 |
Hyundai Motor Co. Ltd. (a) | | 211,735 | 39,717,704 |
Kia Corp. | | 493,611 | 46,019,080 |
Li Auto, Inc. ADR (a) | | 550,484 | 25,256,206 |
Loncin Motor Co. Ltd. | | 2,186,900 | 1,575,837 |
Mahindra & Mahindra Ltd. | | 860,021 | 20,048,309 |
Maruti Suzuki India Ltd. | | 4,318 | 588,010 |
Tata Motors Ltd. | | 355,230 | 4,071,893 |
| | | 157,403,584 |
Broadline Retail - 2.6% | | | |
Alibaba Group Holding Ltd. | | 11,964,967 | 110,002,114 |
Alibaba Group Holding Ltd. sponsored ADR | | 277,908 | 20,573,529 |
El Puerto de Liverpool S.A.B. Dcv Series C | | 32,299 | 236,289 |
JD.com, Inc.: | | | |
Class A | | 71,050 | 801,862 |
sponsored ADR | | 284,910 | 6,444,664 |
MercadoLibre, Inc. (a) | | 5,165 | 8,239,725 |
MINISO Group Holding Ltd. ADR (c) | | 128,457 | 2,354,617 |
Naspers Ltd. Class N | | 111,518 | 18,344,885 |
Ozon Holdings PLC ADR (a)(c)(d) | | 52,200 | 689,040 |
PDD Holdings, Inc. ADR (a) | | 448,398 | 55,843,487 |
Prosus NV | | 197,127 | 5,750,351 |
PT Mitra Adiperkasa Tbk | | 6,036,308 | 737,494 |
Savezon I&C Corp. | | 11,337 | 21,394 |
Shinsegae Co. Ltd. (a) | | 5,217 | 682,883 |
Vipshop Holdings Ltd. ADR (c) | | 907,723 | 17,473,668 |
Woolworths Holdings Ltd. | | 598,338 | 2,001,843 |
| | | 250,197,845 |
Diversified Consumer Services - 0.6% | | | |
Human Soft Holding Co. KSCC | | 32,403 | 354,827 |
Multicampus Co. Ltd. | | 955 | 25,959 |
New Oriental Education & Technology Group, Inc. (a) | | 2,357,095 | 22,152,655 |
New Oriental Education & Technology Group, Inc. sponsored ADR (a) | | 319,475 | 29,880,497 |
TAL Education Group ADR (a) | | 216,252 | 3,185,392 |
Visang Education, Inc. | | 8,025 | 36,958 |
| | | 55,636,288 |
Hotels, Restaurants & Leisure - 2.0% | | | |
Americana Restaurants International PLC | | 3,524,754 | 3,289,507 |
Arcos Dorados Holdings, Inc. Class A | | 168,114 | 1,993,832 |
Atour Lifestyle Holdings Ltd. ADR | | 105,473 | 2,044,067 |
DOUBLEUGAMES Co. Ltd. | | 4,925 | 170,938 |
EIH Associated Hotels | | 4,034 | 35,082 |
EIH Ltd. | | 25,995 | 126,674 |
Famous Brands Ltd. | | 971 | 2,868 |
Gourmet Master Co. Ltd. | | 44,000 | 123,168 |
H World Group Ltd. ADR | | 229,087 | 8,375,421 |
HJ Magnolia Yongpyong Hotel & Resort Corp. (a) | | 9,677 | 22,283 |
Jiumaojiu International Holdings Ltd. (b) | | 1,933,000 | 1,343,064 |
Jollibee Food Corp. | | 667,980 | 3,252,875 |
Las Vegas Sands Corp. | | 164,808 | 8,985,332 |
Leejam Sports Co. JSC | | 27,790 | 1,596,130 |
Luckin Coffee, Inc. ADR (a)(c) | | 21,200 | 467,057 |
MakeMyTrip Ltd. (a) | | 132,618 | 8,181,204 |
Meituan Class B (a)(b) | | 2,863,556 | 29,071,305 |
MK Restaurants Group PCL NVDR unit | | 29,200 | 30,487 |
OPAP SA | | 323,697 | 5,901,998 |
Sands China Ltd. (a) | | 932,400 | 2,655,664 |
Shangri-La Asia Ltd. (a) | | 7,670,000 | 4,986,308 |
Tongcheng Travel Holdings Ltd. (a) | | 2,246,800 | 5,670,447 |
Trip.com Group Ltd. (a) | | 34,300 | 1,556,887 |
Trip.com Group Ltd. ADR (a) | | 1,018,902 | 45,310,572 |
Wonderla Holidays Ltd. | | 9,374 | 106,818 |
Wowprime Corp. | | 261,685 | 1,984,279 |
Yum China Holdings, Inc. | | 370,890 | 15,907,472 |
Yum China Holdings, Inc. (Hong Kong) | | 89,652 | 3,916,085 |
Zomato Ltd. (a) | | 14,998,773 | 29,936,027 |
| | | 187,043,851 |
Household Durables - 0.6% | | | |
Changhong Meiling Co. Ltd. (A Shares) | | 1,281,892 | 1,508,601 |
Daewon Co. Ltd. | | 1,538 | 5,954 |
Guangdong Vanward New Electric Co. Ltd. (A Shares) | | 1,147,166 | 1,447,392 |
Haier Smart Home Co. Ltd. | | 353,000 | 1,069,111 |
Haier Smart Home Co. Ltd. (A Shares) | | 7,327,367 | 24,554,857 |
Hisense Home Appliances Group Co. Ltd. (H Shares) | | 117,365 | 371,755 |
KingClean Electric Co. Ltd. (A Shares) | | 39,600 | 119,869 |
LG Electronics, Inc. | | 91,653 | 6,513,233 |
Midea Group Co. Ltd.: | | | |
(A Shares) | | 1,756,655 | 15,304,585 |
(A Shares) | | 271,700 | 2,367,144 |
Skyworth Group Ltd. | | 2,109,457 | 746,305 |
TCL Electronics Holdings Ltd. | | 591,000 | 216,638 |
Vatti Corp. Ltd. (A Shares) | | 856,200 | 682,468 |
Viomi Technology Co. Ltd. ADR Class A (a) | | 71,922 | 45,311 |
Ya Horng Electronic Co. Ltd. | | 13,000 | 26,903 |
Zhejiang Meida Industal Co. Ltd. (A Shares) | | 343,100 | 447,212 |
Zhejiang Supor Cookware Co. Ltd. | | 167,600 | 1,288,827 |
Zhiou Home Furnishing Technology Co. Ltd. | | 59,100 | 191,803 |
| | | 56,907,968 |
Leisure Products - 0.0% | | | |
Xiamen Comfort Science & Technology Group Co. Ltd. (A Shares) | | 521,100 | 497,276 |
Specialty Retail - 0.2% | | | |
Abdullah Saad Mohammed Abo Moati Stationaries Co. | | 4,025 | 33,324 |
Beijing Caishikou Department Store Co. Ltd. (A Shares) | | 283,900 | 492,870 |
Bermaz Auto Bhd | | 183,300 | 94,248 |
China Harmony Auto Holding Ltd. | | 410,110 | 32,999 |
Dogus Otomotiv Servis ve Ticaret A/S | | 167,829 | 1,436,124 |
EEKA Fashion Holdings Ltd. | | 65,065 | 113,019 |
Foschini Group Ltd./The | | 355,241 | 1,937,341 |
Grand Baoxin Auto Group Ltd. (a) | | 209,460 | 4,548 |
HLA Group Corp. Ltd. (A Shares) | | 338,500 | 406,370 |
Index Living Mall PCL NVDR | | 230,500 | 143,752 |
Lewis Group Ltd. | | 7,250 | 16,141 |
Lojas Renner SA | | 1,734,052 | 5,511,461 |
LOTTE Hi-Mart Co. Ltd. | | 3,717 | 27,890 |
Pepkor Holdings Ltd. (b) | | 2,859,894 | 2,783,849 |
Pou Sheng International (Holdings) Ltd. | | 265,273 | 18,973 |
SSI Group, Inc. | | 124,000 | 7,565 |
United Electronics Co. | | 35,380 | 900,939 |
Vibra Energia SA | | 338,300 | 1,759,860 |
Zhongsheng Group Holdings Ltd. Class H | | 3,046,000 | 5,586,635 |
| | | 21,307,908 |
Textiles, Apparel & Luxury Goods - 0.6% | | | |
Anta Sports Products Ltd. | | 753,270 | 7,384,057 |
Arezzo Industria e Comercio SA | | 464,111 | 5,529,821 |
Arvind Mills Ltd. | | 81,229 | 274,373 |
Baiksan Co. Ltd. (a) | | 7,622 | 64,039 |
Baoxiniao Holding Co. Ltd. (A Shares) | | 1,804,400 | 1,644,095 |
Bosideng International Holdings Ltd. | | 410,000 | 206,846 |
Cabbeen Fashion Ltd. | | 75,881 | 9,110 |
CCC SA (a) | | 11,604 | 220,857 |
CECEP COSTIN New Materials Group Ltd. (a)(d) | | 741,000 | 1 |
Century Enka Ltd. | | 5,958 | 32,020 |
ECLAT Textile Co. Ltd. | | 778,106 | 13,275,323 |
Joeone Co. Ltd. | | 62,100 | 78,698 |
Kddl Ltd. | | 299 | 9,412 |
Kewal Kiran Clothing Ltd. | | 11,290 | 102,576 |
LF Corp. | | 4,141 | 40,560 |
Li Ning Co. Ltd. | | 2,049,920 | 5,110,727 |
Mavi Jeans Class B (b) | | 239,363 | 1,087,543 |
MC Group PCL NVDR | | 362,300 | 140,209 |
Pou Chen Corp. | | 1,452,000 | 1,399,198 |
Sabina Public Co. Ltd. NVDR | | 10,600 | 7,452 |
Samsonite International SA (a)(b) | | 1,561,200 | 5,453,582 |
Shenzhen Fuanna Bedding & Furnishing Co. Ltd. (A Shares) | | 235,400 | 340,232 |
Shenzhou International Group Holdings Ltd. | | 1,272,388 | 10,490,152 |
Shinsung Tongsang Co. Ltd. | | 20,237 | 28,853 |
Sutlej Textiles & Industries Ltd. | | 10,634 | 8,364 |
Titan Co. Ltd. | | 39,004 | 1,705,363 |
Vardhman Textiles Ltd. | | 19,291 | 99,765 |
Welspun India Ltd. | | 65,932 | 123,083 |
Youngone Corp. | | 30,882 | 1,017,517 |
Zhejiang Semir Garment Co. Ltd. (A Shares) | | 1,298,500 | 1,002,507 |
Zhejiang Xinao Textiles, Inc. (A Shares) | | 151,600 | 149,098 |
| | | 57,035,433 |
TOTAL CONSUMER DISCRETIONARY | | | 811,085,098 |
CONSUMER STAPLES - 2.6% | | | |
Beverages - 0.9% | | | |
Anadolu Efes Biracilik Ve Malt Sanayii A/S | | 133,943 | 667,753 |
Becle S.A.B. de CV | | 383,969 | 897,506 |
Budweiser Brewing Co. APAC Ltd. (b) | | 1,257,800 | 2,037,027 |
China Resources Beer Holdings Co. Ltd. | | 1,425,193 | 6,179,871 |
Coca-Cola FEMSA S.A.B. de CV sponsored ADR | | 18,112 | 1,757,770 |
Fomento Economico Mexicano S.A.B. de CV sponsored ADR (c) | | 150,682 | 18,720,732 |
Fraser & Neave Holdings Bhd | | 17,600 | 109,409 |
Haad Thip Co. Ltd. NVDR | | 194,000 | 91,281 |
Kweichow Moutai Co. Ltd.: | | | |
(A Shares) | | 6,600 | 1,556,203 |
(A Shares) | | 181,024 | 42,683,352 |
Nongfu Spring Co. Ltd. (H Shares) (b) | | 397,200 | 2,252,466 |
Power Root Bhd | | 59,000 | 20,763 |
Tsingtao Brewery Co. Ltd. (H Shares) | | 739,000 | 4,742,927 |
Varun Beverages Ltd. | | 195,760 | 3,326,232 |
| | | 85,043,292 |
Consumer Staples Distribution & Retail - 1.1% | | | |
Al-Dawaa Medical Services Co. | | 18,736 | 571,527 |
Almunajem Foods Co. | | 17,552 | 490,481 |
BBB Foods, Inc. | | 178,159 | 3,739,557 |
Bid Corp. Ltd. | | 324,162 | 7,583,498 |
BinDawood Holding Co. | | 205,239 | 390,744 |
CarrefourSA Carrefour Sabanci Ticaret Merkezi A/S (a) | | 9,671 | 47,191 |
Chengdu Hongqi Chain Co. Ltd. (A Shares) | | 96,800 | 63,154 |
Clicks Group Ltd. | | 207,314 | 3,243,632 |
CP ALL PCL (For. Reg.) | | 1,200 | 1,921 |
Eurocash SA | | 18,587 | 78,526 |
Jeronimo Martins SGPS SA | | 167,335 | 4,000,527 |
Migros Turk Ticaret A/S | | 96,435 | 1,523,032 |
PT Sumber Alfaria Trijaya Tbk | | 10,690,900 | 1,870,822 |
PUREGOLD Price Club, Inc. | | 8,518,425 | 4,166,415 |
Raia Drogasil SA | | 3,933,118 | 21,077,481 |
Saudi Marketing Co. | | 22,945 | 172,227 |
Shoprite Holdings Ltd. | | 1,113,943 | 14,996,995 |
Wal-Mart de Mexico SA de CV Series V | | 7,160,015 | 28,670,726 |
X5 Retail Group NV GDR (Reg. S) (a)(d) | | 10,262 | 125,196 |
Yifeng Pharmacy Chain Co. Ltd. | | 1,214,829 | 6,654,930 |
| | | 99,468,582 |
Food Products - 0.4% | | | |
AVI Ltd. | | 480,547 | 2,240,381 |
Bombay Burmah Trading Co. | | 7,611 | 159,478 |
Chacha Food Co. Ltd. (A Shares) | | 411,900 | 1,954,457 |
Cheng de Lolo Co. Ltd. Class A | | 20,900 | 22,968 |
China Mengniu Dairy Co. Ltd. | | 1,910,000 | 4,800,920 |
Daesang Corp. | | 10,638 | 156,533 |
DCM Shriram Industries Ltd. | | 20,253 | 47,227 |
Dhampur Sugar Mills Ltd. | | 42,112 | 121,873 |
Dwarikesh Sugar Industries Ltd. | | 32,054 | 30,142 |
FGV Holdings Bhd (b) | | 97,000 | 29,639 |
Gruma S.A.B. de CV Series B | | 631,126 | 11,239,314 |
Indofood Sukses Makmur Tbk PT | | 3,852,800 | 1,624,232 |
Kaveri Seed Co. Ltd. | | 17,362 | 139,187 |
Maeil Dairies Co. Ltd. (a) | | 1,869 | 57,102 |
Magadh Sugar & Energy Ltd. (a) | | 2,554 | 19,236 |
Mezzan Holding Co. KSCC | | 120,974 | 243,717 |
Minerva SA | | 287,800 | 394,262 |
NongShim Co. Ltd. | | 1,911 | 497,994 |
PT Indofood CBP Sukses Makmur Tbk | | 2,524,100 | 1,855,129 |
PT Japfa Comfeed Indonesia Tbk | | 525,400 | 38,448 |
PT Mayora Indah Tbk | | 116,490 | 18,235 |
PT Perusahaan Perkebunan London Sumatra Indonesia Tbk | | 466,264 | 25,071 |
PT Triputra Agro Persada | | 990,800 | 34,361 |
Samyang Holdings Corp. (a) | | 1,083 | 59,040 |
Saudi Dairy & Foodstuffs Co. | | 505 | 51,223 |
Shandong Bailong Chuangyuan Bio-Tech Co. Ltd. | | 21,900 | 81,950 |
SKM Egg Products Export Ltd. | | 9,149 | 28,144 |
SLC Agricola SA | | 208,000 | 822,611 |
TH Plantations Bhd | | 261,500 | 39,400 |
The National Agriculture Development Co. (a) | | 25,343 | 223,338 |
The Savola Group | | 12,731 | 179,917 |
Three-A Resources Bhd | | 93,000 | 17,442 |
Uni-President China Holdings Ltd. | | 105,000 | 63,031 |
Uni-President Enterprises Corp. | | 1,835,391 | 4,447,711 |
United Plantations Bhd | | 16,500 | 76,911 |
| | | 31,840,624 |
Household Products - 0.0% | | | |
Jyothy Laboratories Ltd. | | 45,684 | 254,639 |
Opple Lighting Co. Ltd. (A Shares) | | 381,800 | 871,560 |
| | | 1,126,199 |
Personal Care Products - 0.2% | | | |
Able C&C Ltd. | | 5,949 | 29,847 |
AMOREPACIFIC Corp. | | 55,164 | 4,940,497 |
Bajaj Consumer Care Ltd. | | 34,018 | 96,294 |
Colgate-Palmolive Ltd. | | 80,373 | 2,449,876 |
Emami Ltd. | | 35,733 | 200,876 |
Gillette India Ltd. | | 254 | 19,941 |
Hangzhou Haoyue Personal Care Co. Ltd. | | 27,139 | 141,497 |
Hindustan Unilever Ltd. | | 364,135 | 10,596,572 |
Procter & Gamble Hygiene & Hea | | 880 | 167,128 |
| | | 18,642,528 |
Tobacco - 0.0% | | | |
Godfrey Phillips India Ltd. | | 5,107 | 182,203 |
ITC Ltd. | | 410,200 | 2,010,547 |
KT&G Corp. | | 7,967 | 554,832 |
PT Gudang Garam Tbk | | 191,367 | 247,505 |
| | | 2,995,087 |
TOTAL CONSUMER STAPLES | | | 239,116,312 |
ENERGY - 2.2% | | | |
Energy Equipment & Services - 0.0% | | | |
China Oilfield Services Ltd. (H Shares) | | 664,000 | 585,171 |
Dayang Enterprise Holdings Bhd | | 140,600 | 69,033 |
Gulf International Services QSC | | 188,474 | 148,564 |
| | | 802,768 |
Oil, Gas & Consumable Fuels - 2.2% | | | |
Adnoc Gas PLC | | 728,921 | 625,138 |
Anhui Hengyan Coal Industry & Electricity Power Co. Ltd. (A Shares) | | 158,400 | 272,129 |
Bangchak Corp. PCL: | | | |
(For. Reg.) | | 679,600 | 785,227 |
NVDR | | 174,200 | 201,275 |
Banpu PCL NVDR | | 6,980,100 | 1,088,287 |
Bharat Petroleum Corp. Ltd. | | 373,869 | 2,723,455 |
Chennai Petroleum Corp. Ltd. | | 199,467 | 2,127,255 |
China Coal Energy Co. Ltd. (H Shares) | | 218,000 | 235,277 |
China Coal Xinji Energy Co. Ltd. (A Shares) | | 767,300 | 754,636 |
China Merchants Energy Shipping Co. Ltd. (A Shares) | | 2,228,960 | 2,232,479 |
China Petroleum & Chemical Corp. (H Shares) | | 9,125,166 | 5,046,551 |
China Shenhua Energy Co. Ltd. (H Shares) | | 139,500 | 538,971 |
Coal India Ltd. | | 2,867,736 | 15,107,549 |
COSCO Shipping Energy Transportation Co. Ltd. (H Shares) | | 434,000 | 410,747 |
Exxaro Resources Ltd. | | 166,842 | 1,545,942 |
Gazprom OAO (a)(d) | | 1,235,592 | 131,481 |
Gazprom OAO sponsored ADR (Reg. S) (a)(d) | | 968,777 | 221,307 |
Hindustan Petroleum Corp. Ltd. | | 398,578 | 2,449,311 |
Indian Oil Corp. Ltd. | | 3,347,070 | 6,684,449 |
Lanna Resources PCL NVDR | | 67,600 | 28,420 |
LUKOIL PJSC (a)(d) | | 165,638 | 52,136 |
LUKOIL PJSC sponsored ADR (a)(d) | | 200,700 | 3,331,620 |
Mangalore Refinery & Petrochemicals Ltd. | | 117,420 | 322,677 |
MOL Hungarian Oil and Gas PLC Series A (For. Reg.) | | 191,651 | 1,524,866 |
Oil & Natural Gas Corp. Ltd. | | 3,091,509 | 9,868,065 |
Oil India Ltd. | | 106,247 | 700,516 |
OMV AG | | 26,142 | 1,151,079 |
Orlen SA | | 157,588 | 2,446,045 |
PetroChina Co. Ltd. (H Shares) | | 40,255,194 | 31,722,913 |
Petroleo Brasileiro SA - Petrobras (ON) | | 107,761 | 893,546 |
Petronet LNG Ltd. | | 111,563 | 368,019 |
Prio SA | | 1,353,770 | 11,903,459 |
PT Adaro Energy Indonesia Tbk | | 48,985,000 | 7,543,347 |
PT Baramulti Suksessarana Tbk | | 28,475 | 6,577 |
PT Bukit Asam Tbk | | 5,256,626 | 856,313 |
PT Indika Energy Tbk | | 1,227,841 | 106,259 |
PT Indo Tambangraya Megah Tbk | | 651,800 | 1,086,679 |
PT TBS Energi Utama Tbk | | 536,600 | 8,673 |
PT United Tractors Tbk | | 1,174,200 | 1,757,751 |
PTT Exploration and Production PCL: | | | |
(For. Reg.) | | 2,211,623 | 9,297,837 |
NVDR | | 831,300 | 3,494,851 |
PTT PCL NVDR | | 2,927,000 | 2,791,112 |
Reliance Industries Ltd. | | 1,479,226 | 52,134,709 |
Rosneft Oil Co. OJSC (a)(d) | | 634,013 | 107,826 |
Saudi Arabian Oil Co. (b) | | 319,013 | 2,696,508 |
Shanxi Lu'an Environmental Energy Development Co. Ltd. (A Shares) | | 107,835 | 387,619 |
Sinopec Kantons Holdings Ltd. | | 28,235 | 12,802 |
StealthGas, Inc. (a) | | 18,136 | 111,899 |
Susco Public Co. Ltd. NVDR unit | | 49,300 | 6,698 |
Tatneft PAO sponsored ADR (a)(d) | | 28,136 | 157,562 |
Thai Oil PCL NVDR | | 1,167,000 | 1,819,503 |
TotalEnergies SE | | 88,191 | 5,621,224 |
Turkiye Petrol Rafinerileri A/S | | 339,983 | 1,761,339 |
Ultrapar Participacoes SA | | 756,500 | 4,467,993 |
Vista Energy S.A.B. de CV ADR (a) | | 54,461 | 2,004,165 |
Yankuang Energy Group Co. Ltd. (H Shares) | | 216,000 | 498,790 |
| | | 206,232,863 |
TOTAL ENERGY | | | 207,035,631 |
FINANCIALS - 11.7% | | | |
Banks - 8.5% | | | |
Absa Group Ltd. | | 751,139 | 6,405,438 |
Abu Dhabi Islamic Bank | | 164,367 | 502,998 |
Agricultural Bank of China Ltd. (H Shares) | | 39,205,980 | 16,124,051 |
Akbank TAS | | 551,306 | 733,980 |
Al Rajhi Bank | | 792,611 | 18,809,796 |
Alinma Bank | | 935,002 | 10,957,347 |
Alliance Bank Malaysia Bhd | | 59,900 | 44,936 |
AMMB Holdings Bhd | | 48,800 | 44,630 |
Arab National Bank | | 407,889 | 3,029,013 |
Axis Bank Ltd. | | 4,321,425 | 56,046,372 |
Axis Bank Ltd. sponsored GDR (Reg. S) | | 122,564 | 7,991,173 |
Banco de Chile | | 21,632,481 | 2,507,958 |
Banco do Brasil SA | | 1,486,077 | 17,296,859 |
Banco Santander Chile sponsored ADR | | 121,235 | 2,379,843 |
Bangkok Bank PCL NVDR | | 1,559,100 | 6,207,317 |
Bank For Foreign Trade JSC (a) | | 567,900 | 2,241,650 |
Bank of Baroda | | 868,443 | 2,780,966 |
Bank of China Ltd. (H Shares) | | 8,438,000 | 3,319,374 |
Bank of Communications Co. Ltd. (H Shares) | | 3,615,703 | 2,373,678 |
Bank Polska Kasa Opieki SA | | 158,392 | 6,862,291 |
Banque Saudi Fransi | | 38,204 | 388,122 |
BDO Unibank, Inc. | | 1,387,696 | 3,776,211 |
BNK Financial Group, Inc. | | 85,128 | 478,099 |
Canara Bank Ltd. | | 588,947 | 4,010,268 |
Capitec Bank Holdings Ltd. | | 183,036 | 19,255,712 |
China CITIC Bank Corp. Ltd. (H Shares) | | 1,234,000 | 657,230 |
China Construction Bank Corp. (H Shares) | | 77,580,973 | 48,112,323 |
China Merchants Bank Co. Ltd. (H Shares) | | 1,628,000 | 6,295,509 |
China Minsheng Banking Corp. Ltd. (H Shares) | | 1,024,000 | 360,973 |
Chongqing Rural Commercial Bank Co. Ltd. (H Shares) | | 2,160,081 | 871,813 |
CIMB Group Holdings Bhd | | 1,526,600 | 2,078,145 |
Credicorp Ltd. (United States) | | 200,832 | 34,318,172 |
CTBC Financial Holding Co. Ltd. | | 12,268,934 | 11,396,375 |
Dcb Bank Ltd. | | 51,533 | 79,542 |
DGB Financial Group Co. Ltd. | | 80,436 | 533,664 |
Dubai Islamic Bank Pakistan Ltd. | | 125,093 | 219,333 |
Emirates NBD Bank PJSC | | 952,963 | 4,748,015 |
Eurobank Ergasias Services and Holdings SA (a) | | 2,216,472 | 4,579,119 |
First Abu Dhabi Bank PJSC | | 603,174 | 2,239,969 |
Grupo Financiero Banorte S.A.B. de CV Series O | | 3,121,954 | 32,277,791 |
Gulf Bank | | 538,253 | 515,953 |
Haci Omer Sabanci Holding A/S | | 798,498 | 2,032,582 |
Hana Financial Group, Inc. | | 359,316 | 15,229,188 |
HDFC Bank Ltd. | | 2,911,586 | 49,186,270 |
HDFC Bank Ltd. sponsored ADR | | 120,678 | 6,456,273 |
Hong Leong Credit Bhd | | 23,800 | 85,260 |
ICICI Bank Ltd. | | 4,364,546 | 55,447,296 |
ICICI Bank Ltd. sponsored ADR | | 330,968 | 8,476,090 |
Indian Bank | | 69,287 | 438,942 |
Industrial & Commercial Bank of China Ltd. (H Shares) | | 65,762,360 | 33,710,632 |
KB Financial Group, Inc. | | 510,943 | 24,295,729 |
Komercni Banka A/S | | 11,035 | 384,070 |
Kotak Mahindra Bank Ltd. | | 243,864 | 4,970,095 |
Krung Thai Bank PCL NVDR | | 3,506,600 | 1,571,832 |
National Bank of Greece SA (a) | | 5,046,357 | 39,509,520 |
Nova Ljubljanska banka d.d. GDR | | 357,405 | 7,725,667 |
Nu Holdings Ltd. (a) | | 2,896,846 | 32,097,054 |
OTP Bank PLC | | 540,321 | 25,905,861 |
Piraeus Financial Holdings SA (a) | | 699,287 | 3,076,063 |
Powszechna Kasa Oszczednosci Bank SA | | 1,466,813 | 20,409,239 |
PT Bank Central Asia Tbk | | 47,920,576 | 30,112,357 |
PT Bank Danamon Indonesia Tbk Series A | | 355,601 | 65,848 |
PT Bank Mandiri (Persero) Tbk | | 23,383,474 | 10,415,801 |
PT Bank Negara Indonesia (Persero) Tbk | | 9,524,115 | 3,636,315 |
PT Bank Rakyat Indonesia (Persero) Tbk | | 37,849,795 | 14,752,147 |
PT Bank Tabungan Negara (Persero) Tbk | | 1,476,200 | 134,328 |
Qatar National Bank SAQ | | 1,303,843 | 5,453,867 |
Saudi Awwal Bank | | 185,404 | 2,039,281 |
Saudi Investment Bank/The | | 36,473 | 157,356 |
Sberbank of Russia (a)(d) | | 2,908,251 | 18,184 |
Sberbank of Russia: | | | |
(RTSX) (a)(d) | | 328,709 | 2,055 |
sponsored ADR (a)(d) | | 1,288,149 | 22,929 |
Sharjah Islamic Bank | | 49,446 | 29,617 |
Shinhan Financial Group Co. Ltd. | | 224,421 | 7,315,274 |
Standard Bank Group Ltd. | | 1,004,113 | 10,565,698 |
The Karnataka Bank Ltd. | | 313,067 | 859,381 |
The Karur Vysya Bank Ltd. | | 528,830 | 1,171,279 |
The Saudi National Bank | | 3,278,822 | 37,025,868 |
Turkiye Garanti Bankasi A/S | | 208,894 | 422,049 |
Union Bank of India Ltd. | | 1,507,273 | 2,660,161 |
Woori Financial Group, Inc. | | 168,946 | 1,885,029 |
Yapi ve Kredi Bankasi A/S | | 1,004,202 | 742,746 |
| | | 804,347,241 |
Capital Markets - 0.7% | | | |
Alexander Forbes Group Holdings Ltd. | | 888 | 306 |
Angel One Ltd. | | 59,075 | 1,983,087 |
Authum Investment Infrastucture Ltd. (a) | | 2,159 | 21,427 |
B3 SA - Brasil Bolsa Balcao | | 2,571,343 | 6,636,425 |
Banco BTG Pactual SA unit | | 3,876,456 | 28,376,865 |
BSE Ltd. | | 31,306 | 893,861 |
Bursa Malaysia Bhd | | 184,600 | 290,583 |
Central Depository Services (India) Ltd. | | 8,584 | 198,526 |
China Galaxy Securities Co. Ltd. (H Shares) | | 3,176,000 | 1,671,259 |
Daishin Securities Co. Ltd. | | 3,234 | 39,789 |
HDFC Asset Management Co. Ltd. (b) | | 64,797 | 2,933,629 |
Hyundai Motor IB Securities Co. Ltd. | | 4,263 | 29,528 |
IIFL Securities Ltd. | | 73,620 | 131,396 |
Kenanga Investment Bank Bhd | | 148,400 | 34,086 |
KFin Technologies Ltd. (a) | | 22,127 | 183,153 |
Kiwoom Securities Co. Ltd. | | 9,387 | 883,580 |
Korea Investment Holdings Co. Ltd. | | 20,275 | 1,077,961 |
Motilal Oswal Financial Services Ltd. | | 2,593 | 50,520 |
Nahar Capital & Finance Services Ltd. | | 1,596 | 5,922 |
Nippon Life India Asset Management Ltd. (b) | | 25,242 | 157,018 |
Noah Holdings Ltd. sponsored ADR | | 41,583 | 462,403 |
Prudent Corporate Advisory Services Ltd. | | 1,292 | 21,271 |
Samsung Securities Co. Ltd. | | 49,530 | 1,541,073 |
UTI Asset Management Co. Ltd. | | 8,319 | 89,989 |
VLS Finance Ltd. | | 24,557 | 82,844 |
XP, Inc. Class A | | 576,965 | 13,639,453 |
| | | 61,435,954 |
Consumer Finance - 0.3% | | | |
FinVolution Group ADR | | 175,516 | 917,949 |
Gentera S.A.B. de CV | | 6,028,551 | 9,061,794 |
Kaspi.KZ JSC GDR (Reg. S) | | 81,056 | 8,364,979 |
Lufax Holding Ltd. ADR (c) | | 183,107 | 571,294 |
Manappuram General Finance & Leasing Ltd. | | 1,498,937 | 3,186,111 |
Paisalo Digital Ltd. | | 95,692 | 212,809 |
Qifu Technology, Inc. ADR | | 102,125 | 1,577,831 |
Repco Home Finance Ltd. | | 17,748 | 93,520 |
Shriram Transport Finance Co. Ltd. | | 131,969 | 3,882,256 |
The Leadcorp, Inc. | | 5,937 | 26,453 |
Ujjivan Financial Services Ltd. | | 71,558 | 473,960 |
| | | 28,368,956 |
Financial Services - 0.6% | | | |
Chailease Holding Co. Ltd. | | 4,143,543 | 22,844,405 |
FirstRand Ltd. | | 4,866,165 | 16,435,358 |
Indiabulls Housing Finance Ltd. | | 205,419 | 468,726 |
Indiabulls Housing Finance Ltd. | | 102,709 | 123,469 |
Jio Financial Services Ltd. | | 287,613 | 1,075,578 |
L&T Finance Holdings Ltd. | | 581,020 | 1,171,572 |
LIC Housing Finance Ltd. | | 246,922 | 1,930,069 |
Power Finance Corp. Ltd. | | 1,431,571 | 6,919,965 |
PTC India Financial Services Ltd. | | 196,803 | 105,886 |
REC Ltd. | | 1,915,938 | 10,217,026 |
| | | 61,292,054 |
Insurance - 1.6% | | | |
Agesa Hayat Ve Emeklilik A/S | | 63,494 | 131,129 |
AIA Group Ltd. | | 3,898,072 | 31,423,087 |
Caixa Seguridade Participacoes | | 328,300 | 949,020 |
Cathay Financial Holding Co. Ltd. | | 3,722,993 | 5,299,069 |
China Life Insurance Co. Ltd. (H Shares) | | 24,361,242 | 30,025,670 |
China Pacific Insurance (Group) Co. Ltd. (H Shares) | | 5,913,571 | 11,284,086 |
China Taiping Insurance Group Ltd. | | 2,971,634 | 2,592,281 |
Db Insurance Co. Ltd. | | 22,138 | 1,637,869 |
Fubon Financial Holding Co. Ltd. | | 523,000 | 1,123,630 |
Hanwha Life Insurance Co. Ltd. (a) | | 130,319 | 307,399 |
HDFC Standard Life Insurance Co. Ltd. (b) | | 1,567,828 | 11,007,611 |
Hyundai Marine & Fire Insurance Co. Ltd. | | 40,808 | 962,586 |
IRB Brasil Resseguros SA (a) | | 48,500 | 378,743 |
Momentum Metropolitan Holdings | | 150,789 | 163,840 |
Old Mutual Ltd. | | 862,710 | 537,057 |
OUTsurance Group Ltd. | | 254,415 | 552,338 |
PICC Property & Casualty Co. Ltd. (H Shares) | | 4,944,697 | 6,770,184 |
Ping An Insurance Group Co. of China Ltd. (H Shares) | | 3,061,750 | 13,616,121 |
Powszechny Zaklad Ubezpieczen SA | | 1,117,168 | 13,739,731 |
PT Panin Financial Tbk (a) | | 2,868,938 | 47,466 |
Samsung Fire & Marine Insurance Co. Ltd. | | 66,485 | 14,836,234 |
Samsung Life Insurance Co. Ltd. | | 16,237 | 1,178,185 |
Sanlam Ltd. | | 170,247 | 652,850 |
Saudi Arabian Cooperative Insurance Co. | | 15,991 | 73,766 |
Tongyang Life Insurance Co. Ltd. (a) | | 6,771 | 29,509 |
| | | 149,319,461 |
TOTAL FINANCIALS | | | 1,104,763,666 |
HEALTH CARE - 1.5% | | | |
Biotechnology - 0.2% | | | |
Innovent Biologics, Inc. (a)(b) | | 3,303,925 | 17,871,029 |
PharmaResearch Co. Ltd. | | 10,367 | 728,958 |
| | | 18,599,987 |
Health Care Equipment & Supplies - 0.2% | | | |
Cofoe Medical Technology Co. Ltd. (A Shares) | | 37,510 | 171,618 |
Edan Instruments, Inc. (A Shares) | | 496,600 | 634,165 |
Kossan Rubber Industries Bhd | | 159,200 | 63,069 |
Rayence Co. Ltd. | | 12,372 | 84,771 |
Shanghai Kindly Enterprise Development Group Co. Ltd. (A Shares) | | 135,000 | 144,603 |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd. (A Shares) | | 323,825 | 13,026,606 |
Xiangyu Medical Co. Ltd. (A Shares) | | 92,861 | 547,453 |
| | | 14,672,285 |
Health Care Providers & Services - 0.3% | | | |
Apollo Hospitals Enterprise Ltd. | | 132,027 | 9,718,028 |
Bangkok Dusit Medical Services PCL NVDR | | 2,633,300 | 2,089,484 |
Bumrungrad Hospital PCL (For. Reg.) | | 542,900 | 3,385,804 |
Ekachai Medical Care PCL NVDR | | 585,070 | 125,427 |
Global Health Ltd. (a) | | 57,280 | 942,655 |
Hapvida Participacoes e Investimentos SA (a)(b) | | 5,342,638 | 3,944,294 |
Indraprastha Medical Corp. Ltd. | | 22,405 | 48,583 |
Kovai Medical Center & Hospital Ltd. (a) | | 730 | 34,686 |
National Medical Care Co. | | 26,872 | 1,440,224 |
Netcare Ltd. | | 5,134,175 | 3,629,792 |
Profarma Distribuidora de Produtos Farmaceuticos SA | | 12,200 | 14,332 |
Rede D'Oregon Sao Luiz SA (b) | | 535,146 | 2,725,734 |
Saudi Chemical Co. Holding | | 306,929 | 437,032 |
Shalby Ltd. | | 6,366 | 20,681 |
Shanghai Pharmaceuticals Holding Co. Ltd. (H Shares) | | 547,900 | 881,734 |
Sinopharm Group Co. Ltd. (H Shares) | | 473,600 | 1,327,737 |
| | | 30,766,227 |
Life Sciences Tools & Services - 0.1% | | | |
Samsung Biologics Co. Ltd. (a)(b) | | 19,514 | 11,310,219 |
Pharmaceuticals - 0.7% | | | |
Alembic Pharmaceuticals Ltd. | | 18,248 | 224,460 |
Alkem Laboratories Ltd. | | 15,790 | 976,668 |
Aspen Pharmacare Holdings Ltd. | | 389,884 | 3,984,013 |
Aurobindo Pharma Ltd. | | 400,876 | 4,971,839 |
Beijing Konruns Pharmaceutical Co. Ltd. (A Shares) | | 49,000 | 221,189 |
Beijing Winsunny Pharmaceutical Co. Ltd. | | 11,800 | 24,442 |
Bora Pharmaceuticals Co. Ltd. | | 66,000 | 1,395,027 |
Caplin Point Laboratories Ltd. | | 16,529 | 295,705 |
Chengdu Kanghong Pharmaceutical Group Co. Ltd. (A Shares) | | 228,284 | 546,524 |
China Resources Pharmaceutical Group Ltd. (b) | | 1,534,000 | 1,038,406 |
Dr. Reddy's Laboratories Ltd. | | 30,573 | 2,371,238 |
Glenmark Pharmaceuticals Ltd. | | 43,064 | 480,590 |
Hansoh Pharmaceutical Group Co. Ltd. (b) | | 7,717,744 | 13,603,023 |
Hypera SA (a) | | 305,653 | 2,021,659 |
JW Holdings Corp. | | 10,986 | 27,930 |
Lupin Ltd. | | 110,660 | 2,164,007 |
Mankind Pharma Ltd. | | 199,858 | 5,148,884 |
Natco Pharma Ltd. | | 118,923 | 1,427,521 |
Neuland Laboratories Ltd. | | 3,097 | 267,574 |
Richter Gedeon PLC | | 838,036 | 22,310,631 |
Sun Pharmaceutical Industries Ltd. | | 169,816 | 3,232,537 |
Zydus Lifesciences Ltd. | | 51,101 | 580,639 |
| | | 67,314,506 |
TOTAL HEALTH CARE | | | 142,663,224 |
INDUSTRIALS - 4.0% | | | |
Aerospace & Defense - 0.5% | | | |
Bharat Electronics Ltd. | | 605,489 | 1,498,110 |
Embraer SA (a) | | 463,119 | 2,275,954 |
Hanwha Aerospace Co. Ltd. | | 12,896 | 1,810,673 |
Hindustan Aeronautics Ltd. | | 604,162 | 22,477,421 |
Korea Aerospace Industries Ltd. | | 594,877 | 22,852,215 |
Mazagon Dock Shipbuilders Ltd. | | 39,319 | 988,916 |
| | | 51,903,289 |
Air Freight & Logistics - 0.1% | | | |
CJ Logistics Corp. | | 6,766 | 630,284 |
Dimerco Express Corp. | | 162,558 | 433,988 |
Hyundai Glovis Co. Ltd. | | 21,780 | 3,106,967 |
Milkyway Chemical Supply Chain Service Co. Ltd. (A Shares) | | 9,200 | 62,454 |
Transport Corp. of India Ltd. | | 11,277 | 112,960 |
ZTO Express, Inc. sponsored ADR | | 151,014 | 2,897,959 |
| | | 7,244,612 |
Building Products - 0.0% | | | |
Bawan Co. | | 18,161 | 244,064 |
Cera Sanitaryware Ltd. | | 3,493 | 319,382 |
LX Hausys Ltd. | | 1,397 | 42,786 |
PT Mulia Industrindo Tbk | | 3,789,084 | 100,303 |
Ras Al Khaimah Ceramics | | 119,643 | 94,465 |
| | | 801,000 |
Commercial Services & Supplies - 0.0% | | | |
Beijing Sanlian Hope Shin-Gosen Technical Service Co. Ltd. (A Shares) | | 92,400 | 169,410 |
Ion Exchange (INDIA) Ltd. | | 15,350 | 89,717 |
L&K Engineering Co. Ltd. | | 198,000 | 1,054,090 |
L&K Engineering Co. Ltd. rights (a) | | 2,557 | 4,322 |
PT Jasuindo Tiga Perkasa Tbk | | 3,368,800 | 62,596 |
Valid Solucoes SA | | 67,900 | 255,286 |
| | | 1,635,421 |
Construction & Engineering - 0.5% | | | |
Ahluwalia Contracts (India) Ltd. | | 9,149 | 131,190 |
Al Babtain Power & Telecommunication Co. | | 3,810 | 34,236 |
Ashoka Buildcon Ltd. (a) | | 520,814 | 1,170,489 |
China Railway Group Ltd. (H Shares) | | 5,114,000 | 2,495,112 |
China State Construction International Holdings Ltd. | | 812,000 | 905,391 |
Daewoo Engineering & Construction Co. Ltd. (a) | | 244,789 | 729,556 |
DL E&C Co. Ltd. | | 25,435 | 704,721 |
Hongrun Construction Group Co. Ltd. (A Shares) | | 90,200 | 50,065 |
IJM Corp. Bhd | | 640,100 | 288,655 |
ITD Cementation India Ltd. | | 200,636 | 799,567 |
Larsen & Toubro Ltd. | | 765,097 | 32,096,786 |
Metallurgical Corp. China Ltd. (H Shares) | | 2,027,205 | 409,092 |
Ncc Ltd. | | 586,038 | 1,746,909 |
Om Infra Ltd. | | 15,602 | 23,179 |
Orascom Construction PLC | | 1,460 | 13,655 |
Power Mech Projects Ltd. | | 2,449 | 151,159 |
Sinopec Engineering Group Co. Ltd. (H Shares) | | 574,738 | 315,649 |
Techno Electric & Engineering Co. Ltd. | | 5,288 | 45,097 |
Voltas Ltd. | | 298,204 | 3,989,843 |
Welspun Enterprises Ltd. | | 46,513 | 176,581 |
| | | 46,276,932 |
Electrical Equipment - 0.5% | | | |
Bharat Heavy Electricals Ltd. | | 3,113,932 | 8,547,864 |
China High Speed Transmission Equipment Group Co. Ltd. (a) | | 378 | 70 |
Contemporary Amperex Technology Co. Ltd. | | 329,752 | 7,500,400 |
Contemporary Amperex Technology Co. Ltd. (A Shares) | | 254,100 | 5,779,651 |
CviLux Corp. | | 31,000 | 46,131 |
DONGYANG E&P, Inc. | | 21,665 | 317,655 |
Elecon Engineering Co. Ltd. | | 25,072 | 303,105 |
Electrical Industries Co. | | 1,118,894 | 1,256,045 |
HD Hyundai Electric Co. Ltd. | | 19,548 | 1,820,985 |
ILJIN Holdings Co. Ltd. | | 8,073 | 25,451 |
KEI Industries Ltd. | | 100,782 | 3,903,562 |
Middle East Specialized Cables Co. (a) | | 26,460 | 178,150 |
NARI Technology Co. Ltd.: | | | |
(A Shares) | | 334,500 | 1,078,604 |
(A Shares) | | 1,624,792 | 5,239,187 |
Riyadh Cables Group Co. | | 9,096 | 271,645 |
Sieyuan Electric Co. Ltd.: | | | |
(A Shares) | | 141,700 | 1,128,688 |
(A Shares) | | 505,096 | 4,023,258 |
Sociedad Quimica y Minera de Chile SA (PN-B) sponsored ADR | | 43,275 | 2,151,633 |
TD Power Systems Ltd. | | 22,786 | 81,996 |
Triveni Turbine Ltd. | | 167,479 | 1,006,551 |
Voltamp Transformers Ltd. | | 953 | 101,249 |
Weg SA | | 356,240 | 2,629,286 |
Zhongshan Broad-Ocean Motor Co. Ltd. (A Shares) | | 299,100 | 204,292 |
| | | 47,595,458 |
Ground Transportation - 0.4% | | | |
Globaltrans Investment PLC GDR (Reg. S) (a)(d) | | 13,245 | 4,580 |
Localiza Rent a Car SA | | 2,758,534 | 29,410,453 |
Localiza Rent a Car SA | | 9,018 | 91,793 |
PT Rmk Energy Tbk | | 2,594,800 | 85,035 |
Sebang Co. Ltd. | | 4,390 | 41,552 |
United International Transportation Co. | | 200,055 | 4,720,920 |
Vamos Locacao de Caminhoes Maquinas e Equipamentos SA | | 2,353,883 | 4,133,773 |
| | | 38,488,106 |
Industrial Conglomerates - 0.3% | | | |
Aamal Co. | | 177,954 | 38,562 |
AG Anadolu Grubu Holding A/S | | 89,878 | 735,278 |
AK Holdings, Inc. | | 1,601 | 19,518 |
Astra Industrial Group | | 27,108 | 1,221,569 |
Bidvest Group Ltd./The | | 9,674 | 117,853 |
CITIC Pacific Ltd. | | 1,646,000 | 1,662,924 |
CITIC Resources Holdings Ltd. | | 590,000 | 30,519 |
CJ Corp. | | 20,073 | 1,456,531 |
GS Holdings Corp. | | 34,996 | 1,259,202 |
Hanwha Corp. | | 40,574 | 893,262 |
Jardine Matheson Holdings Ltd. | | 93,400 | 3,914,394 |
Koc Holding A/S | | 632,911 | 3,408,598 |
Kolon Corp. (a) | | 6,373 | 81,845 |
LG Corp. | | 93,793 | 6,581,028 |
Mytilineos SA | | 28,043 | 1,091,119 |
Nava Bharat Ventures Ltd. | | 157,633 | 952,891 |
PT Astra International Tbk | | 3,912,500 | 1,300,847 |
Sime Darby Bhd | | 1,463,200 | 835,586 |
Thoresen Thai Agencies PCL NVDR | | 685,000 | 132,547 |
| | | 25,734,073 |
Machinery - 1.1% | | | |
Action Construction Equipment Ltd. | | 3,239 | 49,395 |
AIA Engineering Ltd. | | 2,974 | 130,789 |
Airtac International Group | | 267,005 | 10,207,452 |
Ashok Leyland Ltd. | | 1,326,079 | 2,717,906 |
Canny Elevator Co. Ltd. (A Shares) | | 157,100 | 155,163 |
China International Marine Containers Group Co. Ltd. (H Shares) | | 645,231 | 491,989 |
Doosan Bobcat, Inc. | | 2,222 | 78,120 |
DY POWER Corp. (a) | | 5,260 | 52,623 |
Force Motors Ltd. | | 4,858 | 395,500 |
Hangcha Group Co. Ltd. (A Shares) | | 652,500 | 2,703,074 |
HD Hyundai Construction Equipment Co. Ltd. | | 4,241 | 170,858 |
HD Hyundai Infracore Co. Ltd. | | 180,370 | 1,087,286 |
HIWIN Technologies Corp. | | 1,643,287 | 12,460,550 |
Huaming Power Equipement Co. Ltd. | | 564,495 | 1,320,805 |
Hyundai Mipo Dockyard Co. Ltd. (a) | | 166,470 | 7,840,981 |
Jiangsu Rainbow Heavy Industries Co. Ltd. (A Shares) | | 110,800 | 66,431 |
Kirloskar Brothers Ltd. | | 22,844 | 253,435 |
Nova Technology Corp. | | 9,000 | 48,340 |
NRB Bearings Ltd. | | 52,129 | 194,537 |
Roto Pumps Ltd. | | 13,214 | 60,742 |
Sany Heavy Industry Co. Ltd.: | | | |
(A Shares) | | 881,000 | 1,708,407 |
(A Shares) | | 3,670,800 | 7,118,298 |
Shenzhen Inovance Technology Co. Ltd.: | | | |
(A Shares) | | 2,112,246 | 18,573,038 |
(A Shares) | | 221,800 | 1,950,294 |
Sinotruk Hong Kong Ltd. | | 8,656,566 | 22,886,636 |
Techtronic Industries Co. Ltd. | | 157,500 | 1,704,850 |
Tian Di Science & Technology Co. Ltd. (A Shares) | | 621,900 | 592,603 |
Weichai Power Co. Ltd.: | | | |
(A Shares) | | 149,002 | 349,878 |
(H Shares) | | 1,731,000 | 3,404,738 |
Yutong Bus Co. Ltd. | | 523,507 | 1,359,626 |
Zhejiang Dingli Machinery Co. Ltd. (A Shares) | | 196,100 | 1,610,286 |
| | | 101,744,630 |
Marine Transportation - 0.3% | | | |
COSCO SHIPPING Holdings Co. Ltd. (H Shares) | | 3,692,800 | 3,980,744 |
Danaos Corp. (c) | | 14,895 | 1,071,695 |
Evergreen Marine Corp. (Taiwan) | | 2,581,400 | 13,497,889 |
Orient Overseas International Ltd. | | 103,000 | 1,601,009 |
Pacific Basin Shipping Ltd. | | 24,691,000 | 7,221,711 |
Pan Ocean Co., Ltd. (Korea) | | 275,308 | 1,002,964 |
Qatar Navigation QPSC | | 1,814 | 5,480 |
Yang Ming Marine Transport Corp. | | 727,000 | 1,145,018 |
| | | 29,526,510 |
Passenger Airlines - 0.1% | | | |
Air Arabia PJSC | | 953,651 | 742,575 |
EVA Airways Corp. | | 1,356,000 | 1,347,389 |
Korean Air Lines Co. Ltd. (a) | | 95,886 | 1,651,455 |
Turk Hava Yollari AO (a) | | 166,006 | 1,497,597 |
| | | 5,239,016 |
Professional Services - 0.1% | | | |
Computer Age Management Services Private Ltd. | | 96,259 | 3,567,372 |
eClerx Services Ltd. | | 5,935 | 180,559 |
Headhunter Group PLC ADR (a)(d) | | 18,283 | 49,762 |
SaraminHR Co. Ltd. | | 3,640 | 47,891 |
WNS Holdings Ltd. sponsored ADR (a) | | 34,653 | 1,999,478 |
| | | 5,845,062 |
Trading Companies & Distributors - 0.0% | | | |
Asia Green Energy PCL NVDR | | 1,601,270 | 98,972 |
BOC Aviation Ltd. Class A (b) | | 153,500 | 1,131,228 |
Engtex Group Bhd | | 226,700 | 53,504 |
LX International Corp. | | 41,956 | 862,423 |
MSTC Ltd. | | 41,855 | 459,095 |
Sanghvi Movers Ltd. | | 11,349 | 155,856 |
| | | 2,761,078 |
Transportation Infrastructure - 0.1% | | | |
Athens International Airport SA | | 211,000 | 1,984,025 |
Grupo Aeroportuario del Pacifico S.A.B. de CV Series B | | 252,580 | 3,729,516 |
Guangdong Provincial Expressway Development Co. Ltd. (A Shares) | | 221,300 | 296,148 |
Salik Co. PJSC | | 128,115 | 121,734 |
TAV Havalimanlari Holding A/S (a) | | 174,389 | 974,365 |
Westports Holdings Bhd | | 85,800 | 68,163 |
| | | 7,173,951 |
TOTAL INDUSTRIALS | | | 371,969,138 |
INFORMATION TECHNOLOGY - 14.4% | | | |
Communications Equipment - 0.4% | | | |
Accton Technology Corp. | | 1,025,942 | 16,822,972 |
Arcadyan Technology Corp. | | 201,000 | 1,168,494 |
BYD Electronic International Co. Ltd. | | 239,000 | 903,557 |
D-Link Corp. | | 310,000 | 189,520 |
Gemtek Technology Corp. | | 25,000 | 27,961 |
SerComm Corp. | | 496,000 | 2,123,408 |
Wistron NeWeb Corp. | | 574,673 | 2,787,031 |
Zhongji Innolight Co. Ltd. (A Shares) | | 670,000 | 14,461,297 |
ZTE Corp. (H Shares) | | 186,600 | 420,890 |
Zyxel Group Corp. | | 215,000 | 305,678 |
| | | 39,210,808 |
Electronic Equipment, Instruments & Components - 1.2% | | | |
AAC Technology Holdings, Inc. | | 57,500 | 142,915 |
Asia Optical Co., Inc. | | 73,000 | 154,760 |
Cheng Uei Precision Industries Co. Ltd. | | 121,000 | 173,753 |
Chin-Poon Industrial Co. Ltd. | | 164,000 | 270,993 |
Compeq Manufacturing Co. Ltd. | | 1,174,000 | 2,822,704 |
Control Print Ltd. | | 3,370 | 37,286 |
Daeduck Electronics Co. Ltd. | | 4,988 | 24,503 |
Delta Electronics, Inc. | | 825,047 | 7,676,735 |
E Ink Holdings, Inc. | | 1,008,110 | 7,835,299 |
FIH Mobile Ltd. (a) | | 2,442,000 | 151,270 |
FLEXium Interconnect, Inc. | | 81,000 | 221,112 |
General Interface Solution Holding Ltd. | | 90,000 | 165,492 |
Global Brands Manufacture Ltd. | | 47,000 | 96,967 |
Gold Circuit Electronics Ltd. | | 455,000 | 3,694,512 |
Goldcard Smart Group Co. Ltd. (A Shares) | | 193,000 | 314,657 |
HannStar Board Corp. | | 494,000 | 883,397 |
Hon Hai Precision Industry Co. Ltd. (Foxconn) | | 7,699,583 | 25,056,303 |
Innolux Corp. | | 3,367,000 | 1,611,641 |
Kingboard Chemical Holdings Ltd. | | 55,500 | 109,022 |
Lotes Co. Ltd. | | 58,000 | 1,878,298 |
Nexcom International Co. Ltd. | | 50,000 | 76,617 |
Primax Electronics Ltd. | | 69,917 | 160,815 |
Samsung Electro-Mechanics Co. Ltd. | | 98,815 | 10,359,401 |
Samsung SDI Co. Ltd. (a) | | 36,401 | 10,276,339 |
Sea Sonic Electronics Co. Ltd. | | 24,000 | 72,870 |
Shenzhen Aisidi Co. Ltd. (A Shares) | | 475,800 | 608,927 |
Shenzhen Laibao Hi-Tech Co. Ltd. (A Shares) | | 702,500 | 836,513 |
Shilchar Technologies Ltd. | | 2,268 | 108,754 |
Simplo Technology Co. Ltd. | | 180,000 | 2,425,516 |
Sirtec International Co. Ltd. | | 1,000 | 1,073 |
SOLUM Co. Ltd. (a) | | 40,713 | 882,603 |
Speed Tech Corp. | | 57,000 | 121,740 |
Syncmold Enterprise Corp. | | 52,000 | 129,298 |
Synnex Technology International Corp. | | 64,000 | 157,316 |
Taiflex Scientific Co. Ltd. | | 45,000 | 64,832 |
Taiwan Surface Mounting Technology Co. Ltd. | | 82,000 | 254,412 |
Tripod Technology Corp. | | 43,000 | 282,582 |
Unimicron Technology Corp. | | 1,940,705 | 11,006,178 |
Universal Scientific Industrial Shanghai Co. Ltd. (A Shares) | | 479,100 | 961,712 |
Ventec International Group Co. Ltd. | | 36,000 | 105,210 |
WebLink International, Inc. | | 39,000 | 80,092 |
WiSoL Co. Ltd. | | 4,733 | 25,093 |
Yageo Corp. | | 1,213,012 | 21,385,128 |
| | | 113,704,640 |
IT Services - 1.2% | | | |
Arabian Internet and Communications Services Co. Ltd. | | 31,494 | 3,080,287 |
ChinaSoft International Ltd. | | 210,000 | 136,790 |
Cigniti Technologies Ltd. | | 8,166 | 104,431 |
Cyient Ltd. | | 75,433 | 1,843,079 |
Elm Co. | | 33,123 | 9,335,523 |
FPT Corp. | | 1,242,600 | 5,494,661 |
Gabia, Inc. | | 5,261 | 69,652 |
Globant SA (a)(c) | | 70,668 | 15,770,978 |
HCL Technologies Ltd. | | 1,332,012 | 26,735,849 |
Infosys Ltd. | | 772,564 | 15,551,444 |
Infosys Ltd. sponsored ADR (c) | | 236,295 | 4,716,448 |
Persistent Systems Ltd. | | 8,579 | 893,175 |
Saksoft Ltd. | | 28,035 | 91,500 |
Samsung SDS Co. Ltd. | | 4,310 | 516,394 |
Tata Consultancy Services Ltd. | | 508,072 | 25,099,290 |
Zensar Technologies Ltd. | | 155,428 | 1,030,499 |
| | | 110,470,000 |
Semiconductors & Semiconductor Equipment - 7.9% | | | |
Advanced Analog Technology, Inc. | | 33,000 | 88,623 |
Advanced Process Systems Corp. | | 2,751 | 42,952 |
Alchip Technologies Ltd. | | 172,548 | 22,569,547 |
Ampoc Far-East Co. Ltd. | | 18,000 | 52,832 |
Anpec Electronics Corp. | | 96,000 | 711,257 |
ASE Technology Holding Co. Ltd. | | 2,447,691 | 10,791,513 |
ASMedia Technology, Inc. | | 18,000 | 1,339,294 |
ASML Holding NV (Netherlands) | | 1,713 | 1,625,640 |
ASMPT Ltd. | | 513,636 | 6,294,575 |
ASPEED Tech, Inc. | | 6,000 | 518,467 |
ChipMOS TECHNOLOGIES, Inc. | | 216,000 | 300,957 |
Contrel Technology Co. Ltd. | | 194,000 | 184,800 |
Daqo New Energy Corp. ADR (a) | | 16,783 | 357,142 |
DB HiTek Co. Ltd. | | 39,401 | 1,369,017 |
eGalax_eMPIA Technology, Inc. | | 293,826 | 546,787 |
Elan Microelectronics Corp. | | 191,000 | 1,001,738 |
eMemory Technology, Inc. | | 121,201 | 10,377,388 |
Eugene Technology Co. Ltd. | | 4,905 | 138,289 |
Everlight Electronics Co. Ltd. | | 73,000 | 115,320 |
Faraday Technology Corp. | | 167,000 | 2,041,926 |
Fitipower Integrated Technology, Inc. | | 82,700 | 631,009 |
Flat Glass Group Co. Ltd. (c) | | 2,839,370 | 5,251,175 |
FocalTech Systems Co. Ltd. | | 195,000 | 600,692 |
Generalplus Technology, Inc. | | 41,000 | 65,935 |
Global Mixed-mode Technology, Inc. | | 44,000 | 360,747 |
Gudeng Precision Industrial Co. Ltd. | | 23,000 | 327,004 |
Himax Technologies, Inc. sponsored ADR (c) | | 42,923 | 236,506 |
ITE Tech, Inc. | | 193,000 | 1,006,129 |
Jentech Precision Industrial Co. Ltd. | | 21,000 | 609,744 |
JinkoSolar Holdings Co. Ltd. ADR | | 41,941 | 1,134,085 |
KC Tech Co. Ltd. (a) | | 2,576 | 72,434 |
Keystone Microtech Corp. | | 22,000 | 207,829 |
King Yuan Electronics Co. Ltd. | | 606,000 | 1,700,193 |
Lx Semicon Co. Ltd. | | 2,552 | 143,708 |
M31 Technology Corp. | | 4,000 | 228,113 |
Macroblock, Inc. | | 39,000 | 133,692 |
MediaTek, Inc. | | 2,014,746 | 72,566,757 |
MPI Corp. | | 46,000 | 469,432 |
Niko Semiconductor Co. Ltd. | | 63,000 | 112,859 |
Novatek Microelectronics Corp. | | 482,000 | 9,152,381 |
Nuvoton Technology Corp. | | 38,000 | 154,877 |
Orient Semiconductor Electronics Ltd. | | 328,000 | 750,283 |
Parade Technologies Ltd. | | 38,000 | 1,218,603 |
Phison Electronics Corp. | | 116,000 | 2,301,602 |
PixArt Imaging, Inc. | | 175,000 | 945,468 |
Powertech Technology, Inc. | | 617,000 | 3,041,041 |
PSK, Inc. (a) | | 4,879 | 92,800 |
Radiant Opto-Electronics Corp. | | 899,000 | 4,189,520 |
Raydium Semiconductor Corp. | | 72,572 | 1,024,918 |
Realtek Semiconductor Corp. | | 656,701 | 11,805,721 |
Sigurd Microelectronics Corp. | | 16,000 | 35,538 |
Silicon Motion Tech Corp. sponsored ADR | | 50,086 | 3,545,588 |
Sitronix Technology Corp. | | 221,000 | 2,024,897 |
SK Hynix, Inc. | | 426,002 | 49,828,340 |
Sonix Technology Co. Ltd. | | 94,000 | 159,483 |
Sunplus Innovation Technology, Inc. | | 25,000 | 132,302 |
Sunplus Technology Co. Ltd. | | 515,000 | 538,577 |
Taiwan Semiconductor Manufacturing Co. Ltd. | | 21,784,052 | 476,761,145 |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | | 201,894 | 25,977,701 |
UBright Optronics Corp. | | 33,000 | 66,311 |
United Microelectronics Corp. | | 1,504,000 | 2,315,870 |
VIA Labs, Inc. | | 14,000 | 118,543 |
Winbond Electronics Corp. | | 2,805,422 | 2,477,380 |
| | | 744,984,996 |
Software - 0.1% | | | |
Aurionpro Solutions Ltd. | | 5,213 | 140,423 |
Birlasoft Ltd. | | 110,430 | 1,033,895 |
CE Info Systems Ltd. | | 12,365 | 269,503 |
Genesis Technology, Inc. | | 24,833 | 54,607 |
Intellect Design Arena Ltd. | | 15,138 | 201,983 |
KPIT Technologies Ltd. | | 318,876 | 6,041,507 |
Newgen Software Technologies Ltd. | | 11,314 | 115,897 |
Nucleus Software Exports Ltd. | | 29,906 | 505,583 |
Oracle Financial Services Soft | | 3,355 | 310,548 |
Rategain Travel Technologies Ltd. (a) | | 63,740 | 624,444 |
Text SA | | 4,387 | 105,030 |
Totvs SA | | 42,800 | 264,234 |
ZWSOFT Co. Ltd. Guangzhou (A Shares) | | 58,541 | 655,391 |
| | | 10,323,045 |
Technology Hardware, Storage & Peripherals - 3.6% | | | |
Acer, Inc. | | 2,272,000 | 3,240,997 |
Asia Vital Components Co. Ltd. | | 1,115,643 | 18,752,080 |
ASUSTeK Computer, Inc. | | 633,000 | 9,099,712 |
Avalue Technology, Inc. | | 54,000 | 201,321 |
Axiomtek Co. Ltd. | | 43,973 | 119,481 |
Chicony Electronics Co. Ltd. | | 225,000 | 1,332,896 |
Compal Electronics, Inc. | | 3,195,000 | 3,684,481 |
Darfon Electronics Corp. | | 34,000 | 57,148 |
Ennoconn Corp. | | 44,000 | 415,658 |
Getac Holdings Corp. | | 288,000 | 1,087,359 |
Gigabyte Technology Co. Ltd. | | 83,000 | 904,711 |
Jetway Information Co. Ltd. | | 61,000 | 89,618 |
Lenovo Group Ltd. | | 17,461,605 | 19,336,115 |
Lite-On Technology Corp. | | 223,000 | 771,492 |
Micro-Star International Co. Ltd. | | 455,000 | 2,745,727 |
Pegatron Corp. | | 673,000 | 1,817,999 |
Quanta Computer, Inc. | | 417,000 | 3,056,586 |
Samsung Electronics Co. Ltd. (a) | | 4,669,248 | 256,641,421 |
Shandong New Beiyang Information Technology Co. Ltd. (A Shares) | | 290,800 | 240,289 |
Wistron Corp. | | 922,000 | 3,364,538 |
Wiwynn Corp. | | 104,000 | 7,655,998 |
Xiaomi Corp. Class B (a)(b) | | 2,939,800 | 4,963,811 |
| | | 339,579,438 |
TOTAL INFORMATION TECHNOLOGY | | | 1,358,272,927 |
MATERIALS - 2.3% | | | |
Chemicals - 0.5% | | | |
Abou Kir Fertilizers & Chemical Industries | | 68,315 | 148,126 |
Aeci Ltd. | | 18,422 | 93,119 |
Akzo Nobel India Ltd. | | 2,484 | 75,396 |
Andhra Sugars Ltd. | | 60,735 | 80,594 |
Asian Paints Ltd. | | 84,467 | 2,875,414 |
Castrol India Ltd. | | 14,099 | 35,445 |
Chambal Fertilizers & Chemicals Ltd. | | 169,275 | 716,859 |
China BlueChemical Ltd. (H Shares) | | 151,629 | 45,511 |
Formosa Plastics Corp. | | 1,247,029 | 2,824,934 |
Fufeng Group Ltd. | | 703,992 | 432,493 |
GHCL Ltd. | | 19,449 | 119,786 |
Grauer & Weil (INDIA) Ltd. | | 32,473 | 73,333 |
Guangdong Huate Gas Co. Ltd. (A Shares) | | 62,209 | 435,891 |
Gujarat State Fertilizers & Chemicals Ltd. | | 97,251 | 254,933 |
Hansol Chemical Co. Ltd. | | 1,583 | 201,874 |
KCC Corp. | | 400 | 79,526 |
LG Chemical Ltd. | | 18,056 | 6,124,963 |
Luberef | | 32,518 | 1,456,690 |
NOROO Paint & Coatings Co. Ltd. | | 11,018 | 86,879 |
Oci Holdings Co. Ltd. | | 17,086 | 1,202,685 |
Pcbl Ltd. /India | | 162,055 | 559,211 |
PhosAgro PJSC (a)(d) | | 18,583 | 1,163 |
PhosAgro PJSC: | | | |
GDR (Reg. S) (a)(d) | | 1 | 0 |
sponsored GDR (Reg. S) (a)(d) | | 359 | 7 |
Sabic Agriculture-Nutrients Co. | | 56,928 | 1,900,484 |
Satellite Chemical Co. Ltd.: | | | |
(A Shares) (a) | | 324,500 | 748,883 |
(A Shares) (a) | | 1,401,840 | 3,235,173 |
Saudi Basic Industries Corp. | | 147,679 | 3,102,980 |
Solar Industries India Ltd. | | 130,241 | 10,574,275 |
Sree Rayalaseema Hi-Strength Hypo Ltd. | | 5,061 | 32,166 |
SRF Ltd. | | 41,415 | 1,193,888 |
Taekwang Industrial Co. Ltd. | | 155 | 91,230 |
Tamilnadu Petroproducts Ltd. | | 29,740 | 33,204 |
Unid Co. Ltd. (a) | | 3,027 | 176,350 |
Unipar Carbocloro SA | | 3,950 | 49,892 |
Wanhua Chemical Group Co. Ltd.: | | | |
(A Shares) | | 395,000 | 4,371,092 |
(A Shares) | | 695,400 | 7,695,335 |
| | | 51,129,784 |
Construction Materials - 0.4% | | | |
Asia Cement (China) Holdings Corp. | | 23,814 | 6,448 |
CEMEX S.A.B. de CV sponsored ADR (a)(c) | | 1,642,286 | 12,547,065 |
IFGL Refractories Ltd. | | 4,658 | 31,656 |
JK Cement Ltd. | | 243,352 | 13,254,237 |
NCL Industries Ltd. | | 21,490 | 58,369 |
Qatar National Cement Co. QSC | | 18,192 | 18,931 |
Qatari Investors Group QSC | | 62,258 | 32,403 |
Shree Digvijay Cement Co. Ltd. | | 100,212 | 124,940 |
Siam City Cement PCL NVDR | | 8,100 | 30,670 |
Ultratech Cement Ltd. | | 70,461 | 8,408,570 |
| | | 34,513,289 |
Containers & Packaging - 0.0% | | | |
AGI Greenpac Ltd. | | 782 | 7,730 |
Klabin SA unit | | 511,288 | 2,321,372 |
Time Technoplast Ltd. | | 50,359 | 131,919 |
| | | 2,461,021 |
Metals & Mining - 1.2% | | | |
African Rainbow Minerals Ltd. | | 401,647 | 3,535,666 |
Ann Joo Resources Bhd (a) | | 500 | 113 |
Antofagasta PLC | | 901,784 | 20,689,001 |
Barrick Gold Corp. | | 1,263,839 | 18,527,880 |
China Zhongwang Holdings Ltd. (d) | | 350,800 | 0 |
CSN Mineracao SA | | 1,163,121 | 1,420,238 |
Endeavour Mining PLC | | 34,110 | 560,730 |
First Quantum Minerals Ltd. | | 116,366 | 1,101,796 |
Godawari Power & Ispat Ltd. | | 8,450 | 75,606 |
Gold Fields Ltd. | | 333,335 | 4,391,166 |
Grupo Mexico SA de CV Series B | | 1,669,222 | 8,103,110 |
Impala Platinum Holdings Ltd. | | 2,330,122 | 7,907,454 |
Indian Metals & Ferro Alloys Ltd. | | 6,075 | 44,668 |
Jastrzebska Spolka Weglowa SA (a) | | 58,528 | 604,173 |
Jiangxi Copper Co. Ltd. (H Shares) | | 719,000 | 1,070,763 |
Jindal Saw Ltd. | | 126,837 | 729,778 |
Kumba Iron Ore Ltd. | | 75,045 | 2,100,908 |
Maharashtra Seamless Ltd. | | 39,833 | 443,643 |
MOIL Ltd. | | 53,768 | 172,340 |
National Aluminium Co. Ltd. | | 39,774 | 74,827 |
NMDC Ltd. | | 221,865 | 604,612 |
Novolipetsk Steel OJSC (a)(d) | | 355,140 | 3,467 |
Novolipetsk Steel OJSC GDR (Reg. S) (a)(d) | | 56,576 | 7,029 |
Polyus PJSC (a)(d) | | 2,468 | 5,902 |
Poongsan Corp. | | 1,191 | 38,305 |
Prakash Industries Ltd. (a) | | 177,356 | 369,282 |
Ramkrishna Forgings Ltd. | | 17,312 | 163,346 |
Southern Copper Corp. | | 2,997 | 242,337 |
Tata Steel Ltd. | | 1,982,494 | 3,368,530 |
Ternium SA sponsored ADR | | 94,674 | 3,838,084 |
Vale SA sponsored ADR | | 1,621,376 | 21,742,652 |
Zamil Industrial Investment Co. (a) | | 60,484 | 471,737 |
Zijin Mining Group Co. Ltd. (H Shares) | | 7,394,322 | 11,956,334 |
| | | 114,365,477 |
Paper & Forest Products - 0.2% | | | |
Arctic Paper SA | | 5,894 | 33,875 |
Asia Paper Manufacturing Co. Ltd. (a) | | 1,369 | 49,156 |
Evergreen Fibreboard Bhd (a) | | 265,100 | 16,480 |
Hansol Paper Co. Ltd. | | 13,982 | 112,659 |
Kuantam Papers Ltd. (a) | | 32,470 | 71,211 |
Sappi Ltd. | | 123,207 | 296,583 |
Satia Industries Ltd. | | 16,104 | 24,167 |
Seshasayee Paper & Boards Ltd. | | 7,875 | 31,283 |
Suzano Papel e Celulose SA | | 1,282,735 | 14,540,467 |
West Coast Paper Mills Ltd. | | 36,114 | 270,675 |
| | | 15,446,556 |
TOTAL MATERIALS | | | 217,916,127 |
REAL ESTATE - 0.6% | | | |
Equity Real Estate Investment Trusts (REITs) - 0.0% | | | |
Fibra Uno Administracion SA de CV | | 567,900 | 1,026,230 |
Real Estate Management & Development - 0.6% | | | |
AP Thailand PCL (For. Reg.) | | 1,236,800 | 361,562 |
Arabian Centres Co. Ltd. | | 135,261 | 765,336 |
Ayala Land, Inc. | | 25,704,915 | 16,001,281 |
China Resources Land Ltd. | | 980,728 | 3,018,781 |
China World Trade Center Co. Ltd. (A Shares) | | 354,800 | 944,666 |
Corporacion Inmobiliaria Vesta S.A.B. de CV ADR (c) | | 204,599 | 7,199,839 |
Dar Al Arkan Real Estate Development Co. (a) | | 550,419 | 2,048,863 |
Deyaar Development PJSC (a) | | 363,388 | 71,630 |
Emaar Development PJSC | | 2,696,118 | 5,806,312 |
Emaar Properties PJSC | | 5,849,750 | 12,932,376 |
Greentown China Holdings Ltd. | | 760,500 | 610,964 |
IOI Properties Group Bhd | | 131,800 | 63,879 |
KE Holdings, Inc. ADR | | 315,778 | 4,291,423 |
Mah Sing Group Bhd | | 644,600 | 133,117 |
Matrix Concepts Holdings Bhd | | 85,100 | 31,562 |
Megaworld Corp. | | 2,065,000 | 70,884 |
NESCO Ltd. | | 7,684 | 78,337 |
Osk Holdings Bhd | | 139,700 | 41,508 |
PT Ciputra Development Tbk | | 1,816,000 | 146,759 |
RAK Properties PJSC (a) | | 773,842 | 280,213 |
Rongan Property Co. Ltd. (A Shares) | | 328,600 | 104,678 |
Sansiri PCL (For. Reg.) | | 16,738,200 | 857,473 |
SP Setia Bhd | | 1,482,000 | 263,890 |
Wharf Real Estate Investment Co. Ltd. | | 615,000 | 2,054,058 |
| | | 58,179,391 |
TOTAL REAL ESTATE | | | 59,205,621 |
UTILITIES - 0.6% | | | |
Electric Utilities - 0.3% | | | |
Centrais Eletricas Brasileiras SA (Electrobras) | | 262,868 | 2,300,247 |
CESC Ltd. GDR (a) | | 333,886 | 510,929 |
Energisa SA unit | | 284,244 | 2,906,995 |
Equatorial Energia SA | | 682,353 | 4,691,683 |
Neoenergia SA | | 215,687 | 937,185 |
PGE Polska Grupa Energetyczna SA (a) | | 267,052 | 533,154 |
Power Grid Corp. of India Ltd. | | 3,276,740 | 11,180,722 |
Saudi Electricity Co. | | 668,579 | 3,565,469 |
| | | 26,626,384 |
Gas Utilities - 0.1% | | | |
Daesung Holdings Co. Ltd. (a) | | 3,363 | 24,176 |
GAIL India Ltd. | | 3,161,980 | 6,951,817 |
Kunlun Energy Co. Ltd. | | 866,000 | 739,963 |
Mahanagar Gas Ltd. | | 27,228 | 487,555 |
PT Perusahaan Gas Negara Tbk Series B | | 18,110,500 | 1,256,153 |
| | | 9,459,664 |
Independent Power and Renewable Electricity Producers - 0.2% | | | |
Gujarat Industries Power Co. Ltd. | | 75,470 | 166,700 |
NHPC Ltd. | | 3,019,042 | 3,210,429 |
NTPC Ltd. | | 3,677,570 | 14,888,624 |
| | | 18,265,753 |
Multi-Utilities - 0.0% | | | |
YTL Corp. Bhd | | 264,900 | 149,043 |
YTL Power International Bhd | | 3,086,800 | 2,569,352 |
| | | 2,718,395 |
Water Utilities - 0.0% | | | |
Companhia de Saneamento de Minas Gerais - COPASA | | 248,400 | 1,032,856 |
VA Tech Wabag Ltd. (a) | | 32,270 | 284,803 |
| | | 1,317,659 |
TOTAL UTILITIES | | | 58,387,855 |
TOTAL COMMON STOCKS (Cost $4,061,008,439) | | | 5,002,353,029 |
| | | |
Nonconvertible Preferred Stocks - 1.6% |
| | Shares | Value ($) |
ENERGY - 0.6% | | | |
Oil, Gas & Consumable Fuels - 0.6% | | | |
Petroleo Brasileiro SA - Petrobras: | | | |
(PN) (non-vtg.) | | 1,597,700 | 12,900,903 |
(PN) sponsored ADR (non-vtg.) | | 578,881 | 9,360,506 |
sponsored ADR | | 2,023,824 | 33,433,572 |
| | | 55,694,981 |
FINANCIALS - 0.4% | | | |
Banks - 0.4% | | | |
Banco do Estado Rio Grande do Sul SA Class B | | 11,000 | 34,143 |
Banco Pine SA | | 21,600 | 19,814 |
Itau Unibanco Holding SA | | 2,658,987 | 18,154,135 |
Itau Unibanco Holding SA sponsored ADR (c) | | 2,079,409 | 14,181,569 |
Itausa-Investimentos Itau SA (PN) | | 4,070,375 | 8,433,719 |
Sberbank of Russia (a)(d) | | 145,250 | 915 |
Sberbank of Russia (Russia) (a)(d) | | 128,031 | 806 |
| | | 40,825,101 |
INDUSTRIALS - 0.0% | | | |
Machinery - 0.0% | | | |
Marcopolo SA (PN) | | 782,600 | 1,382,235 |
INFORMATION TECHNOLOGY - 0.3% | | | |
Technology Hardware, Storage & Peripherals - 0.3% | | | |
Samsung Electronics Co. Ltd. (a) | | 495,348 | 23,591,268 |
MATERIALS - 0.3% | | | |
Chemicals - 0.0% | | | |
Unipar Carbocloro SA | | 17,740 | 236,136 |
Metals & Mining - 0.3% | | | |
Bradespar SA (PN) | | 692,800 | 2,954,549 |
Cia Ferro Ligas da Bahia - Ferbasa | | 57,372 | 111,372 |
Gerdau SA | | 1,496,940 | 6,474,263 |
Gerdau SA sponsored ADR | | 3,435,906 | 14,808,755 |
Metalurgica Gerdau SA (PN) | | 574,600 | 1,168,596 |
Usinas Siderurgicas de Minas Gerais SA - Usiminas (PN-A) (non-vtg.) | | 824,800 | 1,836,723 |
| | | 27,354,258 |
TOTAL MATERIALS | | | 27,590,394 |
UTILITIES - 0.0% | | | |
Electric Utilities - 0.0% | | | |
Companhia de Transmissao de Energia Eletrica Paulista (PN) | | 48,700 | 252,753 |
Companhia Energetica de Minas Gerais (CEMIG) (PN) (a) | | 1,354,188 | 3,260,773 |
| | | 3,513,526 |
Water Utilities - 0.0% | | | |
Cia de Saneamento do Parana | | 626,676 | 664,356 |
TOTAL UTILITIES | | | 4,177,882 |
TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $118,640,927) | | | 153,261,861 |
| | | |
Equity Funds - 41.9% |
| | Shares | Value ($) |
abrdn Diversified Emerging Markets Funds - 41.9% | | | |
Emerging Markets Fund Institutional Service Class | | 11,297,706 | 146,192,314 |
Artisan Developing World Fund Investor Shares (a) | | 4,589,539 | 81,693,800 |
Brandes Emerging Markets Value Fund Class A | | 12,041,321 | 99,702,139 |
Calvert Emerging Markets Equity Fund Class A | | 46 | 737 |
Fidelity Advisor Emerging Markets Fund Class Z (e) | | 18,348,778 | 670,097,368 |
Fidelity SAI Emerging Markets Index Fund (e) | | 35,612,307 | 460,823,257 |
Fidelity SAI Emerging Markets Low Volatility Index Fund (e) | | 70,400,537 | 782,149,971 |
Fidelity SAI Emerging Markets Value Index Fund (e) | | 88,243,540 | 1,086,277,967 |
Goldman Sachs Emerging Markets Equity Fund Institutional Shares | | 13,446,134 | 292,856,798 |
Invesco Developing Markets Fund Class R6 | | 4,766,352 | 180,549,420 |
iShares ESG Aware MSCI EM ETF (c) | | 209,609 | 6,615,260 |
iShares ESG Aware MSCI EM ETF (c) | | 2,137,525 | 83,342,100 |
iShares MSCI South Korea Index ETF (c) | | 511,975 | 32,822,717 |
Lazard Emerging Markets Equity Portfolio Open Shares | | 842,137 | 15,082,681 |
Matthews Pacific Tiger Fund Investor Class | | 178 | 3,231 |
Xtrackers Harvest CSI 300 China ETF A Shares (c) | | 502,131 | 12,056,165 |
| | | |
TOTAL EQUITY FUNDS (Cost $3,765,038,771) | | | 3,950,265,925 |
| | | |
Other - 0.0% |
| | Shares | Value ($) |
Commodity Funds - Broad Basket - 0.0% | | | |
Fidelity SAI Inflation-Focused Fund (e) (Cost $1,054) | | 13 | 1,157 |
| | | |
U.S. Treasury Obligations - 0.1% |
| | Principal Amount (f) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.26% to 5.32% 3/7/24 to 5/23/24 (g) (Cost $10,266,317) | | 10,320,000 | 10,265,669 |
| | | |
Money Market Funds - 4.8% |
| | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (h) | | 99,402,306 | 99,422,186 |
Fidelity Securities Lending Cash Central Fund 5.39% (h)(i) | | 141,975,993 | 141,990,191 |
State Street Institutional U.S. Government Money Market Fund Premier Class 5.28% (j) | | 211,408,104 | 211,408,104 |
TOTAL MONEY MARKET FUNDS (Cost $452,820,481) | | | 452,820,481 |
| | | |
TOTAL INVESTMENT IN SECURITIES - 101.5% (Cost $8,407,775,989) | 9,568,968,122 |
NET OTHER ASSETS (LIABILITIES) - (1.5)% | (136,984,455) |
NET ASSETS - 100.0% | 9,431,983,667 |
| |
Futures Contracts |
| Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
Purchased | | | | | |
| | | | | |
Equity Index Contracts | | | | | |
ICE MSCI Emerging Markets Index Contracts (United States) | 3,762 | Mar 2024 | 191,260,080 | 4,376,941 | 4,376,941 |
| | | | | |
The notional amount of futures purchased as a percentage of Net Assets is 2.0% |
Security Type Abbreviations
Legend
(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 $118,779,480 or 1.3% of net assets. |
(c) | Security or a portion of the security is on loan at period end. |
(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 $5,294,610. |
(h) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(i) | Investment made with cash collateral received from securities on loan. |
(j) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | 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 5.39% | 69,148,197 | 655,122,593 | 624,848,604 | 3,045,984 | - | - | 99,422,186 | 0.2% |
Fidelity Securities Lending Cash Central Fund 5.39% | 164,183,752 | 1,032,932,045 | 1,055,125,606 | 456,175 | - | - | 141,990,191 | 0.4% |
Total | 233,331,949 | 1,688,054,638 | 1,679,974,210 | 3,502,159 | - | - | 241,412,377 | |
| | | | | | | | |
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 ($) |
Fidelity Advisor Emerging Markets Fund Class Z | 482,304,648 | 130,491,097 | - | 6,491,097 | - | 57,301,623 | 670,097,368 |
Fidelity SAI Emerging Markets Index Fund | 218,175,605 | 249,666,581 | 17,900,000 | 5,666,581 | 2,797,264 | 8,083,807 | 460,823,257 |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 558,829,027 | 146,133,432 | - | 18,133,432 | - | 77,187,512 | 782,149,971 |
Fidelity SAI Emerging Markets Value Index Fund | 792,656,750 | 261,150,343 | 60,000,000 | 38,150,332 | (17,149,894) | 109,620,768 | 1,086,277,967 |
Fidelity SAI Inflation-Focused Fund | 12,162,626 | 27 | 12,003,811 | 27 | 513,226 | (670,911) | 1,157 |
| 2,064,128,656 | 787,441,480 | 89,903,811 | 68,441,469 | (13,839,404) | 251,522,799 | 2,999,349,720 |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of February 29, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: |
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
Equities: | | | | |
Communication Services | 431,937,430 | 149,789,188 | 278,734,094 | 3,414,148 |
Consumer Discretionary | 811,085,098 | 634,208,870 | 176,187,187 | 689,041 |
Consumer Staples | 239,116,312 | 238,991,116 | - | 125,196 |
Energy | 262,730,612 | 253,107,456 | 5,621,224 | 4,001,932 |
Financials | 1,145,588,767 | 900,437,366 | 245,106,512 | 44,889 |
Health Care | 142,663,224 | 140,291,986 | 2,371,238 | - |
Industrials | 373,351,373 | 373,292,709 | 4,322 | 54,342 |
Information Technology | 1,381,864,195 | 874,818,583 | 507,045,612 | - |
Materials | 245,506,521 | 233,190,333 | 12,298,620 | 17,568 |
Real Estate | 59,205,621 | 59,205,621 | - | - |
Utilities | 62,565,737 | 62,565,737 | - | - |
|
Equity Funds | 3,950,265,925 | 3,950,265,925 | - | - |
|
Other | 1,157 | 1,157 | - | - |
|
Other Short-Term Investments | 10,265,669 | - | 10,265,669 | - |
|
Money Market Funds | 452,820,481 | 452,820,481 | - | - |
Total Investments in Securities: | 9,568,968,122 | 8,322,986,528 | 1,237,634,478 | 8,347,116 |
Derivative Instruments: Assets | | | | |
Futures Contracts | 4,376,941 | 4,376,941 | - | - |
Total Assets | 4,376,941 | 4,376,941 | - | - |
Total Derivative Instruments: | 4,376,941 | 4,376,941 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
Equity Risk | | |
Futures Contracts (a) | 4,376,941 | 0 |
Total Equity Risk | 4,376,941 | 0 |
Total Value of Derivatives | 4,376,941 | 0 |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
Statement of Assets and Liabilities |
| | | | February 29, 2024 |
| | | | |
Assets | | | | |
Investment in securities, at value (including securities loaned of $138,751,113) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $5,392,802,518) | $ | 6,328,206,025 | | |
Fidelity Central Funds (cost $241,412,377) | | 241,412,377 | | |
Other affiliated issuers (cost $2,773,561,094) | | 2,999,349,720 | | |
| | | | |
| | | | |
Total Investment in Securities (cost $8,407,775,989) | | | $ | 9,568,968,122 |
Cash | | | | 280,573 |
Foreign currency held at value (cost $9,392,759) | | | | 9,391,056 |
Receivable for investments sold | | | | 18,685,347 |
Receivable for fund shares sold | | | | 20,210,947 |
Dividends receivable | | | | 9,147,897 |
Interest receivable | | | | 1,349,401 |
Distributions receivable from Fidelity Central Funds | | | | 453,432 |
Receivable for daily variation margin on futures contracts | | | | 30,852 |
Other receivables | | | | 310,187 |
Total assets | | | | 9,628,827,814 |
Liabilities | | | | |
Payable for investments purchased | $ | 24,659,579 | | |
Payable for fund shares redeemed | | 5,671,550 | | |
Accrued management fee | | 1,791,167 | | |
Deferred taxes | | 21,365,119 | | |
Other payables and accrued expenses | | 1,417,100 | | |
Collateral on securities loaned | | 141,939,622 | | |
Total Liabilities | | | | 196,844,137 |
Net Assets | | | $ | 9,431,983,677 |
Net Assets consist of: | | | | |
Paid in capital | | | $ | 9,143,277,369 |
Total accumulated earnings (loss) | | | | 288,706,308 |
Net Assets | | | $ | 9,431,983,677 |
Net Asset Value, offering price and redemption price per share ($9,431,983,677 ÷ 895,683,660 shares) | | | $ | 10.53 |
Statement of Operations |
| | | | Year ended February 29, 2024 |
Investment Income | | | | |
Dividends: | | | | |
Unaffiliated issuers | | | $ | 143,514,950 |
Affiliated issuers | | | | 68,441,469 |
Interest | | | | 15,023,825 |
Income from Fidelity Central Funds (including $456,175 from security lending) | | | | 3,502,159 |
Income before foreign taxes withheld | | | $ | 230,482,403 |
Less foreign taxes withheld | | | | (15,353,370) |
Total Income | | | | 215,129,033 |
Expenses | | | | |
Management fee | $ | 39,975,818 | | |
Custodian fees and expenses | | 1,613,911 | | |
Independent trustees' fees and expenses | | 44,754 | | |
Registration fees | | 195,437 | | |
Audit | | 189,430 | | |
Legal | | 10,711 | | |
Miscellaneous | | 44,789 | | |
Total expenses before reductions | | 42,074,850 | | |
Expense reductions | | (19,161,235) | | |
Total expenses after reductions | | | | 22,913,615 |
Net Investment income (loss) | | | | 192,215,418 |
Realized and Unrealized Gain (Loss) | | | | |
Net realized gain (loss) on: | | | | |
Investment Securities: | | | | |
Unaffiliated issuers (net of foreign taxes of $9,327,302) | | (215,912,896) | | |
Affiliated issuers | | (13,839,404) | | |
Foreign currency transactions | | (3,891,312) | | |
Futures contracts | | (5,538,300) | | |
Total net realized gain (loss) | | | | (239,181,912) |
Change in net unrealized appreciation (depreciation) on: | | | | |
Investment Securities: | | | | |
Unaffiliated issuers (net of increase in deferred foreign taxes of $15,109,073) | | 568,543,891 | | |
Affiliated issuers | | 251,522,799 | | |
Assets and liabilities in foreign currencies | | 201,750 | | |
Futures contracts | | 16,486,016 | | |
Total change in net unrealized appreciation (depreciation) | | | | 836,754,456 |
Net gain (loss) | | | | 597,572,544 |
Net increase (decrease) in net assets resulting from operations | | | $ | 789,787,962 |
Statement of Changes in Net Assets |
|
| | Year ended February 29, 2024 | | Year ended February 28, 2023 |
Increase (Decrease) in Net Assets | | | | |
Operations | | | | |
Net investment income (loss) | $ | 192,215,418 | $ | 210,650,253 |
Net realized gain (loss) | | (239,181,912) | | (544,910,554) |
Change in net unrealized appreciation (depreciation) | | 836,754,456 | | (1,129,493,905) |
Net increase (decrease) in net assets resulting from operations | | 789,787,962 | | (1,463,754,206) |
Distributions to shareholders | | (198,522,826) | | (190,211,815) |
| | | | |
Share transactions | | | | |
Proceeds from sales of shares | | 2,835,719,145 | | 2,219,233,596 |
Reinvestment of distributions | | 160,477,096 | | 165,990,631 |
Cost of shares redeemed | | (1,633,787,242) | | (3,010,880,251) |
| | | | |
Net increase (decrease) in net assets resulting from share transactions | | 1,362,408,999 | | (625,656,024) |
Total increase (decrease) in net assets | | 1,953,674,135 | | (2,279,622,045) |
| | | | |
Net Assets | | | | |
Beginning of period | | 7,478,309,542 | | 9,757,931,587 |
End of period | $ | 9,431,983,677 | $ | 7,478,309,542 |
| | | | |
Other Information | | | | |
Shares | | | | |
Sold | | 276,805,646 | | 221,205,781 |
Issued in reinvestment of distributions | | 15,415,667 | | 17,201,102 |
Redeemed | | (162,294,676) | | (296,986,009) |
Net increase (decrease) | | 129,926,637 | | (58,579,126) |
| | | | |
Financial Highlights
Strategic Advisers® Emerging Markets Fund |
|
Years ended February 28, | | 2024 A | | 2023 | | 2022 | | 2021 | | 2020 A |
Selected Per-Share Data | | | | | | | | | | |
Net asset value, beginning of period | $ | 9.77 | $ | 11.84 | $ | 13.88 | $ | 10.20 | $ | 10.23 |
Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) B,C | | .26 | | .26 | | .24 | | .15 | | .23 D |
Net realized and unrealized gain (loss) | | .77 | | (2.08) | | (1.90) | | 3.66 | | (.03) |
Total from investment operations | | 1.03 | | (1.82) | | (1.66) | | 3.81 | | .20 |
Distributions from net investment income | | (.27) | | (.25) | | (.25) | | (.13) | | (.23) |
Distributions from net realized gain | | - | | - | | (.13) | | - | | - |
Total distributions | | (.27) | | (.25) | | (.38) | | (.13) | | (.23) |
Net asset value, end of period | $ | 10.53 | $ | 9.77 | $ | 11.84 | $ | 13.88 | $ | 10.20 |
Total Return E | | 10.55% | | (15.33)% | | (12.12)% | | 37.42% | | 1.80% |
Ratios to Average Net Assets C,F,G | | | | | | | | | | |
Expenses before reductions | | .56% | | .57% | | .58% | | .59% | | .64% |
Expenses net of fee waivers, if any | | .30% | | .32% | | .33% | | .34% | | .39% |
Expenses net of all reductions | | .30% | | .32% | | .33% | | .34% | | .39% |
Net investment income (loss) | | 2.55% | | 2.59% | | 1.78% | | 1.28% | | 2.20% D |
Supplemental Data | | | | | | | | | | |
Net assets, end of period (000 omitted) | $ | 9,431,984 | $ | 7,478,310 | $ | 9,757,932 | $ | 9,214,231 | $ | 4,818,245 |
Portfolio turnover rate H | | 40% | | 39% | | 31% | | 43% | | 39% |
AFor the year ended February 29.
BCalculated based on average shares outstanding during the period.
CNet 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.
DNet investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.03 per share. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been 1.87%.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees 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.
GExpense 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.
HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended February 29, 2024
1. Organization.
Strategic Advisers 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. 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 February 29, 2024 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 Emerging Markets Fund | $53,503 |
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 February 29, 2024, 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. 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.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), 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 | $1,579,462,461 |
Gross unrealized depreciation | (571,734,828) |
Net unrealized appreciation (depreciation) | $1,007,727,633 |
Tax Cost | $8,561,240,489 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $36,160,888 |
Capital loss carryforward | $(733,716,207) |
Net unrealized appreciation (depreciation) on securities and other investments | $1,007,626,745 |
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 | $(368,680,308) |
Long-term | (365,035,899) |
Total capital loss carryforward | $(733,716,207) |
The tax character of distributions paid was as follows:
| February 29, 2024 | February 28, 2023 |
Ordinary Income | $198,522,826 | $190,211,815 |
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 and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) |
Strategic Advisers Emerging Markets Fund | 4,354,316,468 | 2,937,005,776 |
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 .53% 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. Acadian Asset Management LLC, Causeway Capital Management, LLC, FIAM LLC (an affiliate of the investment adviser), FIL Investment Advisors, Schroder Investment Management North America, Inc., Somerset Capital Management LLP (managed a portion of the Fund's assets through December 1, 2023) 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.
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.
Effective March 7, 2024, the Fund's sub-subadvisory agreement with FIL Investment Advisors (FIA) and FIL Investment Advisors (UK) Limited (FIA(UK)) will be amended. Pursuant to the sub-subadvisory agreement, FIA may receive from the sub-subadviser investment research and advice on issuers outside the United States (non-discretionary services) and FIA may grant the sub-subadviser investment management authority and the authority to buy and sell securities if FIA believes it would be beneficial to the Fund (discretionary services). FIA, not the Fund, pays FIA(UK). For providing non-discretionary services, FIA will pay FIA(UK) a fee equal to 110% of FIA(UK)'s costs incurred in connection with providing such services. For providing discretionary services, FIA will pay FIA(UK) a fee equal to a percentage of the Fund's monthly average net assets managed by FIA(UK) on a discretionary basis. The fee rate will be based on the monthly average net assets managed by FIA(UK) on behalf of FIA pursuant to sub-advisory arrangements less any assets managed by FIA(UK) on behalf of FIA on which a reduction is applicable to the fee paid to FIA(UK) (Average Group Assets). The fee rate will be calculated on a cumulative basis pursuant to the following graduated fee rate schedule. FIA(UK)'s fee will not exceed 50% of the fee that FIA receives from Strategic Advisers for services provided on behalf of the Fund.
Average Group Assets | Annualized Fee Rate |
from $0 - $500 million | .32% |
$500 million - $1 billion | .27% |
Over $1 billion | .24% |
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 Emerging Markets Fund | $3,715 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
| Purchases ($) | Sales ($) | Realized Gain (Loss) ($) |
Strategic Advisers Emerging Markets Fund | 12,392,973 | 13,105,244 | (514,208) |
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
| Amount ($) |
Strategic Advisers Emerging Markets Fund | 4,759 |
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 RatioA |
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 Emerging Markets Fund | $13,155 |
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 Emerging Markets Fund | $49,287 | $- | $- |
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, 2026. During the period, this waiver reduced the Fund's management fee by $18,858,117. Expense reductions also include certain voluntary fee discount arrangements, which are currently in effect for the Fund. During the period, these voluntary arrangements amounted to $302,303.
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 $815.
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 Emerging Markets Fund |
Fidelity SAI Emerging Markets Low Volatility Index Fund | 20% |
Fidelity SAI Emerging Markets Value Index Fund | 27% |
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 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 Emerging Markets Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 29, 2024, the related statement of operations for the year ended February 29, 2024, the statement of changes in net assets for each of the two years in the period ended February 29, 2024, including the related notes, and the financial highlights for each of the five years in the period ended February 29, 2024 (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 February 29, 2024, 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 February 29, 2024 and the financial highlights for each of the five years in the period ended February 29, 2024 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 February 29, 2024 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
April 12, 2024
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
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. Nancy D. Prior 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.
Nancy D. Prior (1967)
Year of Election or Appointment: 2023
Trustee
Chair of the Board of Trustees
Ms. Prior also serves as Trustee of other funds. Ms. Prior serves as a Senior Adviser at Fidelity Investments (investment adviser firm, 2021-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2018-present) and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2018-present). Prior to her retirement, Ms. Prior held a variety of positions at Fidelity Investments (2002-2020), including President of Fixed Income (2014-2020),), President of Multi-Asset Class Strategies (2017-2018), President of Money Markets and Short Duration Bonds (2013-2014), and President of Money Markets (2011-2013). Ms. Prior also served as President (2016-2019) and Director (2014-2019) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), Vice Chairman of FIAM LLC (investment adviser firm, 2014-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), Vice President of Global Asset Allocation Funds (2017-2019), Vice President of Fidelity's Bond Funds (2014-2020), and Vice President of Fidelity's Money Market Funds (2012-2020).
* 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+
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 Emerita (2024-present) and past Chair (2014-2023) and Chief Executive Officer (2013-2023) 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), and Member of the Ron Burton Training Village Executive Board of Advisors (2017-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Overseer of the Boston Symphony Orchestra (2014-2023), Member of the Board of Directors (2016-2023), Member of the Executive Committee (2019-2023) and Secretary (2022-2023) of The Advertising Council, Inc., Member of the Board of Directors of The Ad Club of Boston (2020-2023), 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).
Harold Singleton III (1962)
Year of Election or Appointment: 2023
Trustee
Mr. Singleton also serves as Trustee of other funds. Mr. Singleton is a member of the Board of Directors of Hershey Trust Company (2023-present). Previously, Mr. Singleton served as a member of the Board of Directors and Chair of the Audit Committee of WisdomTree, Inc. (global investment manager, 2022-2023). He also served as Vice President, Managing Director/Head of Manager Selection and Portfolio Construction (2016-2022) and Vice President/Head of Client Portfolio Management (2014-2016) of Lincoln Financial Group (insurance and retirement services). Mr. Singleton also served as a member of the Board of Directors and Investment Committee of The Vantagepoint Funds (2013-2014). Mr. Singleton served in various capacities at PineBridge Investments (global investment manager), including Managing Director, Head of Asset Management Companies and Global Head of Retail and Intermediary Sales (2010-2012), Managing Director, Global Head of Equity and Fixed Income Product Specialists (2009-2010) and Managing Director, Equity Product Specialist (Client Portfolio Manager) (2007-2010). He also served as Chairman of the Board of Directors of PineBridge East Africa (2011-2012) and PineBridge Taiwan (2011-2012). Mr. Singleton formerly served in various equity portfolio management and analyst positions, including at UBS Global Asset Management (2003-2006), Metropolitan West Capital Management (2000-2003) and Brinson Partners (investment manager, 1996-2000). Mr. Singleton is a Life Trustee, member of the Executive Committee and Chair of the Investment Committee of the Board of Trustees of the Illinois Institute of Technology (2012-present) and Chair of the Investment Committee (2010-present) of the Executive Leadership Council (nonprofit).
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.
Name, Year of Birth; Principal Occupations+
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).
Heather Bonner (1977)
Year of Election or Appointment: 2023
President and Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner is a Senior Vice President (2022-present) and is an employee of Fidelity Investments (2022-present). Ms. Bonner serves as Senior Vice President, Vice President, Treasurer, or Director of certain Fidelity entities. Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown is a Vice President (2015-present) and is an employee of Fidelity Investments. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-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 is Head of Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments. Mr. Burke serves as President, Executive Vice President, or Director of certain Fidelity entities. 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 Fidelity entities. Ms. Carey is a Senior Vice President, Deputy General Counsel (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 is a Vice President (2006-present) and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer or Director 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 is a Senior Vice President (2017-present) and is an employee of Fidelity Investments. Ms. Del Prato serves as Vice President or Assistant Treasurer of certain Fidelity entities. Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020).
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 is a Senior Vice President of Asset Management Compliance (2009-present) and is an employee of Fidelity Investments. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-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 is a Vice President (2016-present) and is an employee of Fidelity Investments. Mr. Hogan serves as Assistant Treasurer of certain Fidelity entities. 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 is a Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments. 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 is a Vice President (2008-present) and is an employee of Fidelity Investments. Mr. Maher serves as Assistant Treasurer of certain Fidelity entities. Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as AML Officer of other funds. Mr. Segaloff is a Vice President (2022-present) and is an employee of Fidelity Investments. Mr. Segaloff serves as Anti Money Laundering Compliance Officer or Anti Money Laundering/Bank Secrecy Act Compliance Officer of certain Fidelity entities.
Stacie M. Smith (1974)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith is a Senior Vice President (2016-present) and is an employee of Fidelity Investments. Ms. Smith serves as Assistant Treasurer of certain Fidelity entities and has served in other fund officer roles.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann is a Vice President (2016-present) and is an employee of Fidelity Investments. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
+ The information includes principal occupation during the last five years.
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 (September 1, 2023 to February 29, 2024). |
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 September 1, 2023 | | Ending Account Value February 29, 2024 | | Expenses Paid During Period- C September 1, 2023 to February 29, 2024 |
| | | | | | | | | | |
Strategic Advisers® Emerging Markets Fund | | | | .30% | | | | | | |
Actual | | | | | | $ 1,000 | | $ 1,061.00 | | $ 1.54 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,023.37 | | $ 1.51 |
|
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/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund designates $3,491,189 of distributions paid during the fiscal year ended 2024 as qualifying to be taxed as section 163(j) interest dividends.
The fund designates 49.25% of the dividend 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 amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are $.3117 and $.0451 for the dividend paid December 29, 2023.
The fund will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Emerging Markets Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with Acadian Asset Management LLC, Causeway Capital Management LLC, FIAM LLC, FIL Investment Advisors, Geode Capital Management, LLC, Schroder Investment Management North America, Inc., Somerset Capital Management LLP, and T. Rowe Price Associates, Inc. (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, FIL Investment Advisors (UK) Limited, Schroder Investment Management North America Limited, and T. Rowe Price Singapore Private Ltd. (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2023 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination to renew the fund's Advisory Contracts, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement does not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund.
The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.
The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over different time periods, measured against an appropriate securities market index (benchmark index) and a peer group of mutual funds with similar objectives (peer group).
The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved.
The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program.
In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Strategic Advisers funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); and (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group").
The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for the 12-month period ended December 31, 2022 and below the competitive median of the asset size peer group for the 12-month period ended December 31, 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for the 12-month period ended December 31, 2022.
Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.
Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that certain of the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each 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, 2022 through November 30, 2023. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.
1.918359.113
SAE-ANN-0424
Strategic Advisers® 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
February 29, 2024
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. © 2024 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 February 29, 2024 | Past 1 year | Past 5 years | Past 10 years |
Strategic Advisers® Core Income Fund | 3.78% | 1.04% | 1.86% |
$10,000 Over 10 Years |
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Let's say hypothetically that $10,000 was invested in Strategic Advisers® Core Income Fund on February 28, 2014. 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. |
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Management's Discussion of Fund Performance
Market Recap:
U.S. taxable investment-grade bonds gained 3.33% for the 12 months ending February 29, 2024, as measured by the Bloomberg U.S. Aggregate Bond Index. The advance was driven by a powerful rally in the final two months of 2023, but the 12-month period was marked by high levels of volatility. The early months saw the bond market start to rebound from the historic downturn that began in early 2022, when the U.S. Federal Reserve began an aggressive series of interest rate hikes to combat persistent inflation. The index advanced in March and April of 2023 on optimism the central bank would soon be done with its hiking cycle, only to fall back in each of the next six months, as cooling but still-high inflation and a strong labor market suggested it may need to keep raising rates. Bonds saw particularly sharp sell-offs in September (-2.54%) and October (-1.58%). At its committee meeting in November, though, the Fed struck a new, more optimistic tone, and then in December signaled to the market that, if disinflation trends hold, it expected to begin cutting interest rates in 2024. The index gained 4.53% in November, its best month since the 1980s, and a further 3.83% in December but fell in January (-0.27%) and February (-1.41%) as disinflation stalled. For the full 12 months, short-term bonds outperformed long-term issues, while lower-quality bonds bettered higher-quality debt, and risk assets, including corporate bonds and asset-backed securities, notably outpaced U.S. Treasurys.
Comments from Portfolio Manager Jonathan Duggan:
For the fiscal year ending February 29, 2024, the Fund gained 3.78%, outpacing the 3.33% advance of the benchmark Bloomberg U.S. Aggregate Bond Index. Among the Fund's active underlying managers, sub-advisers FIAM® and PGIM, along with Fidelity® SAI Total Bond Fund were the top contributors versus the benchmark. The Core Plus mandate from PGIM (+6%) benefited from tactical yield curve positioning, underweight exposure to long-duration bonds, and a smaller-than-benchmark allocation to government-agency mortgage-backed securities (MBS), which lagged other segments oof the bond market. Small stakes in high-yield corporate credit, collateralized loan obligations and emerging-markets (EM) debt also aided this manager's result. An underweight to agency MBS also helped the Core Investment Grade strategy from FIAM (+4.5%), as did security selection among investment-grade (IG) corporate bonds. Fidelity® SAI Total Bond Fund (+5%) likewise received a boost from comparatively light exposure to MBS, along with an overweight to short-maturity IG credit. Holdings of high-yield credit, bank loans and EM debt, as well as timely adjustments to the portfolio's interest rate sensitivity, further fueled this fund's performance. On the downside, the Fund's exposure to intermediate- and long-maturity U.S. Treasurys worked against relative performance the past 12 months, as interest rates rose during the first half of the period then declined during the second half. Our positions here encompassed several underlying funds. In terms of portfolio changes, in July, we hired BlackRock as a sub-adviser to run its Total Return mandate. This is a core-plus strategy that employs structural trades in various markets. Given that corporate credit valuations were not that compelling later in the period, I adjusted manager allocations to increase exposure to U.S. Treasury and MBS investments.
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 Total Return Fund Institutional Class | 11.0 | |
Fidelity SAI Total Bond Fund | 9.6 | |
U.S. Treasury Obligations | 9.3 | |
Western Asset Core Bond Fund Class I | 7.4 | |
Fidelity SAI U.S. Treasury Bond Index Fund | 4.6 | |
Fannie Mae | 4.1 | |
iShares 7-10 Year Treasury Bond ETF | 4.0 | |
DoubleLine Total Return Bond Fund Class N | 3.8 | |
PIMCO Mortgage Opportunities Fund Institutional Class | 3.7 | |
Voya Intermediate Bond Fund Class I | 3.1 | |
Asset Allocation (% of Fund's net assets) |
|
Short-Term Investments and Net Other Assets (Liabilities) - (2.2)% |
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 - 9.1% |
| | Principal Amount (a) | Value ($) |
COMMUNICATION SERVICES - 0.8% | | | |
Diversified Telecommunication Services - 0.2% | | | |
Altice France SA 3.375% 1/15/28 (Reg. S) | EUR | 4,550,000 | 3,983,288 |
AT&T, Inc.: | | | |
1.65% 2/1/28 | | 563,000 | 495,385 |
2.55% 12/1/33 | | 6,985,000 | 5,508,049 |
3.5% 6/1/41 | | 5,306,000 | 4,065,739 |
3.5% 9/15/53 | | 778,000 | 534,748 |
3.55% 9/15/55 | | 1,895,000 | 1,290,928 |
3.65% 6/1/51 | | 293,000 | 209,657 |
3.65% 9/15/59 | | 9,984,000 | 6,753,224 |
3.8% 12/1/57 | | 27,261,000 | 19,185,870 |
4.3% 2/15/30 | | 3,709,000 | 3,537,304 |
4.5% 5/15/35 | | 1,980,000 | 1,823,236 |
4.5% 3/9/48 | | 153,000 | 127,980 |
4.55% 3/9/49 | | 147,000 | 123,940 |
4.75% 5/15/46 | | 5,130,000 | 4,492,907 |
5.4% 2/15/34 | | 1,157,000 | 1,158,528 |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) | | 305,000 | 287,463 |
Cablevision Lightpath LLC 3.875% 9/15/27 (b) | | 10,000 | 9,064 |
Cellnex Telecom SA 1.75% 10/23/30 (Reg. S) | EUR | 5,500,000 | 5,184,515 |
Cogent Communications Group, Inc.: | | | |
3.5% 5/1/26 (b) | | 165,000 | 156,407 |
7% 6/15/27 (b) | | 255,000 | 254,648 |
Embarq Corp. 7.995% 6/1/36 | | 119,000 | 67,371 |
Frontier Communications Holdings LLC: | | | |
5.875% 10/15/27 (b) | | 347,000 | 335,376 |
8.625% 3/15/31 (b) | | 880,000 | 891,794 |
Iliad Holding SAS: | | | |
6.5% 10/15/26 (b) | | 475,000 | 469,621 |
7% 10/15/28 (b) | | 450,000 | 445,227 |
Koninklijke KPN NV 3.875% 2/16/36 (Reg. S) | EUR | 200,000 | 215,629 |
Level 3 Financing, Inc.: | | | |
3.625% 1/15/29 (b) | | 35,000 | 20,475 |
4.625% 9/15/27 (b) | | 166,000 | 110,783 |
Lumen Technologies, Inc.: | | | |
4% 2/15/27 (b) | | 672,000 | 433,440 |
5.125% 12/15/26 (b) | | 319,000 | 210,198 |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.: | | | |
4.75% 4/30/27 (b) | | 510,000 | 489,600 |
6% 2/15/28 (b) | | 379,000 | 362,601 |
Qwest Corp. 7.25% 9/15/25 | | 203,000 | 196,396 |
Sable International Finance Ltd. 5.75% 9/7/27 (b) | | 526,000 | 503,540 |
Sitios Latinoamerica S.A.B. de CV 5.375% 4/4/32 (b) | | 200,000 | 184,120 |
Sprint Capital Corp.: | | | |
6.875% 11/15/28 | | 304,000 | 323,368 |
8.75% 3/15/32 | | 555,000 | 670,286 |
Sprint Spectrum Co. LLC 5.152% 9/20/29 (b) | | 10,756,750 | 10,724,113 |
Telecom Italia Capital SA: | | | |
6% 9/30/34 | | 89,000 | 82,576 |
6.375% 11/15/33 | | 191,000 | 183,311 |
7.721% 6/4/38 | | 5,000 | 5,121 |
Telecom Italia SpA 5.303% 5/30/24 (b) | | 370,000 | 368,589 |
Telefonica Emisiones S.A.U. 4.055% 1/24/36 (Reg. S) | EUR | 200,000 | 215,824 |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | | 200,000 | 187,500 |
Verizon Communications, Inc.: | | | |
1.75% 1/20/31 | | 306,000 | 245,413 |
2.1% 3/22/28 | | 48,000 | 42,739 |
2.355% 3/15/32 | | 6,146,000 | 4,983,106 |
2.55% 3/21/31 | | 666,000 | 561,322 |
2.65% 11/20/40 | | 1,515,000 | 1,044,527 |
2.85% 9/3/41 | | 273,000 | 192,683 |
2.875% 11/20/50 | | 35,000 | 22,297 |
3% 11/20/60 | | 191,000 | 116,199 |
3.4% 3/22/41 | | 5,565,000 | 4,263,710 |
3.7% 3/22/61 | | 620,000 | 438,086 |
3.75% 2/28/36 | EUR | 350,000 | 372,383 |
4.016% 12/3/29 | | 1,493,000 | 1,414,724 |
4.272% 1/15/36 | | 177,000 | 160,755 |
4.329% 9/21/28 | | 35,000 | 33,970 |
4.4% 11/1/34 | | 475,000 | 441,810 |
5.05% 5/9/33 | | 1,298,000 | 1,285,384 |
5.5% 2/23/54 | | 200,000 | 197,590 |
5.85% 9/15/35 | | 130,000 | 136,049 |
Virgin Media Finance PLC 5% 7/15/30 (b) | | 270,000 | 233,072 |
Zayo Group Holdings, Inc. 4% 3/1/27 (b) | | 886,000 | 737,595 |
| | | 93,803,153 |
Entertainment - 0.0% | | | |
Cinemark U.S.A., Inc.: | | | |
5.25% 7/15/28 (b) | | 174,000 | 162,533 |
5.875% 3/15/26 (b) | | 174,000 | 171,399 |
8.75% 5/1/25 (b) | | 7,000 | 7,007 |
Live Nation Entertainment, Inc.: | | | |
4.75% 10/15/27 (b) | | 432,000 | 413,603 |
5.625% 3/15/26 (b) | | 49,000 | 48,385 |
6.5% 5/15/27 (b) | | 403,000 | 406,469 |
Netflix, Inc.: | | | |
4.375% 11/15/26 | | 165,000 | 162,280 |
5.375% 11/15/29 (b) | | 518,000 | 526,011 |
Roblox Corp. 3.875% 5/1/30 (b) | | 280,000 | 245,232 |
Take-Two Interactive Software, Inc. 3.7% 4/14/27 | | 180,000 | 172,119 |
Universal Music Group NV 4% 6/13/31 (Reg. S) | EUR | 300,000 | 328,141 |
WMG Acquisition Corp. 3.875% 7/15/30 (b) | | 282,000 | 248,865 |
| | | 2,892,044 |
Interactive Media & Services - 0.0% | | | |
Meta Platforms, Inc.: | | | |
4.65% 8/15/62 | | 610,000 | 540,486 |
5.6% 5/15/53 | | 293,000 | 303,356 |
| | | 843,842 |
Media - 0.4% | | | |
Adria Bidco BV: | | | |
3.625% 2/15/28 (Reg. S) | EUR | 2,000,000 | 2,024,879 |
5.25% 2/1/30 (b) | EUR | 2,900,000 | 2,980,582 |
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | | 245,000 | 228,034 |
Altice Financing SA 5.75% 8/15/29 (b) | | 2,175,000 | 1,873,264 |
Cable One, Inc. 4% 11/15/30 (b) | | 700,000 | 528,920 |
CCO Holdings LLC/CCO Holdings Capital Corp.: | | | |
4.25% 2/1/31 (b) | | 95,000 | 76,412 |
4.5% 8/15/30 (b) | | 619,000 | 513,473 |
4.5% 5/1/32 | | 3,891,000 | 3,073,908 |
4.5% 6/1/33 (b) | | 1,900,000 | 1,461,570 |
4.75% 3/1/30 (b) | | 2,655,000 | 2,258,569 |
4.75% 2/1/32 (b) | | 695,000 | 560,709 |
5% 2/1/28 (b) | | 702,000 | 647,768 |
5.125% 5/1/27 (b) | | 231,000 | 218,333 |
5.375% 6/1/29 (b) | | 260,000 | 235,136 |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | | | |
2.25% 1/15/29 | | 5,888,000 | 4,968,371 |
2.3% 2/1/32 | | 1,000,000 | 759,736 |
2.8% 4/1/31 | | 125,000 | 101,015 |
3.5% 6/1/41 | | 144,000 | 95,327 |
3.5% 3/1/42 | | 408,000 | 266,866 |
3.7% 4/1/51 | | 384,000 | 233,105 |
3.9% 6/1/52 | | 8,291,000 | 5,212,541 |
3.95% 6/30/62 | | 631,000 | 371,696 |
4.8% 3/1/50 | | 2,024,000 | 1,464,609 |
5.25% 4/1/53 | | 805,000 | 624,988 |
5.375% 5/1/47 | | 26,375,000 | 20,828,097 |
6.384% 10/23/35 | | 2,810,000 | 2,720,280 |
6.484% 10/23/45 | | 3,445,000 | 3,147,202 |
6.65% 2/1/34 | | 870,000 | 872,987 |
Clear Channel Outdoor Holdings, Inc.: | | | |
5.125% 8/15/27 (b) | | 540,000 | 504,922 |
7.75% 4/15/28 (b) | | 59,000 | 51,003 |
Comcast Corp.: | | | |
1.95% 1/15/31 | | 277,000 | 227,569 |
2.65% 2/1/30 | | 189,000 | 166,180 |
2.887% 11/1/51 | | 604,000 | 382,423 |
2.937% 11/1/56 | | 3,739,000 | 2,300,725 |
2.987% 11/1/63 | | 870,000 | 522,684 |
3.2% 7/15/36 | | 236,000 | 190,591 |
3.4% 4/1/30 | | 860,000 | 786,953 |
3.45% 2/1/50 | | 123,000 | 88,321 |
3.75% 4/1/40 | | 861,000 | 704,714 |
3.9% 3/1/38 | | 435,000 | 373,049 |
3.969% 11/1/47 | | 32,000 | 25,350 |
3.999% 11/1/49 | | 3,000 | 2,385 |
4% 3/1/48 | | 150,000 | 118,920 |
4.25% 10/15/30 | | 435,000 | 416,168 |
4.4% 8/15/35 | | 112,000 | 104,060 |
4.65% 2/15/33 | | 81,000 | 78,681 |
5.35% 5/15/53 | | 2,937,000 | 2,862,172 |
5.5% 5/15/64 | | 1,935,000 | 1,897,704 |
COX Communications, Inc.: | | | |
2.95% 10/1/50 (b) | | 81,000 | 49,390 |
5.45% 9/15/28 (b) | | 9,195,000 | 9,268,254 |
Cox Enterprises, Inc. 7.375% 7/15/27 (b) | | 1,945,000 | 2,047,348 |
CSC Holdings LLC: | | | |
4.125% 12/1/30 (b) | | 215,000 | 160,085 |
4.5% 11/15/31 (b) | | 220,000 | 163,350 |
5.375% 2/1/28 (b) | | 624,000 | 543,897 |
5.75% 1/15/30 (b) | | 358,000 | 210,531 |
6.5% 2/1/29 (b) | | 3,224,000 | 2,810,264 |
7.5% 4/1/28 (b) | | 350,000 | 248,810 |
11.75% 1/31/29 (b) | | 94,000 | 98,260 |
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% (b)(c) | | 5,100,000 | 293,250 |
DIRECTV Financing LLC / DIRECTV Financing Co-Obligor, Inc. 5.875% 8/15/27 (b) | | 495,000 | 467,216 |
Discovery Communications LLC: | | | |
3.625% 5/15/30 | | 4,338,000 | 3,812,945 |
4% 9/15/55 | | 89,000 | 58,911 |
4.65% 5/15/50 | | 11,727,000 | 8,892,962 |
5.3% 5/15/49 | | 7,695,000 | 6,294,475 |
DISH DBS Corp.: | | | |
5.125% 6/1/29 | | 1,100,000 | 469,123 |
5.25% 12/1/26 (b) | | 526,000 | 420,143 |
5.75% 12/1/28 (b) | | 53,000 | 36,703 |
5.875% 11/15/24 | | 323,000 | 305,235 |
7.75% 7/1/26 | | 550,000 | 350,625 |
DISH Network Corp. 11.75% 11/15/27 (b) | | 5,193,000 | 5,414,109 |
Fox Corp.: | | | |
5.476% 1/25/39 | | 2,474,000 | 2,311,156 |
5.576% 1/25/49 | | 1,641,000 | 1,501,011 |
Gannett Holdings LLC 6% 11/1/26 (b) | | 105,000 | 94,882 |
Gray Television, Inc.: | | | |
4.75% 10/15/30 (b) | | 161,000 | 103,739 |
5.375% 11/15/31 (b) | | 63,000 | 40,755 |
7% 5/15/27 (b) | | 175,000 | 158,148 |
iHeartCommunications, Inc.: | | | |
4.75% 1/15/28 (b) | | 180,000 | 129,600 |
5.25% 8/15/27 (b) | | 127,000 | 94,139 |
6.375% 5/1/26 | | 384,414 | 327,323 |
8.375% 5/1/27 | | 166,361 | 99,817 |
Lamar Media Corp.: | | | |
3.75% 2/15/28 | | 27,000 | 25,043 |
4% 2/15/30 | | 157,000 | 140,123 |
4.875% 1/15/29 | | 195,000 | 184,763 |
LCPR Senior Secured Financing DAC 5.125% 7/15/29 (b) | | 200,000 | 168,064 |
Midas Opco Holdings LLC 5.625% 8/15/29 (b) | | 340,000 | 303,552 |
News Corp. 3.875% 5/15/29 (b) | | 390,000 | 352,487 |
Nexstar Media, Inc.: | | | |
4.75% 11/1/28 (b) | | 196,000 | 174,038 |
5.625% 7/15/27 (b) | | 784,000 | 742,981 |
Outfront Media Capital LLC / Corp. 5% 8/15/27 (b) | | 112,000 | 107,747 |
Paramount Global: | | | |
4.6% 1/15/45 | | 65,000 | 44,619 |
4.9% 8/15/44 | | 43,000 | 30,275 |
4.95% 5/19/50 | | 60,000 | 42,690 |
5.25% 4/1/44 | | 54,000 | 40,163 |
5.85% 9/1/43 | | 178,000 | 143,969 |
Radiate Holdco LLC/Radiate Financial Service Ltd. 4.5% 9/15/26 (b) | | 145,000 | 114,182 |
RELX Capital, Inc. 3% 5/22/30 | | 86,000 | 76,797 |
Scripps Escrow II, Inc. 3.875% 1/15/29 (b) | | 347,000 | 274,471 |
Scripps Escrow, Inc. 5.875% 7/15/27 (b) | | 36,000 | 29,222 |
SES Global Americas Holdings GP 5.3% 3/25/44 (b) | | 2,000,000 | 1,533,282 |
Sinclair Television Group, Inc. 4.125% 12/1/30 (b) | | 163,000 | 119,112 |
Sirius XM Radio, Inc.: | | | |
4% 7/15/28 (b) | | 515,000 | 463,972 |
4.125% 7/1/30 (b) | | 855,000 | 735,606 |
5% 8/1/27 (b) | | 788,000 | 750,670 |
5.5% 7/1/29 (b) | | 1,283,000 | 1,213,275 |
TEGNA, Inc.: | | | |
4.625% 3/15/28 | | 416,000 | 373,485 |
4.75% 3/15/26 (b) | | 225,000 | 217,406 |
5% 9/15/29 | | 189,000 | 166,320 |
Time Warner Cable LLC: | | | |
5.5% 9/1/41 | | 8,936,000 | 7,366,737 |
5.875% 11/15/40 | | 7,708,000 | 6,647,897 |
6.55% 5/1/37 | | 8,522,000 | 8,027,111 |
7.3% 7/1/38 | | 6,402,000 | 6,382,902 |
Univision Communications, Inc.: | | | |
7.375% 6/30/30 (b) | | 420,000 | 405,666 |
8% 8/15/28 (b) | | 1,780,000 | 1,789,505 |
Videotron Ltd.: | | | |
3.625% 6/15/29 (b) | | 130,000 | 116,782 |
5.125% 4/15/27 (b) | | 120,000 | 117,582 |
5.375% 6/15/24 (b) | | 88,000 | 87,709 |
Virgin Media Secured Finance PLC: | | | |
4.25% 1/15/30 (Reg. S) | GBP | 1,500,000 | 1,620,888 |
5.5% 5/15/29 (b) | | 175,000 | 163,973 |
VZ Secured Financing BV 5% 1/15/32 (b) | | 2,441,000 | 2,083,557 |
Warnermedia Holdings, Inc.: | | | |
3.755% 3/15/27 | | 3,690,000 | 3,491,621 |
4.054% 3/15/29 | | 1,378,000 | 1,276,398 |
4.279% 3/15/32 | | 5,640,000 | 4,975,535 |
5.05% 3/15/42 | | 12,536,000 | 10,541,746 |
5.141% 3/15/52 | | 10,129,000 | 8,230,781 |
Ziggo BV: | | | |
2.875% 1/15/30 (Reg. S) | EUR | 300,000 | 287,442 |
4.875% 1/15/30 (b) | | 115,000 | 102,443 |
| | | 189,713,996 |
Wireless Telecommunication Services - 0.2% | | | |
Digicel Group Holdings Ltd.: | | | |
0% 12/31/30 (b)(d) | | 55,510 | 62,354 |
0% 12/31/30 (b)(d) | | 173,160 | 17 |
Digicel Intermediate Holdings 12% 5/25/27 pay-in-kind (e) | | 715,140 | 701,195 |
Digicel MidCo Ltd. / DIFL U.S. II LLC PIK 10.5% 11/25/28 pay-in-kind (e) | | 2,531,946 | 2,025,557 |
Intelsat Jackson Holdings SA: | | | |
6.5% 3/15/30 (b) | | 510,000 | 474,495 |
9.75% (b)(c)(d) | | 5,500,000 | 1 |
Millicom International Cellular SA: | | | |
4.5% 4/27/31 (b) | | 200,000 | 172,740 |
5.125% 1/15/28 (b) | | 346,500 | 329,965 |
Rogers Communications, Inc.: | | | |
4.55% 3/15/52 | | 20,000 | 16,505 |
5.3% 2/15/34 | | 4,078,000 | 4,002,481 |
Sprint Corp.: | | | |
7.125% 6/15/24 | | 2,950,000 | 2,957,818 |
7.625% 2/15/25 | | 6,246,000 | 6,322,359 |
7.625% 3/1/26 | | 35,000 | 36,163 |
T-Mobile U.S.A., Inc.: | | | |
2.25% 11/15/31 | | 95,000 | 77,077 |
2.625% 4/15/26 | | 220,000 | 208,197 |
2.625% 2/15/29 | | 1,140,000 | 1,010,814 |
2.875% 2/15/31 | | 96,000 | 82,581 |
3% 2/15/41 | | 3,775,000 | 2,726,571 |
3.375% 4/15/29 | | 2,445,000 | 2,241,631 |
3.75% 4/15/27 | | 7,970,000 | 7,639,696 |
3.875% 4/15/30 | | 28,845,000 | 26,774,389 |
5.05% 7/15/33 | | 988,000 | 966,319 |
5.15% 4/15/34 | | 590,000 | 580,960 |
5.2% 1/15/33 | | 215,000 | 213,722 |
VMED O2 UK Financing I PLC 4.25% 1/31/31 (b) | | 495,000 | 419,819 |
Vodafone Group PLC: | | | |
4.875% 10/3/78 (Reg. S) (e) | GBP | 600,000 | 737,915 |
6.25% 10/3/78 (Reg. S) (e) | | 595,000 | 591,966 |
| | | 61,373,307 |
TOTAL COMMUNICATION SERVICES | | | 348,626,342 |
CONSUMER DISCRETIONARY - 0.5% | | | |
Automobile Components - 0.0% | | | |
Adient Global Holdings Ltd.: | | | |
4.875% 8/15/26 (b) | | 2,200,000 | 2,132,375 |
7% 4/15/28 (b) | | 293,000 | 298,713 |
American Axle & Manufacturing, Inc.: | | | |
5% 10/1/29 | | 160,000 | 138,733 |
6.5% 4/1/27 | | 59,000 | 58,276 |
6.875% 7/1/28 | | 346,000 | 334,343 |
Aptiv PLC / Aptiv Corp. 3.25% 3/1/32 | | 1,115,000 | 961,453 |
Clarios Global LP 6.75% 5/15/25 (b) | | 87,000 | 86,940 |
Clarios Global LP / Clarios U.S. Finance Co.: | | | |
6.25% 5/15/26 (b) | | 382,000 | 380,964 |
6.75% 5/15/28 (b) | | 105,000 | 106,271 |
Cooper Standard Auto, Inc.: | | | |
10.625% 5/15/27 pay-in-kind (b)(e) | | 143,968 | 107,366 |
13.5% 3/31/27 pay-in-kind (b)(e) | | 198,111 | 209,998 |
Dana Financing Luxembourg SARL 5.75% 4/15/25 (b) | | 60,000 | 59,722 |
Dana, Inc.: | | | |
4.5% 2/15/32 | | 115,000 | 96,590 |
5.625% 6/15/28 | | 637,000 | 616,634 |
Hertz Corp. 4.625% 12/1/26 (b) | | 372,000 | 329,298 |
Lear Corp. 2.6% 1/15/32 | | 5,000 | 4,047 |
Macquarie AirFinance Holdings: | | | |
8.125% 3/30/29 (b) | | 100,000 | 103,975 |
8.375% 5/1/28 (b) | | 130,000 | 136,172 |
Robert Bosch GmbH 4.375% 6/2/43 (Reg. S) | EUR | 300,000 | 337,022 |
Schaeffler AG: | | | |
3.375% 10/12/28 (Reg. S) | EUR | 400,000 | 415,027 |
4.75% 8/14/29 (Reg. S) | EUR | 100,000 | 109,296 |
Tenneco, Inc. 8% 11/17/28 (b) | | 1,950,000 | 1,776,938 |
The Goodyear Tire & Rubber Co.: | | | |
5% 7/15/29 | | 340,000 | 312,948 |
5.25% 4/30/31 | | 482,000 | 436,511 |
5.25% 7/15/31 | | 117,000 | 105,590 |
9.5% 5/31/25 | | 10,000 | 10,100 |
ZF Finance GmbH 2% 5/6/27 (Reg. S) | EUR | 800,000 | 797,895 |
| | | 10,463,197 |
Automobiles - 0.1% | | | |
Ford Motor Co.: | | | |
3.25% 2/12/32 | | 1,945,000 | 1,595,011 |
4.75% 1/15/43 | | 4,145,000 | 3,353,375 |
5.291% 12/8/46 | | 460,000 | 397,795 |
9.625% 4/22/30 | | 481,000 | 561,914 |
General Motors Co.: | | | |
5.95% 4/1/49 | | 10,000 | 9,633 |
6.25% 10/2/43 | | 8,855,000 | 8,893,200 |
6.6% 4/1/36 | | 775,000 | 815,406 |
6.75% 4/1/46 | | 465,000 | 491,792 |
General Motors Financial Co., Inc.: | | | |
2.4% 4/10/28 | | 1,895,000 | 1,689,177 |
2.7% 6/10/31 | | 570,000 | 469,877 |
3.6% 6/21/30 | | 303,000 | 271,106 |
3.8% 4/7/25 | | 15,000 | 14,720 |
4% 1/15/25 | | 5,695,000 | 5,613,529 |
5.4% 5/8/27 | | 1,360,000 | 1,360,610 |
5.75% 2/8/31 | | 75,000 | 74,782 |
5.85% 4/6/30 | | 2,471,000 | 2,503,630 |
Hyundai Capital America: | | | |
1.5% 6/15/26 (b) | | 367,000 | 335,856 |
1.8% 10/15/25 (b) | | 120,000 | 113,108 |
2.375% 10/15/27 (b) | | 32,000 | 28,962 |
3% 2/10/27 (b) | | 252,000 | 236,455 |
Thor Industries, Inc. 4% 10/15/29 (b) | | 150,000 | 132,750 |
| | | 28,962,688 |
Broadline Retail - 0.0% | | | |
Amazon.com, Inc.: | | | |
2.5% 6/3/50 | | 250,000 | 157,053 |
3.6% 4/13/32 | | 335,000 | 308,929 |
3.95% 4/13/52 | | 282,000 | 233,108 |
John Lewis PLC 6.125% 1/21/25 | GBP | 1,616,000 | 2,031,668 |
Kohl's Corp. 4.25% 7/17/25 | | 20,000 | 19,433 |
Macy's Retail Holdings LLC 5.875% 4/1/29 (b) | | 282,000 | 271,586 |
Marks & Spencer PLC 4.5% 7/10/27 (Reg. S) | GBP | 1,000,000 | 1,201,359 |
Match Group Holdings II LLC: | | | |
3.625% 10/1/31 (b) | | 170,000 | 143,225 |
4.125% 8/1/30 (b) | | 70,000 | 61,840 |
Nordstrom, Inc.: | | | |
2.3% 4/8/24 | | 12,000 | 11,944 |
4.375% 4/1/30 | | 718,000 | 634,353 |
Shutterfly Finance LLC: | | | |
8.5% 10/1/27 pay-in-kind (b)(e) | | 39,221 | 30,984 |
9.75% 10/1/27 (b) | | 4,660 | 4,660 |
| | | 5,110,142 |
Distributors - 0.0% | | | |
American Builders & Contractors Supply Co., Inc.: | | | |
3.875% 11/15/29 (b) | | 70,000 | 62,516 |
4% 1/15/28 (b) | | 262,000 | 244,738 |
Ritchie Bros. Holdings, Inc.: | | | |
6.75% 3/15/28 (b) | | 200,000 | 204,690 |
7.75% 3/15/31 (b) | | 204,000 | 214,455 |
| | | 726,399 |
Diversified Consumer Services - 0.0% | | | |
Adtalem Global Education, Inc. 5.5% 3/1/28 (b) | | 759,000 | 722,439 |
California Institute of Technology 3.65% 9/1/19 | | 535,000 | 371,078 |
ERAC U.S.A. Finance LLC: | | | |
3.3% 12/1/26 (b) | | 8,865,000 | 8,438,786 |
7% 10/15/37 (b) | | 8,000 | 9,092 |
Massachusetts Institute of Technology: | | | |
2.989% 7/1/50 | | 865,000 | 624,364 |
3.959% 7/1/38 | | 2,125,000 | 1,943,418 |
5.6% 7/1/11 | | 400,000 | 430,932 |
President and Fellows of Harvard College: | | | |
3.15% 7/15/46 | | 315,000 | 235,707 |
3.3% 7/15/56 | | 190,000 | 140,770 |
Service Corp. International 5.125% 6/1/29 | | 565,000 | 551,327 |
Sotheby's 7.375% 10/15/27 (b) | | 95,000 | 91,250 |
Trustees of Boston University 4.061% 10/1/48 | | 450,000 | 383,315 |
University of Miami 4.063% 4/1/52 | | 102,000 | 85,875 |
University of Pennsylvania Trustees: | | | |
2.396% 10/1/50 | | 495,000 | 307,491 |
3.61% 2/15/2119 | | 285,000 | 198,248 |
University of Southern California: | | | |
3.226% 10/1/20 | | 23,000 | 14,022 |
3.841% 10/1/47 | | 515,000 | 430,585 |
4.976% 10/1/53 | | 1,082,000 | 1,084,272 |
Washington University: | | | |
3.524% 4/15/54 | | 2,630,000 | 2,060,324 |
4.349% 4/15/22 | | 2,340,000 | 1,963,982 |
Yale University 2.402% 4/15/50 | | 2,140,000 | 1,381,681 |
| | | 21,468,958 |
Hotels, Restaurants & Leisure - 0.1% | | | |
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | | | |
3.875% 1/15/28 (b) | | 186,000 | 173,497 |
4% 10/15/30 (b) | | 5,257,000 | 4,617,769 |
4.375% 1/15/28 (b) | | 280,000 | 262,830 |
5.75% 4/15/25 (b) | | 90,000 | 89,667 |
Aramark Services, Inc.: | | | |
5% 4/1/25 (b) | | 32,000 | 31,796 |
5% 2/1/28 (b) | | 2,110,000 | 2,022,064 |
Boyd Gaming Corp. 4.75% 12/1/27 | | 443,000 | 425,543 |
Boyne U.S.A., Inc. 4.75% 5/15/29 (b) | | 325,000 | 298,797 |
Brinker International, Inc. 8.25% 7/15/30 (b) | | 1,825,000 | 1,912,618 |
Caesars Entertainment, Inc.: | | | |
4.625% 10/15/29 (b) | | 1,575,000 | 1,437,969 |
6.5% 2/15/32 (b) | | 1,450,000 | 1,460,850 |
7% 2/15/30 (b) | | 2,625,000 | 2,689,205 |
Carnival Corp.: | | | |
4% 8/1/28 (b) | | 530,000 | 488,850 |
5.75% 3/1/27 (b) | | 1,100,000 | 1,086,241 |
6% 5/1/29 (b) | | 1,100,000 | 1,073,166 |
7.625% 3/1/26 (b) | | 1,050,000 | 1,063,661 |
Carnival Holdings (Bermuda) Ltd. 10.375% 5/1/28 (b) | | 716,000 | 781,130 |
CCM Merger, Inc. 6.375% 5/1/26 (b) | | 420,000 | 414,320 |
Cedar Fair LP 5.25% 7/15/29 | | 271,000 | 255,981 |
Cedar Fair LP/Canada's Wonderland Co.: | | | |
5.5% 5/1/25 (b) | | 17,000 | 16,943 |
6.5% 10/1/28 | | 160,000 | 160,271 |
Churchill Downs, Inc.: | | | |
4.75% 1/15/28 (b) | | 170,000 | 160,809 |
6.75% 5/1/31 (b) | | 55,000 | 55,033 |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. 4.625% 1/15/29 (b) | | 1,300,000 | 1,179,698 |
Garden SpinCo Corp. 8.625% 7/20/30 (b) | | 45,000 | 47,705 |
Golden Entertainment, Inc. 7.625% 4/15/26 (b) | | 1,200,000 | 1,194,689 |
Hilton Domestic Operating Co., Inc.: | | | |
3.625% 2/15/32 (b) | | 367,000 | 313,513 |
3.75% 5/1/29 (b) | | 688,000 | 624,929 |
4% 5/1/31 (b) | | 1,156,000 | 1,027,086 |
4.875% 1/15/30 | | 63,000 | 59,900 |
5.375% 5/1/25 (b) | | 41,000 | 40,802 |
5.75% 5/1/28 (b) | | 25,000 | 24,931 |
Hilton Grand Vacations Borrower Escrow LLC 6.625% 1/15/32 (b) | | 225,000 | 224,999 |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 | | 40,000 | 39,026 |
Hyatt Hotels Corp. 5.75% 1/30/27 | | 1,245,000 | 1,260,785 |
InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S) | GBP | 485,000 | 562,215 |
International Game Technology PLC: | | | |
5.25% 1/15/29 (b) | | 200,000 | 193,324 |
6.25% 1/15/27 (b) | | 200,000 | 200,844 |
6.5% 2/15/25 (b) | | 428,000 | 428,645 |
Marriott International, Inc.: | | | |
3.125% 6/15/26 | | 1,390,000 | 1,327,113 |
4.9% 4/15/29 | | 925,000 | 913,805 |
5.3% 5/15/34 | | 170,000 | 167,297 |
Marriott Ownership Resorts, Inc.: | | | |
4.5% 6/15/29 (b) | | 74,000 | 67,125 |
4.75% 1/15/28 | | 129,000 | 119,883 |
McDonald's Corp.: | | | |
3.875% 2/20/31 (Reg. S) | EUR | 300,000 | 329,111 |
5.45% 8/14/53 | | 500,000 | 498,322 |
MGM Resorts International: | | | |
4.625% 9/1/26 | | 620,000 | 601,089 |
4.75% 10/15/28 | | 230,000 | 215,886 |
5.5% 4/15/27 | | 2,496,000 | 2,444,572 |
5.75% 6/15/25 | | 118,000 | 117,834 |
6.75% 5/1/25 | | 127,000 | 127,177 |
NCL Corp. Ltd.: | | | |
5.875% 3/15/26 (b) | | 650,000 | 634,888 |
5.875% 2/15/27 (b) | | 155,000 | 153,190 |
8.375% 2/1/28 (b) | | 105,000 | 110,225 |
NCL Finance Ltd. 6.125% 3/15/28 (b) | | 40,000 | 39,016 |
Ontario Gaming GTA LP 8% 8/1/30 (b) | | 60,000 | 61,195 |
Premier Entertainment Sub LLC 5.875% 9/1/31 (b) | | 1,200,000 | 850,032 |
Royal Caribbean Cruises Ltd.: | | | |
5.375% 7/15/27 (b) | | 100,000 | 98,079 |
5.5% 8/31/26 (b) | | 1,330,000 | 1,314,783 |
6.25% 3/15/32 (b)(f) | | 115,000 | 115,329 |
7.25% 1/15/30 (b) | | 370,000 | 384,680 |
8.25% 1/15/29 (b) | | 272,000 | 288,505 |
9.25% 1/15/29 (b) | | 519,000 | 558,284 |
11.625% 8/15/27 (b) | | 255,000 | 275,820 |
Sands China Ltd.: | | | |
5.125% 8/8/25 | | 625,000 | 614,844 |
5.4% 8/8/28 | | 3,340,000 | 3,246,480 |
Six Flags Entertainment Corp. 5.5% 4/15/27 (b) | | 182,000 | 178,133 |
Six Flags Theme Park, Inc. 7% 7/1/25 (b) | | 29,000 | 29,067 |
Starbucks Corp. 4.8% 2/15/33 | | 93,000 | 91,718 |
Station Casinos LLC 4.5% 2/15/28 (b) | | 292,000 | 272,266 |
Travel+Leisure Co. 6% 4/1/27 | | 30,000 | 29,889 |
Vail Resorts, Inc. 6.25% 5/15/25 (b) | | 114,000 | 114,412 |
Viking Cruises Ltd. 5.875% 9/15/27 (b) | | 1,350,000 | 1,319,625 |
Voc Escrow Ltd. 5% 2/15/28 (b) | | 1,400,000 | 1,344,602 |
Whitbread PLC: | | | |
2.375% 5/31/27 (Reg. S) | GBP | 720,000 | 822,802 |
3.375% 10/16/25 (Reg. S) | GBP | 1,870,000 | 2,274,777 |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) | | 249,000 | 243,664 |
Wynn Macau Ltd. 5.5% 1/15/26 (b) | | 1,350,000 | 1,309,554 |
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.: | | | |
5.125% 10/1/29 (b) | | 540,000 | 509,384 |
7.125% 2/15/31 (b) | | 825,000 | 851,964 |
Yum! Brands, Inc.: | | | |
3.625% 3/15/31 | | 430,000 | 378,152 |
4.625% 1/31/32 | | 310,000 | 284,583 |
4.75% 1/15/30 (b) | | 283,000 | 268,471 |
5.35% 11/1/43 | | 50,000 | 47,931 |
| | | 54,447,659 |
Household Durables - 0.1% | | | |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (b) | | 500,000 | 444,068 |
CD&R Smokey Buyer, Inc. 6.75% 7/15/25 (b) | | 236,000 | 235,068 |
Century Communities, Inc.: | | | |
3.875% 8/15/29 (b) | | 135,000 | 119,130 |
6.75% 6/1/27 | | 250,000 | 250,388 |
Lennar Corp.: | | | |
4.75% 11/29/27 | | 9,350,000 | 9,200,747 |
5% 6/15/27 | | 12,100,000 | 11,999,813 |
LGI Homes, Inc. 8.75% 12/15/28 (b) | | 85,000 | 89,091 |
Newell Brands, Inc.: | | | |
5.2% 4/1/26 (g) | | 456,000 | 442,804 |
6.375% 4/1/36 (g) | | 301,000 | 264,371 |
6.625% 9/15/29 | | 751,000 | 718,870 |
SWF Escrow Issuer Corp. 6.5% 10/1/29 (b) | | 850,000 | 597,837 |
Tempur Sealy International, Inc.: | | | |
3.875% 10/15/31 (b) | | 120,000 | 99,810 |
4% 4/15/29 (b) | | 1,716,000 | 1,538,125 |
The Berkeley Group PLC 2.5% 8/11/31 (Reg. S) | GBP | 1,015,000 | 963,299 |
Toll Brothers Finance Corp.: | | | |
4.35% 2/15/28 | | 29,675,000 | 28,521,829 |
4.875% 3/15/27 | | 5,400,000 | 5,310,041 |
TopBuild Corp. 4.125% 2/15/32 (b) | | 815,000 | 713,801 |
| | | 61,509,092 |
Leisure Products - 0.0% | | | |
Amer Sports Co. 6.75% 2/16/31 (b) | | 115,000 | 114,449 |
Hasbro, Inc. 3.9% 11/19/29 | | 5,000 | 4,582 |
Mattel, Inc. 6.2% 10/1/40 | | 115,000 | 113,069 |
| | | 232,100 |
Specialty Retail - 0.1% | | | |
Asbury Automotive Group, Inc.: | | | |
4.5% 3/1/28 | | 108,000 | 100,710 |
4.625% 11/15/29 (b) | | 285,000 | 259,619 |
4.75% 3/1/30 | | 36,000 | 32,761 |
5% 2/15/32 (b) | | 80,000 | 71,024 |
AutoNation, Inc. 4.75% 6/1/30 | | 953,000 | 906,434 |
AutoZone, Inc.: | | | |
1.65% 1/15/31 | | 505,000 | 401,812 |
3.75% 4/18/29 | | 1,400,000 | 1,314,790 |
4% 4/15/30 | | 7,024,000 | 6,611,196 |
6.25% 11/1/28 | | 440,000 | 457,557 |
Bath & Body Works, Inc.: | | | |
5.25% 2/1/28 | | 22,000 | 21,360 |
6.625% 10/1/30 (b) | | 910,000 | 914,997 |
6.75% 7/1/36 | | 200,000 | 196,563 |
6.875% 11/1/35 | | 52,000 | 52,026 |
7.5% 6/15/29 | | 682,000 | 702,194 |
Champions Financing, Inc. 8.75% 2/15/29 (b) | | 170,000 | 173,650 |
Foot Locker, Inc. 4% 10/1/29 (b) | | 60,000 | 50,774 |
Gap, Inc.: | | | |
3.625% 10/1/29 (b) | | 353,000 | 298,173 |
3.875% 10/1/31 (b) | | 1,340,000 | 1,080,909 |
Group 1 Automotive, Inc. 4% 8/15/28 (b) | | 315,000 | 287,533 |
LCM Investments Holdings: | | | |
4.875% 5/1/29 (b) | | 50,000 | 44,902 |
8.25% 8/1/31 (b) | | 65,000 | 66,339 |
Lithia Motors, Inc.: | | | |
3.875% 6/1/29 (b) | | 245,000 | 218,663 |
4.375% 1/15/31 (b) | | 48,000 | 42,589 |
4.625% 12/15/27 (b) | | 11,000 | 10,480 |
Lowe's Companies, Inc.: | | | |
2.625% 4/1/31 | | 261,000 | 222,350 |
2.8% 9/15/41 | | 691,000 | 482,635 |
3.75% 4/1/32 | | 1,904,000 | 1,730,106 |
4.25% 4/1/52 | | 7,251,000 | 5,825,637 |
4.45% 4/1/62 | | 6,910,000 | 5,517,174 |
4.5% 4/15/30 | | 155,000 | 150,598 |
5.625% 4/15/53 | | 572,000 | 567,689 |
Michaels Companies, Inc.: | | | |
5.25% 5/1/28 (b) | | 40,000 | 31,056 |
7.875% 5/1/29 (b) | | 600,000 | 387,422 |
O'Reilly Automotive, Inc.: | | | |
1.75% 3/15/31 | | 938,000 | 751,810 |
3.6% 9/1/27 | | 5,000 | 4,763 |
3.9% 6/1/29 | | 600,000 | 569,560 |
4.7% 6/15/32 | | 40,000 | 38,701 |
Penske Automotive Group, Inc. 3.75% 6/15/29 | | 312,000 | 276,350 |
PetSmart, Inc. / PetSmart Finance Corp. 4.75% 2/15/28 (b) | | 537,000 | 503,333 |
Sally Holdings LLC 6.75% 3/1/32 | | 670,000 | 668,074 |
Sonic Automotive, Inc. 4.625% 11/15/29 (b) | | 268,000 | 236,494 |
Staples, Inc.: | | | |
7.5% 4/15/26 (b) | | 187,000 | 179,785 |
10.75% 4/15/27 (b) | | 174,000 | 159,210 |
The Home Depot, Inc.: | | | |
1.875% 9/15/31 | | 178,000 | 144,187 |
3.5% 9/15/56 | | 152,000 | 112,288 |
3.625% 4/15/52 | | 400,000 | 302,155 |
4.25% 4/1/46 | | 140,000 | 119,573 |
4.5% 9/15/32 | | 265,000 | 259,232 |
4.875% 2/15/44 | | 1,150,000 | 1,078,706 |
5.875% 12/16/36 | | 300,000 | 319,045 |
Triton Container International Ltd. 1.15% 6/7/24 (b) | | 277,000 | 272,283 |
Valvoline, Inc. 4.25% 2/15/30 (b) | | 357,000 | 354,742 |
Wand NewCo 3, Inc. 7.625% 1/30/32 (b) | | 145,000 | 148,988 |
| | | 35,731,001 |
Textiles, Apparel & Luxury Goods - 0.1% | | | |
Crocs, Inc. 4.125% 8/15/31 (b) | | 120,000 | 102,096 |
Hanesbrands, Inc. 4.875% 5/15/26 (b) | | 55,000 | 53,076 |
Kontoor Brands, Inc. 4.125% 11/15/29 (b) | | 40,000 | 35,771 |
Levi Strauss & Co. 3.5% 3/1/31 (b) | | 170,000 | 147,317 |
Tapestry, Inc.: | | | |
3.05% 3/15/32 | | 14,311,000 | 11,596,130 |
7% 11/27/26 | | 2,553,000 | 2,622,065 |
7.05% 11/27/25 | | 946,000 | 963,661 |
7.35% 11/27/28 | | 3,163,000 | 3,308,505 |
7.7% 11/27/30 | | 3,163,000 | 3,353,884 |
7.85% 11/27/33 | | 3,163,000 | 3,421,562 |
The William Carter Co. 5.625% 3/15/27 (b) | | 1,103,000 | 1,082,127 |
Wolverine World Wide, Inc. 4% 8/15/29 (b) | | 170,000 | 136,213 |
| | | 26,822,407 |
TOTAL CONSUMER DISCRETIONARY | | | 245,473,643 |
CONSUMER STAPLES - 0.4% | | | |
Beverages - 0.1% | | | |
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc.: | | | |
4.7% 2/1/36 | | 3,923,000 | 3,754,744 |
4.9% 2/1/46 | | 11,035,000 | 10,201,811 |
Anheuser-Busch InBev Finance, Inc. 4.7% 2/1/36 | | 2,444,000 | 2,339,178 |
Anheuser-Busch InBev Worldwide, Inc.: | | | |
3.5% 6/1/30 | | 200,000 | 185,027 |
4.375% 4/15/38 | | 641,000 | 586,172 |
5.8% 1/23/59 (Reg. S) | | 6,509,000 | 6,909,742 |
Bacardi Ltd. 4.45% 5/15/25 (b) | | 6,230,000 | 6,136,220 |
Central American Bottling Corp. 5.25% 4/27/29 (b) | | 66,000 | 62,040 |
Constellation Brands, Inc.: | | | |
2.25% 8/1/31 | | 1,660,000 | 1,354,483 |
3.7% 12/6/26 | | 1,200,000 | 1,155,827 |
4.4% 11/15/25 | | 805,000 | 792,982 |
4.5% 5/9/47 | | 55,000 | 46,401 |
4.65% 11/15/28 | | 292,000 | 286,633 |
Diageo Capital PLC 3.875% 4/29/43 | | 200,000 | 169,467 |
Keurig Dr. Pepper, Inc.: | | | |
2.55% 9/15/26 | | 14,000 | 13,127 |
3.43% 6/15/27 | | 6,000 | 5,712 |
Molson Coors Beverage Co. 4.2% 7/15/46 | | 92,000 | 75,155 |
PepsiCo, Inc. 2.75% 10/21/51 | | 360,000 | 236,935 |
Primo Water Holdings, Inc. 4.375% 4/30/29 (b) | | 220,000 | 199,595 |
Triton Water Holdings, Inc. 6.25% 4/1/29 (b) | | 800,000 | 698,384 |
| | | 35,209,635 |
Consumer Staples Distribution & Retail - 0.0% | | | |
7-Eleven, Inc.: | | | |
0.95% 2/10/26 (b) | | 70,000 | 64,509 |
1.8% 2/10/31 (b) | | 257,000 | 204,770 |
2.5% 2/10/41 (b) | | 102,000 | 68,241 |
2.8% 2/10/51 (b) | | 124,000 | 76,862 |
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | | | |
3.5% 3/15/29 (b) | | 954,000 | 849,973 |
4.625% 1/15/27 (b) | | 1,120,000 | 1,079,727 |
4.875% 2/15/30 (b) | | 644,000 | 604,525 |
5.875% 2/15/28 (b) | | 32,000 | 31,536 |
6.5% 2/15/28 (b) | | 1,110,000 | 1,116,892 |
Alimentation Couche-Tard, Inc.: | | | |
3.439% 5/13/41 (b) | | 13,000 | 9,849 |
3.625% 5/13/51 (b) | | 14,000 | 10,209 |
5.267% 2/12/34 (b) | | 4,138,000 | 4,099,467 |
5.617% 2/12/54 (b) | | 100,000 | 99,677 |
Bellis Acquisition Co. PLC 4.5% 2/16/26 (b) | GBP | 975,000 | 1,184,713 |
Bellis Finco PLC 4% 2/16/27 (b) | GBP | 9,000,000 | 10,257,576 |
C&S Group Enterprises LLC 5% 12/15/28 (b) | | 985,000 | 780,342 |
CVS Lease-Backed Pass-Through Certificates 8.353% 7/10/31 (b) | | 5,935 | 6,309 |
KeHE Distributor / Nextwave 9% 2/15/29 (b) | | 170,000 | 170,499 |
Kroger Co.: | | | |
2.65% 10/15/26 | | 430,000 | 404,151 |
7.7% 6/1/29 | | 26,000 | 28,857 |
Nestle Finance International Ltd. 3.25% 1/23/37 (Reg. S) | EUR | 130,000 | 137,201 |
Performance Food Group, Inc.: | | | |
4.25% 8/1/29 (b) | | 205,000 | 186,049 |
5.5% 10/15/27 (b) | | 157,000 | 153,755 |
REWE International Finance 4.875% 9/13/30 (Reg. S) | EUR | 300,000 | 337,680 |
Target Corp.: | | | |
4% 7/1/42 | | 100,000 | 86,513 |
4.8% 1/15/53 | | 110,000 | 101,705 |
Tesco Corporate Treasury Services PLC 2.75% 4/27/30 (Reg. S) | GBP | 615,000 | 676,813 |
U.S. Foods, Inc.: | | | |
4.625% 6/1/30 (b) | | 55,000 | 50,397 |
7.25% 1/15/32 (b) | | 110,000 | 113,563 |
| | | 22,992,360 |
Food Products - 0.2% | | | |
Archer Daniels Midland Co. 4.5% 3/15/49 | | 35,000 | 30,416 |
B&G Foods, Inc. 5.25% 9/15/27 | | 2,300,000 | 2,138,462 |
Bunge Ltd. Finance Corp. 2.75% 5/14/31 | | 310,000 | 263,615 |
Campbell Soup Co. 4.15% 3/15/28 | | 129,000 | 124,466 |
Cargill, Inc. 4.375% 4/22/52 (b) | | 220,000 | 190,267 |
Chobani LLC/Finance Corp., Inc. 7.625% 7/1/29 (b) | | 130,000 | 130,675 |
Darling Ingredients, Inc.: | | | |
5.25% 4/15/27 (b) | | 442,000 | 433,541 |
6% 6/15/30 (b) | | 255,000 | 251,288 |
Fiesta Purchaser, Inc. 7.875% 3/1/31 (b) | | 105,000 | 108,272 |
JBS U.S.A. Lux SA/JBS Food Co./JBS U.S.A. Finance, Inc.: | | | |
2.5% 1/15/27 | | 6,705,000 | 6,151,451 |
3% 2/2/29 | | 390,000 | 341,874 |
3% 5/15/32 | | 6,735,000 | 5,392,420 |
3.625% 1/15/32 | | 1,194,000 | 1,003,957 |
3.75% 12/1/31 | | 1,040,000 | 884,349 |
4.375% 2/2/52 | | 1,620,000 | 1,165,473 |
5.125% 2/1/28 | | 8,005,000 | 7,843,397 |
5.5% 1/15/30 | | 16,270,000 | 15,857,422 |
5.75% 4/1/33 | | 6,505,000 | 6,308,667 |
6.5% 12/1/52 | | 1,000,000 | 961,508 |
JBS U.S.A. Lux. SA / JBS U.S.A. Food 6.75% 3/15/34 (b) | | 210,000 | 216,299 |
JDE Peet's BV: | | | |
2.25% 9/24/31 (b) | | 729,000 | 570,314 |
4.5% 1/23/34 (Reg. S) | EUR | 206,000 | 227,697 |
Kraft Heinz Foods Co.: | | | |
4.375% 6/1/46 | | 3,645,000 | 3,019,809 |
7.125% 8/1/39 (b) | | 9,093,000 | 10,349,584 |
Lamb Weston Holdings, Inc.: | | | |
4.125% 1/31/30 (b) | | 560,000 | 507,401 |
4.375% 1/31/32 (b) | | 1,258,000 | 1,123,942 |
4.875% 5/15/28 (b) | | 405,000 | 392,254 |
Mead Johnson Nutrition Co. 4.6% 6/1/44 | | 29,000 | 25,767 |
Pilgrim's Pride Corp.: | | | |
3.5% 3/1/32 | | 3,025,000 | 2,527,509 |
4.25% 4/15/31 | | 3,130,000 | 2,797,698 |
6.25% 7/1/33 | | 415,000 | 419,442 |
6.875% 5/15/34 | | 1,000,000 | 1,053,125 |
Post Holdings, Inc.: | | | |
4.625% 4/15/30 (b) | | 611,000 | 555,934 |
5.5% 12/15/29 (b) | | 1,595,000 | 1,526,127 |
5.75% 3/1/27 (b) | | 90,000 | 90,862 |
6.25% 2/15/32 (b) | | 655,000 | 658,386 |
Simmons Foods, Inc. 4.625% 3/1/29 (b) | | 700,000 | 613,379 |
TreeHouse Foods, Inc. 4% 9/1/28 | | 505,000 | 445,663 |
Tyson Foods, Inc. 5.7% 3/15/34 | | 1,820,000 | 1,817,646 |
Viterra Finance BV 3.2% 4/21/31 (b) | | 200,000 | 171,648 |
| | | 78,692,006 |
Household Products - 0.0% | | | |
Central Garden & Pet Co.: | | | |
4.125% 10/15/30 | | 256,000 | 227,422 |
4.125% 4/30/31 (b) | | 621,000 | 543,354 |
5.125% 2/1/28 | | 15,000 | 14,457 |
Energizer Holdings, Inc.: | | | |
4.375% 3/31/29 (b) | | 393,000 | 348,190 |
4.75% 6/15/28 (b) | | 150,000 | 137,152 |
Reckitt Benckiser Treasury Services PLC 3.875% 9/14/33 (Reg. S) | EUR | 440,000 | 486,055 |
Spectrum Brands Holdings, Inc.: | | | |
3.875% 3/15/31 (b) | | 635,000 | 603,101 |
5% 10/1/29 (b) | | 389,000 | 377,330 |
| | | 2,737,061 |
Personal Care Products - 0.0% | | | |
BellRing Brands, Inc. 7% 3/15/30 (b) | | 110,000 | 112,246 |
Edgewell Personal Care Co.: | | | |
4.125% 4/1/29 (b) | | 61,000 | 55,583 |
5.5% 6/1/28 (b) | | 313,000 | 305,569 |
Estee Lauder Companies, Inc.: | | | |
2.6% 4/15/30 | | 120,000 | 104,943 |
3.125% 12/1/49 | | 52,000 | 35,546 |
HFC Prestige Products, Inc./HFC Prestige International U.S. LLC 6.625% 7/15/30 (b) | | 215,000 | 218,494 |
Kenvue, Inc.: | | | |
5.05% 3/22/53 | | 125,000 | 120,381 |
5.1% 3/22/43 | | 140,000 | 136,819 |
Prestige Brands, Inc. 5.125% 1/15/28 (b) | | 125,000 | 120,820 |
| | | 1,210,401 |
Tobacco - 0.1% | | | |
Altria Group, Inc.: | | | |
2.45% 2/4/32 | | 321,000 | 257,086 |
3.4% 2/4/41 | | 6,807,000 | 4,895,188 |
4.25% 8/9/42 | | 658,000 | 527,494 |
4.5% 5/2/43 | | 419,000 | 347,852 |
5.375% 1/31/44 | | 81,000 | 78,722 |
5.8% 2/14/39 | | 96,000 | 95,731 |
6.875% 11/1/33 | | 5,116,000 | 5,527,192 |
BAT Capital Corp.: | | | |
2.125% 8/15/25 | GBP | 124,000 | 148,810 |
2.259% 3/25/28 | | 1,008,000 | 892,001 |
3.557% 8/15/27 | | 871,000 | 823,403 |
3.984% 9/25/50 | | 6,000 | 4,095 |
4.39% 8/15/37 | | 1,890,000 | 1,549,993 |
4.54% 8/15/47 | | 6,420,000 | 4,815,152 |
4.7% 4/2/27 | | 425,000 | 415,941 |
4.758% 9/6/49 | | 1,055,000 | 816,190 |
5.834% 2/20/31 | | 2,240,000 | 2,232,254 |
6% 2/20/34 | | 3,805,000 | 3,764,199 |
6.343% 8/2/30 | | 1,270,000 | 1,311,526 |
7.081% 8/2/53 | | 1,314,000 | 1,360,279 |
BAT International Finance PLC: | | | |
4.448% 3/16/28 | | 8,700,000 | 8,390,166 |
5.931% 2/2/29 | | 395,000 | 403,386 |
Philip Morris International, Inc.: | | | |
3.125% 3/2/28 | | 25,000 | 23,263 |
3.875% 8/21/42 | | 830,000 | 654,646 |
4.375% 11/15/41 | | 692,000 | 588,221 |
4.875% 2/15/28 | | 256,000 | 254,590 |
5.125% 11/17/27 | | 201,000 | 201,340 |
5.125% 2/15/30 | | 14,955,000 | 14,882,615 |
5.125% 2/13/31 | | 1,240,000 | 1,221,279 |
5.25% 9/7/28 | | 485,000 | 488,671 |
5.25% 2/13/34 | | 1,520,000 | 1,485,039 |
5.375% 2/15/33 | | 1,352,000 | 1,345,525 |
| | | 59,801,849 |
TOTAL CONSUMER STAPLES | | | 200,643,312 |
ENERGY - 1.0% | | | |
Energy Equipment & Services - 0.0% | | | |
Archrock Partners LP / Archrock Partners Finance Corp. 6.875% 4/1/27 (b) | | 175,000 | 174,119 |
Baker Hughes Co.: | | | |
2.061% 12/15/26 | | 35,000 | 32,280 |
4.08% 12/15/47 | | 56,000 | 45,215 |
5.125% 9/15/40 | | 26,000 | 25,269 |
Diamond Foreign Asset Co. / Diamond Finance, LLC 8.5% 10/1/30 (b) | | 110,000 | 112,642 |
Guara Norte SARL 5.198% 6/15/34 (b) | | 171,358 | 154,436 |
Halliburton Co.: | | | |
4.75% 8/1/43 | | 427,000 | 386,067 |
7.6% 8/15/96 (b) | | 8,000 | 9,168 |
Kodiak Gas Services LLC 7.25% 2/15/29 (b) | | 170,000 | 173,073 |
Nabors Industries, Inc. 7.375% 5/15/27 (b) | | 175,000 | 174,356 |
Noble Finance II LLC 8% 4/15/30 (b) | | 165,000 | 169,644 |
NuStar Logistics LP: | | | |
5.625% 4/28/27 | | 58,000 | 57,403 |
5.75% 10/1/25 | | 60,000 | 59,456 |
6% 6/1/26 | | 324,000 | 320,290 |
6.375% 10/1/30 | | 19,000 | 19,054 |
Precision Drilling Corp. 7.125% 1/15/26 (b) | | 337,000 | 336,566 |
Schlumberger Holdings Corp. 3.9% 5/17/28 (b) | | 172,000 | 164,943 |
Seadrill Finance Ltd. 8.375% 8/1/30 (b) | | 305,000 | 313,438 |
Technip Energies NV 1.125% 5/28/28 | EUR | 280,000 | 270,947 |
Transocean Poseidon Ltd. 6.875% 2/1/27 (b) | | 81,000 | 80,725 |
Transocean, Inc.: | | | |
8.75% 2/15/30 (b) | | 166,500 | 170,966 |
11.5% 1/30/27 (b) | | 140,000 | 145,600 |
U.S.A. Compression Partners LP/U.S.A. Compression Finance Corp.: | | | |
6.875% 4/1/26 | | 115,000 | 114,843 |
6.875% 9/1/27 | | 102,000 | 101,476 |
Valaris Ltd. 8.375% 4/30/30 (b) | | 170,000 | 174,316 |
| | | 3,786,292 |
Oil, Gas & Consumable Fuels - 1.0% | | | |
Aethon United BR LP / Aethon United Finance Corp. 8.25% 2/15/26 (b) | | 125,000 | 125,517 |
Aker BP ASA: | | | |
3.1% 7/15/31 (b) | | 2,295,000 | 1,938,385 |
6% 6/13/33 (b) | | 250,000 | 254,206 |
Altus Midstream LP: | | | |
5.875% 6/15/30 (b) | | 407,000 | 396,587 |
6.625% 12/15/28 (b) | | 215,000 | 217,645 |
Antero Midstream Partners LP/Antero Midstream Finance Corp.: | | | |
5.375% 6/15/29 (b) | | 85,000 | 80,844 |
5.75% 3/1/27 (b) | | 1,250,000 | 1,223,047 |
5.75% 1/15/28 (b) | | 435,000 | 426,445 |
6.625% 2/1/32 (b) | | 775,000 | 771,830 |
7.875% 5/15/26 (b) | | 1,348,000 | 1,376,921 |
Antero Resources Corp.: | | | |
5.375% 3/1/30 (b) | | 458,000 | 436,475 |
7.625% 2/1/29 (b) | | 3,710,000 | 3,821,063 |
Apache Corp.: | | | |
4.25% 1/15/30 | | 575,000 | 528,029 |
4.75% 4/15/43 | | 107,000 | 82,157 |
5.25% 2/1/42 | | 619,000 | 510,056 |
Ascent Resources - Utica LLC/ARU Finance Corp. 7% 11/1/26 (b) | | 1,530,000 | 1,528,964 |
Baytex Energy Corp.: | | | |
8.5% 4/30/30 (b) | | 134,000 | 139,334 |
8.75% 4/1/27 (b) | | 271,000 | 281,122 |
Blue Racer Midstream LLC/Blue Racer Finance Corp. 6.625% 7/15/26 (b) | | 215,000 | 213,379 |
BP Capital Markets PLC 2.822% 4/7/32 (Reg. S) | EUR | 106,000 | 108,168 |
Buckeye Partners LP: | | | |
4.125% 12/1/27 | | 534,000 | 496,994 |
4.5% 3/1/28 (b) | | 135,000 | 125,511 |
California Resources Corp. 7.125% 2/1/26 (b) | | 228,000 | 229,202 |
Cenovus Energy, Inc.: | | | |
3.75% 2/15/52 | | 3,795,000 | 2,710,782 |
5.25% 6/15/37 | | 1,199,000 | 1,112,343 |
Cheniere Corpus Christi Holdings LLC: | | | |
2.742% 12/31/39 | | 528,000 | 412,693 |
3.7% 11/15/29 | | 583,000 | 537,645 |
5.125% 6/30/27 | | 1,466,000 | 1,459,345 |
Cheniere Energy Partners LP: | | | |
3.25% 1/31/32 | | 1,366,000 | 1,141,693 |
4% 3/1/31 | | 305,000 | 272,015 |
4.5% 10/1/29 | | 1,616,000 | 1,513,650 |
5.95% 6/30/33 | | 573,000 | 576,763 |
Chesapeake Energy Corp.: | | | |
5.5% 2/1/26 (b) | | 330,000 | 327,112 |
5.875% 2/1/29 (b) | | 1,405,000 | 1,389,826 |
6.75% 4/15/29 (b) | | 396,000 | 397,481 |
Chord Energy Corp. 6.375% 6/1/26 (b) | | 280,000 | 280,350 |
Citgo Petroleum Corp. 7% 6/15/25 (b) | | 1,275,000 | 1,271,993 |
Civitas Resources, Inc.: | | | |
8.375% 7/1/28 (b) | | 899,000 | 940,735 |
8.625% 11/1/30 (b) | | 425,000 | 454,784 |
8.75% 7/1/31 (b) | | 233,000 | 247,789 |
CNX Midstream Partners LP 4.75% 4/15/30 (b) | | 45,000 | 39,368 |
CNX Resources Corp. 7.25% 3/14/27 (b) | | 158,000 | 160,820 |
Columbia Pipelines Operating Co. LLC: | | | |
5.927% 8/15/30 (b) | | 957,000 | 974,803 |
6.036% 11/15/33 (b) | | 5,180,000 | 5,318,834 |
6.497% 8/15/43 (b) | | 971,000 | 1,027,520 |
6.544% 11/15/53 (b) | | 1,389,000 | 1,479,665 |
6.714% 8/15/63 (b) | | 831,000 | 899,850 |
Comstock Resources, Inc.: | | | |
5.875% 1/15/30 (b) | | 32,000 | 27,981 |
6.75% 3/1/29 (b) | | 591,000 | 545,161 |
ConocoPhillips Co.: | | | |
3.758% 3/15/42 | | 525,000 | 427,035 |
3.8% 3/15/52 | | 390,000 | 298,962 |
4.025% 3/15/62 | | 578,000 | 449,661 |
5.05% 9/15/33 | | 3,055,000 | 3,045,535 |
5.55% 3/15/54 | | 1,170,000 | 1,183,702 |
Continental Resources, Inc. 5.75% 1/15/31 (b) | | 770,000 | 754,820 |
Coterra Energy, Inc. 3.9% 5/15/27 | | 100,000 | 96,171 |
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (b) | | 40,000 | 39,350 |
CVR Energy, Inc.: | | | |
5.75% 2/15/28 (b) | | 40,000 | 37,128 |
8.5% 1/15/29 (b) | | 220,000 | 221,375 |
DCP Midstream Operating LP: | | | |
5.125% 5/15/29 | | 355,000 | 350,570 |
5.375% 7/15/25 | | 345,000 | 344,231 |
5.6% 4/1/44 | | 3,773,000 | 3,593,066 |
5.625% 7/15/27 | | 260,000 | 260,875 |
Delek Logistics Partners LP/Delek Logistics Finance Corp. 8.625% 3/15/29 (b)(f) | | 225,000 | 225,240 |
Devon Energy Corp.: | | | |
5.25% 10/15/27 | | 315,000 | 314,313 |
5.6% 7/15/41 | | 1,000,000 | 941,167 |
Diamondback Energy, Inc.: | | | |
3.125% 3/24/31 | | 5,057,000 | 4,433,653 |
3.25% 12/1/26 | | 7,774,000 | 7,430,807 |
3.5% 12/1/29 | | 4,944,000 | 4,538,717 |
6.25% 3/15/33 | | 2,200,000 | 2,312,896 |
6.25% 3/15/53 | | 69,000 | 72,964 |
DT Midstream, Inc.: | | | |
4.125% 6/15/29 (b) | | 327,000 | 298,795 |
4.3% 4/15/32 (b) | | 40,000 | 35,566 |
4.375% 6/15/31 (b) | | 148,000 | 133,242 |
Ecopetrol SA: | | | |
6.875% 4/29/30 | | 1,534,000 | 1,492,275 |
8.625% 1/19/29 | | 3,555,000 | 3,764,745 |
8.875% 1/13/33 | | 1,200,000 | 1,261,200 |
EG Global Finance PLC: | | | |
11% 11/30/28 (b) | EUR | 3,800,000 | 4,283,930 |
12% 11/30/28 (b) | | 2,790,000 | 2,945,543 |
Enbridge, Inc. 8.5% 1/15/84 (e) | | 3,910,000 | 4,169,307 |
Encino Acquisition Partners Holdings LLC 8.5% 5/1/28 (b) | | 124,000 | 123,801 |
Endeavor Energy Resources LP/EER Finance, Inc. 5.75% 1/30/28 (b) | | 1,455,000 | 1,466,786 |
Energean Israel Finance Ltd.: | | | |
4.875% 3/30/26 (Reg. S) (b) | | 1,411,438 | 1,321,611 |
5.375% 3/30/28 (Reg. S) (b) | | 1,522,000 | 1,360,440 |
Energy Transfer LP: | | | |
3.75% 5/15/30 | | 2,964,000 | 2,703,215 |
3.9% 7/15/26 | | 955,000 | 924,447 |
4.75% 1/15/26 | | 850,000 | 840,168 |
4.9% 3/15/35 | | 106,000 | 98,837 |
4.95% 5/15/28 | | 152,000 | 150,011 |
4.95% 6/15/28 | | 4,954,000 | 4,879,406 |
5% 5/15/50 | | 6,923,000 | 5,968,234 |
5.15% 3/15/45 | | 295,000 | 263,182 |
5.25% 4/15/29 | | 3,007,000 | 2,995,397 |
5.3% 4/15/47 | | 358,000 | 320,641 |
5.35% 5/15/45 | | 3,711,000 | 3,373,841 |
5.4% 10/1/47 | | 7,698,000 | 6,982,139 |
5.55% 2/15/28 | | 246,000 | 247,898 |
5.55% 5/15/34 | | 235,000 | 232,509 |
5.625% 5/1/27 (b) | | 26,000 | 25,767 |
5.75% 4/1/25 | | 1,747,000 | 1,744,117 |
5.75% 2/15/33 | | 113,000 | 113,779 |
5.8% 6/15/38 | | 3,282,000 | 3,244,845 |
6% 2/1/29 (b) | | 316,000 | 316,872 |
6% 6/15/48 | | 2,369,000 | 2,321,979 |
6.125% 12/15/45 | | 2,635,000 | 2,618,269 |
6.25% 4/15/49 | | 1,925,000 | 1,943,599 |
6.4% 12/1/30 | | 785,000 | 823,721 |
6.55% 12/1/33 | | 1,140,000 | 1,209,198 |
6.625% 10/15/36 | | 900,000 | 941,600 |
7.375% 2/1/31 (b) | | 1,198,000 | 1,253,527 |
8% 4/1/29 (b) | | 69,000 | 71,571 |
Eni SpA 3.875% 1/15/34 (Reg. S) | EUR | 107,000 | 114,410 |
Eni U.S.A., Inc. 7.3% 11/15/27 | | 14,000 | 14,879 |
EnLink Midstream LLC 5.625% 1/15/28 (b) | | 595,000 | 586,260 |
EnLink Midstream Partners LP: | | | |
4.15% 6/1/25 | | 22,000 | 21,448 |
4.85% 7/15/26 | | 48,000 | 46,801 |
5.6% 4/1/44 | | 56,000 | 50,753 |
Enterprise Products Operating LP: | | | |
3.125% 7/31/29 | | 1,080,000 | 988,062 |
4.85% 3/15/44 | | 3,215,000 | 2,949,483 |
5.25% 8/16/77 (e) | | 43,000 | 40,791 |
5.75% 3/1/35 | | 23,000 | 23,156 |
EOG Resources, Inc. 3.9% 4/1/35 | | 205,000 | 184,242 |
EQM Midstream Partners LP: | | | |
4% 8/1/24 | | 65,000 | 64,520 |
4.125% 12/1/26 | | 35,000 | 33,551 |
4.5% 1/15/29 (b) | | 147,000 | 137,801 |
4.75% 1/15/31 (b) | | 298,000 | 277,114 |
5.5% 7/15/28 | | 204,000 | 200,076 |
6% 7/1/25 (b) | | 12,000 | 11,984 |
6.5% 7/1/27 (b) | | 518,000 | 523,181 |
6.5% 7/15/48 | | 220,000 | 223,308 |
7.5% 6/1/27 (b) | | 290,000 | 296,700 |
7.5% 6/1/30 (b) | | 255,000 | 271,028 |
EQT Corp.: | | | |
3.625% 5/15/31 (b) | | 162,000 | 141,605 |
3.9% 10/1/27 | | 180,000 | 170,625 |
5% 1/15/29 | | 1,899,000 | 1,850,741 |
5.75% 2/1/34 | | 372,000 | 365,903 |
7% 2/1/30 | | 440,000 | 465,889 |
Equinor ASA: | | | |
3.7% 4/6/50 | | 920,000 | 718,540 |
3.95% 5/15/43 | | 300,000 | 250,581 |
7.15% 11/15/25 | | 17,000 | 17,536 |
Exxon Mobil Corp.: | | | |
3.095% 8/16/49 | | 125,000 | 87,466 |
4.114% 3/1/46 | | 805,000 | 682,157 |
4.227% 3/19/40 | | 490,000 | 439,355 |
FEL Energy VI SARL 5.75% 12/1/40 (b) | | 180,934 | 161,976 |
FLEX Intermediate Holdco, LLC: | | | |
3.363% 6/30/31 (b) | | 110,000 | 89,439 |
4.317% 12/30/39 (b) | | 47,000 | 33,975 |
Galaxy Pipeline Assets BidCo Ltd. 2.16% 3/31/34 | | 509,664 | 437,801 |
Genesis Energy LP/Genesis Energy Finance Corp.: | | | |
7.75% 2/1/28 | | 273,000 | 273,002 |
8% 1/15/27 | | 163,000 | 164,128 |
Global Partners LP/GLP Finance Corp. 7% 8/1/27 | | 505,000 | 505,162 |
Gray Oak Pipeline LLC: | | | |
2.6% 10/15/25 (b) | | 109,000 | 103,698 |
3.45% 10/15/27 (b) | | 42,000 | 39,127 |
Gulfport Energy Corp.: | | | |
8% 5/17/26 (b) | | 77,982 | 79,359 |
8% 5/17/26 | | 273,555 | 278,387 |
Gulfstream Natural Gas System LLC 6.19% 11/1/25 (b) | | 3,640,000 | 3,652,645 |
Hess Corp.: | | | |
4.3% 4/1/27 | | 840,000 | 819,492 |
5.6% 2/15/41 | | 3,136,000 | 3,157,870 |
5.8% 4/1/47 | | 4,517,000 | 4,590,243 |
7.125% 3/15/33 | | 1,335,000 | 1,497,160 |
7.3% 8/15/31 | | 1,849,000 | 2,079,943 |
7.875% 10/1/29 | | 5,583,000 | 6,255,606 |
Hess Midstream Operations LP: | | | |
5.125% 6/15/28 (b) | | 280,000 | 269,007 |
5.5% 10/15/30 (b) | | 50,000 | 48,050 |
5.625% 2/15/26 (b) | | 832,000 | 820,227 |
HF Sinclair Corp. 5.875% 4/1/26 | | 103,000 | 103,318 |
Hilcorp Energy I LP/Hilcorp Finance Co.: | | | |
5.75% 2/1/29 (b) | | 580,000 | 560,906 |
6% 4/15/30 (b) | | 965,000 | 936,860 |
6.25% 4/15/32 (b) | | 2,075,000 | 2,007,563 |
Independence Energy Finance LLC: | | | |
7.25% 5/1/26 (b) | | 277,000 | 275,989 |
9.25% 2/15/28 (b) | | 1,425,000 | 1,491,252 |
KazMunaiGaz National Co.: | | | |
3.5% 4/14/33 (b) | | 670,000 | 544,543 |
5.375% 4/24/30 (Reg. S) | | 200,000 | 194,176 |
Kinder Morgan, Inc.: | | | |
3.25% 8/1/50 | | 351,000 | 227,470 |
5% 2/1/29 | | 925,000 | 916,895 |
5.55% 6/1/45 | | 213,000 | 199,977 |
Leviathan Bond Ltd.: | | | |
6.125% 6/30/25 (Reg. S) (b) | | 31,888 | 31,166 |
6.5% 6/30/27 (Reg. S) (b) | | 34,579 | 33,023 |
6.75% 6/30/30 (Reg. S) (b) | | 19,893 | 18,155 |
Marathon Petroleum Corp. 3.8% 4/1/28 | | 5,590,000 | 5,325,219 |
MEG Energy Corp.: | | | |
5.875% 2/1/29 (b) | | 341,000 | 332,461 |
7.125% 2/1/27 (b) | | 220,000 | 223,417 |
MPLX LP: | | | |
2.65% 8/15/30 | | 1,960,000 | 1,668,787 |
4.125% 3/1/27 | | 505,000 | 489,671 |
4.5% 4/15/38 | | 1,125,000 | 979,112 |
4.7% 4/15/48 | | 2,335,000 | 1,956,338 |
4.8% 2/15/29 | | 2,965,000 | 2,903,726 |
4.95% 3/14/52 | | 606,000 | 520,087 |
5.2% 3/1/47 | | 3,284,000 | 2,946,789 |
5.5% 2/15/49 | | 4,516,000 | 4,229,278 |
MV24 Capital BV 6.748% 6/1/34 (b) | | 161,272 | 151,431 |
New Fortress Energy, Inc.: | | | |
6.5% 9/30/26 (b) | | 535,000 | 516,563 |
6.75% 9/15/25 (b) | | 540,000 | 537,213 |
NGPL PipeCo LLC: | | | |
3.25% 7/15/31 (b) | | 1,197,000 | 1,021,391 |
4.875% 8/15/27 (b) | | 113,000 | 110,303 |
7.768% 12/15/37 (b) | | 54,000 | 59,753 |
Northwest Pipeline Corp. 4% 4/1/27 | | 1,252,000 | 1,215,052 |
Occidental Petroleum Corp.: | | | |
3.5% 8/15/29 | | 195,000 | 177,203 |
5.55% 3/15/26 | | 1,410,000 | 1,411,547 |
6.45% 9/15/36 | | 4,200,000 | 4,422,012 |
6.6% 3/15/46 | | 6,475,000 | 6,877,680 |
7.5% 5/1/31 | | 8,296,000 | 9,161,629 |
7.875% 9/15/31 | | 116,000 | 130,533 |
8.875% 7/15/30 | | 225,000 | 259,502 |
ONEOK Partners LP 6.65% 10/1/36 | | 442,000 | 468,312 |
ONEOK, Inc.: | | | |
3.1% 3/15/30 | | 3,705,000 | 3,286,335 |
4.2% 10/3/47 | | 795,000 | 609,560 |
4.25% 9/15/46 | | 190,000 | 148,047 |
4.45% 9/1/49 | | 6,245,000 | 4,995,105 |
4.95% 7/13/47 | | 705,000 | 608,357 |
6.05% 9/1/33 | | 4,345,000 | 4,477,948 |
Ovintiv, Inc.: | | | |
5.15% 11/15/41 | | 3,000,000 | 2,555,722 |
5.375% 1/1/26 | | 712,000 | 708,551 |
8.125% 9/15/30 | | 6,179,000 | 6,923,819 |
PBF Holding Co. LLC/PBF Finance Corp. 6% 2/15/28 | | 190,000 | 184,775 |
Permian Resources Operating LLC: | | | |
5.375% 1/15/26 (b) | | 95,000 | 93,451 |
5.875% 7/1/29 (b) | | 400,000 | 390,000 |
7% 1/15/32 (b) | | 500,000 | 513,389 |
8% 4/15/27 (b) | | 1,275,000 | 1,314,859 |
Petrobras Global Finance BV: | | | |
6.25% 12/14/26 | GBP | 800,000 | 1,008,285 |
6.625% 1/16/34 | GBP | 200,000 | 238,294 |
Petroleos Mexicanos: | | | |
3.625% 11/24/25 (Reg. S) | EUR | 860,000 | 887,401 |
4.25% 1/15/25 | | 300,000 | 292,308 |
4.75% 2/26/29 (Reg. S) | EUR | 3,000,000 | 2,727,864 |
4.875% 2/21/28 (Reg. S) | EUR | 253,000 | 241,026 |
5.35% 2/12/28 | | 90,000 | 78,148 |
5.95% 1/28/31 | | 2,932,000 | 2,276,405 |
6.35% 2/12/48 | | 163,000 | 99,756 |
6.5% 3/13/27 | | 36,667,000 | 34,197,478 |
6.5% 1/23/29 | | 990,000 | 867,220 |
6.625% 6/15/35 | | 289,000 | 213,820 |
6.75% 9/21/47 | | 11,294,000 | 7,171,690 |
6.84% 1/23/30 | | 9,812,000 | 8,387,101 |
6.875% 8/4/26 | | 176,000 | 169,558 |
7.69% 1/23/50 | | 79,110,000 | 54,494,924 |
10% 2/7/33 | | 588,000 | 569,713 |
Phillips 66 Co.: | | | |
2.15% 12/15/30 | | 385,000 | 319,759 |
3.75% 3/1/28 | | 695,000 | 662,688 |
4.65% 11/15/34 | | 29,000 | 27,252 |
4.9% 10/1/46 | | 750,000 | 669,707 |
Pioneer Natural Resources Co.: | | | |
1.125% 1/15/26 | | 83,000 | 77,036 |
1.9% 8/15/30 | | 2,470,000 | 2,057,477 |
2.15% 1/15/31 | | 285,000 | 238,431 |
5.1% 3/29/26 | | 2,975,000 | 2,971,763 |
Plains All American Pipeline LP/PAA Finance Corp. 3.55% 12/15/29 | | 2,689,000 | 2,439,672 |
PT Pertamina Persero 3.1% 8/27/30 (b) | | 600,000 | 528,375 |
Range Resources Corp.: | | | |
4.75% 2/15/30 (b) | | 24,000 | 22,296 |
4.875% 5/15/25 | | 46,000 | 45,364 |
8.25% 1/15/29 | | 394,000 | 411,047 |
Rockies Express Pipeline LLC: | | | |
4.8% 5/15/30 (b) | | 115,000 | 106,519 |
4.95% 7/15/29 (b) | | 245,000 | 229,108 |
Sabine Pass Liquefaction LLC: | | | |
4.2% 3/15/28 | | 100,000 | 96,467 |
4.5% 5/15/30 | | 11,365,000 | 10,875,321 |
5% 3/15/27 | | 82,000 | 81,389 |
5.625% 3/1/25 | | 3,554,000 | 3,549,084 |
5.875% 6/30/26 | | 2,298,000 | 2,316,625 |
5.9% 9/15/37 | | 566,000 | 586,239 |
Santos Finance Ltd.: | | | |
3.649% 4/29/31 (b) | | 4,800,000 | 4,145,827 |
6.875% 9/19/33 (b) | | 825,000 | 859,101 |
Shell International Finance BV: | | | |
2.875% 11/26/41 | | 165,000 | 120,429 |
3% 11/26/51 | | 95,000 | 63,857 |
3.25% 5/11/25 | | 1,465,000 | 1,432,720 |
3.625% 8/21/42 | | 343,000 | 275,802 |
3.75% 9/12/46 | | 65,000 | 51,201 |
4% 5/10/46 | | 87,000 | 71,404 |
Sitio Royalties OP / Sitio Finance Corp. 7.875% 11/1/28 (b) | | 201,000 | 205,442 |
SM Energy Co.: | | | |
5.625% 6/1/25 | | 43,000 | 42,678 |
6.625% 1/15/27 | | 397,000 | 395,396 |
6.75% 9/15/26 | | 371,000 | 368,927 |
Southwestern Energy Co.: | | | |
4.75% 2/1/32 | | 1,192,000 | 1,082,774 |
5.375% 2/1/29 | | 1,939,000 | 1,873,864 |
5.375% 3/15/30 | | 88,000 | 84,109 |
5.7% 1/23/25 (g) | | 5,000 | 4,973 |
8.375% 9/15/28 | | 49,000 | 50,960 |
Suncor Energy, Inc.: | | | |
3.75% 3/4/51 | | 695,000 | 505,940 |
6.8% 5/15/38 | | 390,000 | 416,482 |
Sunoco LP/Sunoco Finance Corp.: | | | |
4.5% 5/15/29 | | 425,000 | 392,593 |
5.875% 3/15/28 | | 215,000 | 212,691 |
6% 4/15/27 | | 464,000 | 462,290 |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | | | |
5.5% 1/15/28 (b) | | 145,000 | 137,750 |
6% 3/1/27 (b) | | 413,000 | 407,631 |
6% 12/31/30 (b) | | 2,497,000 | 2,322,026 |
6% 9/1/31 (b) | | 225,000 | 206,108 |
Talos Production, Inc. 9% 2/1/29 (b) | | 50,000 | 51,103 |
Targa Resources Corp.: | | | |
4.2% 2/1/33 | | 1,605,000 | 1,444,675 |
5.2% 7/1/27 | | 537,000 | 534,342 |
6.125% 3/15/33 | | 1,348,000 | 1,387,843 |
6.5% 3/30/34 | | 10,059,000 | 10,653,555 |
6.5% 2/15/53 | | 1,050,000 | 1,100,899 |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | | | |
4% 1/15/32 | | 374,000 | 333,741 |
4.875% 2/1/31 | | 1,332,000 | 1,261,985 |
5.5% 3/1/30 | | 101,000 | 100,021 |
6.5% 7/15/27 | | 50,000 | 50,519 |
The Williams Companies, Inc.: | | | |
3.5% 11/15/30 | | 11,542,000 | 10,416,027 |
3.75% 6/15/27 | | 1,635,000 | 1,564,686 |
4.65% 8/15/32 | | 6,660,000 | 6,335,902 |
4.9% 1/15/45 | | 1,460,000 | 1,287,597 |
5.1% 9/15/45 | | 105,000 | 95,789 |
5.3% 8/15/52 | | 1,511,000 | 1,413,798 |
6.3% 4/15/40 | | 550,000 | 572,342 |
Total Capital International SA: | | | |
2.829% 1/10/30 | | 800,000 | 719,328 |
3.127% 5/29/50 | | 347,000 | 241,812 |
3.461% 7/12/49 | | 300,000 | 224,523 |
TransCanada PipeLines Ltd. 5.1% 3/15/49 | | 25,000 | 22,987 |
Transcontinental Gas Pipe Line Co. LLC: | | | |
3.25% 5/15/30 | | 3,285,000 | 2,954,843 |
3.95% 5/15/50 | | 103,000 | 80,076 |
4% 3/15/28 | | 608,000 | 583,809 |
4.6% 3/15/48 | | 837,000 | 734,220 |
7.85% 2/1/26 | | 368,000 | 382,351 |
TransMontaigne Partners LP 6.125% 2/15/26 | | 600,000 | 553,823 |
Valero Energy Corp. 2.15% 9/15/27 | | 36,000 | 32,622 |
Var Energi ASA 5% 5/18/27 (b) | | 5,410,000 | 5,260,093 |
Venture Global Calcasieu Pass LLC: | | | |
3.875% 8/15/29 (b) | | 706,000 | 633,641 |
3.875% 11/1/33 (b) | | 115,000 | 96,452 |
4.125% 8/15/31 (b) | | 285,000 | 250,133 |
6.25% 1/15/30 (b) | | 160,000 | 159,747 |
Venture Global LNG, Inc.: | | | |
8.125% 6/1/28 (b) | | 1,030,000 | 1,046,384 |
8.375% 6/1/31 (b) | | 296,000 | 299,392 |
9.5% 2/1/29 (b) | | 830,000 | 884,957 |
Viper Energy, Inc.: | | | |
5.375% 11/1/27 (b) | | 1,974,000 | 1,914,968 |
7.375% 11/1/31 (b) | | 730,000 | 751,652 |
Vital Energy, Inc. 10.125% 1/15/28 | | 125,000 | 130,828 |
Western Gas Partners LP: | | | |
4.65% 7/1/26 | | 2,085,000 | 2,039,820 |
4.75% 8/15/28 | | 1,465,000 | 1,414,534 |
| | | 479,966,997 |
TOTAL ENERGY | | | 483,753,289 |
FINANCIALS - 3.3% | | | |
Banks - 1.6% | | | |
ABN AMRO Bank NV: | | | |
2.47% 12/13/29 (b)(e) | | 600,000 | 521,851 |
3.875% 1/15/32 (Reg. S) | EUR | 600,000 | 642,681 |
4.75% 7/28/25 (b) | | 737,000 | 723,026 |
6.339% 9/18/27 (b)(e) | | 3,400,000 | 3,457,731 |
6.575% 10/13/26 (b)(e) | | 4,600,000 | 4,643,766 |
AIB Group PLC: | | | |
2.25% 4/4/28 (Reg. S) (e) | EUR | 1,900,000 | 1,954,162 |
4.625% 7/23/29 (Reg. S) (e) | EUR | 100,000 | 110,287 |
5.25% 10/23/31 (Reg. S) (e) | EUR | 370,000 | 423,701 |
6.608% 9/13/29 (b)(e) | | 500,000 | 518,815 |
Alpha Bank SA 4.25% 2/13/30 (Reg. S) (e) | EUR | 290,000 | 304,230 |
ASB Bank Ltd. 2.375% 10/22/31 (b) | | 200,000 | 161,847 |
Banco de Sabadell SA 4% 1/15/30 (Reg. S) (e) | EUR | 500,000 | 540,670 |
Banco Santander SA: | | | |
2.746% 5/28/25 | | 200,000 | 192,989 |
3.49% 5/28/30 | | 1,000,000 | 896,998 |
5.588% 8/8/28 | | 1,400,000 | 1,412,409 |
Bank of America Corp.: | | | |
U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 5.7599% 6/14/24 (e)(h) | | 532,000 | 531,867 |
1.197% 10/24/26 (e) | | 1,743,000 | 1,623,902 |
1.658% 3/11/27 (e) | | 4,227,000 | 3,922,208 |
1.734% 7/22/27 (e) | | 155,000 | 142,132 |
1.898% 7/23/31 (e) | | 718,000 | 582,737 |
1.922% 10/24/31 (e) | | 2,615,000 | 2,110,116 |
2.087% 6/14/29 (e) | | 7,407,000 | 6,509,125 |
2.299% 7/21/32 (e) | | 3,678,000 | 2,977,045 |
2.496% 2/13/31 (e) | | 16,862,000 | 14,374,865 |
2.572% 10/20/32 (e) | | 1,623,000 | 1,330,212 |
2.592% 4/29/31 (e) | | 1,430,000 | 1,222,203 |
2.651% 3/11/32 (e) | | 16,511,000 | 13,817,844 |
2.676% 6/19/41 (e) | | 783,000 | 545,197 |
2.687% 4/22/32 (e) | | 4,511,000 | 3,777,634 |
2.972% 2/4/33 (e) | | 1,899,000 | 1,594,981 |
3.366% 1/23/26 (e) | | 175,000 | 171,650 |
3.419% 12/20/28 (e) | | 960,000 | 896,864 |
3.559% 4/23/27 (e) | | 1,536,000 | 1,477,357 |
3.593% 7/21/28 (e) | | 120,000 | 113,767 |
3.705% 4/24/28 (e) | | 29,000 | 27,649 |
3.824% 1/20/28 (e) | | 525,000 | 504,288 |
3.97% 3/5/29 (e) | | 3,694,000 | 3,513,411 |
3.974% 2/7/30 (e) | | 512,000 | 481,273 |
4.078% 4/23/40 (e) | | 7,964,000 | 6,805,116 |
4.25% 10/22/26 | | 10,727,000 | 10,495,693 |
4.271% 7/23/29 (e) | | 3,660,000 | 3,516,524 |
5.202% 4/25/29 (e) | | 136,000 | 135,263 |
5.288% 4/25/34 (e) | | 5,220,000 | 5,146,091 |
5.468% 1/23/35 (e) | | 2,365,000 | 2,358,159 |
5.819% 9/15/29 (e) | | 3,727,000 | 3,798,103 |
5.872% 9/15/34 (e) | | 4,184,000 | 4,290,323 |
6.204% 11/10/28 (e) | | 97,000 | 100,076 |
6.975% 3/7/37 | | 43,000 | 47,819 |
Bank of Ireland Group PLC: | | | |
2.029% 9/30/27 (b)(e) | | 1,400,000 | 1,273,454 |
6.253% 9/16/26 (b)(e) | | 285,000 | 286,506 |
Bank of Montreal: | | | |
3.803% 12/15/32 (e) | | 10,000 | 9,207 |
5.717% 9/25/28 | | 600,000 | 615,078 |
Bank of Nova Scotia 3.45% 4/11/25 | | 140,000 | 137,038 |
Banque Federative du Credit Mutuel SA: | | | |
1.604% 10/4/26 (b) | | 800,000 | 729,662 |
3.75% 2/3/34 (Reg. S) | EUR | 200,000 | 214,929 |
4.75% 11/10/31 (Reg. S) | EUR | 200,000 | 226,304 |
5.79% 7/13/28 (b) | | 200,000 | 204,520 |
Barclays PLC: | | | |
2.645% 6/24/31 (e) | | 2,865,000 | 2,385,161 |
2.667% 3/10/32 (e) | | 8,625,000 | 7,030,602 |
2.852% 5/7/26 (e) | | 10,143,000 | 9,805,929 |
2.894% 11/24/32 (e) | | 1,540,000 | 1,254,067 |
4.836% 5/9/28 | | 6,667,000 | 6,424,642 |
4.972% 5/16/29 (e) | | 15,300,000 | 14,876,031 |
5.088% 6/20/30 (e) | | 13,438,000 | 12,730,415 |
5.2% 5/12/26 | | 1,701,000 | 1,681,918 |
5.262% 1/29/34 (Reg. S) (e) | EUR | 960,000 | 1,097,000 |
5.501% 8/9/28 (e) | | 445,000 | 443,059 |
5.829% 5/9/27 (e) | | 2,670,000 | 2,676,757 |
6.49% 9/13/29 (e) | | 990,000 | 1,020,479 |
7.385% 11/2/28 (e) | | 620,000 | 655,446 |
7.437% 11/2/33 (e) | | 2,520,000 | 2,756,881 |
8.407% 11/14/32 (Reg. S) (e) | GBP | 400,000 | 530,772 |
BNP Paribas SA: | | | |
1.904% 9/30/28 (b)(e) | | 400,000 | 353,971 |
2.159% 9/15/29 (b)(e) | | 7,570,000 | 6,550,090 |
2.219% 6/9/26 (b)(e) | | 9,163,000 | 8,771,686 |
2.5% 3/31/32 (Reg. S) (e) | EUR | 900,000 | 913,909 |
3.132% 1/20/33 (b)(e) | | 3,670,000 | 3,087,337 |
5.176% 1/9/30 (b)(e) | | 680,000 | 673,636 |
5.497% 5/20/30 (b)(e) | | 645,000 | 642,109 |
5.738% 2/20/35 (b)(e) | | 1,450,000 | 1,435,784 |
5.894% 12/5/34 (b)(e) | | 1,225,000 | 1,252,012 |
BPCE SA: | | | |
1.5% 1/13/42 (Reg. S) (e) | EUR | 800,000 | 781,565 |
3.116% 10/19/32 (b)(e) | | 500,000 | 403,228 |
3.875% 1/25/36 (Reg. S) | EUR | 200,000 | 216,040 |
4.75% 7/19/27 (b) | | 250,000 | 245,058 |
5.125% 1/18/28 (b) | | 541,000 | 536,691 |
5.15% 7/21/24 (b) | | 1,024,000 | 1,019,347 |
5.716% 1/18/30 (b)(e) | | 400,000 | 398,302 |
6.612% 10/19/27 (b)(e) | | 1,055,000 | 1,076,134 |
6.714% 10/19/29 (b)(e) | | 540,000 | 560,598 |
7.003% 10/19/34 (b)(e) | | 710,000 | 757,600 |
CaixaBank SA: | | | |
6.25% 2/23/33 (Reg. S) (e) | EUR | 500,000 | 565,111 |
6.684% 9/13/27 (b)(e) | | 265,000 | 270,128 |
Cassa Depositi e Prestiti SpA 5.75% 5/5/26 (b) | | 1,200,000 | 1,188,811 |
Citibank NA 5.803% 9/29/28 | | 500,000 | 515,135 |
Citigroup, Inc.: | | | |
1.462% 6/9/27 (e) | | 360,000 | 329,727 |
2.52% 11/3/32 (e) | | 195,000 | 158,279 |
2.561% 5/1/32 (e) | | 5,916,000 | 4,870,799 |
2.572% 6/3/31 (e) | | 5,801,000 | 4,905,405 |
2.666% 1/29/31 (e) | | 15,173,000 | 13,017,458 |
2.904% 11/3/42 (e) | | 495,000 | 351,037 |
3.057% 1/25/33 (e) | | 879,000 | 738,044 |
3.07% 2/24/28 (e) | | 663,000 | 621,024 |
3.106% 4/8/26 (e) | | 73,000 | 71,052 |
3.52% 10/27/28 (e) | | 3,441,000 | 3,233,644 |
3.668% 7/24/28 (e) | | 163,000 | 154,555 |
3.785% 3/17/33 (e) | | 86,000 | 76,096 |
3.887% 1/10/28 (e) | | 615,000 | 591,090 |
3.98% 3/20/30 (e) | | 19,485,000 | 18,264,477 |
4.075% 4/23/29 (e) | | 585,000 | 558,325 |
4.3% 11/20/26 | | 2,202,000 | 2,144,846 |
4.412% 3/31/31 (e) | | 15,729,000 | 14,858,302 |
4.45% 9/29/27 | | 4,630,000 | 4,484,868 |
4.6% 3/9/26 | | 3,500,000 | 3,442,655 |
4.75% 5/18/46 | | 10,000,000 | 8,801,812 |
5.174% 2/13/30 (e) | | 5,760,000 | 5,701,169 |
5.316% 3/26/41 (e) | | 244,000 | 238,611 |
5.61% 9/29/26 (e) | | 447,000 | 447,567 |
5.875% 7/1/24 (Reg. S) | GBP | 615,000 | 775,678 |
6.27% 11/17/33 (e) | | 1,199,000 | 1,257,807 |
6.625% 1/15/28 | | 24,000 | 25,362 |
6.875% 6/1/25 | | 18,000 | 18,278 |
7% 12/1/25 | | 32,000 | 32,846 |
Citizens Financial Group, Inc.: | | | |
2.638% 9/30/32 | | 9,574,000 | 7,269,516 |
5.841% 1/23/30 (e) | | 3,635,000 | 3,591,478 |
Comerica, Inc. 5.982% 1/30/30 (e) | | 1,485,000 | 1,457,870 |
Commerzbank AG 8.625% 2/28/33 (Reg. S) (e) | GBP | 100,000 | 132,385 |
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(e) | | 3,419,000 | 3,041,550 |
Credit Agricole SA: | | | |
1.907% 6/16/26 (b)(e) | | 500,000 | 476,393 |
3.75% 1/22/34 (Reg. S) | EUR | 400,000 | 433,194 |
4% 1/10/33 (b)(e) | | 261,000 | 241,196 |
5.301% 7/12/28 (b) | | 725,000 | 730,395 |
5.335% 1/10/30 (b)(e) | | 250,000 | 248,000 |
6.316% 10/3/29 (b)(e) | | 655,000 | 675,058 |
Danske Bank A/S: | | | |
2.25% 1/14/28 (Reg. S) (e) | GBP | 980,000 | 1,125,922 |
3.244% 12/20/25 (b)(e) | | 200,000 | 195,445 |
4.75% 6/21/30 (Reg. S) (e) | EUR | 842,000 | 942,038 |
5.8% 3/1/30 (b)(e) | | 200,000 | 200,425 |
6.259% 9/22/26 (b)(e) | | 3,450,000 | 3,485,568 |
6.466% 1/9/26 (b)(e) | | 1,404,000 | 1,409,540 |
Export-Import Bank of Korea 5.125% 1/11/33 | | 515,000 | 520,753 |
Fifth Third Bancorp: | | | |
4.337% 4/25/33 (e) | | 3,282,000 | 2,975,422 |
6.339% 7/27/29 (e) | | 2,815,000 | 2,888,643 |
First Citizens Bank & Trust Co. 6.125% 3/9/28 | | 4,840,000 | 4,915,215 |
HAT Holdings I LLC/HAT Holdings II LLC: | | | |
3.375% 6/15/26 (b) | | 145,000 | 135,587 |
8% 6/15/27 (b) | | 130,000 | 134,981 |
HSBC Holdings PLC: | | | |
1.645% 4/18/26 (e) | | 200,000 | 190,882 |
2.013% 9/22/28 (e) | | 3,543,000 | 3,138,955 |
2.206% 8/17/29 (e) | | 214,000 | 185,793 |
2.251% 11/22/27 (e) | | 200,000 | 183,209 |
2.804% 5/24/32 (e) | | 5,071,000 | 4,192,618 |
2.871% 11/22/32 (e) | | 288,000 | 237,569 |
3.973% 5/22/30 (e) | | 1,811,000 | 1,679,206 |
4.041% 3/13/28 (e) | | 826,000 | 791,855 |
4.25% 3/14/24 | | 1,872,000 | 1,870,933 |
4.787% 3/10/32 (Reg. S) (e) | EUR | 710,000 | 798,839 |
4.856% 5/23/33 (Reg. S) (e) | EUR | 1,200,000 | 1,360,872 |
4.95% 3/31/30 | | 1,855,000 | 1,816,619 |
5.21% 8/11/28 (e) | | 358,000 | 354,528 |
5.887% 8/14/27 (e) | | 2,285,000 | 2,300,158 |
6.161% 3/9/29 (e) | | 3,380,000 | 3,453,395 |
6.254% 3/9/34 (e) | | 1,323,000 | 1,372,815 |
6.8% 9/14/31 (e) | GBP | 240,000 | 320,448 |
7.39% 11/3/28 (e) | | 900,000 | 953,435 |
8.201% 11/16/34 (Reg. S) (e) | GBP | 550,000 | 751,681 |
HSBC U.S.A., Inc. 5.294% 3/4/27 | | 1,015,000 | 1,015,965 |
Huntington Bancshares, Inc.: | | | |
5.709% 2/2/35 (e) | | 3,290,000 | 3,246,127 |
6.208% 8/21/29 (e) | | 2,764,000 | 2,810,603 |
ING Groep NV: | | | |
1.726% 4/1/27 (e) | | 5,935,000 | 5,494,082 |
4.5% 5/23/29 (Reg. S) (e) | EUR | 700,000 | 771,771 |
4.75% 5/23/34 (Reg. S) (e) | EUR | 1,500,000 | 1,708,113 |
Intesa Sanpaolo SpA: | | | |
4.95% 6/1/42 (b)(e) | | 468,000 | 337,587 |
5.017% 6/26/24 (b) | | 31,005,000 | 30,808,964 |
5.71% 1/15/26 (b) | | 10,048,000 | 9,956,260 |
6.625% 6/20/33 (b) | | 465,000 | 470,101 |
7.2% 11/28/33 (b) | | 865,000 | 905,531 |
JPMorgan Chase & Co.: | | | |
1.04% 2/4/27 (e) | | 3,885,000 | 3,580,216 |
1.764% 11/19/31 (e) | | 575,000 | 463,068 |
1.953% 2/4/32 (e) | | 6,970,000 | 5,605,427 |
2.069% 6/1/29 (e) | | 2,035,000 | 1,792,821 |
2.522% 4/22/31 (e) | | 4,525,000 | 3,871,651 |
2.525% 11/19/41 (e) | | 22,775,000 | 15,649,958 |
2.58% 4/22/32 (e) | | 6,865,000 | 5,743,985 |
2.739% 10/15/30 (e) | | 5,365,000 | 4,706,672 |
2.956% 5/13/31 (e) | | 5,386,000 | 4,678,134 |
3.509% 1/23/29 (e) | | 6,550,000 | 6,169,346 |
3.882% 7/24/38 (e) | | 4,300,000 | 3,667,852 |
4.005% 4/23/29 (e) | | 90,000 | 85,986 |
4.457% 11/13/31 (Reg. S) (e) | EUR | 470,000 | 527,494 |
4.565% 6/14/30 (e) | | 1,113,000 | 1,078,315 |
5.012% 1/23/30 (e) | | 453,000 | 448,175 |
5.336% 1/23/35 (e) | | 1,754,000 | 1,744,579 |
6.087% 10/23/29 (e) | | 87,000 | 89,927 |
6.254% 10/23/34 (e) | | 108,000 | 114,568 |
Jyske Bank A/S: | | | |
5% 10/26/28 (e) | EUR | 275,000 | 303,720 |
5.125% 5/1/35 (Reg. S) (e) | EUR | 214,000 | 232,228 |
KBC Group NV 6.324% 9/21/34 (b)(e) | | 800,000 | 829,004 |
KeyCorp 6.401% 3/6/35 (e) | | 3,610,000 | 3,620,545 |
Lloyds Bank Corporate Markets PLC 1.75% 7/11/24 (Reg. S) | GBP | 275,000 | 342,457 |
Lloyds Banking Group PLC: | | | |
1.627% 5/11/27 (e) | | 2,375,000 | 2,178,307 |
1.985% 12/15/31 (e) | GBP | 665,000 | 750,458 |
3.511% 3/18/26 (e) | | 200,000 | 195,235 |
3.574% 11/7/28 (e) | | 340,000 | 317,524 |
4.5% 1/11/29 (Reg. S) (e) | EUR | 350,000 | 386,379 |
4.75% 9/21/31 (Reg. S) (e) | EUR | 870,000 | 972,029 |
5.462% 1/5/28 (e) | | 200,000 | 199,144 |
5.679% 1/5/35 (e) | | 200,000 | 197,734 |
5.871% 3/6/29 (e) | | 1,365,000 | 1,377,971 |
Magyar Export-Import Bank 6.125% 12/4/27 (b) | | 200,000 | 200,980 |
Mitsubishi UFJ Financial Group, Inc.: | | | |
1.538% 7/20/27 (e) | | 465,000 | 425,427 |
3.777% 3/2/25 | | 125,000 | 122,939 |
5.063% 9/12/25 (e) | | 1,353,000 | 1,347,303 |
5.422% 2/22/29 (e) | | 2,350,000 | 2,366,672 |
5.475% 2/22/31 (e) | | 400,000 | 402,983 |
Mizuho Financial Group, Inc. 5.778% 7/6/29 (e) | | 1,765,000 | 1,798,262 |
National Australia Bank Ltd. 2.332% 8/21/30 (b) | | 450,000 | 368,147 |
NatWest Group PLC: | | | |
3.073% 5/22/28 (e) | | 5,999,000 | 5,566,405 |
3.622% 8/14/30 (Reg. S) (e) | GBP | 1,900,000 | 2,311,597 |
4.771% 2/16/29 (Reg. S) (e) | EUR | 800,000 | 888,373 |
4.8% 4/5/26 | | 15,856,000 | 15,660,014 |
5.076% 1/27/30 (e) | | 400,000 | 390,739 |
5.125% 5/28/24 | | 18,213,000 | 18,151,917 |
5.808% 9/13/29 (e) | | 240,000 | 242,440 |
5.847% 3/2/27 (e) | | 700,000 | 702,875 |
7.416% 6/6/33 (Reg. S) (e) | GBP | 450,000 | 583,690 |
7.472% 11/10/26 (e) | | 623,000 | 640,076 |
Nordea Bank Abp: | | | |
4.125% 5/5/28 (Reg. S) | EUR | 1,000,000 | 1,097,281 |
5.375% 9/22/27 (b) | | 400,000 | 401,400 |
PNC Financial Services Group, Inc.: | | | |
2.307% 4/23/32 (e) | | 54,000 | 44,058 |
2.55% 1/22/30 | | 427,000 | 366,807 |
2.6% 7/23/26 | | 58,000 | 54,538 |
5.068% 1/24/34 (e) | | 1,705,000 | 1,639,522 |
5.676% 1/22/35 (e) | | 215,000 | 215,620 |
5.939% 8/18/34 (e) | | 300,000 | 305,633 |
6.037% 10/28/33 (e) | | 2,160,000 | 2,216,652 |
6.615% 10/20/27 (e) | | 2,340,000 | 2,403,735 |
6.875% 10/20/34 (e) | | 1,560,000 | 1,689,930 |
Rabobank Nederland: | | | |
3.649% 4/6/28 (b)(e) | | 665,000 | 630,049 |
3.822% 7/26/34 (Reg. S) | EUR | 200,000 | 215,961 |
4% 1/10/30 (Reg. S) | EUR | 500,000 | 548,884 |
4.375% 8/4/25 | | 7,713,000 | 7,564,774 |
Royal Bank of Canada: | | | |
4.24% 8/3/27 | | 506,000 | 493,165 |
4.65% 1/27/26 | | 127,000 | 125,837 |
Santander Holdings U.S.A., Inc. 6.174% 1/9/30 (e) | | 435,000 | 433,866 |
Santander UK Group Holdings PLC: | | | |
1.673% 6/14/27 (e) | | 7,160,000 | 6,508,598 |
2.469% 1/11/28 (e) | | 200,000 | 182,078 |
6.534% 1/10/29 (e) | | 2,282,000 | 2,339,995 |
6.833% 11/21/26 (e) | | 400,000 | 406,099 |
Societe Generale: | | | |
1.488% 12/14/26 (b)(e) | | 10,614,000 | 9,789,112 |
1.792% 6/9/27 (b)(e) | | 1,500,000 | 1,366,251 |
2.797% 1/19/28 (b)(e) | | 3,156,000 | 2,895,946 |
2.889% 6/9/32 (b)(e) | | 210,000 | 170,235 |
3.337% 1/21/33 (b)(e) | | 1,105,000 | 912,453 |
4.25% 4/14/25 (b) | | 22,306,000 | 21,822,940 |
4.75% 11/24/25 (b) | | 830,000 | 812,755 |
5.634% 1/19/30 (b)(e) | | 1,900,000 | 1,872,341 |
6.066% 1/19/35 (b)(e) | | 600,000 | 591,199 |
6.447% 1/12/27 (b)(e) | | 200,000 | 201,668 |
6.691% 1/10/34 (b)(e) | | 300,000 | 309,913 |
Standard Chartered PLC: | | | |
1.456% 1/14/27 (b)(e) | | 200,000 | 183,826 |
6.187% 7/6/27 (b)(e) | | 700,000 | 706,918 |
6.301% 1/9/29 (b)(e) | | 297,000 | 303,544 |
7.018% 2/8/30 (b)(e) | | 400,000 | 420,527 |
7.767% 11/16/28 (b)(e) | | 641,000 | 682,634 |
Sumitomo Mitsui Financial Group, Inc.: | | | |
5.52% 1/13/28 | | 200,000 | 203,205 |
5.71% 1/13/30 | | 200,000 | 205,103 |
5.716% 9/14/28 | | 3,605,000 | 3,684,685 |
5.766% 1/13/33 | | 200,000 | 206,530 |
Sumitomo Mitsui Trust Bank Ltd. 5.65% 3/9/26 (b) | | 1,820,000 | 1,832,219 |
Svenska Handelsbanken AB 5.5% 6/15/28 (b) | | 943,000 | 948,026 |
Swedbank AB 6.136% 9/12/26 (b) | | 275,000 | 278,385 |
The Toronto-Dominion Bank: | | | |
2% 9/10/31 | | 180,000 | 146,758 |
4.456% 6/8/32 | | 305,000 | 290,817 |
5.523% 7/17/28 | | 51,000 | 51,856 |
5.532% 7/17/26 | | 135,000 | 136,177 |
Truist Financial Corp.: | | | |
U.S. Secured Overnight Fin. Rate (SOFR) Index + 7.160% 7.161% 10/30/29 (e)(h) | | 2,395,000 | 2,534,804 |
4% 5/1/25 | | 54,000 | 53,031 |
5.122% 1/26/34 (e) | | 1,035,000 | 981,768 |
5.435% 1/24/30 (e) | | 2,380,000 | 2,353,971 |
5.711% 1/24/35 (e) | | 235,000 | 232,657 |
5.867% 6/8/34 (e) | | 2,173,000 | 2,172,778 |
6.047% 6/8/27 (e) | | 194,000 | 195,960 |
U.S. Bancorp: | | | |
4.839% 2/1/34 (e) | | 3,200,000 | 3,011,536 |
5.384% 1/23/30 (e) | | 4,365,000 | 4,340,485 |
5.678% 1/23/35 (e) | | 330,000 | 329,233 |
5.836% 6/12/34 (e) | | 915,000 | 923,930 |
5.85% 10/21/33 (e) | | 1,320,000 | 1,336,235 |
UniCredit SpA: | | | |
1.982% 6/3/27 (b)(e) | | 200,000 | 183,544 |
3.127% 6/3/32 (b)(e) | | 2,515,000 | 2,103,005 |
5.861% 6/19/32 (b)(e) | | 46,000 | 44,584 |
7.296% 4/2/34 (b)(e) | | 124,000 | 126,552 |
Virgin Money UK PLC 7.625% 8/23/29 (Reg. S) (e) | GBP | 900,000 | 1,193,826 |
Wachovia Corp. 7.574% 8/1/26 | | 15,000 | 15,737 |
Wells Fargo & Co.: | | | |
0.625% 3/25/30 (Reg. S) | EUR | 107,000 | 95,839 |
2.164% 2/11/26 (e) | | 2,544,000 | 2,460,655 |
2.393% 6/2/28 (e) | | 58,000 | 52,901 |
2.572% 2/11/31 (e) | | 3,439,000 | 2,932,009 |
2.879% 10/30/30 (e) | | 24,150,000 | 21,178,987 |
3% 10/23/26 | | 376,000 | 355,471 |
3.068% 4/30/41 (e) | | 410,000 | 302,775 |
3.35% 3/2/33 (e) | | 7,040,000 | 6,042,544 |
3.584% 5/22/28 (e) | | 2,497,000 | 2,367,061 |
3.908% 4/25/26 (e) | | 335,000 | 328,475 |
4.3% 7/22/27 | | 21,885,000 | 21,244,759 |
4.4% 6/14/46 | | 88,000 | 72,479 |
4.478% 4/4/31 (e) | | 15,500,000 | 14,738,764 |
4.65% 11/4/44 | | 1,335,000 | 1,152,786 |
5.013% 4/4/51 (e) | | 2,285,000 | 2,112,926 |
5.198% 1/23/30 (e) | | 1,632,000 | 1,617,982 |
5.375% 11/2/43 | | 24,000 | 22,946 |
5.389% 4/24/34 (e) | | 1,134,000 | 1,115,334 |
5.499% 1/23/35 (e) | | 1,661,000 | 1,650,029 |
5.557% 7/25/34 (e) | | 3,693,000 | 3,678,731 |
5.574% 7/25/29 (e) | | 11,305,000 | 11,379,031 |
6.303% 10/23/29 (e) | | 6,716,000 | 6,961,015 |
6.491% 10/23/34 (e) | | 2,037,000 | 2,166,368 |
Western Alliance Bancorp. 3% 6/15/31 (e) | | 65,000 | 57,005 |
Westpac Banking Corp.: | | | |
2.894% 2/4/30 (e) | | 58,000 | 56,236 |
4.11% 7/24/34 (e) | | 4,937,000 | 4,509,686 |
4.322% 11/23/31 (e) | | 29,000 | 27,851 |
5.535% 11/17/28 | | 200,000 | 204,690 |
| | | 763,624,321 |
Capital Markets - 0.8% | | | |
Ares Capital Corp. 3.875% 1/15/26 | | 13,816,000 | 13,254,873 |
Athene Global Funding: | | | |
1.45% 1/8/26 (b) | | 61,000 | 56,306 |
1.608% 6/29/26 (b) | | 2,350,000 | 2,133,739 |
2.717% 1/7/29 (b) | | 4,805,000 | 4,178,519 |
2.95% 11/12/26 (b) | | 131,000 | 121,397 |
5.339% 1/15/27 (b) | | 7,937,000 | 7,893,299 |
5.583% 1/9/29 (b) | | 4,996,000 | 4,977,339 |
Bank of New York Mellon Corp.: | | | |
1.6% 4/24/25 | | 525,000 | 504,392 |
4.289% 6/13/33 (e) | | 85,000 | 79,516 |
6.317% 10/25/29 (e) | | 175,000 | 183,484 |
6.474% 10/25/34 (e) | | 610,000 | 661,698 |
Blackstone Holdings Finance Co. LLC 4.45% 7/15/45 (b) | | 4,000 | 3,300 |
Blackstone Private Credit Fund: | | | |
4.875% 4/14/26 | GBP | 645,000 | 781,330 |
7.05% 9/29/25 | | 8,015,000 | 8,120,273 |
Brookfield Finance, Inc.: | | | |
3.9% 1/25/28 | | 37,000 | 35,495 |
4.7% 9/20/47 | | 3,000 | 2,553 |
4.85% 3/29/29 | | 8,000 | 7,889 |
Cantor Fitzgerald LP 7.2% 12/12/28 (b) | | 2,350,000 | 2,412,066 |
Credit Suisse AG: | | | |
2.95% 4/9/25 | | 1,484,000 | 1,440,983 |
3.7% 2/21/25 | | 652,000 | 639,481 |
4.75% 8/9/24 | | 328,000 | 326,500 |
5% 7/9/27 | | 633,000 | 627,157 |
7.5% 2/15/28 | | 1,198,000 | 1,289,456 |
7.95% 1/9/25 | | 500,000 | 508,934 |
Credit Suisse U.S.A., Inc. 7.125% 7/15/32 | | 25,000 | 27,901 |
Deutsche Bank AG: | | | |
3.25% 5/24/28 (Reg. S) (e) | EUR | 600,000 | 626,411 |
4% 6/24/32 (Reg. S) (e) | EUR | 1,200,000 | 1,234,965 |
4.5% 4/1/25 | | 13,996,000 | 13,727,693 |
6.125% 12/12/30 (Reg. S) (e) | GBP | 1,100,000 | 1,372,237 |
Deutsche Bank AG New York Branch: | | | |
3.742% 1/7/33 (e) | | 200,000 | 160,733 |
5.371% 9/9/27 | | 1,122,000 | 1,124,056 |
6.72% 1/18/29 (e) | | 300,000 | 308,216 |
7.079% 2/10/34 (e) | | 1,760,000 | 1,754,256 |
7.146% 7/13/27 (e) | | 945,000 | 970,649 |
DTE Electric Securitization Funding II LLC 6.09% 9/1/38 | | 300,000 | 319,683 |
FactSet Research Systems, Inc. 3.45% 3/1/32 | | 638,000 | 554,722 |
Goldman Sachs Group, Inc.: | | | |
0.875% 5/9/29 (Reg. S) | EUR | 207,000 | 193,030 |
1.093% 12/9/26 (e) | | 175,000 | 162,110 |
1.431% 3/9/27 (e) | | 9,529,000 | 8,807,148 |
1.948% 10/21/27 (e) | | 1,235,000 | 1,130,579 |
1.992% 1/27/32 (e) | | 8,268,000 | 6,629,587 |
2.383% 7/21/32 (e) | | 10,884,000 | 8,857,226 |
2.6% 2/7/30 | | 268,000 | 232,741 |
2.615% 4/22/32 (e) | | 2,049,000 | 1,703,704 |
2.64% 2/24/28 (e) | | 1,889,000 | 1,749,468 |
2.65% 10/21/32 (e) | | 1,608,000 | 1,326,237 |
3.102% 2/24/33 (e) | | 1,095,000 | 928,582 |
3.21% 4/22/42 (e) | | 141,000 | 104,920 |
3.272% 9/29/25 (e) | | 142,000 | 140,018 |
3.436% 2/24/43 (e) | | 42,000 | 31,950 |
3.5% 11/16/26 | | 752,000 | 721,300 |
3.615% 3/15/28 (e) | | 269,000 | 256,473 |
3.691% 6/5/28 (e) | | 667,000 | 636,085 |
3.75% 5/22/25 | | 140,000 | 137,214 |
3.8% 3/15/30 | | 551,000 | 512,314 |
3.814% 4/23/29 (e) | | 8,053,000 | 7,603,109 |
4.017% 10/31/38 (e) | | 5,487,000 | 4,687,916 |
4.223% 5/1/29 (e) | | 1,130,000 | 1,083,489 |
4.25% 10/21/25 | | 10,000 | 9,823 |
4.387% 6/15/27 (e) | | 55,000 | 53,984 |
4.482% 8/23/28 (e) | | 257,000 | 250,581 |
6.484% 10/24/29 (e) | | 3,943,000 | 4,131,288 |
6.561% 10/24/34 (e) | | 1,303,000 | 1,403,599 |
6.75% 10/1/37 | | 50,954,000 | 55,384,516 |
Hightower Holding LLC 6.75% 4/15/29 (b) | | 350,000 | 328,466 |
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b) | | 65,000 | 59,812 |
Jefferies Financial Group, Inc.: | | | |
2.625% 10/15/31 | | 5,530,000 | 4,523,527 |
2.75% 10/15/32 | | 1,355,000 | 1,093,538 |
5.875% 7/21/28 | | 2,330,000 | 2,375,730 |
6.25% 1/15/36 | | 27,000 | 27,694 |
LPL Holdings, Inc. 4% 3/15/29 (b) | | 547,000 | 501,854 |
Macquarie Group Ltd.: | | | |
2.691% 6/23/32 (b)(e) | | 166,000 | 136,510 |
5.033% 1/15/30 (b)(e) | | 23,000 | 22,702 |
Moody's Corp. 2% 8/19/31 | | 194,000 | 156,694 |
Morgan Stanley: | | | |
1.593% 5/4/27 (e) | | 648,000 | 597,398 |
1.794% 2/13/32 (e) | | 6,747,000 | 5,342,071 |
1.928% 4/28/32 (e) | | 7,313,000 | 5,797,830 |
2.188% 4/28/26 (e) | | 36,000 | 34,645 |
2.239% 7/21/32 (e) | | 881,000 | 709,747 |
2.475% 1/21/28 (e) | | 400,000 | 370,038 |
2.484% 9/16/36 (e) | | 1,575,000 | 1,234,494 |
2.511% 10/20/32 (e) | | 7,372,000 | 6,036,423 |
2.699% 1/22/31 (e) | | 30,572,000 | 26,482,922 |
2.72% 7/22/25 (e) | | 36,000 | 35,563 |
2.802% 1/25/52 (e) | | 105,000 | 67,512 |
2.943% 1/21/33 (e) | | 3,423,000 | 2,870,836 |
3.125% 7/27/26 | | 22,000 | 20,985 |
3.217% 4/22/42 (e) | | 350,000 | 263,134 |
3.591% 7/22/28 (e) | | 470,000 | 444,904 |
3.62% 4/17/25 (e) | | 325,000 | 324,025 |
3.622% 4/1/31 (e) | | 13,269,000 | 12,054,522 |
3.625% 1/20/27 | | 90,000 | 86,774 |
3.772% 1/24/29 (e) | | 40,000 | 37,820 |
3.875% 1/27/26 | | 874,000 | 852,464 |
4% 7/23/25 | | 1,078,000 | 1,059,381 |
4.35% 9/8/26 | | 2,070,000 | 2,023,338 |
4.431% 1/23/30 (e) | | 4,461,000 | 4,282,031 |
4.457% 4/22/39 (e) | | 158,000 | 141,922 |
4.656% 3/2/29 (e) | EUR | 400,000 | 444,166 |
5% 11/24/25 | | 6,378,000 | 6,341,157 |
5.123% 2/1/29 (e) | | 5,101,000 | 5,067,577 |
5.164% 4/20/29 (e) | | 2,234,000 | 2,221,223 |
5.173% 1/16/30 (e) | | 3,113,000 | 3,093,455 |
5.424% 7/21/34 (e) | | 2,099,000 | 2,086,536 |
5.449% 7/20/29 (e) | | 2,867,000 | 2,877,914 |
5.466% 1/18/35 (e) | | 590,000 | 589,306 |
5.948% 1/19/38 (e) | | 97,000 | 96,744 |
6.407% 11/1/29 (e) | | 845,000 | 882,053 |
6.627% 11/1/34 (e) | | 1,444,000 | 1,564,698 |
MSCI, Inc.: | | | |
3.625% 9/1/30 (b) | | 78,000 | 68,799 |
3.875% 2/15/31 (b) | | 453,000 | 402,965 |
NASDAQ, Inc.: | | | |
5.55% 2/15/34 | | 731,000 | 735,945 |
6.1% 6/28/63 | | 265,000 | 276,315 |
Nomura Holdings, Inc.: | | | |
2.608% 7/14/31 | | 1,155,000 | 949,541 |
2.648% 1/16/25 | | 1,075,000 | 1,046,799 |
Northern Trust Corp. 3.375% 5/8/32 (e) | | 29,000 | 26,911 |
Nuveen LLC 4% 11/1/28 (b) | | 20,000 | 19,330 |
S&P Global, Inc.: | | | |
2.9% 3/1/32 | | 415,000 | 357,774 |
3.25% 12/1/49 | | 315,000 | 225,252 |
State Street Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.710% 5.82% 11/4/28 (e)(h) | | 313,000 | 320,504 |
UBS Group AG: | | | |
1.305% 2/2/27 (b)(e) | | 6,345,000 | 5,833,486 |
1.364% 1/30/27 (b)(e) | | 90,000 | 82,915 |
1.494% 8/10/27 (b)(e) | | 2,100,000 | 1,902,521 |
2.125% 11/15/29 (Reg. S) (e) | GBP | 700,000 | 769,363 |
2.593% 9/11/25 (b)(e) | | 13,060,000 | 12,835,726 |
2.746% 2/11/33 (b)(e) | | 676,000 | 544,517 |
3.091% 5/14/32 (b)(e) | | 10,760,000 | 9,042,036 |
3.126% 8/13/30 (b)(e) | | 2,640,000 | 2,333,659 |
3.75% 3/26/25 | | 16,167,000 | 15,833,744 |
4.125% 6/9/33 (Reg. S) (e) | EUR | 1,060,000 | 1,141,851 |
4.194% 4/1/31 (b)(e) | | 12,540,000 | 11,533,048 |
4.282% 1/9/28 (b) | | 430,000 | 412,656 |
4.55% 4/17/26 | | 3,490,000 | 3,429,055 |
4.75% 3/17/32 (Reg. S) (e) | EUR | 1,880,000 | 2,111,026 |
4.751% 5/12/28 (b)(e) | | 337,000 | 328,686 |
4.875% 5/15/45 | | 500,000 | 459,447 |
5.699% 2/8/35 (b)(e) | | 1,207,000 | 1,193,823 |
5.711% 1/12/27 (b)(e) | | 480,000 | 479,847 |
6.301% 9/22/34 (b)(e) | | 286,000 | 295,662 |
6.373% 7/15/26 (b)(e) | | 780,000 | 785,352 |
6.537% 8/12/33 (b)(e) | | 2,970,000 | 3,097,283 |
7.75% 3/1/29 (Reg. S) (e) | EUR | 207,000 | 253,560 |
VistaJet Malta Finance PLC / XO Management Holding, Inc. 9.5% 6/1/28 (b) | | 182,000 | 153,335 |
| | | 366,235,360 |
Consumer Finance - 0.4% | | | |
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | | | |
2.45% 10/29/26 | | 3,899,000 | 3,596,402 |
3% 10/29/28 | | 11,580,000 | 10,405,396 |
3.3% 1/30/32 | | 4,200,000 | 3,551,868 |
4.45% 4/3/26 | | 4,282,000 | 4,195,560 |
5.75% 6/6/28 | | 190,000 | 191,375 |
6.5% 7/15/25 | | 4,320,000 | 4,360,500 |
Ally Financial, Inc.: | | | |
5.75% 11/20/25 | | 281,000 | 279,599 |
5.8% 5/1/25 | | 6,894,000 | 6,883,127 |
7.1% 11/15/27 | | 6,180,000 | 6,434,781 |
American Express Co.: | | | |
1.65% 11/4/26 | | 60,000 | 54,885 |
2.55% 3/4/27 | | 373,000 | 346,182 |
5.282% 7/27/29 (e) | | 546,000 | 548,790 |
5.389% 7/28/27 (e) | | 1,187,000 | 1,190,274 |
Capital One Financial Corp.: | | | |
1.878% 11/2/27 (e) | | 63,000 | 57,181 |
2.618% 11/2/32 (e) | | 45,000 | 36,008 |
3.65% 5/11/27 | | 15,820,000 | 15,067,664 |
3.8% 1/31/28 | | 7,795,000 | 7,372,350 |
4.166% 5/9/25 (e) | | 66,000 | 65,740 |
4.985% 7/24/26 (e) | | 6,515,000 | 6,455,503 |
5.247% 7/26/30 (e) | | 6,880,000 | 6,708,783 |
7.624% 10/30/31 (e) | | 3,995,000 | 4,371,899 |
Discover Financial Services: | | | |
3.95% 11/6/24 | | 2,567,000 | 2,534,451 |
4.5% 1/30/26 | | 6,463,000 | 6,359,794 |
6.7% 11/29/32 | | 1,592,000 | 1,666,212 |
Ford Motor Credit Co. LLC: | | | |
2.7% 8/10/26 | | 1,100,000 | 1,021,192 |
2.9% 2/16/28 | | 275,000 | 246,398 |
3.625% 6/17/31 | | 7,580,000 | 6,461,885 |
4% 11/13/30 | | 265,000 | 234,300 |
4.063% 11/1/24 | | 22,139,000 | 21,834,195 |
4.125% 8/17/27 | | 895,000 | 847,049 |
4.271% 1/9/27 | | 1,045,000 | 1,001,075 |
4.445% 2/14/30 | EUR | 400,000 | 432,462 |
4.542% 8/1/26 | | 238,000 | 230,739 |
4.687% 6/9/25 | | 180,000 | 177,460 |
5.113% 5/3/29 | | 400,000 | 385,466 |
5.125% 6/16/25 | | 135,000 | 133,633 |
5.584% 3/18/24 | | 8,575,000 | 8,573,987 |
6.798% 11/7/28 | | 5,840,000 | 6,052,690 |
6.86% 6/5/26 | GBP | 640,000 | 828,323 |
7.122% 11/7/33 | | 400,000 | 426,358 |
Motability Operations Group PLC 3.875% 1/24/34 (Reg. S) | EUR | 170,000 | 184,458 |
Navient Corp.: | | | |
5.875% 10/25/24 | | 125,000 | 124,705 |
6.75% 6/25/25 | | 57,000 | 57,339 |
OneMain Finance Corp.: | | | |
3.875% 9/15/28 | | 850,000 | 742,640 |
4% 9/15/30 | | 425,000 | 358,033 |
5.375% 11/15/29 | | 94,000 | 87,226 |
6.625% 1/15/28 | | 115,000 | 114,347 |
6.875% 3/15/25 | | 1,241,000 | 1,253,410 |
7.125% 3/15/26 | | 704,000 | 715,434 |
7.875% 3/15/30 | | 215,000 | 218,662 |
Synchrony Financial: | | | |
3.95% 12/1/27 | | 8,719,000 | 8,076,484 |
4.25% 8/15/24 | | 6,050,000 | 5,994,426 |
4.375% 3/19/24 | | 7,165,000 | 7,159,628 |
5.15% 3/19/29 | | 11,979,000 | 11,426,636 |
| | | 178,134,964 |
Financial Services - 0.3% | | | |
Aon Corp. / Aon Global Holdings PLC: | | | |
2.6% 12/2/31 | | 93,000 | 77,310 |
5.35% 2/28/33 | | 258,000 | 257,324 |
Aviation Capital Group LLC: | | | |
4.125% 8/1/25 (b) | | 107,000 | 103,954 |
4.875% 10/1/25 (b) | | 122,000 | 119,547 |
5.5% 12/15/24 (b) | | 16,000 | 15,923 |
Block, Inc.: | | | |
2.75% 6/1/26 | | 360,000 | 335,822 |
3.5% 6/1/31 | | 233,000 | 198,766 |
BP Capital Markets America, Inc.: | | | |
2.721% 1/12/32 | | 629,000 | 533,723 |
2.772% 11/10/50 | | 239,000 | 152,060 |
2.939% 6/4/51 | | 186,000 | 121,807 |
3% 2/24/50 | | 278,000 | 185,477 |
3.001% 3/17/52 | | 373,000 | 247,511 |
3.379% 2/8/61 | | 229,000 | 154,227 |
4.812% 2/13/33 | | 2,809,000 | 2,740,421 |
4.893% 9/11/33 | | 1,909,000 | 1,872,218 |
4.989% 4/10/34 | | 355,000 | 349,236 |
British Airways Pass Through Trust 2018-1AA equipment trust certificate 3.8% 3/20/33 (b) | | 14,736 | 13,863 |
Brixmor Operating Partnership LP: | | | |
2.5% 8/16/31 | | 4,020,000 | 3,273,471 |
4.05% 7/1/30 | | 12,288,000 | 11,306,404 |
4.125% 6/15/26 | | 5,706,000 | 5,498,373 |
4.125% 5/15/29 | | 6,724,000 | 6,287,139 |
Consumers 2023 Securitization Funding LLC 5.21% 9/1/31 | | 473,000 | 478,402 |
Corebridge Financial, Inc.: | | | |
3.9% 4/5/32 | | 6,908,000 | 6,079,736 |
4.35% 4/5/42 | | 701,000 | 578,522 |
4.4% 4/5/52 | | 2,074,000 | 1,664,632 |
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 3.663% 5/15/45 (b) | | 82,000 | 80,088 |
DH Europe Finance II SARL 3.25% 11/15/39 | | 305,000 | 242,681 |
Fidelity National Information Services, Inc.: | | | |
3.1% 3/1/41 | | 3,540,000 | 2,542,724 |
4.5% 8/15/46 | | 58,000 | 47,922 |
Fiserv, Inc.: | | | |
3.2% 7/1/26 | | 80,000 | 76,440 |
3.5% 7/1/29 | | 7,395,000 | 6,794,251 |
3.85% 6/1/25 | | 1,540,000 | 1,509,118 |
5.45% 3/2/28 | | 1,260,000 | 1,271,148 |
Freedom Mortgage Corp. 12% 10/1/28 (b) | | 400,000 | 433,338 |
GGAM Finance Ltd.: | | | |
7.75% 5/15/26 (b) | | 265,000 | 269,306 |
8% 2/15/27 (b) | | 645,000 | 661,107 |
Global Payments, Inc.: | | | |
2.9% 5/15/30 | | 370,000 | 318,909 |
2.9% 11/15/31 | | 464,000 | 387,261 |
3.2% 8/15/29 | | 262,000 | 233,341 |
5.3% 8/15/29 | | 162,000 | 159,823 |
Gn Bondco LLC 9.5% 10/15/31 (b) | | 2,995,000 | 2,965,050 |
Greystone Commercial Capital Trust 1 month U.S. LIBOR + 2.270% 7.7043% 5/31/25 (b)(d)(e)(h) | | 7,700,000 | 6,622,000 |
GTCR W-2 Merger Sub LLC 7.5% 1/15/31 (b) | | 300,000 | 312,900 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | | | |
4.375% 2/1/29 | | 60,000 | 50,624 |
4.75% 9/15/24 | | 190,000 | 188,795 |
5.25% 5/15/27 | | 1,123,000 | 1,031,756 |
6.25% 5/15/26 | | 1,391,000 | 1,355,448 |
6.375% 12/15/25 | | 323,000 | 320,182 |
ILFC E-Capital Trust I CME Term SOFR 3 Month Index + 1.810% 7.1862% 12/21/65 (b)(e)(h) | | 156,000 | 120,827 |
Indian Railway Finance Corp. Ltd. 3.57% 1/21/32 (b) | | 1,010,000 | 887,012 |
Jackson Financial, Inc.: | | | |
3.125% 11/23/31 | | 750,000 | 620,076 |
5.17% 6/8/27 | | 2,958,000 | 2,938,817 |
5.67% 6/8/32 | | 3,183,000 | 3,172,237 |
KfW: | | | |
0% 9/17/30 (Reg. S) | EUR | 2,000,000 | 1,800,613 |
0.75% 1/15/29 (Reg. S) | EUR | 800,000 | 783,876 |
2.875% 6/7/33 (Reg. S) | EUR | 1,000,000 | 1,082,806 |
Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S) | EUR | 895,000 | 810,377 |
LSEGA Financing PLC 2% 4/6/28 (b) | | 200,000 | 177,909 |
MasterCard, Inc. 3.65% 6/1/49 | | 200,000 | 159,602 |
Nationstar Mortgage Holdings, Inc.: | | | |
5.5% 8/15/28 (b) | | 95,000 | 89,684 |
5.75% 11/15/31 (b) | | 2,000,000 | 1,832,418 |
6% 1/15/27 (b) | | 809,000 | 795,385 |
Nationwide Building Society 6.178% 12/7/27 (Reg. S) (e) | GBP | 400,000 | 512,502 |
NCR Atleos Corp. 9.5% 4/1/29 (b) | | 1,042,000 | 1,102,222 |
PennyMac Financial Services, Inc. 4.25% 2/15/29 (b) | | 1,200,000 | 1,081,884 |
Penske Truck Leasing Co. LP: | | | |
1.2% 11/15/25 (b) | | 83,000 | 77,097 |
5.55% 5/1/28 (b) | | 5,455,000 | 5,487,962 |
Pine Street Trust I 4.572% 2/15/29 (b) | | 7,798,000 | 7,374,005 |
Pine Street Trust II 5.568% 2/15/49 (b) | | 7,800,000 | 7,187,943 |
Power Finance Corp. Ltd.: | | | |
1.841% 9/21/28 (Reg. S) | EUR | 2,400,000 | 2,281,871 |
6.15% 12/6/28 (b) | | 3,050,000 | 3,133,265 |
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc.: | | | |
3.625% 3/1/29 (b) | | 265,000 | 235,065 |
3.875% 3/1/31 (b) | | 71,000 | 60,958 |
Quicken Loans LLC/Quicken Loans Co.-Issuer, Inc.: | | | |
2.875% 10/15/26 (b) | | 293,000 | 269,560 |
4% 10/15/33 (b) | | 17,000 | 14,114 |
Verscend Escrow Corp. 9.75% 8/15/26 (b) | | 1,075,000 | 1,077,075 |
Visa, Inc. 2.7% 4/15/40 | | 183,000 | 135,128 |
| | | 115,822,370 |
Insurance - 0.2% | | | |
ACE INA Holdings, Inc. 3.15% 3/15/25 | | 1,765,000 | 1,726,310 |
Admiral Group PLC 8.5% 1/6/34 (Reg. S) | GBP | 200,000 | 273,677 |
AFLAC, Inc. 3.6% 4/1/30 | | 73,000 | 67,666 |
AIA Group Ltd. 0.88% 9/9/33 (Reg. S) (e) | EUR | 395,000 | 360,952 |
Alleghany Corp. 3.25% 8/15/51 | | 25,000 | 17,639 |
Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer 4.25% 10/15/27 (b) | | 340,000 | 313,808 |
American International Group, Inc. 4.75% 4/1/48 | | 168,000 | 153,304 |
Aon Corp. 6.25% 9/30/40 | | 7,000 | 7,436 |
Aon North America, Inc. 5.75% 3/1/54 | | 185,000 | 185,726 |
Arch Capital Finance LLC 4.011% 12/15/26 | | 4,745,000 | 4,575,735 |
Arthur J. Gallagher & Co. 5.75% 7/15/54 | | 180,000 | 178,286 |
Baylor Scott & White Holdings: | | | |
Series 2021, 2.839% 11/15/50 | | 120,000 | 79,518 |
1.777% 11/15/30 | | 870,000 | 704,325 |
Berkshire Hathaway Finance Corp.: | | | |
2.5% 1/15/51 | | 355,000 | 219,377 |
3.85% 3/15/52 | | 374,000 | 296,705 |
Cincinnati Financial Corp. 6.125% 11/1/34 | | 32,000 | 33,386 |
CNA Financial Corp.: | | | |
3.9% 5/1/29 | | 1,400,000 | 1,313,779 |
5.125% 2/15/34 | | 115,000 | 111,193 |
Demeter Investments BV 5.625% 8/15/52 (Reg. S) (e) | | 3,225,000 | 3,163,854 |
Equitable Financial Life Global Funding 1.7% 11/12/26 (b) | | 10,000 | 9,040 |
Everest Reinsurance Holdings, Inc. 3.5% 10/15/50 | | 2,100,000 | 1,468,221 |
F&G Global Funding 1.75% 6/30/26 (b) | | 23,000 | 20,765 |
Fairfax Financial Holdings Ltd.: | | | |
3.375% 3/3/31 | | 4,595,000 | 3,983,410 |
5.625% 8/16/32 | | 6,100,000 | 5,999,361 |
6% 12/7/33 (b) | | 3,200,000 | 3,214,805 |
Farmers Exchange Capital II 6.151% 11/1/53 (b)(e) | | 500,000 | 459,420 |
Farmers Exchange Capital III 5.454% 10/15/54 (b)(e) | | 3,335,000 | 2,722,894 |
Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (e) | EUR | 500,000 | 509,327 |
Fidelity & Guaranty Life Holdings, Inc. 5.5% 5/1/25 (b) | | 360,000 | 355,447 |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | | 12,846,000 | 11,135,225 |
Great-West Lifeco Finance 2018, LP 4.581% 5/17/48 (b) | | 21,000 | 18,483 |
Guardian Life Global Funding 5.737% 10/2/28 (b) | | 200,000 | 206,978 |
Guardian Life Insurance Co. of America 4.85% 1/24/77 (b) | | 7,000 | 5,764 |
Hartford Financial Services Group, Inc. 2.8% 8/19/29 | | 131,000 | 117,081 |
High Street Funding Trust I 4.111% 2/15/28 (b) | | 388,000 | 364,073 |
Jackson National Life Global Funding 3.875% 6/11/25 (b) | | 77,000 | 74,901 |
Liberty Mutual Group, Inc.: | | | |
3.951% 10/15/50 (b) | | 13,000 | 9,729 |
4.569% 2/1/29 (b) | | 9,380,000 | 9,040,917 |
Lincoln National Corp.: | | | |
3.05% 1/15/30 | | 490,000 | 428,558 |
3.4% 1/15/31 | | 2,550,000 | 2,231,467 |
6.3% 10/9/37 | | 110,000 | 113,140 |
Manulife Financial Corp. 4.15% 3/4/26 | | 55,000 | 53,918 |
Markel Group, Inc.: | | | |
3.45% 5/7/52 | | 840,000 | 576,268 |
4.15% 9/17/50 | | 445,000 | 349,644 |
4.3% 11/1/47 | | 900,000 | 719,828 |
Marsh & McLennan Companies, Inc.: | | | |
5.45% 3/15/53 | | 122,000 | 121,482 |
5.7% 9/15/53 | | 173,000 | 178,512 |
MetLife, Inc.: | | | |
4.125% 8/13/42 | | 49,000 | 41,527 |
5% 7/15/52 | | 270,000 | 252,071 |
6.5% 12/15/32 | | 20,000 | 21,890 |
Metropolitan Life Global Funding I: | | | |
4.3% 8/25/29 (b) | | 2,000,000 | 1,913,307 |
5.15% 3/28/33 (b) | | 920,000 | 910,003 |
Mutual of Omaha Companies Global Funding 5.45% 12/12/28 (b) | | 200,000 | 201,821 |
Nationwide Mutual Insurance Co. 3 month U.S. LIBOR + 2.290% 7.9362% 12/15/24 (b)(e)(h) | | 5,490,000 | 5,496,347 |
New York Life Global Funding 3% 1/10/28 (b) | | 107,000 | 99,535 |
New York Life Insurance Co. 6.75% 11/15/39 (b) | | 8,000 | 9,042 |
Pacific Life Insurance Co. 4.3% 10/24/67 (b)(e) | | 79,000 | 59,957 |
Pricoa Global Funding I 5.375% 5/15/45 (e) | | 5,278,000 | 5,196,549 |
Principal Financial Group, Inc. 3.7% 5/15/29 | | 37,000 | 34,516 |
Principal Life Global Funding II 3% 4/18/26 (b) | | 17,000 | 16,156 |
Progressive Corp.: | | | |
3% 3/15/32 | | 95,000 | 82,256 |
4.35% 4/25/44 | | 20,000 | 17,730 |
Protective Life Global Funding: | | | |
1.9% 7/6/28 (b) | | 1,595,000 | 1,403,139 |
5.467% 12/8/28 (b) | | 333,000 | 336,882 |
Prudential Financial, Inc.: | | | |
3.878% 3/27/28 | | 15,000 | 14,406 |
3.905% 12/7/47 | | 251,000 | 197,760 |
Prudential Funding Asia PLC: | | | |
2.95% 11/3/33 (Reg. S) (e) | | 2,100,000 | 1,848,000 |
3.125% 4/14/30 | | 290,000 | 258,470 |
QBE Insurance Group Ltd.: | | | |
2.5% 9/13/38 (Reg. S) (e) | GBP | 800,000 | 850,093 |
6.75% 12/2/44 (Reg. S) (e) | | 2,025,000 | 2,023,941 |
Ryan Specialty Group LLC 4.375% 2/1/30 (b) | | 165,000 | 153,250 |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(e) | | 1,200,000 | 1,163,347 |
Teachers Insurance & Annuity Association of America: | | | |
3.3% 5/15/50 (b) | | 2,310,000 | 1,615,829 |
4.27% 5/15/47 (b) | | 43,000 | 35,359 |
4.375% 9/15/54 (b)(e) | | 2,100,000 | 2,070,691 |
4.9% 9/15/44 (b) | | 14,000 | 12,718 |
The Chubb Corp. 6% 5/11/37 | | 130,000 | 139,525 |
The Travelers Companies, Inc. 5.35% 11/1/40 | | 10,000 | 10,087 |
Unum Group: | | | |
4% 6/15/29 | | 5,961,000 | 5,574,551 |
4.125% 6/15/51 | | 1,830,000 | 1,345,067 |
5.75% 8/15/42 | | 2,238,000 | 2,172,464 |
W.R. Berkley Corp. 3.55% 3/30/52 | | 94,000 | 64,391 |
Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (e) | | 900,000 | 739,035 |
| | | 94,653,046 |
Mortgage Real Estate Investment Trusts - 0.0% | | | |
Arbor Realty Trust, Inc.: | | | |
4.5% 9/1/26 (b) | | 570,000 | 516,740 |
4.5% 3/15/27 (b) | | 877,000 | 776,217 |
5% 4/30/26 | | 146,000 | 135,423 |
Great Ajax Operating Partnership LP 8.875% 9/1/27 (b) | | 672,000 | 634,625 |
| | | 2,063,005 |
TOTAL FINANCIALS | | | 1,520,533,066 |
HEALTH CARE - 0.7% | | | |
Biotechnology - 0.1% | | | |
AbbVie, Inc.: | | | |
2.95% 11/21/26 | | 35,000 | 33,186 |
3.2% 11/21/29 | | 529,000 | 483,998 |
4.05% 11/21/39 | | 17,573,000 | 15,406,820 |
4.55% 3/15/35 | | 1,470,000 | 1,408,349 |
4.7% 5/14/45 | | 4,915,000 | 4,527,213 |
4.875% 11/14/48 | | 335,000 | 317,034 |
5.05% 3/15/34 | | 1,180,000 | 1,185,874 |
5.35% 3/15/44 | | 695,000 | 701,390 |
5.4% 3/15/54 | | 400,000 | 406,049 |
Amgen, Inc.: | | | |
2% 1/15/32 | | 97,000 | 77,729 |
2.6% 8/19/26 | | 3,835,000 | 3,619,597 |
2.8% 8/15/41 | | 495,000 | 352,997 |
3.15% 2/21/40 | | 155,000 | 116,285 |
4.4% 2/22/62 | | 184,000 | 147,976 |
5.25% 3/2/30 | | 6,125,000 | 6,170,518 |
5.25% 3/2/33 | | 3,916,000 | 3,905,262 |
5.6% 3/2/43 | | 8,292,000 | 8,301,042 |
5.65% 3/2/53 | | 3,409,000 | 3,407,582 |
5.75% 3/2/63 | | 5,337,000 | 5,337,495 |
Biogen, Inc. 2.25% 5/1/30 | | 790,000 | 661,232 |
Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) | | 194,000 | 78,568 |
Gilead Sciences, Inc.: | | | |
1.65% 10/1/30 | | 442,000 | 360,897 |
2.6% 10/1/40 | | 814,000 | 568,292 |
4.5% 2/1/45 | | 190,000 | 167,200 |
4.8% 4/1/44 | | 563,000 | 517,106 |
Grifols SA 4.75% 10/15/28 (b) | | 200,000 | 166,560 |
Regeneron Pharmaceuticals, Inc. 1.75% 9/15/30 | | 195,000 | 157,741 |
| | | 58,583,992 |
Health Care Equipment & Supplies - 0.0% | | | |
Abbott Laboratories 4.75% 11/30/36 | | 240,000 | 235,289 |
AdaptHealth LLC 4.625% 8/1/29 (b) | | 128,000 | 106,560 |
Avantor Funding, Inc.: | | | |
3.875% 7/15/28 (Reg. S) | EUR | 2,500,000 | 2,625,793 |
4.625% 7/15/28 (b) | | 753,000 | 710,744 |
Becton, Dickinson & Co.: | | | |
3.7% 6/6/27 | | 168,000 | 161,060 |
4.298% 8/22/32 | | 80,000 | 74,977 |
4.669% 6/6/47 | | 109,000 | 96,545 |
Hologic, Inc.: | | | |
3.25% 2/15/29 (b) | | 511,000 | 455,611 |
4.625% 2/1/28 (b) | | 33,000 | 31,618 |
Medline Borrower LP: | | | |
3.875% 4/1/29 (b) | | 2,977,000 | 2,669,277 |
5.25% 10/1/29 (b) | | 423,000 | 391,269 |
Sartorius Finance BV 4.875% 9/14/35 (Reg. S) | EUR | 200,000 | 227,646 |
Solventum Corp. 5.45% 2/25/27 (b) | | 675,000 | 676,273 |
Stryker Corp. 3.375% 11/1/25 | | 430,000 | 417,492 |
Teleflex, Inc. 4.25% 6/1/28 (b) | | 210,000 | 196,053 |
Werfenlife SA 4.625% 6/6/28 (Reg. S) | EUR | 400,000 | 437,408 |
| | | 9,513,615 |
Health Care Providers & Services - 0.4% | | | |
180 Medical, Inc. 3.875% 10/15/29 (b) | | 500,000 | 447,500 |
Acadia Healthcare Co., Inc.: | | | |
5% 4/15/29 (b) | | 273,000 | 257,985 |
5.5% 7/1/28 (b) | | 118,000 | 114,069 |
Aetna, Inc.: | | | |
3.875% 8/15/47 | | 426,000 | 318,505 |
4.125% 11/15/42 | | 51,000 | 40,771 |
4.5% 5/15/42 | | 6,000 | 5,093 |
4.75% 3/15/44 | | 95,000 | 81,929 |
AHS Hospital Corp. 2.78% 7/1/51 | | 315,000 | 206,030 |
Ascension Health: | | | |
2.532% 11/15/29 | | 295,000 | 262,707 |
3.106% 11/15/39 | | 610,000 | 475,668 |
3.945% 11/15/46 | | 20,000 | 16,834 |
Banner Health 1.897% 1/1/31 | | 71,000 | 57,833 |
BayCare Health System, Inc. 3.831% 11/15/50 | | 2,320,000 | 1,899,556 |
Cencora, Inc. 2.7% 3/15/31 | | 5,980,000 | 5,109,035 |
Centene Corp.: | | | |
2.45% 7/15/28 | | 6,335,000 | 5,583,250 |
2.625% 8/1/31 | | 2,980,000 | 2,438,445 |
3% 10/15/30 | | 2,473,000 | 2,112,857 |
3.375% 2/15/30 | | 5,670,000 | 5,001,776 |
4.25% 12/15/27 | | 5,825,000 | 5,541,013 |
4.625% 12/15/29 | | 8,049,000 | 7,618,781 |
Children's Health System of Texas 2.511% 8/15/50 | | 360,000 | 223,678 |
Children's Hospital District of Columbia 2.928% 7/15/50 | | 22,000 | 14,091 |
Childrens Hospital Corp. 4.115% 1/1/47 | | 265,000 | 223,997 |
Cigna Group: | | | |
2.375% 3/15/31 | | 65,000 | 54,264 |
2.4% 3/15/30 | | 3,689,000 | 3,163,833 |
3.25% 4/15/25 | | 355,000 | 346,504 |
4.375% 10/15/28 | | 6,825,000 | 6,624,584 |
4.5% 2/25/26 | | 2,540,000 | 2,504,674 |
CommonSpirit Health: | | | |
1.547% 10/1/25 | | 37,000 | 34,754 |
2.782% 10/1/30 | | 37,000 | 31,682 |
3.91% 10/1/50 | | 36,000 | 27,660 |
Community Health Systems, Inc.: | | | |
4.75% 2/15/31 (b) | | 744,000 | 566,154 |
5.625% 3/15/27 (b) | | 564,000 | 516,018 |
6% 1/15/29 (b) | | 78,000 | 67,080 |
6.875% 4/15/29 (b) | | 140,000 | 89,333 |
Cottage Health Obligated Group 3.304% 11/1/49 | | 14,000 | 9,924 |
CVS Health Corp.: | | | |
2.7% 8/21/40 | | 9,385,000 | 6,416,944 |
4.25% 4/1/50 | | 310,000 | 247,500 |
4.3% 3/25/28 | | 152,000 | 147,516 |
4.78% 3/25/38 | | 1,320,000 | 1,199,497 |
5.125% 2/21/30 | | 1,525,000 | 1,515,501 |
5.125% 7/20/45 | | 2,336,000 | 2,124,822 |
5.25% 2/21/33 | | 70,000 | 69,287 |
5.773% 1/10/33 (b) | | 7,815 | 7,638 |
5.875% 6/1/53 | | 1,125,000 | 1,121,310 |
DaVita, Inc.: | | | |
3.75% 2/15/31 (b) | | 1,956,000 | 1,605,050 |
4.625% 6/1/30 (b) | | 737,000 | 648,300 |
Elevance Health, Inc.: | | | |
3.125% 5/15/50 | | 111,000 | 76,094 |
3.65% 12/1/27 | | 1,260,000 | 1,204,526 |
4.101% 3/1/28 | | 1,570,000 | 1,518,790 |
4.375% 12/1/47 | | 89,000 | 75,620 |
4.55% 3/1/48 | | 86,000 | 75,240 |
4.625% 5/15/42 | | 1,770,000 | 1,594,061 |
4.85% 8/15/54 | | 88,000 | 75,116 |
5.125% 2/15/53 | | 82,000 | 77,476 |
Encompass Health Corp.: | | | |
4.5% 2/1/28 | | 150,000 | 141,940 |
4.625% 4/1/31 | | 41,000 | 37,112 |
4.75% 2/1/30 | | 486,000 | 450,852 |
Fresenius Medical Care U.S. Finance III, Inc. 1.875% 12/1/26 (b) | | 660,000 | 595,166 |
Hartford Healthcare 3.447% 7/1/54 | | 68,000 | 47,504 |
HCA Holdings, Inc.: | | | |
2.375% 7/15/31 | | 775,000 | 630,711 |
3.5% 9/1/30 | | 1,469,000 | 1,312,543 |
3.5% 7/15/51 | | 553,000 | 373,660 |
4.125% 6/15/29 | | 2,438,000 | 2,295,522 |
4.5% 2/15/27 | | 709,000 | 693,903 |
5.25% 4/15/25 | | 210,000 | 209,015 |
5.25% 6/15/26 | | 413,000 | 410,486 |
5.25% 6/15/49 | | 510,000 | 459,230 |
5.375% 2/1/25 | | 313,000 | 311,899 |
5.45% 4/1/31 | | 464,000 | 461,806 |
5.5% 6/15/47 | | 590,000 | 549,331 |
5.6% 4/1/34 | | 110,000 | 109,516 |
5.625% 9/1/28 | | 1,159,000 | 1,167,947 |
5.875% 2/15/26 | | 1,532,000 | 1,538,349 |
6% 4/1/54 | | 110,000 | 109,173 |
7.75% 7/15/36 | | 2,700,000 | 3,094,122 |
HealthEquity, Inc. 4.5% 10/1/29 (b) | | 45,000 | 41,360 |
Humana, Inc. 3.95% 8/15/49 | | 210,000 | 164,124 |
Kaiser Foundation Hospitals: | | | |
2.81% 6/1/41 | | 6,820,000 | 4,981,298 |
3.002% 6/1/51 | | 975,000 | 668,318 |
Kedrion SpA 6.5% 9/1/29 (b) | | 989,000 | 886,203 |
Laboratory Corp. of America Holdings 3.6% 2/1/25 | | 1,410,000 | 1,381,995 |
Memorial Health Services 3.447% 11/1/49 | | 18,000 | 13,388 |
Memorial Sloan-Kettring Cancer Center: | | | |
2.955% 1/1/50 | | 290,000 | 196,687 |
4.125% 7/1/52 | | 6,000 | 5,104 |
4.2% 7/1/55 | | 22,000 | 18,451 |
5% 7/1/42 | | 350,000 | 339,123 |
Methodist Hospital 2.705% 12/1/50 | | 820,000 | 514,759 |
MidMichigan Health 3.409% 6/1/50 | | 27,000 | 19,659 |
ModivCare Escrow Issuer, Inc. 5% 10/1/29 (b) | | 949,000 | 699,888 |
Modivcare, Inc. 5.875% 11/15/25 (b) | | 275,000 | 268,511 |
Molina Healthcare, Inc.: | | | |
3.875% 11/15/30 (b) | | 100,000 | 87,723 |
3.875% 5/15/32 (b) | | 155,000 | 133,322 |
Mount Sinai Hospital: | | | |
3.737% 7/1/49 | | 460,000 | 338,625 |
3.981% 7/1/48 | | 19,000 | 15,533 |
Multicare Health System 2.803% 8/15/50 | | 10,000 | 5,872 |
New York & Presbyterian Hospital: | | | |
2.606% 8/1/60 | | 20,000 | 11,546 |
4.024% 8/1/45 | | 600,000 | 508,849 |
4.063% 8/1/56 | | 390,000 | 316,972 |
NYU Hospitals Center: | | | |
3.38% 7/1/55 | | 32,000 | 23,001 |
4.368% 7/1/47 | | 810,000 | 714,530 |
OhioHealth Corp. 2.297% 11/15/31 | | 8,505,000 | 7,008,338 |
Owens & Minor, Inc.: | | | |
4.375% 12/15/24 | | 35,000 | 34,340 |
4.5% 3/31/29 (b) | | 320,000 | 285,908 |
6.625% 4/1/30 (b) | | 134,000 | 129,482 |
PeaceHealth Obligated Group 1.375% 11/15/25 | | 165,000 | 153,373 |
Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b) | | 170,000 | 152,792 |
Piedmont Healthcare, Inc.: | | | |
2.719% 1/1/42 | | 1,780,000 | 1,256,061 |
2.864% 1/1/52 | | 1,055,000 | 676,089 |
Prime Healthcare Services 7.25% 11/1/25 (b) | | 1,325,000 | 1,321,688 |
Providence St. Joseph Health Obligated Group: | | | |
2.532% 10/1/29 | | 2,405,000 | 2,092,117 |
2.746% 10/1/26 | | 180,000 | 168,525 |
Quest Diagnostics, Inc.: | | | |
2.95% 6/30/30 | | 54,000 | 47,606 |
4.7% 3/30/45 | | 150,000 | 131,529 |
5.75% 1/30/40 | | 93,000 | 89,259 |
Radiology Partners, Inc. 8.5% 1/31/29 pay-in-kind (b)(e) | | 291,000 | 279,724 |
Sabra Health Care LP 3.2% 12/1/31 | | 8,620,000 | 6,989,000 |
Sentara Healthcare 2.927% 11/1/51 | | 565,000 | 381,619 |
Stanford Health Care 3.027% 8/15/51 | | 680,000 | 460,728 |
Surgery Center Holdings, Inc. 6.75% 7/1/25 (b) | | 108,000 | 107,165 |
Sutter Health 4.091% 8/15/48 | | 780,000 | 647,405 |
Tenet Healthcare Corp.: | | | |
4.25% 6/1/29 | | 1,613,000 | 1,483,457 |
4.375% 1/15/30 | | 300,000 | 274,768 |
4.625% 6/15/28 | | 2,684,000 | 2,554,550 |
4.875% 1/1/26 | | 1,412,000 | 1,410,540 |
5.125% 11/1/27 | | 2,570,000 | 2,515,685 |
6.125% 6/15/30 | | 688,000 | 681,362 |
6.25% 2/1/27 | | 14,000 | 13,967 |
Texas Health Resources: | | | |
2.328% 11/15/50 | | 14,000 | 8,420 |
4.33% 11/15/55 | | 31,000 | 27,134 |
Toledo Hospital 5.325% 11/15/28 | | 2,792,000 | 2,607,030 |
UnitedHealth Group, Inc.: | | | |
3.05% 5/15/41 | | 2,030,000 | 1,508,248 |
3.25% 5/15/51 | | 3,742,000 | 2,624,226 |
3.7% 8/15/49 | | 115,000 | 88,262 |
3.75% 10/15/47 | | 138,000 | 107,595 |
3.875% 8/15/59 | | 124,000 | 95,411 |
3.95% 10/15/42 | | 17,000 | 14,287 |
4.25% 4/15/47 | | 770,000 | 654,713 |
4.25% 6/15/48 | | 672,000 | 565,606 |
4.45% 12/15/48 | | 103,000 | 90,541 |
4.5% 4/15/33 | | 5,670,000 | 5,441,195 |
4.625% 11/15/41 | | 110,000 | 100,367 |
4.75% 5/15/52 | | 90,000 | 81,869 |
4.95% 5/15/62 | | 275,000 | 254,207 |
5.05% 4/15/53 | | 1,172,000 | 1,115,034 |
5.2% 4/15/63 | | 9,439,000 | 9,001,193 |
5.8% 3/15/36 | | 820,000 | 868,050 |
5.875% 2/15/53 | | 444,000 | 475,000 |
UPMC Health System: | | | |
5.035% 5/15/33 | | 800,000 | 789,833 |
5.377% 5/15/43 | | 655,000 | 662,311 |
Yale-New Haven Health Services 2.496% 7/1/50 | | 28,000 | 16,123 |
| | | 157,786,515 |
Health Care Technology - 0.0% | | | |
IQVIA, Inc.: | | | |
5% 10/15/26 (b) | | 230,000 | 224,812 |
5% 5/15/27 (b) | | 200,000 | 194,708 |
5.7% 5/15/28 | | 3,150,000 | 3,172,869 |
6.5% 5/15/30 (b) | | 210,000 | 212,911 |
| | | 3,805,300 |
Life Sciences Tools & Services - 0.0% | | | |
Agilent Technologies, Inc.: | | | |
2.1% 6/4/30 | | 86,000 | 72,086 |
2.3% 3/12/31 | | 1,245,000 | 1,039,561 |
Charles River Laboratories International, Inc.: | | | |
3.75% 3/15/29 (b) | | 347,000 | 313,039 |
4.25% 5/1/28 (b) | | 330,000 | 309,507 |
Thermo Fisher Scientific, Inc.: | | | |
2.8% 10/15/41 | | 620,000 | 446,264 |
4.977% 8/10/30 | | 500,000 | 500,354 |
5.086% 8/10/33 | | 828,000 | 832,836 |
| | | 3,513,647 |
Pharmaceuticals - 0.2% | | | |
1375209 BC Ltd. 9% 1/30/28 (b) | | 800,000 | 782,048 |
AstraZeneca Finance LLC 4.875% 3/3/33 | | 430,000 | 428,995 |
Bausch Health Companies, Inc.: | | | |
4.875% 6/1/28 (b) | | 205,000 | 116,794 |
5% 2/15/29 (b) | | 400,000 | 175,053 |
5.25% 1/30/30 (b) | | 825,000 | 355,882 |
5.25% 2/15/31 (b) | | 4,796,000 | 2,068,956 |
5.5% 11/1/25 (b) | | 596,000 | 554,644 |
5.75% 8/15/27 (b) | | 178,000 | 107,258 |
6.25% 2/15/29 (b) | | 1,500,000 | 686,235 |
Bayer AG 4.625% 5/26/33 (Reg. S) | EUR | 450,000 | 489,030 |
Bayer U.S. Finance II LLC: | | | |
4.25% 12/15/25 (b) | | 44,740,000 | 43,500,918 |
4.4% 7/15/44 (b) | | 3,231,000 | 2,437,990 |
4.625% 6/25/38 (b) | | 570,000 | 469,090 |
4.875% 6/25/48 (b) | | 930,000 | 736,940 |
Bayer U.S. Finance LLC: | | | |
6.375% 11/21/30 (b) | | 1,580,000 | 1,591,993 |
6.5% 11/21/33 (b) | | 2,885,000 | 2,886,574 |
Bristol-Myers Squibb Co.: | | | |
2.35% 11/13/40 | | 407,000 | 272,985 |
2.55% 11/13/50 | | 234,000 | 141,819 |
3.7% 3/15/52 | | 673,000 | 510,796 |
3.9% 3/15/62 | | 260,000 | 194,081 |
4.125% 6/15/39 | | 300,000 | 261,359 |
5.1% 2/22/31 | | 195,000 | 195,798 |
5.2% 2/22/34 | | 860,000 | 866,987 |
5.55% 2/22/54 | | 1,065,000 | 1,077,626 |
5.65% 2/22/64 | | 190,000 | 191,739 |
6.4% 11/15/63 | | 50,000 | 55,827 |
Catalent Pharma Solutions: | | | |
3.5% 4/1/30 (b) | | 1,200,000 | 1,155,816 |
5% 7/15/27 (b) | | 120,000 | 118,147 |
Elanco Animal Health, Inc. 6.65% 8/28/28 (e) | | 1,808,000 | 1,821,478 |
Eli Lilly & Co.: | | | |
4.7% 2/9/34 | | 4,350,000 | 4,293,991 |
4.95% 2/27/63 | | 320,000 | 308,694 |
GSK Consumer Healthcare Capital U.S. LLC 3.625% 3/24/32 | | 1,305,000 | 1,169,025 |
Jazz Securities DAC 4.375% 1/15/29 (b) | | 295,000 | 271,779 |
Merck & Co., Inc.: | | | |
3.4% 3/7/29 | | 1,400,000 | 1,314,612 |
5% 5/17/53 | | 203,000 | 196,745 |
5.15% 5/17/63 | | 99,000 | 96,605 |
Mylan NV: | | | |
5.2% 4/15/48 | | 1,415,000 | 1,163,201 |
5.4% 11/29/43 | | 1,480,000 | 1,282,105 |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | | | |
4.125% 4/30/28 (b) | | 290,000 | 265,310 |
5.125% 4/30/31 (b) | | 1,210,000 | 1,037,115 |
Pfizer Investment Enterprises: | | | |
4.75% 5/19/33 | | 1,027,000 | 1,000,106 |
5.3% 5/19/53 | | 1,061,000 | 1,037,867 |
5.34% 5/19/63 | | 959,000 | 923,760 |
Pfizer, Inc.: | | | |
3.9% 3/15/39 | | 86,000 | 73,444 |
4.1% 9/15/38 | | 87,000 | 77,433 |
4.3% 6/15/43 | | 117,000 | 102,711 |
4.4% 5/15/44 | | 280,000 | 252,027 |
Roche Holdings, Inc. 5.489% 11/13/30 (b) | | 1,000,000 | 1,030,074 |
Royalty Pharma PLC 1.2% 9/2/25 | | 80,000 | 74,900 |
Shire Acquisitions Investments Ireland DAC 3.2% 9/23/26 | | 84,000 | 80,014 |
Takeda Pharmaceutical Co. Ltd.: | | | |
2.05% 3/31/30 | | 2,044,000 | 1,720,354 |
3.025% 7/9/40 | | 2,010,000 | 1,497,228 |
Utah Acquisition Sub, Inc.: | | | |
3.95% 6/15/26 | | 4,024,000 | 3,883,868 |
5.25% 6/15/46 | | 190,000 | 155,241 |
Valeant Pharmaceuticals International, Inc.: | | | |
8.5% 1/31/27 (b) | | 171,000 | 97,303 |
9.25% 4/1/26 (b) | | 136,000 | 127,855 |
Viatris, Inc.: | | | |
2.3% 6/22/27 | | 120,000 | 108,545 |
2.7% 6/22/30 | | 5,898,000 | 4,967,625 |
3.85% 6/22/40 | | 13,139,000 | 9,656,219 |
4% 6/22/50 | | 2,911,000 | 1,986,987 |
Wyeth LLC 5.95% 4/1/37 | | 32,000 | 34,188 |
Zoetis, Inc.: | | | |
2% 5/15/30 | | 173,000 | 145,185 |
5.6% 11/16/32 | | 141,000 | 145,669 |
| | | 104,830,643 |
TOTAL HEALTH CARE | | | 338,033,712 |
INDUSTRIALS - 0.5% | | | |
Aerospace & Defense - 0.2% | | | |
BAE Systems PLC 3.4% 4/15/30 (b) | | 3,884,000 | 3,517,854 |
Bombardier, Inc.: | | | |
6% 2/15/28 (b) | | 3,890,000 | 3,776,313 |
7.125% 6/15/26 (b) | | 2,157,000 | 2,175,063 |
7.875% 4/15/27 (b) | | 3,794,000 | 3,798,841 |
8.75% 11/15/30 (b) | | 200,000 | 209,502 |
BWX Technologies, Inc.: | | | |
4.125% 6/30/28 (b) | | 220,000 | 204,624 |
4.125% 4/15/29 (b) | | 602,000 | 558,662 |
HEICO Corp. 5.25% 8/1/28 | | 1,220,000 | 1,229,710 |
Howmet Aerospace, Inc.: | | | |
5.95% 2/1/37 | | 871,000 | 884,415 |
6.75% 1/15/28 | | 345,000 | 359,726 |
Huntington Ingalls Industries, Inc. 4.2% 5/1/30 | | 81,000 | 76,240 |
L3Harris Technologies, Inc.: | | | |
2.9% 12/15/29 | | 976,000 | 865,403 |
4.4% 6/15/28 | | 539,000 | 523,981 |
5.4% 1/15/27 | | 3,030,000 | 3,048,853 |
5.4% 7/31/33 | | 965,000 | 965,683 |
5.6% 7/31/53 | | 120,000 | 120,972 |
Lockheed Martin Corp.: | | | |
1.85% 6/15/30 | | 219,000 | 183,175 |
3.6% 3/1/35 | | 86,000 | 75,268 |
4.15% 6/15/53 | | 290,000 | 240,617 |
4.5% 5/15/36 | | 146,000 | 138,016 |
4.7% 5/15/46 | | 145,000 | 133,637 |
Moog, Inc. 4.25% 12/15/27 (b) | | 360,000 | 336,907 |
Northrop Grumman Corp.: | | | |
4.75% 6/1/43 | | 545,000 | 494,960 |
4.9% 6/1/34 | | 262,000 | 255,036 |
4.95% 3/15/53 | | 237,000 | 219,034 |
Precision Castparts Corp. 4.375% 6/15/45 | | 70,000 | 61,416 |
Rolls-Royce PLC 5.75% 10/15/27 (b) | | 165,000 | 164,191 |
RTX Corp.: | | | |
1.9% 9/1/31 | | 210,000 | 167,457 |
2.375% 3/15/32 | | 1,134,000 | 923,447 |
3.03% 3/15/52 | | 844,000 | 551,730 |
4.125% 11/16/28 | | 1,932,000 | 1,853,941 |
4.35% 4/15/47 | | 4,000 | 3,348 |
4.5% 6/1/42 | | 138,000 | 120,655 |
5.15% 2/27/33 | | 186,000 | 184,174 |
5.375% 2/27/53 | | 126,000 | 122,223 |
5.75% 1/15/29 | | 166,000 | 170,922 |
6.1% 3/15/34 | | 930,000 | 981,922 |
6.4% 3/15/54 | | 250,000 | 276,750 |
6.7% 8/1/28 | | 491,000 | 521,731 |
Spirit Aerosystems, Inc. 9.375% 11/30/29 (b) | | 211,000 | 228,166 |
Textron, Inc.: | | | |
2.45% 3/15/31 | | 3,245,000 | 2,709,774 |
3.9% 9/17/29 | | 138,000 | 129,238 |
The Boeing Co.: | | | |
2.196% 2/4/26 | | 5,759,000 | 5,402,660 |
2.25% 6/15/26 | | 810,000 | 753,916 |
2.7% 2/1/27 | | 246,000 | 229,095 |
2.75% 2/1/26 | | 50,000 | 47,482 |
2.95% 2/1/30 | | 200,000 | 175,289 |
3.1% 5/1/26 | | 53,000 | 50,492 |
3.6% 5/1/34 | | 2,400,000 | 2,017,286 |
3.625% 2/1/31 | | 12,650,000 | 11,329,331 |
3.825% 3/1/59 | | 204,000 | 141,606 |
3.95% 8/1/59 | | 250,000 | 178,193 |
5.15% 5/1/30 | | 4,430,000 | 4,355,868 |
5.805% 5/1/50 | | 6,375,000 | 6,144,736 |
5.93% 5/1/60 | | 7,169,000 | 6,863,516 |
TransDigm, Inc.: | | | |
6.375% 3/1/29 (b) | | 845,000 | 848,820 |
6.625% 3/1/32 (b) | | 550,000 | 553,436 |
7.5% 3/15/27 | | 40,000 | 39,968 |
Triumph Group, Inc. 7.75% 8/15/25 | | 69,000 | 68,855 |
Wesco Aircraft Holdings, Inc. 9% (b)(c) | | 238,000 | 56,062 |
| | | 72,820,188 |
Air Freight & Logistics - 0.0% | | | |
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (b) | | 160,000 | 140,600 |
Rand Parent LLC 8.5% 2/15/30 (b) | | 215,000 | 208,801 |
| | | 349,401 |
Building Products - 0.0% | | | |
Advanced Drain Systems, Inc. 5% 9/30/27 (b) | | 500,000 | 483,045 |
Builders FirstSource, Inc. 4.25% 2/1/32 (b) | | 915,000 | 803,942 |
Carlisle Companies, Inc. 2.2% 3/1/32 | | 1,890,000 | 1,496,260 |
Carrier Global Corp.: | | | |
4.5% 11/29/32 | EUR | 300,000 | 339,457 |
5.9% 3/15/34 | | 3,068,000 | 3,182,617 |
6.2% 3/15/54 | | 792,000 | 864,459 |
EMRLD Borrower LP / Emerald Co. 6.625% 12/15/30 (b) | | 777,000 | 779,720 |
Griffon Corp. 5.75% 3/1/28 | | 431,000 | 416,993 |
Jeld-Wen, Inc.: | | | |
4.625% 12/15/25 (b) | | 275,000 | 268,094 |
4.875% 12/15/27 (b) | | 1,426,000 | 1,356,483 |
Masco Corp. 1.5% 2/15/28 | | 60,000 | 52,138 |
Owens Corning: | | | |
3.95% 8/15/29 | | 130,000 | 122,590 |
4.3% 7/15/47 | | 735,000 | 602,886 |
PGT Innovations, Inc. 4.375% 10/1/29 (b) | | 237,000 | 238,591 |
Standard Industries, Inc./New Jersey: | | | |
3.375% 1/15/31 (b) | | 92,000 | 76,231 |
4.375% 7/15/30 (b) | | 381,000 | 339,694 |
4.75% 1/15/28 (b) | | 3,884,000 | 3,664,311 |
5% 2/15/27 (b) | | 10,000 | 9,628 |
| | | 15,097,139 |
Commercial Services & Supplies - 0.0% | | | |
ACCO Brands Corp. 4.25% 3/15/29 (b) | | 347,000 | 307,626 |
ADT Corp.: | | | |
4.125% 8/1/29 (b) | | 348,000 | 314,505 |
4.875% 7/15/32 (b) | | 853,000 | 767,700 |
Advocate Health & Hospitals Corp. 3.387% 10/15/49 | | 510,000 | 382,921 |
Allied Universal Holdco LLC 7.875% 2/15/31 (b) | | 170,000 | 168,824 |
Allied Universal Holdco LLC / Allied Universal Finance Corp.: | | | |
6% 6/1/29 (b) | | 1,175,000 | 972,876 |
6.625% 7/15/26 (b) | | 616,000 | 614,134 |
Artera Services LLC 8.5% 2/15/31 (b) | | 570,000 | 582,285 |
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | | | |
4.625% 6/1/28 (b) | | 1,030,000 | 915,774 |
4.625% 6/1/28 (b) | | 520,000 | 460,641 |
Brand Industrial Services, Inc. 10.375% 8/1/30 (b) | | 160,000 | 170,148 |
Clean Harbors, Inc.: | | | |
5.125% 7/15/29 (b) | | 95,000 | 91,577 |
6.375% 2/1/31 (b) | | 45,000 | 44,736 |
CoreCivic, Inc. 8.25% 4/15/26 | | 85,000 | 86,863 |
Enviri Corp. 5.75% 7/31/27 (b) | | 32,000 | 29,902 |
Garda World Security Corp.: | | | |
4.625% 2/15/27 (b) | | 54,000 | 51,578 |
9.5% 11/1/27 (b) | | 24,000 | 24,091 |
GFL Environmental, Inc.: | | | |
3.75% 8/1/25 (b) | | 118,000 | 114,566 |
4% 8/1/28 (b) | | 325,000 | 297,983 |
4.75% 6/15/29 (b) | | 463,000 | 433,524 |
6.75% 1/15/31 (b) | | 655,000 | 669,974 |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (b) | | 60,000 | 59,643 |
Madison IAQ LLC 4.125% 6/30/28 (b) | | 1,142,000 | 1,040,315 |
Pitney Bowes, Inc.: | | | |
6.875% 3/15/27 (b) | | 55,000 | 49,363 |
7.25% 3/15/29 (b) | | 110,000 | 95,249 |
Prime Securities Services Borrower LLC/Prime Finance, Inc.: | | | |
3.375% 8/31/27 (b) | | 385,000 | 352,464 |
5.75% 4/15/26 (b) | | 203,000 | 201,465 |
Republic Services, Inc.: | | | |
1.45% 2/15/31 | | 58,000 | 45,775 |
2.375% 3/15/33 | | 3,000 | 2,403 |
5% 12/15/33 | | 155,000 | 152,500 |
5% 4/1/34 | | 81,000 | 79,749 |
Stericycle, Inc.: | | | |
3.875% 1/15/29 (b) | | 834,000 | 750,532 |
5.375% 7/15/24 (b) | | 36,000 | 35,982 |
The Brink's Co. 4.625% 10/15/27 (b) | | 95,000 | 89,774 |
The Ford Foundation 2.815% 6/1/70 | | 85,000 | 50,481 |
Waste Management, Inc.: | | | |
1.5% 3/15/31 | | 80,000 | 63,626 |
3.9% 3/1/35 | | 104,000 | 91,592 |
4.625% 2/15/33 | | 158,000 | 152,612 |
Waste Pro U.S.A., Inc. 5.5% 2/15/26 (b) | | 333,000 | 326,340 |
Williams Scotsman, Inc.: | | | |
4.625% 8/15/28 (b) | | 110,000 | 103,292 |
7.375% 10/1/31 (b) | | 125,000 | 129,669 |
| | | 11,375,054 |
Construction & Engineering - 0.0% | | | |
AECOM 5.125% 3/15/27 | | 1,175,000 | 1,150,979 |
Arcosa, Inc. 4.375% 4/15/29 (b) | | 65,000 | 59,995 |
Bioceanico Sovereign Certificate Ltd. 0% 6/5/34 (b) | | 130,156 | 94,315 |
Cloud Crane LLC 11.5% 9/1/28 (b) | | 900,000 | 935,618 |
Dycom Industries, Inc. 4.5% 4/15/29 (b) | | 492,000 | 452,754 |
Greensaif Pipelines Bidco SARL 6.51% 2/23/42 (b) | | 200,000 | 204,814 |
MasTec, Inc.: | | | |
4.5% 8/15/28 (b) | | 297,000 | 278,508 |
6.625% 8/15/29 (b) | | 43,000 | 39,653 |
SRS Distribution, Inc. 4.625% 7/1/28 (b) | | 343,000 | 319,909 |
TMS Issuer SARL 5.78% 8/23/32 (Reg. S) | | 1,160,000 | 1,188,455 |
| | | 4,725,000 |
Electrical Equipment - 0.0% | | | |
EnerSys 4.375% 12/15/27 (b) | | 31,000 | 29,179 |
Regal Rexnord Corp.: | | | |
6.05% 2/15/26 (b) | | 41,000 | 41,170 |
6.05% 4/15/28 (b) | | 83,000 | 83,521 |
6.3% 2/15/30 (b) | | 35,000 | 35,638 |
6.4% 4/15/33 (b) | | 49,000 | 50,306 |
Sensata Technologies BV: | | | |
4% 4/15/29 (b) | | 370,000 | 335,563 |
5% 10/1/25 (b) | | 16,000 | 15,851 |
Vertiv Group Corp. 4.125% 11/15/28 (b) | | 526,000 | 485,308 |
Wesco Distribution, Inc.: | | | |
6.375% 3/15/29 (b) | | 565,000 | 565,052 |
6.625% 3/15/32 (b) | | 415,000 | 415,136 |
7.125% 6/15/25 (b) | | 1,692,000 | 1,702,110 |
7.25% 6/15/28 (b) | | 1,733,000 | 1,771,016 |
| | | 5,529,850 |
Ground Transportation - 0.0% | | | |
Alpha Trains Finance SA 2.064% 6/30/30 | EUR | 950,000 | 979,909 |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | | | |
5.375% 3/1/29 (b) | | 58,000 | 52,804 |
5.75% 7/15/27 (b) | | 379,000 | 361,130 |
8% 2/15/31 (b) | | 120,000 | 115,851 |
Burlington Northern Santa Fe LLC: | | | |
3.05% 2/15/51 | | 147,000 | 100,385 |
3.55% 2/15/50 | | 166,000 | 125,222 |
4.375% 9/1/42 | | 73,000 | 64,742 |
5.2% 4/15/54 | | 1,390,000 | 1,363,445 |
5.4% 6/1/41 | | 150,000 | 150,875 |
6.15% 5/1/37 | | 21,000 | 22,927 |
7.082% 5/13/29 | | 2,000 | 2,186 |
Canadian Pacific Railway Co.: | | | |
2.875% 11/15/29 | | 265,000 | 235,546 |
3.1% 12/2/51 | | 115,000 | 78,150 |
CSX Corp.: | | | |
4.5% 11/15/52 | | 45,000 | 39,446 |
6.15% 5/1/37 | | 1,475,000 | 1,599,128 |
Mobico Group PLC 4.875% 9/26/31 (Reg. S) | EUR | 750,000 | 800,576 |
Norfolk Southern Corp.: | | | |
3.155% 5/15/55 | | 410,000 | 269,312 |
3.95% 10/1/42 | | 105,000 | 86,122 |
4.05% 8/15/52 | | 145,000 | 115,973 |
RXO, Inc. 7.5% 11/15/27 (b) | | 150,000 | 154,875 |
Uber Technologies, Inc. 4.5% 8/15/29 (b) | | 407,000 | 381,086 |
Union Pacific Corp.: | | | |
2.4% 2/5/30 | | 95,000 | 82,816 |
2.973% 9/16/62 | | 200,000 | 124,525 |
3.5% 2/14/53 | | 135,000 | 100,482 |
3.6% 9/15/37 | | 1,015,000 | 867,871 |
3.839% 3/20/60 | | 697,000 | 529,472 |
XPO, Inc.: | | | |
6.25% 6/1/28 (b) | | 213,000 | 213,479 |
7.125% 6/1/31 (b) | | 645,000 | 658,735 |
7.125% 2/1/32 (b) | | 850,000 | 864,155 |
| | | 10,541,225 |
Industrial Conglomerates - 0.0% | | | |
Honeywell International, Inc. 5.25% 3/1/54 | | 330,000 | 329,329 |
Machinery - 0.1% | | | |
Allison Transmission, Inc.: | | | |
3.75% 1/30/31 (b) | | 86,000 | 74,311 |
4.75% 10/1/27 (b) | | 7,000 | 6,712 |
5.875% 6/1/29 (b) | | 326,000 | 321,118 |
Chart Industries, Inc. 7.5% 1/1/30 (b) | | 899,000 | 927,328 |
Cummins, Inc. 5.15% 2/20/34 | | 985,000 | 983,607 |
Eaton Corp.: | | | |
4.15% 3/15/33 | | 95,000 | 89,408 |
4.15% 11/2/42 | | 73,000 | 63,512 |
Flowserve Corp. 2.8% 1/15/32 | | 405,000 | 331,336 |
Hillenbrand, Inc. 3.75% 3/1/31 | | 291,000 | 248,078 |
OT Merger Corp. 7.875% 10/15/29 (b) | | 750,000 | 487,500 |
Otis Worldwide Corp. 5.25% 8/16/28 | | 598,000 | 602,564 |
Parker Hannifin Corp.: | | | |
3.25% 3/1/27 | | 45,000 | 42,789 |
4.25% 9/15/27 | | 160,000 | 156,588 |
6.25% 5/15/38 | | 12,000 | 12,849 |
Pentair Finance SA 4.5% 7/1/29 | | 8,070,000 | 7,775,824 |
Terex Corp. 5% 5/15/29 (b) | | 180,000 | 168,084 |
Trinity Industries, Inc. 7.75% 7/15/28 (b) | | 165,000 | 170,025 |
Westinghouse Air Brake Tech Co.: | | | |
3.45% 11/15/26 | | 1,490,000 | 1,416,855 |
4.7% 9/15/28 | | 10,335,000 | 10,081,766 |
5.611% 3/11/34 (f) | | 355,000 | 356,475 |
Xylem, Inc. 1.95% 1/30/28 | | 15,000 | 13,413 |
| | | 24,330,142 |
Passenger Airlines - 0.1% | | | |
Air Canada 2013-1 Pass Through Trust equipment trust certificate 4.125% 11/15/26 (b) | | 93,627 | 90,993 |
Air Canada 2015-1 Pass Through Trust equipment trust certificate 3.6% 9/15/28 (b) | | 75,286 | 71,171 |
Air Canada 2015-2 Class AA equipment trust certificate 3.75% 6/15/29 (b) | | 20,427 | 19,181 |
Air Canada 2017-1 Pass-Through Trust: | | | |
2017-1, 3.3% 7/15/31 (b) | | 420,264 | 379,560 |
equipment trust certificate: | | | |
3.55% 7/15/31 (b) | | 25,144 | 22,102 |
3.7% 7/15/27 (b) | | 54,012 | 51,264 |
American Airlines 2015-2 Pass Through Trust equipment trust certificate 4% 3/22/29 | | 56,090 | 52,524 |
American Airlines, Inc.: | | | |
equipment trust certificate 3.2% 12/15/29 | | 19,561 | 17,933 |
3% 4/15/30 | | 26,217 | 23,820 |
7.25% 2/15/28 (b) | | 80,000 | 80,666 |
8.5% 5/15/29 (b) | | 185,000 | 194,483 |
American Airlines, Inc. / AAdvantage Loyalty IP Ltd.: | | | |
5.5% 4/20/26 (b) | | 406,516 | 402,789 |
5.75% 4/20/29 (b) | | 990,520 | 968,678 |
British Airways 2013-1 Class A Pass Through Trust equipment trust certificate 4.625% 12/20/25 (b) | | 11,799 | 11,771 |
British Airways 2018-1 Class A Pass Through Trust equipment trust certificate 4.125% 3/20/33 (b) | | 43,886 | 40,241 |
British Airways 2019-1 Class AA Pass Through Trust equipment trust certificate: | | | |
3.3% 6/15/34 (b) | | 13,386 | 11,976 |
3.35% 12/15/30 (b) | | 27,709 | 25,478 |
Delta Air Lines Pass Through Trust 3.204% 10/25/25 | | 183,000 | 182,209 |
Delta Air Lines Pass Through Trust 2015-1AA equipment trust certificate 3.625% 1/30/29 | | 75,545 | 71,063 |
Delta Air Lines, Inc.: | | | |
2% 12/10/29 | | 241,170 | 214,688 |
4.375% 4/19/28 | | 160,000 | 153,400 |
Mexico City Airport Trust: | | | |
4.25% 10/31/26 (b) | | 4,270,000 | 4,105,776 |
5.5% 10/31/46 (b) | | 1,092,000 | 905,945 |
5.5% 7/31/47 (b) | | 3,767,000 | 3,134,295 |
Mileage Plus Holdings LLC 6.5% 6/20/27 (b) | | 169,163 | 169,205 |
Southwest Airlines Co. 5.125% 6/15/27 | | 5,340,000 | 5,318,429 |
Spirit Airlines 2017-1AA Pass Through Trust equipment trust certificate 3.375% 8/15/31 | | 16,147 | 13,932 |
United Airlines 2014-1 Pass Through Trust equipment trust certificate 4% 10/11/27 | | 58,321 | 56,460 |
United Airlines 2014-2 Pass Through Trust equipment trust certificate 3.75% 3/3/28 | | 9,407 | 9,088 |
United Airlines 2016-2 Class A Pass Through Trust 3.1% 4/7/30 | | 19,948 | 17,710 |
United Airlines 2016-2 Class AA Pass Through Trust 2.875% 4/7/30 | | 35,768 | 32,386 |
United Airlines 2016-2 Class B Pass Through Trust 3.65% 4/7/27 | | 28,194 | 26,993 |
United Airlines 2019-1 Class AA Pass Through Trust 4.15% 2/25/33 | | 34,488 | 32,026 |
United Airlines Holdings, Inc. 4.875% 1/15/25 | | 65,000 | 64,350 |
United Airlines Pass-Through Trust: | | | |
Series 2018-1, 3.5% 9/1/31 | | 530,165 | 486,596 |
Series 2023-1 Class A, 5.8% 7/15/37 | | 6,000,000 | 6,082,247 |
United Airlines pass-thru trust equipment trust certificate 3.1% 1/7/30 | | 25,624 | 23,480 |
United Airlines pass-thru Trust Series 2013-1A Class O, 4.3% 2/15/27 | | 118,872 | 115,887 |
United Airlines, Inc.: | | | |
equipment trust certificate: | | | |
Series 2012-2B 4% 4/29/26 | | 104,582 | 103,034 |
4.15% 10/11/25 | | 2,416 | 2,410 |
4.375% 4/15/26 (b) | | 2,258,000 | 2,173,245 |
4.55% 2/25/33 | | 40,884 | 37,449 |
4.625% 4/15/29 (b) | | 595,000 | 548,831 |
United Airlines, Inc. 2018-1A Pass Through Trust 3.7% 9/1/31 | | 28,103 | 25,186 |
United Airlines, Inc. 2019-2AA Pass Through Trust 2.7% 11/1/33 | | 45,007 | 38,465 |
| | | 26,609,415 |
Professional Services - 0.0% | | | |
ASGN, Inc. 4.625% 5/15/28 (b) | | 110,000 | 102,586 |
Booz Allen Hamilton, Inc.: | | | |
3.875% 9/1/28 (b) | | 320,000 | 296,921 |
4% 7/1/29 (b) | | 45,000 | 41,541 |
Equifax, Inc.: | | | |
2.35% 9/15/31 | | 250,000 | 204,040 |
2.6% 12/1/24 | | 2,095,000 | 2,047,845 |
TriNet Group, Inc.: | | | |
3.5% 3/1/29 (b) | | 165,000 | 146,098 |
7.125% 8/15/31 (b) | | 110,000 | 112,050 |
| | | 2,951,081 |
Trading Companies & Distributors - 0.0% | | | |
Air Lease Corp.: | | | |
1.875% 8/15/26 | | 63,000 | 57,850 |
2.3% 2/1/25 | | 29,000 | 28,086 |
3.25% 3/1/25 | | 7,000 | 6,834 |
3.25% 10/1/29 | | 29,000 | 25,793 |
3.375% 7/1/25 | | 7,765,000 | 7,542,503 |
5.85% 12/15/27 | | 1,023,000 | 1,035,677 |
Beacon Roofing Supply, Inc. 6.5% 8/1/30 (b) | | 115,000 | 115,623 |
Fortress Transportation & Infrastructure Investors LLC 7.875% 12/1/30 (b) | | 165,000 | 173,003 |
Herc Holdings, Inc. 5.5% 7/15/27 (b) | | 372,000 | 364,075 |
Travis Perkins PLC 3.75% 2/17/26 (Reg. S) | GBP | 600,000 | 715,724 |
United Rentals North America, Inc.: | | | |
3.75% 1/15/32 | | 825,000 | 713,966 |
3.875% 2/15/31 | | 238,000 | 210,333 |
4% 7/15/30 | | 175,000 | 158,424 |
4.875% 1/15/28 | | 2,625,000 | 2,533,900 |
5.25% 1/15/30 | | 195,000 | 188,808 |
W.W. Grainger, Inc. 4.6% 6/15/45 | | 15,000 | 13,725 |
| | | 13,884,324 |
Transportation Infrastructure - 0.1% | | | |
Avolon Holdings Funding Ltd.: | | | |
2.125% 2/21/26 (b) | | 655,000 | 607,758 |
2.528% 11/18/27 (b) | | 6,873,000 | 6,084,189 |
2.875% 2/15/25 (b) | | 262,000 | 254,283 |
3.95% 7/1/24 (b) | | 2,862,000 | 2,840,612 |
4.25% 4/15/26 (b) | | 314,000 | 302,768 |
4.375% 5/1/26 (b) | | 3,477,000 | 3,354,933 |
5.5% 1/15/26 (b) | | 93,000 | 92,038 |
5.75% 3/1/29 (b) | | 848,000 | 835,766 |
6.375% 5/4/28 (b) | | 6,446,000 | 6,541,096 |
DP World Ltd. 2.375% 9/25/26 (b) | EUR | 1,430,000 | 1,484,310 |
First Student Bidco, Inc./First Transit Parent, Inc. 4% 7/31/29 (b) | | 159,000 | 138,330 |
Heathrow Funding Ltd.: | | | |
2.625% 3/16/28 (Reg. S) | GBP | 635,000 | 709,767 |
6% 3/5/32 (Reg. S) | GBP | 700,000 | 882,514 |
Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S) | EUR | 300,000 | 281,086 |
Sydney Airport Finance Co. Property Ltd. 3.375% 4/30/25 (b) | | 38,000 | 37,035 |
Transurban Finance Co. Pty Ltd. 2.45% 3/16/31 (b) | | 118,000 | 97,879 |
| | | 24,544,364 |
TOTAL INDUSTRIALS | | | 213,086,512 |
INFORMATION TECHNOLOGY - 0.3% | | | |
Communications Equipment - 0.0% | | | |
Ciena Corp. 4% 1/31/30 (b) | | 100,000 | 89,500 |
Cisco Systems, Inc.: | | | |
4.95% 2/26/31 | | 700,000 | 700,347 |
5.05% 2/26/34 | | 548,000 | 551,618 |
5.3% 2/26/54 | | 80,000 | 80,972 |
Commscope Technologies LLC 5% 3/15/27 (b) | | 43,000 | 15,391 |
CommScope, Inc.: | | | |
4.75% 9/1/29 (b) | | 84,000 | 57,540 |
6% 3/1/26 (b) | | 483,000 | 434,700 |
HTA Group Ltd. 7% 12/18/25 (b) | | 230,000 | 227,902 |
Hughes Satellite Systems Corp. 6.625% 8/1/26 | | 300,000 | 197,706 |
Motorola Solutions, Inc. 5.6% 6/1/32 | | 1,060,000 | 1,062,696 |
Viavi Solutions, Inc. 3.75% 10/1/29 (b) | | 230,000 | 200,010 |
| | | 3,618,382 |
Electronic Equipment, Instruments & Components - 0.1% | | | |
Arrow Electronics, Inc.: | | | |
2.95% 2/15/32 | | 10,000 | 8,357 |
3.875% 1/12/28 | | 6,000 | 5,668 |
4% 4/1/25 | | 19,000 | 18,666 |
Coherent Corp. 5% 12/15/29 (b) | | 883,000 | 823,398 |
Corning, Inc.: | | | |
3.9% 11/15/49 | | 35,000 | 26,989 |
5.35% 11/15/48 | | 146,000 | 140,259 |
Dell International LLC/EMC Corp.: | | | |
4.9% 10/1/26 | | 377,000 | 373,544 |
5.25% 2/1/28 | | 275,000 | 277,059 |
Imola Merger Corp. 4.75% 5/15/29 (b) | | 517,000 | 479,052 |
Sensata Technologies, Inc.: | | | |
3.75% 2/15/31 (b) | | 621,000 | 531,048 |
4.375% 2/15/30 (b) | | 200,000 | 182,163 |
TD SYNNEX Corp. 1.75% 8/9/26 | | 6,930,000 | 6,311,364 |
Teledyne Technologies, Inc.: | | | |
2.25% 4/1/28 | | 580,000 | 519,692 |
2.75% 4/1/31 | | 4,505,000 | 3,824,056 |
TTM Technologies, Inc. 4% 3/1/29 (b) | | 130,000 | 115,713 |
| | | 13,637,028 |
IT Services - 0.0% | | | |
Acuris Finance U.S. 5% 5/1/28 (b) | | 200,000 | 179,066 |
Arches Buyer, Inc. 4.25% 6/1/28 (b) | | 323,000 | 275,941 |
CGI, Inc. 1.45% 9/14/26 | | 109,000 | 98,777 |
Gartner, Inc.: | | | |
3.625% 6/15/29 (b) | | 365,000 | 327,039 |
3.75% 10/1/30 (b) | | 260,000 | 230,118 |
4.5% 7/1/28 (b) | | 165,000 | 156,186 |
Genpact Luxembourg SARL / Genpact U.S.A., Inc. 1.75% 4/10/26 | | 960,000 | 869,585 |
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b) | | 435,000 | 387,314 |
Presidio Holdings, Inc. 4.875% 2/1/27 (b) | | 306,000 | 294,104 |
Tempo Acquisition LLC 5.75% 6/1/25 (b) | | 5,000,000 | 4,950,771 |
Twilio, Inc.: | | | |
3.625% 3/15/29 | | 210,000 | 186,694 |
3.875% 3/15/31 | | 85,000 | 73,966 |
| | | 8,029,561 |
Semiconductors & Semiconductor Equipment - 0.1% | | | |
Amkor Technology, Inc. 6.625% 9/15/27 (b) | | 346,000 | 347,838 |
ams-OSRAM AG 12.25% 3/30/29 (b) | | 200,000 | 202,875 |
Broadcom, Inc.: | | | |
1.95% 2/15/28 (b) | | 1,620,000 | 1,438,262 |
2.45% 2/15/31 (b) | | 12,454,000 | 10,404,228 |
2.6% 2/15/33 (b) | | 12,259,000 | 9,853,375 |
3.137% 11/15/35 (b) | | 2,730,000 | 2,167,036 |
3.187% 11/15/36 (b) | | 4,922,000 | 3,858,641 |
3.419% 4/15/33 (b) | | 4,197,000 | 3,584,623 |
3.5% 2/15/41 (b) | | 19,586,000 | 14,977,660 |
4% 4/15/29 (b) | | 1,410,000 | 1,335,073 |
4.926% 5/15/37 (b) | | 2,410,000 | 2,245,356 |
Entegris, Inc.: | | | |
3.625% 5/1/29 (b) | | 324,000 | 286,740 |
4.375% 4/15/28 (b) | | 444,000 | 414,884 |
5.95% 6/15/30 (b) | | 643,000 | 630,496 |
Intel Corp.: | | | |
3.1% 2/15/60 | | 143,000 | 90,601 |
3.25% 11/15/49 | | 49,000 | 33,953 |
5.15% 2/21/34 | | 170,000 | 168,261 |
5.2% 2/10/33 | | 401,000 | 401,445 |
5.625% 2/10/43 | | 385,000 | 391,040 |
5.7% 2/10/53 | | 78,000 | 79,068 |
5.9% 2/10/63 | | 945,000 | 984,424 |
KLA Corp.: | | | |
3.3% 3/1/50 | | 646,000 | 466,715 |
4.65% 7/15/32 | | 130,000 | 126,744 |
5% 3/15/49 | | 83,000 | 79,188 |
Marvell Technology, Inc.: | | | |
2.95% 4/15/31 | | 100,000 | 85,710 |
5.75% 2/15/29 | | 460,000 | 468,651 |
NVIDIA Corp. 3.5% 4/1/40 | | 100,000 | 83,529 |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc.: | | | |
2.5% 5/11/31 | | 270,000 | 222,863 |
3.125% 2/15/42 | | 85,000 | 60,155 |
3.25% 5/11/41 | | 146,000 | 107,224 |
3.4% 5/1/30 | | 150,000 | 134,121 |
5% 1/15/33 | | 43,000 | 41,552 |
ON Semiconductor Corp. 3.875% 9/1/28 (b) | | 571,000 | 522,197 |
Qorvo, Inc. 4.375% 10/15/29 | | 290,000 | 269,781 |
Qualcomm, Inc.: | | | |
4.25% 5/20/32 | | 25,000 | 23,887 |
4.5% 5/20/52 | | 65,000 | 57,553 |
Synaptics, Inc. 4% 6/15/29 (b) | | 110,000 | 98,517 |
Teledyne FLIR LLC 2.5% 8/1/30 | | 1,215,000 | 1,025,450 |
Texas Instruments, Inc.: | | | |
2.7% 9/15/51 | | 268,000 | 172,059 |
3.875% 3/15/39 | | 47,000 | 41,399 |
4.15% 5/15/48 | | 8,000 | 6,793 |
5.05% 5/18/63 | | 256,000 | 244,768 |
TSMC Arizona Corp. 2.5% 10/25/31 | | 702,000 | 593,864 |
| | | 58,828,599 |
Software - 0.1% | | | |
Black Knight InfoServ LLC 3.625% 9/1/28 (b) | | 299,000 | 281,060 |
Central Parent, Inc./Central Merger Sub, Inc. 7.25% 6/15/29 (b) | | 135,000 | 135,894 |
Clarivate Science Holdings Corp. 3.875% 7/1/28 (b) | | 282,000 | 257,420 |
CNT PRNT/CDK GLO II/FIN 8% 6/15/29 (b) | | 210,000 | 215,238 |
Crowdstrike Holdings, Inc. 3% 2/15/29 | | 125,000 | 110,306 |
Elastic NV 4.125% 7/15/29 (b) | | 120,000 | 107,788 |
Fair Isaac Corp. 4% 6/15/28 (b) | | 500,000 | 464,457 |
Gen Digital, Inc. 5% 4/15/25 (b) | | 370,000 | 366,300 |
Intuit, Inc.: | | | |
1.35% 7/15/27 | | 200,000 | 178,475 |
5.2% 9/15/33 | | 433,000 | 437,483 |
Microsoft Corp. 2.5% 9/15/50 (b) | | 241,000 | 153,159 |
NCR Voyix Corp.: | | | |
5% 10/1/28 (b) | | 382,000 | 355,023 |
5.125% 4/15/29 (b) | | 103,000 | 95,499 |
Open Text Corp.: | | | |
3.875% 2/15/28 (b) | | 490,000 | 450,251 |
3.875% 12/1/29 (b) | | 370,000 | 327,029 |
6.9% 12/1/27 (b) | | 500,000 | 516,152 |
Oracle Corp.: | | | |
2.3% 3/25/28 | | 178,000 | 159,516 |
2.65% 7/15/26 | | 325,000 | 306,109 |
2.8% 4/1/27 | | 1,465,000 | 1,366,459 |
2.95% 5/15/25 | | 1,185,000 | 1,149,492 |
3.6% 4/1/50 | | 710,000 | 499,868 |
3.65% 3/25/41 | | 255,000 | 196,076 |
3.8% 11/15/37 | | 230,000 | 189,407 |
3.85% 7/15/36 | | 51,000 | 42,879 |
3.85% 4/1/60 | | 6,500,000 | 4,523,653 |
3.9% 5/15/35 | | 45,000 | 38,640 |
3.95% 3/25/51 | | 253,000 | 188,726 |
4.125% 5/15/45 | | 2,053,000 | 1,627,047 |
4.3% 7/8/34 | | 16,000 | 14,521 |
4.375% 5/15/55 | | 822,000 | 645,296 |
4.9% 2/6/33 | | 1,179,000 | 1,140,028 |
5.55% 2/6/53 | | 2,748,000 | 2,625,275 |
RingCentral, Inc. 8.5% 8/15/30 (b) | | 203,000 | 209,880 |
Roper Technologies, Inc. 1.75% 2/15/31 | | 200,000 | 159,947 |
ServiceNow, Inc. 1.4% 9/1/30 | | 1,005,000 | 806,247 |
SS&C Technologies, Inc. 5.5% 9/30/27 (b) | | 1,151,000 | 1,120,844 |
VMware, Inc. 4.65% 5/15/27 | | 141,000 | 138,016 |
Workday, Inc.: | | | |
3.5% 4/1/27 | | 405,000 | 385,913 |
3.7% 4/1/29 | | 1,400,000 | 1,309,098 |
| | | 23,294,471 |
Technology Hardware, Storage & Peripherals - 0.0% | | | |
Apple, Inc.: | | | |
2.65% 2/8/51 | | 497,000 | 320,547 |
3.25% 2/23/26 | | 2,345,000 | 2,275,092 |
3.45% 2/9/45 | | 82,000 | 65,062 |
3.75% 11/13/47 | | 29,000 | 23,588 |
3.85% 8/4/46 | | 1,570,000 | 1,308,689 |
4.85% 5/10/53 | | 565,000 | 552,297 |
Hewlett Packard Enterprise Co. 5.25% 7/1/28 | | 210,000 | 210,264 |
Seagate HDD Cayman: | | | |
3.125% 7/15/29 | | 64,000 | 52,939 |
4.091% 6/1/29 | | 96,000 | 87,599 |
4.125% 1/15/31 | | 106,000 | 93,106 |
8.25% 12/15/29 (b) | | 1,078,000 | 1,155,085 |
8.5% 7/15/31 (b) | | 12,000 | 12,975 |
9.625% 12/1/32 | | 102,965 | 116,361 |
| | | 6,273,604 |
TOTAL INFORMATION TECHNOLOGY | | | 113,681,645 |
MATERIALS - 0.3% | | | |
Chemicals - 0.1% | | | |
Avient Corp. 7.125% 8/1/30 (b) | | 307,000 | 313,726 |
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b) | | 543,000 | 524,368 |
Braskem Idesa SAPI 6.99% 2/20/32 (b) | | 200,000 | 144,000 |
Celanese U.S. Holdings LLC: | | | |
6.35% 11/15/28 | | 3,358,000 | 3,453,551 |
6.55% 11/15/30 | | 3,406,000 | 3,541,155 |
6.7% 11/15/33 | | 1,991,000 | 2,091,517 |
CF Industries Holdings, Inc.: | | | |
4.95% 6/1/43 | | 624,000 | 554,854 |
5.15% 3/15/34 | | 82,000 | 79,350 |
E.I. du Pont de Nemours & Co. 4.8% 5/15/33 | | 255,000 | 249,502 |
Eastman Chemical Co. 5.75% 3/8/33 | | 74,000 | 74,492 |
Ecolab, Inc. 2.125% 2/1/32 | | 35,000 | 28,763 |
Element Solutions, Inc. 3.875% 9/1/28 (b) | | 311,000 | 281,867 |
FMC Corp. 4.5% 10/1/49 | | 1,495,000 | 1,112,044 |
INEOS Quattro Finance 2 PLC: | | | |
3.375% 1/15/26 (b) | | 275,000 | 259,602 |
9.625% 3/15/29 (b) | | 225,000 | 236,645 |
International Flavors & Fragrances, Inc.: | | | |
2.3% 11/1/30 (b) | | 4,885,000 | 4,008,829 |
3.468% 12/1/50 (b) | | 1,475,000 | 970,705 |
Linde PLC 3.2% 2/14/31 (Reg. S) | EUR | 400,000 | 429,539 |
LSB Industries, Inc. 6.25% 10/15/28 (b) | | 235,000 | 222,844 |
LYB International Finance BV: | | | |
4.875% 3/15/44 | | 1,000,000 | 879,400 |
5.25% 7/15/43 | | 1,410,000 | 1,293,831 |
LYB International Finance III LLC 3.375% 10/1/40 | | 668,000 | 495,555 |
Methanex Corp.: | | | |
5.125% 10/15/27 | | 320,000 | 307,450 |
5.25% 12/15/29 | | 155,000 | 147,378 |
5.65% 12/1/44 | | 105,000 | 88,991 |
NOVA Chemicals Corp.: | | | |
4.25% 5/15/29 (b) | | 27,000 | 22,333 |
5% 5/1/25 (b) | | 1,246,000 | 1,216,800 |
5.25% 6/1/27 (b) | | 279,000 | 258,413 |
9% 2/15/30 (b) | | 120,000 | 120,384 |
Nufarm Australia Ltd. 5% 1/27/30 (b) | | 280,000 | 256,780 |
Nutrien Ltd.: | | | |
2.95% 5/13/30 | | 81,000 | 71,718 |
3.95% 5/13/50 | | 90,000 | 70,286 |
4.125% 3/15/35 | | 14,000 | 12,593 |
4.9% 3/27/28 | | 1,090,000 | 1,081,059 |
4.9% 6/1/43 | | 1,325,000 | 1,197,645 |
OCI NV 3.625% 10/15/25 (Reg. S) | EUR | 973,800 | 1,037,169 |
Olin Corp.: | | | |
5% 2/1/30 | | 195,000 | 182,253 |
5.125% 9/15/27 | | 700,000 | 678,860 |
5.625% 8/1/29 | | 320,000 | 313,078 |
Olympus Water U.S. Holding Corp. 9.75% 11/15/28 (b) | | 200,000 | 212,509 |
Rain Carbon, Inc. 12.25% 9/1/29 (b) | | 300,000 | 300,039 |
RPM International, Inc.: | | | |
2.95% 1/15/32 | | 40,000 | 33,783 |
4.55% 3/1/29 | | 79,000 | 75,988 |
Sasol Financing U.S.A. LLC: | | | |
4.375% 9/18/26 | | 810,000 | 755,511 |
5.875% 3/27/24 | | 1,500,000 | 1,497,750 |
Sherwin-Williams Co. 4.5% 6/1/47 | | 210,000 | 182,002 |
SPCM SA 3.125% 3/15/27 (b) | | 115,000 | 106,651 |
The Chemours Co. LLC: | | | |
4.625% 11/15/29 (b) | | 1,460,000 | 1,200,525 |
5.75% 11/15/28 (b) | | 398,000 | 349,065 |
The Scotts Miracle-Gro Co.: | | | |
4% 4/1/31 | | 2,921,000 | 2,477,651 |
4.375% 2/1/32 | | 625,000 | 522,634 |
4.5% 10/15/29 | | 525,000 | 465,938 |
5.25% 12/15/26 | | 59,000 | 57,230 |
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 5.375% 9/1/25 (b) | | 34,000 | 27,632 |
Tronox, Inc. 4.625% 3/15/29 (b) | | 290,000 | 256,688 |
Union Carbide Corp. 7.75% 10/1/96 | | 38,000 | 46,607 |
W.R. Grace Holding LLC: | | | |
4.875% 6/15/27 (b) | | 410,000 | 389,492 |
7.375% 3/1/31 (b) | | 40,000 | 40,558 |
| | | 37,307,582 |
Construction Materials - 0.0% | | | |
Eco Material Technologies, Inc. 7.875% 1/31/27 (b) | | 65,000 | 64,855 |
Global Infrastructure Solutions, Inc. 5.625% 6/1/29 (b) | | 448,000 | 405,203 |
Knife River Holding Co. 7.75% 5/1/31 (b) | | 217,000 | 224,732 |
Martin Marietta Materials, Inc.: | | | |
2.4% 7/15/31 | | 1,490,000 | 1,239,849 |
2.5% 3/15/30 | | 400,000 | 346,661 |
Smyrna Ready Mix LLC 8.875% 11/15/31 (b) | | 200,000 | 211,957 |
Summit Materials LLC/Summit Materials Finance Corp.: | | | |
5.25% 1/15/29 (b) | | 352,000 | 340,743 |
7.25% 1/15/31 (b) | | 85,000 | 87,975 |
VM Consolidated, Inc. 5.5% 4/15/29 (b) | | 180,000 | 169,642 |
Vulcan Materials Co. 4.5% 6/15/47 | | 350,000 | 302,327 |
| | | 3,393,944 |
Containers & Packaging - 0.1% | | | |
Amcor Finance (U.S.A.), Inc. 5.625% 5/26/33 | | 75,000 | 76,260 |
Ardagh Metal Packaging Finance U.S.A. LLC/Ardagh Metal Packaging Finance PLC: | | | |
3.25% 9/1/28 (b) | | 280,000 | 242,662 |
6% 6/15/27 (b) | | 85,000 | 83,462 |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | | | |
4.125% 8/15/26 (b) | | 834,000 | 769,398 |
5.25% 8/15/27 (b) | | 950,000 | 688,799 |
5.25% 8/15/27 (b) | | 600,000 | 435,073 |
Ball Corp.: | | | |
2.875% 8/15/30 | | 55,000 | 46,564 |
3.125% 9/15/31 | | 395,000 | 332,770 |
6% 6/15/29 | | 2,079,000 | 2,089,083 |
Berry Global, Inc.: | | | |
1.57% 1/15/26 | | 1,675,000 | 1,559,705 |
4.875% 7/15/26 (b) | | 4,055,000 | 3,959,416 |
5.5% 4/15/28 (b) | | 3,404,000 | 3,382,199 |
BWAY Holding Co. 7.875% 8/15/26 (b) | | 642,000 | 650,550 |
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 | | 54,000 | 52,831 |
Graphic Packaging International, Inc.: | | | |
3.5% 3/15/28 (b) | | 49,000 | 44,808 |
3.5% 3/1/29 (b) | | 175,000 | 156,014 |
3.75% 2/1/30 (b) | | 295,000 | 262,500 |
4.75% 7/15/27 (b) | | 64,000 | 61,904 |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (b) | | 40,000 | 37,191 |
Owens-Brockway Glass Container, Inc.: | | | |
6.625% 5/13/27 (b) | | 411,000 | 410,091 |
7.25% 5/15/31 (b) | | 160,000 | 162,158 |
Packaging Corp. of America 3.05% 10/1/51 | | 108,000 | 72,098 |
Pactiv Evergreen Group Issuer, Inc. 4.375% 10/15/28 (b) | | 2,350,000 | 2,177,997 |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA 4% 10/15/27 (b) | | 966,000 | 899,829 |
Sealed Air Corp.: | | | |
1.573% 10/15/26 (b) | | 2,750,000 | 2,474,885 |
4% 12/1/27 (b) | | 229,000 | 213,000 |
5% 4/15/29 (b) | | 350,000 | 331,551 |
6.875% 7/15/33 (b) | | 210,000 | 217,330 |
Sealed Air Corp./Sealed Air Corp. U.S.: | | | |
6.125% 2/1/28 (b) | | 340,000 | 338,959 |
7.25% 2/15/31 (b) | | 215,000 | 221,962 |
TriMas Corp. 4.125% 4/15/29 (b) | | 131,000 | 119,412 |
Trivium Packaging Finance BV 5.5% 8/15/26 (b) | | 315,000 | 307,171 |
WRKCo, Inc. 4.65% 3/15/26 | | 88,000 | 86,859 |
| | | 22,964,491 |
Metals & Mining - 0.1% | | | |
Alcoa Nederland Holding BV: | | | |
4.125% 3/31/29 (b) | | 110,000 | 100,723 |
6.125% 5/15/28 (b) | | 200,000 | 200,037 |
Anglo American Capital PLC: | | | |
2.625% 9/10/30 (b) | | 205,000 | 172,616 |
5.5% 5/2/33 (b) | | 400,000 | 394,468 |
5.625% 4/1/30 (b) | | 428,000 | 429,460 |
Arsenal AIC Parent LLC: | | | |
8% 10/1/30 (b) | | 65,000 | 68,088 |
11.5% 10/1/31 (b) | | 650,000 | 715,000 |
ATI, Inc.: | | | |
4.875% 10/1/29 | | 70,000 | 64,276 |
5.875% 12/1/27 | | 348,000 | 340,212 |
Barrick North America Finance LLC: | | | |
5.7% 5/30/41 | | 2,830,000 | 2,873,240 |
5.75% 5/1/43 | | 475,000 | 486,261 |
Barrick PD Australia Finance Pty Ltd. 5.95% 10/15/39 | | 1,340,000 | 1,372,045 |
BHP Billiton Financial (U.S.A.) Ltd.: | | | |
4.9% 2/28/33 | | 103,000 | 101,628 |
5.25% 9/8/30 | | 230,000 | 231,820 |
5.25% 9/8/33 | | 580,000 | 582,581 |
Big River Steel LLC/BRS Finance Corp. 6.625% 1/31/29 (b) | | 162,000 | 162,965 |
Carpenter Technology Corp. 6.375% 7/15/28 | | 209,000 | 208,091 |
Cleveland-Cliffs, Inc.: | | | |
4.625% 3/1/29 (b) | | 194,000 | 178,103 |
4.875% 3/1/31 (b) | | 110,000 | 99,030 |
5.875% 6/1/27 | | 318,000 | 314,625 |
6.75% 3/15/26 (b) | | 86,000 | 86,647 |
6.75% 4/15/30 (b) | | 305,000 | 302,768 |
Commercial Metals Co. 3.875% 2/15/31 | | 235,000 | 205,164 |
Compass Minerals International, Inc. 6.75% 12/1/27 (b) | | 120,000 | 117,059 |
Corporacion Nacional del Cobre de Chile (Codelco): | | | |
5.125% 2/2/33 | | 350,000 | 328,612 |
6.3% 9/8/53 (b) | | 200,000 | 194,128 |
6.44% 1/26/36 (b) | | 200,000 | 203,688 |
ERO Copper Corp. 6.5% 2/15/30 (b) | | 370,000 | 347,060 |
First Quantum Minerals Ltd.: | | | |
7.5% 4/1/25 (b) | | 1,075,000 | 1,063,713 |
9.375% 3/1/29 (b) | | 485,000 | 502,612 |
FMG Resources Pty Ltd. 4.5% 9/15/27 (b) | | 152,000 | 145,496 |
Freeport-McMoRan, Inc.: | | | |
4.125% 3/1/28 | | 960,000 | 910,848 |
4.375% 8/1/28 | | 6,105,000 | 5,807,787 |
4.625% 8/1/30 | | 1,069,000 | 1,018,740 |
5.25% 9/1/29 | | 305,000 | 303,366 |
5.4% 11/14/34 | | 632,000 | 614,807 |
Glencore Finance Canada Ltd. 6.9% 11/15/37 (b) | | 2,000 | 2,169 |
Glencore Funding LLC: | | | |
2.5% 9/1/30 (b) | | 40,000 | 33,859 |
2.625% 9/23/31 (b) | | 260,000 | 215,712 |
2.85% 4/27/31 (b) | | 269,000 | 229,218 |
3.875% 10/27/27 (b) | | 137,000 | 130,299 |
6.375% 10/6/30 (b) | | 656,000 | 689,285 |
Hecla Mining Co. 7.25% 2/15/28 | | 775,000 | 773,128 |
HudBay Minerals, Inc. 4.5% 4/1/26 (b) | | 55,000 | 53,000 |
Kaiser Aluminum Corp. 4.625% 3/1/28 (b) | | 512,000 | 472,082 |
Kinross Gold Corp.: | | | |
4.5% 7/15/27 | | 8,460,000 | 8,221,933 |
6.25% 7/15/33 (b) | | 5,585,000 | 5,700,354 |
Mineral Resources Ltd.: | | | |
8% 11/1/27 (b) | | 530,000 | 539,810 |
9.25% 10/1/28 (b) | | 775,000 | 812,781 |
Newmont Corp.: | | | |
2.25% 10/1/30 | | 3,983,000 | 3,330,771 |
2.6% 7/15/32 | | 2,125,000 | 1,748,893 |
2.8% 10/1/29 | | 3,765,000 | 3,344,471 |
5.45% 6/9/44 | | 185,000 | 180,714 |
Novelis Corp.: | | | |
3.25% 11/15/26 (b) | | 245,000 | 227,201 |
3.875% 8/15/31 (b) | | 137,000 | 115,937 |
4.75% 1/30/30 (b) | | 134,000 | 122,370 |
Nucor Corp. 2.979% 12/15/55 | | 80,000 | 51,623 |
PMHC II, Inc. 9% 2/15/30 (b) | | 175,000 | 161,000 |
PT Indonesia Asahan Aluminium 6.53% 11/15/28 (b) | | 1,950,000 | 2,013,804 |
Rio Tinto Finance (U.S.A.) Ltd. 5.2% 11/2/40 | | 68,000 | 66,947 |
Rio Tinto Finance (U.S.A.) PLC 4.125% 8/21/42 | | 160,000 | 137,384 |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (b) | | 30,000 | 27,331 |
Southern Copper Corp. 5.875% 4/23/45 | | 455,000 | 452,725 |
Steel Dynamics, Inc. 3.45% 4/15/30 | | 9,595,000 | 8,722,045 |
Teck Resources Ltd.: | | | |
5.4% 2/1/43 | | 56,000 | 51,825 |
6% 8/15/40 | | 1,193,000 | 1,176,913 |
United States Steel Corp. 6.875% 3/1/29 | | 167,000 | 168,918 |
| | | 61,222,266 |
Paper & Forest Products - 0.0% | | | |
Celulosa Arauco y Constitucion SA 4.5% 8/1/24 | | 1,850,000 | 1,831,722 |
LABL, Inc. 6.75% 7/15/26 (b) | | 224,000 | 217,246 |
Suzano Austria GmbH 6% 1/15/29 | | 1,263,000 | 1,263,000 |
| | | 3,311,968 |
TOTAL MATERIALS | | | 128,200,251 |
REAL ESTATE - 0.7% | | | |
Equity Real Estate Investment Trusts (REITs) - 0.6% | | | |
Alexandria Real Estate Equities, Inc.: | | | |
1.875% 2/1/33 | | 33,000 | 24,694 |
2.95% 3/15/34 | | 1,105,000 | 892,835 |
4.9% 12/15/30 | | 5,395,000 | 5,252,763 |
5.15% 4/15/53 | | 31,000 | 28,092 |
American Assets Trust LP 3.375% 2/1/31 | | 3,370,000 | 2,716,305 |
American Homes 4 Rent LP: | | | |
2.375% 7/15/31 | | 704,000 | 566,745 |
3.375% 7/15/51 | | 1,089,000 | 717,826 |
3.625% 4/15/32 | | 2,835,000 | 2,473,647 |
4.3% 4/15/52 | | 3,020,000 | 2,343,242 |
American Tower Corp.: | | | |
1.45% 9/15/26 | | 82,000 | 74,533 |
1.875% 10/15/30 | | 834,000 | 670,166 |
2.7% 4/15/31 | | 1,514,000 | 1,270,668 |
2.9% 1/15/30 | | 130,000 | 113,895 |
2.95% 1/15/51 | | 25,000 | 15,867 |
3.1% 6/15/50 | | 3,000 | 1,963 |
3.8% 8/15/29 | | 1,109,000 | 1,026,291 |
5.8% 11/15/28 | | 74,000 | 75,421 |
AvalonBay Communities, Inc. 3.35% 5/15/27 | | 15,000 | 14,224 |
Boston Properties, Inc. 4.5% 12/1/28 | | 5,210,000 | 4,922,311 |
Camden Property Trust 3.15% 7/1/29 | | 146,000 | 132,820 |
Corporate Office Properties LP: | | | |
2% 1/15/29 | | 600,000 | 496,949 |
2.25% 3/15/26 | | 1,820,000 | 1,702,033 |
2.75% 4/15/31 | | 6,209,000 | 5,011,572 |
2.9% 12/1/33 | | 490,000 | 373,791 |
Crown Castle, Inc.: | | | |
2.25% 1/15/31 | | 95,000 | 77,627 |
2.5% 7/15/31 | | 923,000 | 756,126 |
2.9% 3/15/27 | | 125,000 | 116,375 |
3.3% 7/1/30 | | 312,000 | 275,443 |
CubeSmart LP 2.25% 12/15/28 | | 865,000 | 752,495 |
Diversified Healthcare Trust: | | | |
4.375% 3/1/31 | | 350,000 | 265,930 |
4.75% 2/15/28 | | 2,792,000 | 2,221,702 |
9.75% 6/15/25 | | 125,000 | 124,440 |
Equinix, Inc.: | | | |
2.15% 7/15/30 | | 80,000 | 66,318 |
2.5% 5/15/31 | | 358,000 | 298,535 |
3.2% 11/18/29 | | 575,000 | 516,400 |
3.9% 4/15/32 | | 40,000 | 36,291 |
ERP Operating LP: | | | |
2.85% 11/1/26 | | 87,000 | 82,101 |
3.25% 8/1/27 | | 15,000 | 14,090 |
GLP Capital LP/GLP Financing II, Inc.: | | | |
3.25% 1/15/32 | | 5,741,000 | 4,762,665 |
4% 1/15/30 | | 979,000 | 881,057 |
4% 1/15/31 | | 794,000 | 700,593 |
5.25% 6/1/25 | | 200,000 | 198,188 |
5.3% 1/15/29 | | 200,000 | 194,041 |
5.375% 4/15/26 | | 5,735,000 | 5,672,297 |
5.75% 6/1/28 | | 976,000 | 968,250 |
6.75% 12/1/33 | | 73,000 | 75,750 |
Goodman U.S. Finance Three, LLC 3.7% 3/15/28 (b) | | 57,000 | 52,704 |
Healthcare Realty Holdings LP: | | | |
2.05% 3/15/31 | | 265,000 | 201,335 |
3.1% 2/15/30 | | 1,715,000 | 1,476,122 |
3.5% 8/1/26 | | 2,311,000 | 2,198,113 |
3.625% 1/15/28 | | 1,692,000 | 1,547,109 |
3.875% 5/1/25 | | 2,215,000 | 2,155,050 |
Healthpeak OP, LLC: | | | |
2.125% 12/1/28 | | 30,000 | 26,088 |
3% 1/15/30 | | 1,679,000 | 1,471,210 |
Hudson Pacific Properties LP: | | | |
3.25% 1/15/30 | | 2,705,000 | 2,030,775 |
4.65% 4/1/29 | | 10,703,000 | 8,913,964 |
Invitation Homes Operating Partnership LP: | | | |
2% 8/15/31 | | 3,991,000 | 3,117,352 |
4.15% 4/15/32 | | 4,335,000 | 3,910,540 |
5.5% 8/15/33 | | 564,000 | 557,085 |
Iron Mountain, Inc.: | | | |
4.5% 2/15/31 (b) | | 39,000 | 34,512 |
4.875% 9/15/27 (b) | | 506,000 | 485,301 |
4.875% 9/15/29 (b) | | 1,243,000 | 1,155,932 |
5.25% 3/15/28 (b) | | 223,000 | 214,926 |
5.25% 7/15/30 (b) | | 75,000 | 70,184 |
Kilroy Realty LP 2.65% 11/15/33 | | 755,000 | 549,766 |
Kimco Realty OP, LLC: | | | |
1.9% 3/1/28 | | 3,540,000 | 3,100,881 |
3.2% 4/1/32 | | 1,340,000 | 1,138,690 |
4.6% 2/1/33 | | 3,535,000 | 3,313,763 |
Kite Realty Group Trust: | | | |
4% 3/15/25 | | 6,865,000 | 6,717,120 |
4.75% 9/15/30 | | 10,799,000 | 10,188,531 |
LXP Industrial Trust (REIT): | | | |
2.7% 9/15/30 | | 894,000 | 737,102 |
4.4% 6/15/24 | | 1,319,000 | 1,309,530 |
6.75% 11/15/28 | | 455,000 | 469,741 |
MPT Operating Partnership LP/MPT Finance Corp.: | | | |
3.5% 3/15/31 | | 1,190,000 | 796,941 |
4.625% 8/1/29 | | 41,000 | 30,540 |
5% 10/15/27 | | 2,450,000 | 2,004,254 |
5.25% 8/1/26 | | 495,000 | 440,758 |
NNN (REIT), Inc.: | | | |
3% 4/15/52 | | 471,000 | 300,807 |
3.6% 12/15/26 | | 47,000 | 44,735 |
4.3% 10/15/28 | | 23,000 | 22,086 |
5.6% 10/15/33 | | 50,000 | 49,863 |
Omega Healthcare Investors, Inc.: | | | |
3.25% 4/15/33 | | 5,977,000 | 4,757,562 |
3.375% 2/1/31 | | 3,399,000 | 2,861,704 |
3.625% 10/1/29 | | 7,647,000 | 6,715,963 |
4.5% 1/15/25 | | 2,793,000 | 2,763,841 |
4.5% 4/1/27 | | 1,500,000 | 1,442,460 |
4.75% 1/15/28 | | 7,569,000 | 7,261,177 |
5.25% 1/15/26 | | 5,841,000 | 5,788,824 |
Physicians Realty LP: | | | |
2.625% 11/1/31 | | 1,940,000 | 1,579,405 |
3.95% 1/15/28 | | 136,000 | 129,371 |
Piedmont Operating Partnership LP 2.75% 4/1/32 | | 1,374,000 | 972,261 |
Prologis LP: | | | |
1.75% 7/1/30 | | 143,000 | 117,245 |
2.125% 10/15/50 | | 43,000 | 23,605 |
3% 4/15/50 | | 268,000 | 181,210 |
4.75% 6/15/33 | | 165,000 | 159,995 |
5.125% 1/15/34 | | 131,000 | 129,666 |
Public Storage: | | | |
2.25% 11/9/31 | | 40,000 | 32,978 |
5.1% 8/1/33 | | 171,000 | 170,836 |
Realty Income Corp.: | | | |
1.8% 3/15/33 | | 32,000 | 24,090 |
2.2% 6/15/28 | | 791,000 | 702,093 |
2.7% 2/15/32 | | 7,287,000 | 5,991,160 |
2.85% 12/15/32 | | 1,553,000 | 1,279,678 |
3.1% 12/15/29 | | 6,510,000 | 5,853,886 |
3.25% 1/15/31 | | 1,281,000 | 1,134,727 |
3.4% 1/15/28 | | 5,340,000 | 5,007,282 |
3.4% 1/15/30 | | 1,460,000 | 1,323,476 |
4.125% 10/15/26 | | 20,000 | 19,471 |
4.85% 3/15/30 | | 77,000 | 75,462 |
Regency Centers LP 3.7% 6/15/30 | | 177,000 | 161,356 |
Retail Opportunity Investments Partnership LP 4% 12/15/24 | | 877,000 | 862,734 |
RHP Hotel Properties LP/RHP Finance Corp.: | | | |
4.75% 10/15/27 | | 213,000 | 203,415 |
7.25% 7/15/28 (b) | | 334,000 | 342,075 |
Safehold Operating Partnership LP: | | | |
2.8% 6/15/31 | | 146,000 | 118,631 |
2.85% 1/15/32 | | 41,000 | 32,971 |
SBA Communications Corp.: | | | |
3.125% 2/1/29 | | 956,000 | 846,055 |
3.875% 2/15/27 | | 400,000 | 377,435 |
Scentre Management Ltd./ RE1 Ltd.: | | | |
3.25% 10/28/25 (b) | | 29,000 | 27,967 |
3.5% 2/12/25 (b) | | 41,000 | 40,186 |
Service Properties Trust 5.5% 12/15/27 | | 100,000 | 94,139 |
Simon Property Group LP: | | | |
2.45% 9/13/29 | | 1,975,000 | 1,722,399 |
3.25% 9/13/49 | | 168,000 | 116,431 |
SITE Centers Corp.: | | | |
3.625% 2/1/25 | | 2,396,000 | 2,357,184 |
4.25% 2/1/26 | | 5,582,000 | 5,447,648 |
Store Capital LLC: | | | |
2.75% 11/18/30 | | 1,957,000 | 1,543,460 |
4.625% 3/15/29 | | 2,475,000 | 2,309,340 |
Sun Communities Operating LP: | | | |
2.3% 11/1/28 | | 1,550,000 | 1,345,209 |
2.7% 7/15/31 | | 11,527,000 | 9,401,245 |
5.5% 1/15/29 | | 1,510,000 | 1,494,847 |
UDR, Inc.: | | | |
1.9% 3/15/33 | | 14,000 | 10,444 |
2.1% 8/1/32 | | 47,000 | 36,338 |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC 4.75% 4/15/28 (b) | | 585,000 | 508,375 |
Ventas Realty LP: | | | |
3% 1/15/30 | | 10,008,000 | 8,736,261 |
3.25% 10/15/26 | | 6,000 | 5,664 |
3.5% 2/1/25 | | 13,000 | 12,738 |
3.85% 4/1/27 | | 518,000 | 493,542 |
4% 3/1/28 | | 2,712,000 | 2,580,779 |
4.125% 1/15/26 | | 1,630,000 | 1,586,191 |
4.75% 11/15/30 | | 13,000,000 | 12,422,182 |
VICI Properties LP: | | | |
4.375% 5/15/25 | | 749,000 | 735,606 |
4.75% 2/15/28 | | 7,417,000 | 7,182,682 |
4.95% 2/15/30 | | 6,900,000 | 6,568,916 |
5.125% 5/15/32 | | 2,391,000 | 2,243,626 |
VICI Properties LP / VICI Note Co.: | | | |
3.5% 2/15/25 (b) | | 125,000 | 121,846 |
3.75% 2/15/27 (b) | | 52,000 | 48,916 |
3.875% 2/15/29 (b) | | 482,000 | 439,705 |
4.125% 8/15/30 (b) | | 321,000 | 287,929 |
4.25% 12/1/26 (b) | | 3,077,000 | 2,943,540 |
4.5% 9/1/26 (b) | | 400,000 | 385,912 |
4.5% 1/15/28 (b) | | 659,000 | 626,136 |
4.625% 6/15/25 (b) | | 85,000 | 83,558 |
4.625% 12/1/29 (b) | | 2,168,000 | 2,018,625 |
5.625% 5/1/24 (b) | | 1,344,000 | 1,342,497 |
5.75% 2/1/27 (b) | | 21,000 | 20,903 |
Vornado Realty LP: | | | |
2.15% 6/1/26 | | 1,762,000 | 1,581,188 |
3.4% 6/1/31 | | 6,373,000 | 4,946,590 |
Welltower OP LLC: | | | |
2.7% 2/15/27 | | 2,590,000 | 2,420,514 |
2.75% 1/15/31 | | 8,865,000 | 7,561,913 |
Weyerhaeuser Co. 4% 11/15/29 | | 1,485,000 | 1,394,118 |
WP Carey, Inc.: | | | |
2.25% 4/1/33 | | 3,969,000 | 3,007,781 |
2.4% 2/1/31 | | 2,070,000 | 1,703,691 |
3.85% 7/15/29 | | 1,725,000 | 1,594,717 |
4.25% 10/1/26 | | 63,000 | 61,303 |
| | | 271,867,658 |
Real Estate Management & Development - 0.1% | | | |
ACCENTRO Real Estate AG 5.625% 2/13/26 (Reg. S) | EUR | 733,500 | 350,403 |
AGPS BondCo PLC: | | | |
4.625% 1/14/26 (Reg. S) (e) | EUR | 300,000 | 128,075 |
5% 4/27/27 (Reg. S) (e) | EUR | 3,100,000 | 1,315,063 |
Blackstone Property Partners Europe LP: | | | |
1% 5/4/28 (Reg. S) | EUR | 2,355,000 | 2,176,503 |
2.625% 10/20/28 (Reg. S) | GBP | 350,000 | 376,331 |
Brandywine Operating Partnership LP: | | | |
3.95% 11/15/27 | | 5,608,000 | 4,928,560 |
4.1% 10/1/24 | | 4,892,000 | 4,836,681 |
4.55% 10/1/29 | | 1,707,000 | 1,424,056 |
7.8% 3/15/28 | | 6,570,000 | 6,508,080 |
CBRE Group, Inc. 4.875% 3/1/26 | | 12,670,000 | 12,528,737 |
Essex Portfolio LP: | | | |
1.7% 3/1/28 | | 515,000 | 447,556 |
2.65% 3/15/32 | | 115,000 | 93,586 |
Extra Space Storage LP: | | | |
2.2% 10/15/30 | | 2,096,000 | 1,713,558 |
3.9% 4/1/29 | | 610,000 | 569,607 |
5.5% 7/1/30 | | 179,000 | 179,833 |
Global Towers Partners Acquisition Partners I LLC 3.482% 6/15/50 (b) | | 105,000 | 102,277 |
Greystar Real Estate Partners 7.75% 9/1/30 (b) | | 50,000 | 51,872 |
GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S) | EUR | 775,000 | 716,165 |
Heimstaden AB 4.375% 3/6/27 (Reg. S) | EUR | 800,000 | 445,290 |
Host Hotels & Resorts LP 2.9% 12/15/31 | | 840,000 | 693,390 |
Howard Hughes Corp.: | | | |
4.125% 2/1/29 (b) | | 300,000 | 266,307 |
4.375% 2/1/31 (b) | | 385,000 | 327,979 |
5.375% 8/1/28 (b) | | 850,000 | 801,644 |
Kennedy-Wilson, Inc.: | | | |
4.75% 3/1/29 | | 90,000 | 72,900 |
4.75% 2/1/30 | | 225,000 | 178,031 |
5% 3/1/31 | | 38,000 | 29,545 |
Mattamy Group Corp. 4.625% 3/1/30 (b) | | 1,500,000 | 1,346,082 |
Mid-America Apartments LP 4.2% 6/15/28 | | 82,000 | 79,349 |
Samhallsbyggnadsbolaget I Norden AB: | | | |
2.25% 8/12/27 (Reg. S) | EUR | 400,000 | 290,195 |
3% 1/14/25 (Reg. S) | EUR | 200,000 | 200,996 |
Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S) | EUR | 400,000 | 396,657 |
Tanger Properties LP: | | | |
2.75% 9/1/31 | | 4,140,000 | 3,340,278 |
3.125% 9/1/26 | | 3,497,000 | 3,263,922 |
3.875% 7/15/27 | | 13,369,000 | 12,270,158 |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | | | |
5.125% 8/1/30 (b) | | 1,400,000 | 1,321,394 |
5.75% 1/15/28 (b) | | 280,000 | 274,349 |
5.875% 6/15/27 (b) | | 1,500,000 | 1,491,618 |
Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S) | EUR | 780,000 | 769,116 |
Weekley Homes LLC/Weekley Finance Corp. 4.875% 9/15/28 (b) | | 328,000 | 304,414 |
| | | 66,610,557 |
TOTAL REAL ESTATE | | | 338,478,215 |
UTILITIES - 0.6% | | | |
Electric Utilities - 0.4% | | | |
AEP Texas, Inc.: | | | |
2.1% 7/1/30 | | 3,375,000 | 2,793,731 |
3.45% 5/15/51 | | 818,000 | 564,049 |
3.8% 10/1/47 | | 1,037,000 | 771,609 |
4.7% 5/15/32 | | 135,000 | 129,042 |
5.4% 6/1/33 | | 742,000 | 741,915 |
6.65% 2/15/33 | | 21,000 | 22,355 |
AEP Transmission Co. LLC: | | | |
2.75% 8/15/51 | | 583,000 | 363,261 |
3.15% 9/15/49 | | 122,000 | 83,299 |
3.65% 4/1/50 | | 58,000 | 43,583 |
3.75% 12/1/47 | | 850,000 | 652,808 |
3.8% 6/15/49 | | 368,000 | 283,206 |
4% 12/1/46 | | 375,000 | 302,698 |
Alabama Power Co.: | | | |
3.05% 3/15/32 | | 95,000 | 82,254 |
3.75% 3/1/45 | | 1,147,000 | 900,209 |
3.85% 12/1/42 | | 700,000 | 563,680 |
4.1% 1/15/42 | | 225,000 | 182,433 |
4.3% 1/2/46 | | 182,000 | 153,270 |
4.3% 7/15/48 | | 10,000 | 8,383 |
5.5% 3/15/41 | | 36,000 | 35,357 |
5.85% 11/15/33 | | 125,000 | 130,786 |
6.125% 5/15/38 | | 861,000 | 901,015 |
Alliant Energy Finance LLC 1.4% 3/15/26 (b) | | 2,300,000 | 2,095,173 |
Arizona Public Service Co.: | | | |
2.2% 12/15/31 | | 2,440,000 | 1,960,806 |
2.6% 8/15/29 | | 340,000 | 299,736 |
3.5% 12/1/49 | | 1,100,000 | 758,198 |
3.75% 5/15/46 | | 825,000 | 608,072 |
4.25% 3/1/49 | | 29,000 | 23,213 |
4.7% 1/15/44 | | 4,000 | 3,325 |
5.55% 8/1/33 | | 1,000,000 | 1,003,289 |
6.35% 12/15/32 | | 3,735,000 | 3,949,347 |
Atlantic City Electric Co. 2.3% 3/15/31 | | 425,000 | 350,776 |
Baltimore Gas & Electric Co.: | | | |
2.9% 6/15/50 | | 49,000 | 31,771 |
3.2% 9/15/49 | | 315,000 | 215,903 |
3.75% 8/15/47 | | 498,000 | 375,301 |
4.25% 9/15/48 | | 368,000 | 304,575 |
5.4% 6/1/53 | | 223,000 | 218,733 |
CenterPoint Energy Houston Electric LLC: | | | |
2.9% 7/1/50 | | 174,000 | 114,469 |
3.35% 4/1/51 | | 109,000 | 78,366 |
3.95% 3/1/48 | | 1,205,000 | 974,663 |
Cincinnati Gas & Electric Co.: | | | |
4.3% 2/1/49 | | 135,000 | 109,855 |
5.25% 4/1/33 | | 1,287,000 | 1,288,011 |
5.65% 4/1/53 | | 257,000 | 259,350 |
Clearway Energy Operating LLC: | | | |
3.75% 2/15/31 (b) | | 225,000 | 189,735 |
4.75% 3/15/28 (b) | | 60,000 | 56,091 |
Cleco Corporate Holdings LLC 3.375% 9/15/29 | | 4,448,000 | 3,837,873 |
Comision Federal de Electricidad: | | | |
3.348% 2/9/31 (b) | | 549,000 | 457,386 |
4.688% 5/15/29 (b) | | 2,277,000 | 2,143,226 |
Commonwealth Edison Co.: | | | |
3.7% 8/15/28 | | 250,000 | 238,181 |
3.7% 3/1/45 | | 1,190,000 | 927,837 |
4% 3/1/48 | | 8,000 | 6,446 |
4.35% 11/15/45 | | 415,000 | 353,018 |
4.9% 2/1/33 | | 945,000 | 929,749 |
5.3% 2/1/53 | | 95,000 | 91,953 |
Connecticut Light & Power Co. 4% 4/1/48 | | 69,000 | 56,189 |
CTE Co. 3.75% 1/17/36 (Reg. S) | EUR | 200,000 | 214,331 |
Dominion Energy South Carolina: | | | |
5.1% 6/1/65 | | 275,000 | 254,464 |
5.45% 2/1/41 | | 285,000 | 278,960 |
6.25% 10/15/53 | | 110,000 | 121,603 |
DPL, Inc. 4.35% 4/15/29 | | 2,480,000 | 2,247,252 |
DTE Electric Co.: | | | |
2.25% 3/1/30 | | 625,000 | 536,590 |
3.25% 4/1/51 | | 285,000 | 198,345 |
3.75% 8/15/47 | | 1,050,000 | 804,696 |
3.95% 6/15/42 | | 11,000 | 8,769 |
4% 4/1/43 | | 142,000 | 117,601 |
5.4% 4/1/53 | | 71,000 | 70,345 |
Duke Energy Carolinas LLC: | | | |
2.95% 12/1/26 | | 370,000 | 352,664 |
3.2% 8/15/49 | | 15,000 | 10,361 |
3.45% 4/15/51 | | 304,000 | 216,161 |
3.55% 3/15/52 | | 238,000 | 171,311 |
3.7% 12/1/47 | | 29,000 | 21,604 |
3.875% 3/15/46 | | 98,000 | 76,359 |
3.95% 3/15/48 | | 197,000 | 155,860 |
4% 9/30/42 | | 2,000,000 | 1,636,836 |
4.25% 12/15/41 | | 2,545,000 | 2,155,875 |
5.35% 1/15/53 | | 1,297,000 | 1,269,468 |
6.1% 6/1/37 | | 775,000 | 809,389 |
Duke Energy Corp. 3.85% 6/15/34 | EUR | 900,000 | 941,797 |
Duke Energy Florida LLC: | | | |
1.75% 6/15/30 | | 29,000 | 23,930 |
2.4% 12/15/31 | | 1,010,000 | 834,450 |
2.5% 12/1/29 | | 260,000 | 228,541 |
3% 12/15/51 | | 977,000 | 630,888 |
4.2% 7/15/48 | | 104,000 | 84,976 |
5.875% 11/15/33 | | 140,000 | 146,558 |
5.9% 3/1/33 | | 12,000 | 12,374 |
6.2% 11/15/53 | | 120,000 | 129,953 |
6.35% 9/15/37 | | 675,000 | 722,768 |
Duke Energy Industries, Inc.: | | | |
2.75% 4/1/50 | | 298,000 | 185,508 |
3.25% 10/1/49 | | 125,000 | 86,312 |
3.75% 5/15/46 | | 450,000 | 343,808 |
5.4% 4/1/53 | | 436,000 | 420,506 |
Duke Energy Progress LLC: | | | |
2.5% 8/15/50 | | 303,000 | 180,838 |
3.45% 3/15/29 | | 236,000 | 220,731 |
3.7% 10/15/46 | | 5,000 | 3,786 |
4.1% 5/15/42 | | 8,000 | 6,623 |
5.35% 3/15/53 | | 540,000 | 523,121 |
Duquesne Light Holdings, Inc.: | | | |
2.532% 10/1/30 (b) | | 70,000 | 57,795 |
2.775% 1/7/32 (b) | | 4,273,000 | 3,464,507 |
Edison International: | | | |
5.25% 11/15/28 | | 504,000 | 501,127 |
5.75% 6/15/27 | | 174,000 | 175,622 |
6.95% 11/15/29 | | 719,000 | 766,339 |
EDP Servicios Financieros Espana SA 3.5% 7/16/30 (Reg. S) | EUR | 500,000 | 537,050 |
Electricite de France SA: | | | |
4.25% 1/25/32 (Reg. S) | EUR | 100,000 | 111,343 |
4.75% 10/12/34 (Reg. S) | EUR | 500,000 | 574,040 |
5.5% 1/25/35 (Reg. S) | GBP | 800,000 | 984,024 |
6.9% 5/23/53 (b) | | 390,000 | 424,944 |
Elia Transmission Belgium SA 3.75% 1/16/36 (Reg. S) | EUR | 300,000 | 322,418 |
EnBW International Finance BV 3.85% 5/23/30 (Reg. S) | EUR | 51,000 | 55,859 |
ENEL Finance International NV 2.25% 7/12/31 (b) | | 6,263,000 | 5,004,846 |
Enel SpA 3.375% (Reg. S) (e)(i) | EUR | 335,000 | 348,726 |
Entergy Louisiana LLC: | | | |
1.6% 12/15/30 | | 218,000 | 172,737 |
2.4% 10/1/26 | | 1,070,000 | 999,389 |
2.9% 3/15/51 | | 118,000 | 74,101 |
3.12% 9/1/27 | | 21,000 | 19,772 |
4.2% 4/1/50 | | 40,000 | 32,347 |
Entergy Mississippi LLC: | | | |
3.5% 6/1/51 | | 96,000 | 67,876 |
3.85% 6/1/49 | | 14,000 | 10,649 |
5% 9/1/33 | | 323,000 | 316,787 |
Entergy Texas Restoration Funding II LLC 3.697% 12/15/36 | | 85,000 | 76,292 |
Entergy, Inc.: | | | |
1.75% 3/15/31 | | 3,109,000 | 2,490,977 |
2.65% 6/15/51 | | 257,000 | 154,419 |
3.55% 9/30/49 | | 22,000 | 15,889 |
Eskom Holdings SOC Ltd.: | | | |
8.45% 8/10/28 (b) | | 671,000 | 666,639 |
8.45% 8/10/28 (Reg. S) | | 3,249,000 | 3,227,882 |
Evergy Kansas Central 4.125% 3/1/42 | | 655,000 | 542,231 |
Evergy Kansas Metro 4.2% 6/15/47 | | 21,000 | 16,895 |
Evergy Missouri West Storm Funding I LLC 5.104% 12/1/40 | | 210,000 | 210,823 |
Eversource Energy: | | | |
3.375% 3/1/32 | | 170,000 | 146,055 |
4.6% 7/1/27 | | 15,000 | 14,655 |
5.45% 3/1/28 | | 461,000 | 463,393 |
5.95% 2/1/29 | | 2,000,000 | 2,048,148 |
Exelon Corp. 4.95% 6/15/35 | | 3,000 | 2,812 |
Fells Point Funding Trust 3.046% 1/31/27 (b) | | 496,073 | 464,174 |
FirstEnergy Corp.: | | | |
2.25% 9/1/30 | | 385,000 | 316,858 |
3.4% 3/1/50 | | 207,000 | 138,303 |
FirstEnergy Transmission LLC: | | | |
4.55% 4/1/49 (b) | | 722,000 | 597,281 |
5.45% 7/15/44 (b) | | 23,000 | 21,656 |
Florida Power & Light Co.: | | | |
2.875% 12/4/51 | | 174,000 | 113,106 |
3.15% 10/1/49 | | 109,000 | 75,146 |
3.7% 12/1/47 | | 263,000 | 204,686 |
3.8% 12/15/42 | | 1,280,000 | 1,046,446 |
3.95% 3/1/48 | | 19,000 | 15,405 |
3.99% 3/1/49 | | 93,000 | 75,155 |
5.25% 2/1/41 | | 500,000 | 493,420 |
5.3% 4/1/53 | | 35,000 | 34,596 |
5.4% 9/1/35 | | 17,000 | 17,265 |
Fortis, Inc. 3.055% 10/4/26 | | 301,000 | 284,330 |
Georgia Power Co.: | | | |
4.3% 3/15/42 | | 525,000 | 449,123 |
4.7% 5/15/32 | | 80,000 | 77,317 |
4.95% 5/17/33 | | 259,000 | 253,581 |
Hydro-Quebec 8.05% 7/7/24 | | 1,455,000 | 1,468,139 |
Indiana Michigan Power Co.: | | | |
4.55% 3/15/46 | | 30,000 | 25,667 |
5.625% 4/1/53 | | 155,000 | 155,119 |
Interstate Power and Light Co. 4.1% 9/26/28 | | 23,000 | 22,031 |
ITC Holdings Corp.: | | | |
2.95% 5/14/30 (b) | | 262,000 | 228,670 |
4.95% 9/22/27 (b) | | 456,000 | 453,020 |
5.4% 6/1/33 (b) | | 637,000 | 629,173 |
Jersey Central Power & Light Co.: | | | |
2.75% 3/1/32 (b) | | 2,060,000 | 1,702,909 |
6.15% 6/1/37 | | 23,000 | 23,746 |
Kentucky Utilities Co. 5.125% 11/1/40 | | 35,000 | 33,204 |
Louisville Gas & Electric Co. 5.125% 11/15/40 | | 345,000 | 317,326 |
Massachusetts Electric Co. 5.9% 11/15/39 (b) | | 28,000 | 27,847 |
Metropolitan Edison Co. 4.3% 1/15/29 (b) | | 2,755,000 | 2,647,522 |
Mid-Atlantic Interstate Transmission LLC 4.1% 5/15/28 (b) | | 584,000 | 559,297 |
MidAmerican Energy Co.: | | | |
2.7% 8/1/52 | | 162,000 | 99,644 |
3.65% 4/15/29 | | 20,000 | 18,870 |
3.65% 8/1/48 | | 58,000 | 44,284 |
5.3% 2/1/55 | | 213,000 | 207,072 |
5.85% 9/15/54 | | 164,000 | 172,679 |
Mississippi Power Co. 3.95% 3/30/28 | | 16,000 | 15,323 |
Mong Duong Finance Holdings BV 5.125% 5/7/29 (Reg. S) | | 230,573 | 218,972 |
Monongahela Power Co. 5.85% 2/15/34 (b) | | 50,000 | 50,929 |
Nevada Power Co.: | | | |
5.375% 9/15/40 | | 18,000 | 17,391 |
6% 3/15/54 | | 110,000 | 115,522 |
6.65% 4/1/36 | | 1,550,000 | 1,662,691 |
NextEra Energy Capital Holdings, Inc.: | | | |
2.25% 6/1/30 | | 970,000 | 815,714 |
2.75% 11/1/29 | | 1,660,000 | 1,462,516 |
3.55% 5/1/27 | | 15,000 | 14,275 |
5% 7/15/32 | | 30,000 | 29,219 |
5.25% 2/28/53 | | 81,000 | 75,496 |
5.749% 9/1/25 | | 1,565,000 | 1,573,359 |
6.051% 3/1/25 | | 1,510,000 | 1,515,430 |
NextEra Energy Partners LP: | | | |
4.25% 9/15/24 (b) | | 29,000 | 27,985 |
4.5% 9/15/27 (b) | | 31,000 | 28,921 |
7.25% 1/15/29 (b) | | 215,000 | 218,546 |
NGG Finance PLC 2.125% 9/5/82 (Reg. S) (e) | EUR | 1,050,000 | 1,035,542 |
Niagara Mohawk Power Corp. 4.278% 12/15/28 (b) | | 19,000 | 18,052 |
Northern States Power Co.: | | | |
2.6% 6/1/51 | | 68,000 | 41,994 |
2.9% 3/1/50 | | 406,000 | 265,030 |
3.2% 4/1/52 | | 123,000 | 84,586 |
4.5% 6/1/52 | | 78,000 | 68,082 |
5.1% 5/15/53 | | 467,000 | 446,501 |
6.2% 7/1/37 | | 5,000 | 5,365 |
6.25% 6/1/36 | | 370,000 | 400,847 |
NRG Energy, Inc.: | | | |
2% 12/2/25 (b) | | 3,120,000 | 2,923,208 |
2.45% 12/2/27 (b) | | 106,000 | 94,674 |
3.375% 2/15/29 (b) | | 173,000 | 151,000 |
3.625% 2/15/31 (b) | | 913,000 | 767,680 |
3.875% 2/15/32 (b) | | 754,000 | 629,860 |
5.25% 6/15/29 (b) | | 447,000 | 423,613 |
5.75% 1/15/28 | | 630,000 | 620,552 |
6.625% 1/15/27 | | 141,000 | 140,978 |
Ohio Power Co.: | | | |
1.625% 1/15/31 | | 408,000 | 325,480 |
2.6% 4/1/30 | | 231,000 | 200,025 |
2.9% 10/1/51 | | 966,000 | 619,235 |
4% 6/1/49 | | 17,000 | 13,184 |
5% 6/1/33 | | 366,000 | 359,324 |
Oklahoma Gas & Electric Co. 5.4% 1/15/33 | | 45,000 | 45,797 |
Oncor Electric Delivery Co. LLC: | | | |
3.1% 9/15/49 | | 54,000 | 37,068 |
4.95% 9/15/52 | | 190,000 | 176,823 |
5.35% 10/1/52 | | 16,000 | 15,882 |
Pacific Gas & Electric Co.: | | | |
2.95% 3/1/26 | | 80,000 | 75,920 |
3.45% 7/1/25 | | 97,686 | 94,877 |
3.95% 12/1/47 | | 1,700,000 | 1,237,176 |
4% 12/1/46 | | 1,045,000 | 761,978 |
4.2% 6/1/41 | | 63,000 | 49,523 |
4.25% 3/15/46 | | 540,000 | 411,460 |
4.5% 7/1/40 | | 2,295,000 | 1,922,973 |
4.55% 7/1/30 | | 3,952,000 | 3,709,088 |
4.6% 6/15/43 | | 57,000 | 46,866 |
4.65% 8/1/28 | | 2,319,000 | 2,217,309 |
4.95% 7/1/50 | | 2,965,000 | 2,516,779 |
5.8% 5/15/34 | | 610,000 | 609,359 |
6.1% 1/15/29 | | 383,000 | 392,063 |
6.4% 6/15/33 | | 812,000 | 844,245 |
6.75% 1/15/53 | | 820,000 | 877,505 |
PacifiCorp: | | | |
2.9% 6/15/52 | | 1,000,000 | 609,242 |
4.125% 1/15/49 | | 836,000 | 652,829 |
4.15% 2/15/50 | | 448,000 | 348,637 |
5.25% 6/15/35 | | 1,320,000 | 1,285,608 |
5.35% 12/1/53 | | 1,240,000 | 1,145,349 |
5.75% 4/1/37 | | 900,000 | 894,427 |
Pattern Energy Operations LP 4.5% 8/15/28 (b) | | 90,000 | 82,553 |
PECO Energy Co.: | | | |
2.8% 6/15/50 | | 401,000 | 259,408 |
2.85% 9/15/51 | | 300,000 | 192,599 |
3.9% 3/1/48 | | 117,000 | 94,006 |
4.375% 8/15/52 | | 427,000 | 365,125 |
4.6% 5/15/52 | | 110,000 | 97,574 |
4.9% 6/15/33 | | 2,130,000 | 2,111,906 |
Pennsylvania Electric Co. 4.15% 4/15/25 (b) | | 330,000 | 322,909 |
Pepco Holdings LLC 7.45% 8/15/32 | | 29,000 | 32,223 |
PG&E Corp.: | | | |
5% 7/1/28 | | 1,547,000 | 1,475,497 |
5.25% 7/1/30 | | 979,000 | 920,317 |
PG&E Recovery Funding LLC 5.536% 7/15/49 | | 119,000 | 120,691 |
PG&E Wildfire Recovery: | | | |
4.263% 6/1/38 | | 31,000 | 28,854 |
5.099% 6/1/54 | | 85,000 | 83,529 |
5.212% 12/1/49 | | 23,000 | 22,669 |
Potomac Electric Power Co. 6.5% 11/15/37 | | 10,000 | 11,014 |
PPL Electric Utilities Corp.: | | | |
4.125% 6/15/44 | | 925,000 | 774,719 |
4.15% 10/1/45 | | 790,000 | 651,756 |
4.85% 2/15/34 | | 460,000 | 447,933 |
5.25% 5/15/53 | | 76,000 | 73,840 |
6.25% 5/15/39 | | 350,000 | 378,525 |
PT Perusahaan Listrik Negara 1.875% 11/5/31 (b) | EUR | 1,500,000 | 1,310,611 |
Public Service Co. of Colorado: | | | |
2.7% 1/15/51 | | 198,000 | 119,738 |
4.05% 9/15/49 | | 77,000 | 60,053 |
5.25% 4/1/53 | | 2,880,000 | 2,723,390 |
Public Service Co. of New Hampshire 5.15% 1/15/53 | | 381,000 | 364,385 |
Public Service Co. of Oklahoma: | | | |
3.15% 8/15/51 | | 70,000 | 46,875 |
5.25% 1/15/33 | | 113,000 | 112,067 |
6.625% 11/15/37 | | 32,000 | 34,638 |
Public Service Electric & Gas Co.: | | | |
2.05% 8/1/50 | | 88,000 | 48,992 |
3.15% 1/1/50 | | 324,000 | 225,625 |
3.6% 12/1/47 | | 410,000 | 313,001 |
3.65% 9/1/28 | | 960,000 | 914,608 |
3.65% 9/1/42 | | 625,000 | 493,353 |
3.95% 5/1/42 | | 505,000 | 422,416 |
4.65% 3/15/33 | | 2,890,000 | 2,797,202 |
5.375% 11/1/39 | | 12,000 | 11,608 |
5.45% 3/1/54 | | 227,000 | 227,146 |
5.8% 5/1/37 | | 24,000 | 24,759 |
Puget Sound Energy, Inc.: | | | |
2.893% 9/15/51 | | 38,000 | 24,094 |
5.448% 6/1/53 | | 15,000 | 14,836 |
5.764% 7/15/40 | | 26,000 | 25,905 |
SCE Recovery Funding LLC: | | | |
4.697% 6/15/42 | | 29,877 | 29,016 |
5.112% 12/14/49 | | 9,000 | 8,745 |
SIGECO Securitization I LLC: | | | |
5.026% 11/15/38 | | 22,000 | 21,781 |
5.172% 5/15/43 | | 8,000 | 7,645 |
Southern California Edison Co.: | | | |
2.25% 6/1/30 | | 730,000 | 616,320 |
2.5% 6/1/31 | | 190,000 | 159,525 |
2.85% 8/1/29 | | 199,000 | 178,041 |
2.95% 2/1/51 | | 257,000 | 165,128 |
3.6% 2/1/45 | | 2,937,000 | 2,173,022 |
3.65% 3/1/28 | | 29,000 | 27,474 |
3.7% 8/1/25 | | 58,000 | 56,655 |
3.9% 12/1/41 | | 595,000 | 472,165 |
4.125% 3/1/48 | | 139,000 | 111,168 |
4.2% 3/1/29 | | 353,000 | 339,958 |
4.9% 6/1/26 | | 2,295,000 | 2,279,051 |
5.3% 3/1/28 | | 4,374,000 | 4,415,604 |
5.55% 1/15/37 | | 443,000 | 439,693 |
5.625% 2/1/36 (AMBAC Insured) | | 384,000 | 382,868 |
5.65% 10/1/28 | | 1,055,000 | 1,080,334 |
5.875% 12/1/53 | | 1,079,000 | 1,094,377 |
5.95% 11/1/32 | | 535,000 | 557,849 |
5.95% 2/1/38 | | 8,000 | 8,204 |
Southern Co.: | | | |
1.875% 9/15/81 (e) | EUR | 1,300,000 | 1,215,641 |
5.5% 3/15/29 | | 320,000 | 324,551 |
5.7% 3/15/34 | | 160,000 | 162,990 |
Southwestern Electric Power Co.: | | | |
1.65% 3/15/26 | | 91,000 | 84,664 |
3.25% 11/1/51 | | 100,000 | 65,654 |
3.9% 4/1/45 | | 36,000 | 27,511 |
4.1% 9/15/28 | | 11,000 | 10,543 |
5.3% 4/1/33 | | 926,000 | 913,558 |
Southwestern Public Service Co.: | | | |
4.5% 8/15/41 | | 35,000 | 28,965 |
5.15% 6/1/52 | | 3,000,000 | 2,559,744 |
Systems Energy Resource, Inc. 6% 4/15/28 | | 230,000 | 232,679 |
Tampa Electric Co. 4.45% 6/15/49 | | 800,000 | 678,998 |
Terna - Rete Elettrica Nazionale 3.5% 1/17/31 (Reg. S) | EUR | 300,000 | 320,861 |
Tucson Electric Power Co.: | | | |
3.25% 5/15/32 | | 1,200,000 | 1,038,895 |
4.85% 12/1/48 | | 127,000 | 112,309 |
5.5% 4/15/53 | | 133,000 | 129,932 |
Union Electric Co.: | | | |
3.9% 4/1/52 | | 38,000 | 29,580 |
4% 4/1/48 | | 59,000 | 46,461 |
5.25% 1/15/54 | | 275,000 | 260,374 |
5.45% 3/15/53 | | 351,000 | 344,386 |
Virginia Electric & Power Co.: | | | |
2.45% 12/15/50 | | 136,000 | 78,887 |
4% 1/15/43 | | 258,000 | 210,704 |
4.2% 5/15/45 | | 93,000 | 76,631 |
5.7% 8/15/53 | | 250,000 | 253,004 |
6% 1/15/36 | | 470,000 | 491,331 |
6% 5/15/37 | | 1,005,000 | 1,043,422 |
6.35% 11/30/37 | | 6,000 | 6,415 |
8.875% 11/15/38 | | 19,000 | 25,264 |
Vistra Operations Co. LLC: | | | |
3.7% 1/30/27 (b) | | 2,900,000 | 2,742,988 |
4.3% 7/15/29 (b) | | 146,000 | 136,077 |
4.375% 5/1/29 (b) | | 1,091,000 | 995,164 |
5% 7/31/27 (b) | | 383,000 | 367,111 |
5.5% 9/1/26 (b) | | 888,000 | 874,392 |
5.625% 2/15/27 (b) | | 6,294,000 | 6,133,184 |
7.75% 10/15/31 (b) | | 170,000 | 175,847 |
Wisconsin Power & Light Co. 4.1% 10/15/44 | | 240,000 | 187,621 |
Wisconsin Public Service Corp. 4.752% 11/1/44 | | 30,000 | 26,726 |
Xcel Energy, Inc.: | | | |
1.75% 3/15/27 | | 880,000 | 791,234 |
3.4% 6/1/30 | | 65,000 | 57,984 |
4% 6/15/28 | | 1,700,000 | 1,622,539 |
| | | 186,917,623 |
Gas Utilities - 0.0% | | | |
AmeriGas Partners LP/AmeriGas Finance Corp.: | | | |
5.75% 5/20/27 | | 478,000 | 451,899 |
5.875% 8/20/26 | | 4,323,000 | 4,189,568 |
APT Pipelines Ltd. 4.25% 7/15/27 (b) | | 17,000 | 16,590 |
Atmos Energy Corp.: | | | |
2.85% 2/15/52 | | 27,000 | 17,275 |
3.375% 9/15/49 | | 255,000 | 183,649 |
4.15% 1/15/43 | | 17,000 | 14,553 |
5.5% 6/15/41 | | 57,000 | 57,293 |
5.75% 10/15/52 | | 77,000 | 80,944 |
Boston Gas Co.: | | | |
3.001% 8/1/29 (b) | | 15,000 | 13,155 |
3.757% 3/16/32 (b) | | 320,000 | 279,773 |
Brooklyn Union Gas Co.: | | | |
3.865% 3/4/29 (b) | | 30,000 | 27,609 |
4.273% 3/15/48 (b) | | 29,000 | 21,996 |
Cameron LNG LLC: | | | |
3.302% 1/15/35 (b) | | 1,107,000 | 915,509 |
3.402% 1/15/38 (b) | | 134,000 | 109,920 |
3.701% 1/15/39 (b) | | 28,000 | 22,970 |
CenterPoint Energy Resources Corp. 5.25% 3/1/28 | | 3,286,000 | 3,308,126 |
Ferrellgas LP/Ferrellgas Finance Corp. 5.875% 4/1/29 (b) | | 200,000 | 189,851 |
Keyspan Gas East Corp. 5.994% 3/6/33 (b) | | 2,860,000 | 2,850,062 |
Nakilat, Inc. 6.067% 12/31/33 (b) | | 554,572 | 571,209 |
National Grid North America 4.668% 9/12/33 (Reg. S) | EUR | 300,000 | 340,063 |
ONE Gas, Inc.: | | | |
4.5% 11/1/48 | | 11,000 | 9,457 |
5.1% 4/1/29 | | 100,000 | 100,329 |
Piedmont Natural Gas Co., Inc.: | | | |
3.5% 6/1/29 | | 222,000 | 204,441 |
5.05% 5/15/52 | | 45,000 | 40,481 |
Southern California Gas Co.: | | | |
2.55% 2/1/30 | | 35,000 | 30,389 |
2.6% 6/15/26 | | 32,000 | 30,317 |
Southern Co. Gas Capital Corp.: | | | |
3.15% 9/30/51 | | 527,000 | 341,358 |
4.4% 6/1/43 | | 870,000 | 720,521 |
4.4% 5/30/47 | | 45,000 | 36,513 |
Southern Natural Gas Co. LLC 8% 3/1/32 | | 10,000 | 11,359 |
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (b) | | 216,000 | 195,480 |
Texas Eastern Transmission LP 3.5% 1/15/28 (b) | | 82,000 | 76,863 |
The East Ohio Gas Co. 2% 6/15/30 (b) | | 1,960,000 | 1,606,842 |
| | | 17,066,364 |
Independent Power and Renewable Electricity Producers - 0.1% | | | |
Calpine Corp.: | | | |
3.75% 3/1/31 (b) | | 1,525,000 | 1,307,236 |
4.5% 2/15/28 (b) | | 317,000 | 298,597 |
5% 2/1/31 (b) | | 3,365,000 | 3,007,442 |
5.125% 3/15/28 (b) | | 2,815,000 | 2,676,057 |
5.25% 6/1/26 (b) | | 95,000 | 93,593 |
Constellation Energy Generation, LLC: | | | |
3.25% 6/1/25 | | 32,000 | 31,081 |
5.6% 6/15/42 | | 269,000 | 262,051 |
5.75% 10/1/41 | | 80,000 | 78,281 |
5.8% 3/1/33 | | 914,000 | 934,191 |
6.25% 10/1/39 | | 45,000 | 46,390 |
6.5% 10/1/53 | | 500,000 | 548,750 |
Emera U.S. Finance LP: | | | |
2.639% 6/15/31 | | 995,000 | 806,819 |
4.75% 6/15/46 | | 25,000 | 20,465 |
Greenko Dutch BV 3.85% 3/29/26 (b) | | 185,000 | 174,363 |
Sunnova Energy Corp. 11.75% 10/1/28 (b) | | 105,000 | 88,342 |
TerraForm Power Operating LLC 5% 1/31/28 (b) | | 687,000 | 649,159 |
The AES Corp.: | | | |
3.3% 7/15/25 (b) | | 10,697,000 | 10,314,173 |
3.95% 7/15/30 (b) | | 9,327,000 | 8,473,931 |
TransAlta Corp. 6.5% 3/15/40 | | 165,000 | 162,658 |
| | | 29,973,579 |
Multi-Utilities - 0.1% | | | |
Ameren Corp.: | | | |
1.95% 3/15/27 | | 10,000 | 9,138 |
3.5% 1/15/31 | | 119,000 | 107,144 |
Ameren Illinois Co.: | | | |
3.25% 3/15/50 | | 115,000 | 80,597 |
3.7% 12/1/47 | | 113,000 | 87,304 |
3.8% 5/15/28 | | 83,000 | 80,058 |
4.15% 3/15/46 | | 1,135,000 | 939,701 |
4.95% 6/1/33 | | 744,000 | 732,384 |
Berkshire Hathaway Energy Co.: | | | |
2.85% 5/15/51 | | 80,000 | 51,377 |
5.15% 11/15/43 | | 90,000 | 86,410 |
6.125% 4/1/36 | | 1,429,000 | 1,508,864 |
Consolidated Edison Co. of New York, Inc.: | | | |
3.875% 6/15/47 | | 37,000 | 28,750 |
4.125% 5/15/49 | | 20,000 | 16,065 |
4.2% 3/15/42 | | 246,000 | 205,616 |
4.5% 5/15/58 | | 23,000 | 19,348 |
4.65% 12/1/48 | | 139,000 | 121,498 |
5.7% 12/1/36 | | 11,000 | 11,021 |
6.2% 6/15/36 | | 1,325,000 | 1,408,378 |
Consumers Energy Co.: | | | |
2.65% 8/15/52 | | 169,000 | 104,748 |
3.75% 2/15/50 | | 197,000 | 154,046 |
4.35% 4/15/49 | | 14,000 | 12,114 |
4.35% 8/31/64 | | 14,000 | 10,648 |
4.625% 5/15/33 | | 658,000 | 635,712 |
Dominion Energy, Inc.: | | | |
4.9% 8/1/41 | | 1,000 | 896 |
5.25% 8/1/33 | | 22,000 | 21,628 |
7% 6/15/38 | | 161,000 | 175,223 |
DTE Energy Co. 4.875% 6/1/28 | | 280,000 | 276,015 |
E.ON SE 3.375% 1/15/31 (Reg. S) | EUR | 400,000 | 427,520 |
Engie SA: | | | |
3.875% 3/6/36 (Reg. S) | EUR | 500,000 | 539,303 |
4.25% 9/6/34 (Reg. S) | EUR | 400,000 | 442,894 |
NiSource, Inc.: | | | |
2.95% 9/1/29 | | 11,346,000 | 10,196,084 |
4.8% 2/15/44 | | 550,000 | 488,346 |
5.25% 3/30/28 | | 205,000 | 205,903 |
5.4% 6/30/33 | | 249,000 | 248,999 |
5.95% 6/15/41 | | 640,000 | 647,217 |
Puget Energy, Inc.: | | | |
2.379% 6/15/28 | | 815,000 | 724,047 |
3.65% 5/15/25 | | 1,014,000 | 987,816 |
4.1% 6/15/30 | | 5,379,000 | 4,869,721 |
4.224% 3/15/32 | | 5,488,000 | 4,909,708 |
San Diego Gas & Electric Co.: | | | |
1.7% 10/1/30 | | 3,975,000 | 3,236,016 |
2.95% 8/15/51 | | 80,000 | 53,249 |
3% 3/15/32 | | 311,000 | 268,994 |
3.32% 4/15/50 | | 1,324,000 | 919,855 |
3.75% 6/1/47 | | 1,210,000 | 935,030 |
4.1% 6/15/49 | | 96,000 | 77,584 |
4.5% 8/15/40 | | 7,000 | 6,222 |
4.95% 8/15/28 | | 320,000 | 319,925 |
5.35% 4/1/53 | | 646,000 | 626,662 |
6% 6/1/39 | | 14,000 | 14,621 |
Sempra: | | | |
3.3% 4/1/25 | | 1,255,000 | 1,225,253 |
4% 2/1/48 | | 965,000 | 750,394 |
4.125% 4/1/52 (e) | | 3,845,000 | 3,527,672 |
WEC Energy Group, Inc.: | | | |
CME Term SOFR 3 Month Index + 2.110% 7.6811% 5/15/67 (e)(h) | | 1,012,000 | 963,905 |
1.8% 10/15/30 | | 850,000 | 687,765 |
5.6% 9/12/26 | | 230,000 | 232,244 |
| | | 45,417,632 |
Water Utilities - 0.0% | | | |
American Water Capital Corp. 3.45% 6/1/29 | | 18,000 | 16,738 |
Severn Trent Utilities Finance PLC 4.625% 11/30/34 (Reg. S) | GBP | 210,000 | 249,409 |
SW Finance I PLC 7.375% 12/12/41 (Reg. S) | GBP | 240,000 | 314,388 |
| | | 580,535 |
TOTAL UTILITIES | | | 279,955,733 |
TOTAL NONCONVERTIBLE BONDS (Cost $4,557,485,339) | | | 4,210,465,720 |
| | | |
U.S. Government and Government Agency Obligations - 9.5% |
| | Principal Amount (a) | Value ($) |
U.S. Government Agency Obligations - 0.0% | | | |
Fannie Mae: | | | |
0% 3/17/31 | | 515,000 | 372,032 |
0.5% 6/17/25 | | 1,685,000 | 1,594,585 |
0.875% 8/5/30 | | 125,000 | 100,710 |
6.625% 11/15/30 | | 1,290,000 | 1,455,921 |
Federal Farm Credit Bank: | | | |
1.48% 11/26/32 | | 965,000 | 739,266 |
1.77% 2/4/31 | | 815,000 | 673,540 |
2.35% 3/10/36 | | 1,825,000 | 1,392,537 |
2.46% 2/5/35 | | 765,000 | 606,536 |
Federal Home Loan Bank: | | | |
1.75% 6/20/31 | | 810,000 | 657,560 |
2.09% 2/22/36 | | 1,760,000 | 1,309,327 |
Freddie Mac: | | | |
1.22% 8/19/30 | | 1,530,000 | 1,242,218 |
6.25% 7/15/32 | | 570,000 | 646,017 |
6.75% 3/15/31 | | 2,560,000 | 2,926,524 |
Tennessee Valley Authority: | | | |
0.75% 5/15/25 | | 845,000 | 803,761 |
1.5% 9/15/31 | | 780,000 | 633,965 |
2.875% 2/1/27 | | 1,060,000 | 1,011,185 |
5.25% 9/15/39 | | 150,000 | 155,248 |
7.125% 5/1/30 | | 390,000 | 447,150 |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | | 16,768,082 |
U.S. Treasury Obligations - 9.5% | | | |
U.S. Treasury Bills, yield at date of purchase 5.27% to 5.31% 4/23/24 | | 69,345,000 | 68,805,448 |
U.S. Treasury Bonds: | | | |
1.125% 5/15/40 | | 11,219,200 | 6,923,035 |
1.125% 8/15/40 | | 10,010,400 | 6,116,511 |
1.25% 5/15/50 | | 85,290,000 | 43,317,991 |
1.375% 11/15/40 | | 53,181,800 | 33,774,598 |
1.375% 8/15/50 | | 5,338,000 | 2,802,033 |
1.625% 11/15/50 | | 3,284,000 | 1,844,300 |
1.75% 8/15/41 | | 45,582,400 | 30,356,810 |
1.875% 2/15/41 | | 65,170,000 | 44,908,749 |
1.875% 2/15/51 | | 911,000 | 545,354 |
2% 11/15/41 | | 19,966,000 | 13,823,335 |
2% 2/15/50 | | 67,635,000 | 42,110,714 |
2% 8/15/51 | | 8,419,000 | 5,184,591 |
2.25% 5/15/41 | | 45,576,300 | 33,277,820 |
2.25% 8/15/46 | | 570,000 | 387,155 |
2.25% 8/15/49 | | 5,581,000 | 3,695,886 |
2.25% 2/15/52 | | 74,430,300 | 48,687,883 |
2.375% 2/15/42 | | 11,861,000 | 8,714,128 |
2.375% 5/15/51 (j) | | 334,088,600 | 225,444,554 |
2.5% 2/15/45 | | 4,887,500 | 3,542,674 |
2.75% 11/15/42 | | 1,357,900 | 1,052,213 |
2.75% 8/15/47 | | 11,200,000 | 8,324,313 |
2.75% 11/15/47 | | 6,011,000 | 4,460,115 |
2.875% 8/15/45 | | 4,692,900 | 3,623,982 |
2.875% 5/15/52 | | 249,200,000 | 187,639,813 |
3% 5/15/42 | | 711,000 | 576,327 |
3% 5/15/45 | | 342,500 | 270,816 |
3% 5/15/47 | | 3,394,000 | 2,648,778 |
3% 2/15/48 | | 4,204,500 | 3,267,192 |
3% 8/15/52 | | 994,000 | 768,447 |
3.125% 11/15/41 | | 4,804,100 | 3,999,601 |
3.125% 8/15/44 | | 2,316,000 | 1,878,945 |
3.375% 5/15/44 | | 3,476,000 | 2,938,714 |
3.375% 11/15/48 | | 2,910,000 | 2,417,687 |
3.625% 8/15/43 | | 4,576,300 | 4,034,294 |
3.625% 2/15/53 | | 143,462,000 | 125,428,379 |
3.625% 5/15/53 | | 1,552,000 | 1,357,879 |
3.75% 11/15/43 | | 3,648,600 | 3,271,198 |
3.875% 2/15/43 | | 9,419,000 | 8,623,168 |
4% 11/15/42 | | 13,876,700 | 12,953,574 |
4% 11/15/52 | | 81,748,000 | 76,542,951 |
4.125% 8/15/53 | | 92,653,200 | 88,700,962 |
4.25% 2/15/54 | | 34,459,000 | 33,812,894 |
4.375% 5/15/40 | | 1,131,900 | 1,127,876 |
4.375% 5/15/41 | | 4,017,100 | 3,975,046 |
4.375% 8/15/43 | | 1,194,000 | 1,169,001 |
4.5% 8/15/39 | | 7,608,800 | 7,728,282 |
4.75% 2/15/41 | | 4,021,700 | 4,171,257 |
4.75% 11/15/43 | | 116,042,500 | 119,414,985 |
4.75% 11/15/53 | | 13,299,000 | 14,148,889 |
6.25% 5/15/30 | | 2,860,000 | 3,164,322 |
stripped coupon: | | | |
0% 11/15/33 | | 2,471,933 | 1,622,649 |
0% 5/15/39 (k) | | 68,740,000 | 34,184,402 |
0% 8/15/39 | | 54,885,000 | 27,019,243 |
0% 5/15/40 | | 4,427,000 | 2,087,518 |
0% 8/15/40 (l) | | 33,992,494 | 15,800,342 |
0% 2/15/41 | | 1,890,000 | 854,626 |
0% 5/15/41 | | 41,450,000 | 18,511,679 |
0% 8/15/41 | | 5,739,205 | 2,531,180 |
0% 11/15/41 | | 19,560,000 | 8,478,302 |
0% 2/15/42 | | 9,988,646 | 4,292,782 |
0% 5/15/42 | | 557,284 | 236,531 |
0% 8/15/42 | | 3,610,000 | 1,514,208 |
0% 11/15/42 | | 229,800 | 94,773 |
0% 11/15/43 | | 1,570,738 | 622,352 |
0% 5/15/44 | | 7,670,000 | 2,972,742 |
U.S. Treasury Notes: | | | |
0.25% 6/30/25 | | 1,793,000 | 1,687,241 |
0.375% 4/30/25 | | 11,689,000 | 11,090,395 |
0.375% 1/31/26 | | 29,600,000 | 27,294,438 |
0.375% 9/30/27 | | 3,284,000 | 2,854,130 |
0.5% 4/30/27 | | 11,346,000 | 10,052,290 |
0.5% 5/31/27 | | 11,346,000 | 10,019,936 |
0.5% 8/31/27 | | 22,274,000 | 19,503,671 |
0.5% 10/31/27 | | 24,110,000 | 20,988,885 |
0.625% 7/31/26 | | 1,196,000 | 1,090,416 |
0.75% 3/31/26 | | 2,368,500 | 2,189,937 |
0.75% 4/30/26 | | 80,016,200 | 73,768,060 |
0.75% 5/31/26 | | 7,580,000 | 6,968,270 |
0.875% 6/30/26 | | 41,590,000 | 38,267,674 |
1% 7/31/28 | | 4,000,000 | 3,473,750 |
1.125% 10/31/26 (l) | | 15,938,500 | 14,608,009 |
1.25% 11/30/26 | | 213,660,000 | 196,083,128 |
1.25% 4/30/28 | | 78,000,000 | 68,947,734 |
1.25% 9/30/28 | | 16,126,200 | 14,102,236 |
1.25% 8/15/31 | | 16,599,000 | 13,436,112 |
1.5% 2/15/25 | | 5,832,000 | 5,635,853 |
1.5% 11/30/28 | | 28,225,000 | 24,883,204 |
1.5% 2/15/30 | | 3,466,000 | 2,965,055 |
1.625% 11/30/26 | | 2,390,000 | 2,216,725 |
1.625% 5/15/31 | | 6,021,000 | 5,045,175 |
1.875% 2/28/27 | | 3,746,000 | 3,480,268 |
1.875% 2/15/32 | | 3,096,300 | 2,599,441 |
2.375% 3/31/29 | | 6,141,000 | 5,612,058 |
2.5% 3/31/27 | | 26,760,000 | 25,302,835 |
2.625% 4/15/25 | | 6,619,000 | 6,449,388 |
2.75% 7/31/27 | | 68,470,000 | 64,950,214 |
2.75% 5/31/29 | | 87,320,000 | 81,115,504 |
2.75% 8/15/32 | | 16,378,400 | 14,622,201 |
2.875% 6/15/25 | | 5,832,000 | 5,684,833 |
2.875% 5/15/28 | | 39,690,000 | 37,502,399 |
2.875% 5/15/32 | | 30,874,000 | 27,904,789 |
3% 7/15/25 | | 33,075,000 | 32,264,921 |
3.125% 8/31/29 | | 42,200,000 | 39,826,250 |
3.375% 5/15/33 | | 40,996,000 | 38,244,784 |
3.5% 1/31/30 | | 63,400,000 | 60,826,851 |
3.5% 4/30/30 | | 45,200,000 | 43,300,188 |
3.5% 2/15/33 | | 193,100,000 | 182,155,152 |
3.625% 3/31/28 | | 2,370,000 | 2,308,065 |
3.625% 3/31/30 | | 43,700,000 | 42,170,500 |
3.75% 4/15/26 | | 18,225,000 | 17,915,317 |
3.75% 12/31/28 | | 30,067,000 | 29,383,445 |
3.75% 5/31/30 | | 90,000,000 | 87,380,860 |
3.75% 6/30/30 | | 149,200,000 | 144,811,422 |
3.75% 12/31/30 | | 1,016,000 | 984,568 |
3.875% 3/31/25 | | 15,848,000 | 15,661,043 |
3.875% 11/30/27 | | 5,842,000 | 5,745,014 |
3.875% 12/31/29 | | 36,038,000 | 35,290,493 |
3.875% 8/15/33 | | 24,810,000 | 24,069,577 |
4% 12/15/25 | | 61,090,000 | 60,343,079 |
4% 1/15/27 | | 65,140,000 | 64,376,641 |
4% 2/15/27 | | 29,993,000 | 29,746,964 |
4% 6/30/28 | | 35,370,000 | 34,943,073 |
4% 1/31/29 | | 101,402,500 | 100,230,034 |
4% 10/31/29 | | 5,394,000 | 5,317,093 |
4% 2/28/30 | | 65,431,000 | 64,446,979 |
4% 7/31/30 | | 93,000 | 91,532 |
4% 1/31/31 | | 33,095,000 | 32,557,206 |
4% 2/15/34 | | 64,790,000 | 63,524,570 |
4.125% 7/31/28 (j) | | 79,900,000 | 79,341,324 |
4.125% 11/15/32 | | 25,073,000 | 24,807,579 |
4.25% 5/31/25 | | 39,657,000 | 39,331,689 |
4.25% 1/31/26 | | 969,000 | 961,770 |
4.25% 2/28/29 | | 55,910,000 | 55,918,736 |
4.25% 2/28/31 | | 1,200,000 | 1,198,500 |
4.375% 8/15/26 | | 26,376,000 | 26,288,424 |
4.375% 12/15/26 | | 8,880,000 | 8,861,963 |
4.375% 11/30/28 | | 1,900,000 | 1,908,016 |
4.5% 11/15/33 | | 206,856,000 | 210,766,871 |
4.625% 2/28/26 | | 9,835,000 | 9,834,232 |
4.625% 10/15/26 | | 53,824,000 | 54,000,610 |
4.625% 11/15/26 | | 13,169,000 | 13,218,384 |
4.625% 9/30/28 | | 75,000 | 76,017 |
4.625% 9/30/30 | | 31,650,000 | 32,265,691 |
4.75% 7/31/25 | | 71,417,000 | 71,324,939 |
4.875% 10/31/28 | | 417,000 | 427,197 |
4.875% 10/31/30 (m) | | 143,175,600 | 148,007,777 |
5% 8/31/25 | | 191,000 | 191,492 |
TOTAL U.S. TREASURY OBLIGATIONS | | | 4,367,621,884 |
Other Government Related - 0.0% | | | |
Private Export Funding Corp. Secured 1.4% 7/15/28 | | 2,605,000 | 2,295,355 |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,671,969,959) | | | 4,386,685,321 |
| | | |
U.S. Government Agency - Mortgage Securities - 11.8% |
| | Principal Amount (a) | Value ($) |
Fannie Mae - 4.0% | | | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.550% 5.803% 6/1/36 (e)(h) | | 2,295 | 2,344 |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.590% 5.133% 5/1/35 (e)(h) | | 1,367 | 1,398 |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.820% 4.757% 2/1/35 (e)(h) | | 21,080 | 21,453 |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.950% 5.771% 7/1/37 (e)(h) | | 6,800 | 6,995 |
1.5% 11/1/35 to 10/1/51 (j) | | 104,786,685 | 82,042,379 |
1.56% 10/1/35 | | 3,266,533 | 2,423,283 |
1.73% 11/1/31 | | 4,370,000 | 3,565,256 |
1.82% 4/1/32 | | 1,036,921 | 844,271 |
1.93% 1/1/32 | | 6,000,000 | 4,917,947 |
1.96% 9/1/33 | | 248,670 | 194,201 |
2% 2/1/28 to 3/1/52 (j) | | 426,426,276 | 345,940,806 |
2.02% 1/1/32 | | 4,000,000 | 3,303,558 |
2.07% 5/1/32 | | 443,451 | 361,164 |
2.11% 1/1/32 | | 5,000,000 | 4,159,199 |
2.14% 8/1/36 | | 366,064 | 282,714 |
2.2% 10/1/26 | | 170,887 | 159,515 |
2.25% 4/1/33 | | 1,272,605 | 1,040,293 |
2.39% 3/1/32 | | 228,466 | 194,864 |
2.49% 5/1/26 | | 267,328 | 254,092 |
2.5% 1/1/28 to 3/1/62 (j) | | 516,713,766 | 435,894,327 |
2.51% 10/1/30 | | 737,087 | 642,555 |
2.6% 9/1/27 to 9/1/28 | | 687,166 | 630,770 |
2.61% 6/1/26 | | 296,122 | 280,999 |
2.62% 5/1/26 | | 150,465 | 143,492 |
2.64% 6/1/25 | | 549,326 | 532,143 |
2.66% 8/1/29 | | 656,840 | 593,810 |
2.67% 4/1/34 | | 585,106 | 484,735 |
2.69% 12/1/28 | | 441,052 | 402,317 |
2.73% 4/1/25 to 7/1/28 | | 826,215 | 789,492 |
2.78% 4/1/26 | | 204,787 | 195,970 |
2.83% 10/1/27 to 4/1/30 | | 1,244,856 | 1,133,562 |
2.835% to 2.84% 8/1/29 to 11/1/31 | | 596,076 | 529,697 |
2.86% 12/1/29 | | 589,978 | 535,255 |
2.87% 8/1/31 | | 232,102 | 208,354 |
2.9% 5/1/29 | | 101,918 | 93,251 |
2.93% 1/1/25 | | 109,906 | 107,193 |
2.97% 4/1/28 | | 180,198 | 168,581 |
3% 12/1/26 to 6/1/62 (j)(l) | | 237,569,252 | 206,769,065 |
3.09% 10/1/25 to 5/1/32 | | 1,198,559 | 1,088,073 |
3.12% 3/1/31 | | 2,052,955 | 1,866,817 |
3.13% 2/1/26 to 7/1/36 | | 1,296,441 | 1,200,114 |
3.16% 8/1/33 | | 429,760 | 373,963 |
3.17% 1/1/29 | | 492,542 | 458,070 |
3.19% 11/1/27 | | 250,000 | 235,098 |
3.25% 6/1/29 | | 265,053 | 247,553 |
3.26% 5/1/32 | | 429,906 | 386,159 |
3.27% 12/1/28 | | 247,951 | 232,615 |
3.32% 3/1/29 | | 932,492 | 871,567 |
3.35% 1/1/29 | | 247,503 | 232,827 |
3.37% 1/1/29 | | 466,861 | 439,994 |
3.42% 5/1/30 | | 384,776 | 357,194 |
3.5% 5/1/29 to 6/1/62 | | 189,068,694 | 170,066,835 |
3.55% 8/1/28 | | 332,519 | 316,938 |
3.67% 7/1/33 | | 2,000,000 | 1,852,018 |
3.71% 9/1/30 | | 733,284 | 687,618 |
3.75% 7/1/33 to 9/1/34 | | 4,389,300 | 4,064,360 |
3.77% 9/1/32 | | 2,000,000 | 1,847,117 |
3.78% 8/1/30 | | 478,883 | 453,107 |
3.803% 12/1/26 (e) | | 61,381 | 59,998 |
3.81% 12/1/28 | | 468,084 | 445,124 |
3.83% 9/1/32 | | 6,000,000 | 5,602,300 |
3.84% 10/1/27 | | 135,029 | 130,391 |
3.88% 12/1/28 | | 8,484 | 8,153 |
3.895% 2/1/33 | | 559,653 | 524,394 |
4% 7/1/37 to 9/1/62 | | 143,494,159 | 133,938,221 |
4.11% 4/1/33 | | 3,436,169 | 3,280,992 |
4.21% 2/1/33 | | 936,169 | 900,134 |
4.24% 3/1/33 | | 5,431,918 | 5,214,988 |
4.33% 1/1/33 | | 731,382 | 704,866 |
4.37% 10/1/30 to 5/1/33 | | 2,987,100 | 2,891,580 |
4.42% 2/1/33 | | 383,712 | 375,130 |
4.45% 10/1/33 | | 2,000,000 | 1,944,840 |
4.48% 4/1/33 | | 446,114 | 436,090 |
4.5% 6/1/24 to 12/1/61 | | 123,793,669 | 118,142,800 |
4.51% 7/1/33 to 10/1/33 | | 5,988,829 | 5,848,013 |
4.55% 9/1/33 | | 3,115,000 | 3,087,017 |
4.56% 1/1/33 | | 1,452,438 | 1,420,450 |
4.7% 9/1/33 | | 3,907,344 | 3,907,391 |
4.73% 10/1/32 | | 536,805 | 529,784 |
4.8% 12/1/30 | | 2,000,000 | 1,986,007 |
4.81% 9/1/29 | | 2,969,519 | 2,951,069 |
4.83% 2/1/34 | | 2,429,000 | 2,422,106 |
4.88% 12/1/32 | | 234,042 | 233,940 |
4.97% 1/1/32 | | 868,346 | 869,179 |
5% 6/1/24 to 11/1/53 | | 130,860,851 | 127,907,088 |
5.1% 6/1/29 | | 2,551,000 | 2,569,807 |
5.17% 8/1/28 | | 2,360,000 | 2,381,265 |
5.29% 8/1/41 (e) | | 175,943 | 174,196 |
5.5% 9/1/34 to 11/1/53 | | 78,341,318 | 77,831,208 |
6% to 6% 2/1/34 to 1/1/54 | | 47,610,796 | 48,221,292 |
6% 11/1/53 | | 5,501,841 | 5,541,257 |
6.5% 2/1/36 to 2/1/54 | | 18,259,119 | 18,791,176 |
6.705% 2/1/39 (e) | | 74,555 | 75,652 |
7% 6/1/33 to 1/1/54 | | 1,810,536 | 1,864,698 |
7.5% 12/1/53 to 1/1/54 | | 122,915 | 127,250 |
8% 12/1/36 | | 12,313 | 12,669 |
2.81% 4/1/25 to 5/1/26 | | 662,339 | 641,974 |
4.32% 7/1/33 | | 516,438 | 497,961 |
TOTAL FANNIE MAE | | | 1,871,621,787 |
Freddie Mac - 1.9% | | | |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 1.810% 6.034% 10/1/37 (e)(h) | | 1,528 | 1,557 |
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1Y + 2.680% 8.249% 10/1/35 (e)(h) | | 1,665 | 1,711 |
1.5% 8/1/35 to 6/1/51 | | 82,908,444 | 64,186,163 |
2% 1/1/32 to 4/1/52 | | 183,012,418 | 151,060,495 |
2.5% 1/1/28 to 5/1/52 | | 162,108,831 | 137,772,644 |
3% 10/1/28 to 12/1/52 (j) | | 148,454,221 | 129,357,753 |
3.05% 10/1/32 | | 6,301,000 | 5,556,467 |
3.19% 7/1/33 | | 6,000,000 | 5,333,230 |
3.5% 2/1/29 to 2/1/53 (l) | | 133,771,542 | 121,680,468 |
3.55% 11/1/32 | | 440,123 | 404,572 |
3.85% 9/1/32 | | 509,042 | 475,682 |
4% 2/1/26 to 10/1/52 (k) | | 97,571,850 | 91,069,323 |
4.17% 10/1/34 | | 585,106 | 555,266 |
4.5% 7/1/25 to 5/1/53 | | 36,929,274 | 35,445,882 |
5% 10/1/33 to 8/1/53 | | 35,968,042 | 35,184,699 |
5.5% 12/1/37 to 3/1/54 (j)(k) | | 78,860,165 | 78,528,717 |
5.5% 1/1/54 | | 1,536,636 | 1,521,528 |
5.5% 2/1/54 | | 616,639 | 610,576 |
5.5% 3/1/54 | | 2,128,762 | 2,107,833 |
6% 2/1/28 to 11/1/53 | | 16,462,860 | 16,645,336 |
6.5% 3/1/32 to 1/1/54 (j) | | 10,003,515 | 10,328,475 |
7% 12/1/53 to 1/1/54 | | 437,566 | 450,590 |
7.5% 1/1/32 to 1/1/54 | | 67,924 | 70,744 |
TOTAL FREDDIE MAC | | | 888,349,711 |
Freddie Mac STACR REMIC Trust - 0.0% | | | |
U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.300% 7.6217% 8/25/33 (b)(e)(h) | | 1,716,911 | 1,751,499 |
Ginnie Mae - 2.2% | | | |
U.S. TREASURY 1 YEAR INDEX + 1.560% 6.82% 3/20/72 (e)(h)(n) | | 631,876 | 647,970 |
U.S. TREASURY 1 YEAR INDEX + 1.650% 6.916% 3/20/72 (e)(h)(n) | | 576,620 | 594,214 |
U.S. TREASURY 1 YEAR INDEX + 1.670% 6.939% 4/20/72 (e)(h)(n) | | 999,537 | 1,030,985 |
U.S. TREASURY 1 YEAR INDEX + 1.690% 6.962% 3/20/72 (e)(h)(n) | | 1,375,082 | 1,418,616 |
U.S. TREASURY 1 YEAR INDEX + 1.700% 6.957% 2/20/72 (e)(h)(n) | | 1,070,785 | 1,104,807 |
U.S. TREASURY 1 YEAR INDEX + 1.710% 6.981% 3/20/72 (e)(h)(n) | | 357,932 | 369,524 |
U.S. TREASURY 1 YEAR INDEX + 1.730% 6.989% 4/20/72 (e)(h)(n) | | 598,970 | 620,280 |
U.S. TREASURY 1 YEAR INDEX + 1.730% 6.991% 3/20/72 (e)(h)(n) | | 418,637 | 432,478 |
U.S. TREASURY 1 YEAR INDEX + 1.730% 7.004% 3/20/72 (e)(h)(n) | | 845,907 | 875,329 |
U.S. TREASURY 1 YEAR INDEX + 1.750% 7.008% 3/20/72 (e)(h)(n) | | 983,985 | 1,018,640 |
2.967% 6/20/71 (e) | | 604,214 | 537,816 |
3.006% 7/20/71 (e)(n) | | 1,384,907 | 1,236,626 |
3.5% 9/20/40 to 5/20/53 | | 64,094,701 | 58,508,604 |
4.5% 5/15/39 to 4/20/53 | | 50,982,597 | 49,047,109 |
5.5% 6/15/36 to 6/20/63 | | 9,807,294 | 9,777,729 |
2% 11/20/50 to 6/20/52 | | 57,624,481 | 46,911,579 |
2% 3/1/54 (f) | | 2,550,000 | 2,075,205 |
2% 3/1/54 (f) | | 2,200,000 | 1,790,373 |
2% 3/1/54 (f) | | 7,950,000 | 6,469,758 |
2% 3/1/54 (f) | | 6,950,000 | 5,655,952 |
2% 3/1/54 (f) | | 6,100,000 | 4,964,217 |
2% 3/1/54 (f) | | 19,250,000 | 15,665,766 |
2% 3/1/54 (f) | | 6,206,000 | 5,050,480 |
2% 3/1/54 (f) | | 4,150,000 | 3,377,295 |
2% 3/1/54 (f) | | 13,050,000 | 10,620,168 |
2% 3/1/54 (f) | | 3,150,000 | 2,563,489 |
2% 3/1/54 (f) | | 1,000,000 | 813,806 |
2% 3/1/54 (f) | | 9,850,000 | 8,015,989 |
2% 3/1/54 (f) | | 3,150,000 | 2,563,489 |
2% 3/1/54 (f) | | 2,950,000 | 2,400,728 |
2% 3/1/54 (f) | | 9,300,000 | 7,568,396 |
2% 3/1/54 (f) | | 2,100,000 | 1,708,993 |
2% 3/1/54 (f) | | 2,849,000 | 2,318,533 |
2% 3/1/54 (f) | | 6,650,000 | 5,411,810 |
2% 3/1/54 (f) | | 9,050,000 | 7,364,944 |
2% 3/1/54 (f) | | 1,650,000 | 1,342,780 |
2% 3/1/54 (f) | | 5,200,000 | 4,231,791 |
2% 3/1/54 (f) | | 3,700,000 | 3,011,082 |
2% 3/1/54 (f) | | 2,600,000 | 2,115,896 |
2% 3/1/54 (f) | | 5,800,000 | 4,720,075 |
2% 3/1/54 (f) | | 4,100,000 | 3,336,605 |
2% 4/1/54 (f) | | 10,650,000 | 8,672,857 |
2% 4/1/54 (f) | | 33,700,000 | 27,443,689 |
2% 4/1/54 (f) | | 8,250,000 | 6,718,411 |
2% 4/1/54 (f) | | 26,150,000 | 21,295,326 |
2% 4/1/54 (f) | | 775,000 | 631,123 |
2% 4/1/54 (f) | | 2,625,000 | 2,137,676 |
2% 4/1/54 (f) | | 350,000 | 285,023 |
2% 4/1/54 (f) | | 4,025,000 | 3,277,770 |
2% 4/1/54 (f) | | 1,350,000 | 1,099,376 |
2% 4/1/54 (f) | | 13,425,000 | 10,932,686 |
2% 4/1/54 (f) | | 4,900,000 | 3,990,329 |
2% 4/1/54 (f) | | 12,675,000 | 10,321,922 |
2% 4/1/54 (f) | | 9,775,000 | 7,960,299 |
2% 4/1/54 (f) | | 25,375,000 | 20,664,202 |
2% 4/1/54 (f) | | 375,000 | 305,382 |
2% 4/1/54 (f) | | 950,000 | 773,635 |
2.5% 8/20/46 to 6/20/52 | | 94,253,303 | 79,654,647 |
2.5% 3/1/54 (f) | | 100,000 | 84,616 |
2.5% 3/1/54 (f) | | 3,154,000 | 2,668,795 |
2.5% 3/1/54 (f) | | 6,515,000 | 5,512,745 |
2.5% 3/1/54 (f) | | 17,100,000 | 14,469,368 |
2.5% 3/1/54 (f) | | 9,900,000 | 8,377,003 |
2.5% 3/1/54 (f) | | 25,800,000 | 21,830,977 |
2.5% 3/1/54 (f) | | 5,725,000 | 4,844,277 |
2.5% 3/1/54 (f) | | 14,900,000 | 12,607,812 |
2.5% 3/1/54 (f) | | 10,100,000 | 8,546,235 |
2.5% 3/1/54 (f) | | 19,750,000 | 16,711,698 |
2.5% 4/1/54 (f) | | 1,275,000 | 1,079,753 |
2.82% 7/20/71 (e)(n) | | 2,822,918 | 2,502,867 |
2.893% 8/20/71 (e)(n) | | 1,033,856 | 917,257 |
2.94% 5/20/71 (e)(n) | | 1,380,068 | 1,227,221 |
3% 8/20/42 to 4/20/53 | | 72,248,060 | 63,741,216 |
3% 3/1/54 (f) | | 3,425,000 | 3,003,552 |
3% 3/1/54 (f) | | 13,000,000 | 11,400,345 |
3% 3/1/54 (f) | | 1,800,000 | 1,578,509 |
3% 3/1/54 (f) | | 1,800,000 | 1,578,509 |
3% 3/1/54 (f) | | 1,550,000 | 1,359,272 |
3% 3/1/54 (f) | | 5,950,000 | 5,217,850 |
3% 3/1/54 (f) | | 6,259,000 | 5,488,828 |
3% 3/1/54 (f) | | 24,025,000 | 21,068,714 |
3% 3/1/54 (f) | | 1,875,000 | 1,644,281 |
3% 3/1/54 (f) | | 7,125,000 | 6,248,266 |
3% 3/1/54 (f) | | 900,000 | 789,255 |
3% 4/1/54 (f) | | 1,525,000 | 1,338,301 |
3% 4/1/54 (f) | | 5,825,000 | 5,111,872 |
3% 4/1/54 (f) | | 6,250,000 | 5,484,841 |
3% 4/1/54 (f) | | 23,900,000 | 20,974,033 |
3.5% 3/1/54 (f) | | 6,850,000 | 6,195,382 |
3.5% 3/1/54 (f) | | 12,500,000 | 11,305,441 |
3.5% 3/1/54 (f) | | 2,611,000 | 2,361,481 |
3.5% 3/1/54 (f) | | 671,000 | 606,876 |
3.75% 6/20/46 to 7/20/46 | | 101,229 | 93,578 |
4% 5/20/40 to 8/20/52 | | 47,739,967 | 45,199,818 |
4% 3/1/54 (f) | | 1,159,000 | 1,078,828 |
4% 3/1/54 (f) | | 1,200,000 | 1,116,992 |
4.5% 3/1/54 (f) | | 11,000,000 | 10,507,818 |
4.5% 3/1/54 (f) | | 14,875,000 | 14,209,436 |
4.5% 3/1/54 (f) | | 500,000 | 477,628 |
5% 6/20/34 to 6/20/63 | | 17,604,171 | 17,373,097 |
5% 3/1/54 (f) | | 55,000 | 53,720 |
5% 3/1/54 (f) | | 3,600,000 | 3,516,245 |
5% 3/1/54 (f) | | 11,600,000 | 11,330,123 |
5% 3/1/54 (f) | | 12,400,000 | 12,111,510 |
5% 3/1/54 (f) | | 6,500,000 | 6,348,776 |
5% 3/1/54 (f) | | 1,200,000 | 1,172,082 |
5% 3/1/54 (f) | | 1,843,000 | 1,800,122 |
5% 3/1/54 (f) | | 15,175,000 | 14,821,949 |
5% 3/1/54 (f) | | 7,925,000 | 7,740,623 |
5.5% 3/1/54 (f) | | 77,000 | 76,507 |
5.5% 3/1/54 (f) | | 1,839,000 | 1,827,232 |
5.5% 3/1/54 (f) | | 11,308,000 | 11,235,638 |
5.5% 3/1/54 (f) | | 3,400,000 | 3,378,243 |
5.5% 3/1/54 (f) | | 16,250,000 | 16,146,013 |
5.5% 3/1/54 (f) | | 2,200,000 | 2,185,922 |
5.5% 3/1/54 (f) | | 10,350,000 | 10,283,768 |
6% 11/20/32 to 6/20/63 | | 2,432,596 | 2,445,593 |
6% 7/20/53 | | 1,129,412 | 1,150,065 |
6% 3/1/54 (f) | | 1,150,000 | 1,155,911 |
6% 3/1/54 (f) | | 650,000 | 653,341 |
6% 3/1/54 (f) | | 3,650,000 | 3,668,762 |
6% 3/1/54 (f) | | 2,150,000 | 2,161,051 |
6% 3/1/54 (f) | | 102,000 | 102,524 |
6% 3/1/54 (f) | | 1,967,000 | 1,977,111 |
6% 3/1/54 (f) | | 3,000,000 | 3,015,421 |
6% 3/1/54 (f) | | 9,600,000 | 9,649,346 |
6% 3/1/54 (f) | | 4,500,000 | 4,523,131 |
6.5% 10/20/39 | | 4,373 | 4,525 |
6.5% 6/20/53 | | 1,233,471 | 1,274,501 |
6.5% 7/20/53 | | 1,473,796 | 1,522,821 |
6.5% 3/1/54 (f) | | 1,800,000 | 1,824,609 |
6.5% 3/1/54 (f) | | 5,600,000 | 5,676,563 |
6.5% 3/1/54 (f) | | 111,000 | 112,518 |
6.5% 3/1/54 (f) | | 3,800,000 | 3,851,953 |
6.5% 3/1/54 (f) | | 6,300,000 | 6,386,133 |
6.5% 3/1/54 (f) | | 1,358,000 | 1,376,566 |
6.5% 3/1/54 (f) | | 1,200,000 | 1,216,406 |
6.5% 3/1/54 (f) | | 1,700,000 | 1,723,242 |
6.5% 3/1/54 (f) | | 300,000 | 304,102 |
6.5% 4/1/54 (f) | | 2,600,000 | 2,633,719 |
6.5% 4/1/54 (f) | | 3,050,000 | 3,089,555 |
6.5% 4/1/54 (f) | | 1,950,000 | 1,975,289 |
6.5% 4/1/54 (f) | | 4,200,000 | 4,254,469 |
7% 6/20/32 to 1/20/39 | | 15,959 | 16,484 |
7.5% 5/20/32 | | 2,347 | 2,432 |
8% 9/20/31 | | 4,139 | 4,307 |
TOTAL GINNIE MAE | | | 1,035,169,845 |
Harris County Cultural Education Facilities Finance Corp. Rev. - 0.0% | | | |
CME Term SOFR 1 Month Index + 2.060% 7.3858% 10/19/38 (b)(e)(h) | | 1,000,000 | 1,000,922 |
Home Re - Ltd. - 0.0% | | | |
U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 5.500% 10.822% 10/25/34 (b)(e)(h) | | 563,164 | 600,578 |
Uniform Mortgage Backed Securities - 3.7% | | | |
1.5% 3/1/39 (f) | | 32,000 | 27,583 |
1.5% 3/1/39 (f) | | 173,000 | 149,121 |
1.5% 3/1/54 (f) | | 36,000 | 26,906 |
1.5% 3/1/54 (f) | | 2,240,000 | 1,674,156 |
2% 3/1/39 (f) | | 52,000 | 45,857 |
2% 3/1/39 (f) | | 2,580,000 | 2,275,222 |
2% 3/1/54 (f) | | 1,200,000 | 943,261 |
2% 3/1/54 (f) | | 1,200,000 | 943,261 |
2% 3/1/54 (f) | | 256,000 | 201,229 |
2% 3/1/54 (f) | | 800,000 | 628,841 |
2% 3/1/54 (f) | | 3,000,000 | 2,358,152 |
2% 3/1/54 (f) | | 50,709,000 | 39,859,850 |
2% 3/1/54 (f) | | 15,200,000 | 11,947,972 |
2% 3/1/54 (f) | | 32,900,000 | 25,861,071 |
2% 3/1/54 (f) | | 10,350,000 | 8,135,626 |
2% 3/1/54 (f) | | 22,550,000 | 17,725,446 |
2% 3/1/54 (f) | | 34,750,000 | 27,315,265 |
2% 3/1/54 (f) | | 52,100,000 | 40,953,247 |
2% 3/1/54 (f) | | 15,550,000 | 12,223,090 |
2% 3/1/54 (f) | | 33,800,000 | 26,568,517 |
2% 3/1/54 (f) | | 27,625,000 | 21,714,653 |
2% 3/1/54 (f) | | 7,925,000 | 6,229,453 |
2% 3/1/54 (f) | | 17,150,000 | 13,480,771 |
2% 3/1/54 (f) | | 7,100,000 | 5,580,961 |
2% 3/1/54 (f) | | 3,225,000 | 2,535,014 |
2% 3/1/54 (f) | | 11,475,000 | 9,019,933 |
2% 3/1/54 (f) | | 11,500,000 | 9,039,584 |
2% 3/1/54 (f) | | 18,550,000 | 14,581,242 |
2% 3/1/54 (f) | | 6,525,000 | 5,128,981 |
2% 3/1/54 (f) | | 300,000 | 235,815 |
2% 3/1/54 (f) | | 6,662,000 | 5,236,670 |
2% 3/1/54 (f) | | 2,600,000 | 2,043,732 |
2% 4/1/54 (f) | | 20,850,000 | 16,410,334 |
2% 4/1/54 (f) | | 9,300,000 | 7,319,718 |
2% 4/1/54 (f) | | 35,700,000 | 28,098,270 |
2% 4/1/54 (f) | | 2,075,000 | 1,633,163 |
2% 4/1/54 (f) | | 7,925,000 | 6,237,501 |
2% 4/1/54 (f) | | 69,000,000 | 54,307,582 |
2% 4/1/54 (f) | | 19,850,000 | 15,623,268 |
2% 4/1/54 (f) | | 44,250,000 | 34,827,688 |
2% 4/1/54 (f) | | 4,400,000 | 3,463,092 |
2% 4/1/54 (f) | | 13,850,000 | 10,900,870 |
2% 4/1/54 (f) | | 4,125,000 | 3,246,649 |
2% 4/1/54 (f) | | 8,775,000 | 6,906,508 |
2% 4/1/54 (f) | | 5,200,000 | 4,092,745 |
2% 4/1/54 (f) | | 17,400,000 | 13,694,955 |
2% 4/1/54 (f) | | 8,650,000 | 6,808,124 |
2% 4/1/54 (f) | | 2,600,000 | 2,046,373 |
2% 4/1/54 (f) | | 11,050,000 | 8,697,084 |
2% 4/1/54 (f) | | 5,500,000 | 4,328,865 |
2.5% 3/1/39 (f) | | 1,118,000 | 1,013,581 |
2.5% 3/1/54 (f) | | 32,100,000 | 26,372,156 |
2.5% 3/1/54 (f) | | 4,625,000 | 3,799,727 |
2.5% 3/1/54 (f) | | 5,175,000 | 4,251,586 |
2.5% 3/1/54 (f) | | 15,950,000 | 13,103,922 |
2.5% 3/1/54 (f) | | 2,300,000 | 1,889,594 |
2.5% 3/1/54 (f) | | 2,600,000 | 2,136,063 |
2.5% 3/1/54 (f) | | 16,000,000 | 13,145,000 |
2.5% 3/1/54 (f) | | 2,550,000 | 2,094,984 |
2.5% 3/1/54 (f) | | 2,275,000 | 1,869,055 |
2.5% 3/1/54 (f) | | 186,000 | 152,811 |
2.5% 3/1/54 (f) | | 25,891,000 | 21,271,075 |
2.5% 3/1/54 (f) | | 5,500,000 | 4,518,594 |
2.5% 3/1/54 (f) | | 6,450,000 | 5,299,078 |
2.5% 3/1/54 (f) | | 8,000,000 | 6,572,500 |
2.5% 3/1/54 (f) | | 21,000,000 | 17,252,813 |
2.5% 3/1/54 (f) | | 2,900,000 | 2,382,531 |
2.5% 3/1/54 (f) | | 3,425,000 | 2,813,852 |
2.5% 3/1/54 (f) | | 24,800,000 | 20,374,750 |
2.5% 3/1/54 (f) | | 3,450,000 | 2,834,391 |
2.5% 3/1/54 (f) | | 4,050,000 | 3,327,328 |
2.5% 3/1/54 (f) | | 9,500,000 | 7,804,844 |
2.5% 3/1/54 (f) | | 3,700,000 | 3,039,781 |
2.5% 3/1/54 (f) | | 22,900,000 | 18,813,781 |
2.5% 3/1/54 (f) | | 3,300,000 | 2,711,156 |
2.5% 3/1/54 (f) | | 5,759,000 | 4,731,378 |
2.5% 3/1/54 (f) | | 10,175,000 | 8,359,398 |
2.5% 3/1/54 (f) | | 1,450,000 | 1,191,266 |
2.5% 3/1/54 (f) | | 1,625,000 | 1,335,039 |
2.5% 3/1/54 (f) | | 7,800,000 | 6,408,188 |
2.5% 4/1/54 (f) | | 5,429,000 | 4,465,777 |
2.5% 4/1/54 (f) | | 73,150,000 | 60,171,588 |
2.5% 4/1/54 (f) | | 10,350,000 | 8,513,683 |
2.5% 4/1/54 (f) | | 11,850,000 | 9,747,550 |
2.5% 4/1/54 (f) | | 8,000,000 | 6,580,625 |
3% 3/1/39 (f) | | 12,000 | 11,115 |
3% 3/1/39 (f) | | 586,000 | 542,783 |
3% 3/1/54 (f) | | 1,225,000 | 1,048,045 |
3% 3/1/54 (f) | | 4,250,000 | 3,636,074 |
3% 3/1/54 (f) | | 11,825,000 | 10,116,842 |
3% 3/1/54 (f) | | 104,000 | 88,977 |
3% 3/1/54 (f) | | 52,500,000 | 44,916,212 |
3% 3/1/54 (f) | | 10,600,000 | 9,068,797 |
3% 3/1/54 (f) | | 34,250,000 | 29,302,481 |
3% 3/1/54 (f) | | 15,025,000 | 12,854,592 |
3% 3/1/54 (f) | | 2,825,000 | 2,416,920 |
3% 3/1/54 (f) | | 9,375,000 | 8,020,752 |
3% 3/1/54 (f) | | 3,363,000 | 2,877,204 |
3% 3/1/54 (f) | | 19,900,000 | 17,025,383 |
3% 3/1/54 (f) | | 11,850,000 | 10,138,231 |
3% 3/1/54 (f) | | 3,900,000 | 3,336,633 |
3% 3/1/54 (f) | | 5,350,000 | 4,577,176 |
3% 3/1/54 (f) | | 2,200,000 | 1,882,203 |
3% 3/1/54 (f) | | 29,900,000 | 25,580,852 |
3% 3/1/54 (f) | | 17,750,000 | 15,185,957 |
3% 3/1/54 (f) | | 2,500,000 | 2,138,867 |
3% 3/1/54 (f) | | 550,000 | 470,551 |
3% 3/1/54 (f) | | 1,300,000 | 1,112,211 |
3% 3/1/54 (f) | | 12,425,000 | 10,630,170 |
3% 3/1/54 (f) | | 1,773,000 | 1,516,885 |
3% 3/1/54 (f) | | 7,000,000 | 5,988,828 |
3% 3/1/54 (f) | | 2,900,000 | 2,481,086 |
3% 3/1/54 (f) | | 4,900,000 | 4,192,180 |
3% 3/1/54 (f) | | 16,150,000 | 13,817,082 |
3% 3/1/54 (f) | | 600,000 | 513,328 |
3% 3/1/54 (f) | | 9,600,000 | 8,213,250 |
3% 3/1/54 (f) | | 2,150,000 | 1,839,426 |
3% 3/1/54 (f) | | 7,200,000 | 6,159,938 |
3% 3/1/54 (f) | | 1,900,000 | 1,625,539 |
3% 3/1/54 (f) | | 12,100,000 | 10,352,117 |
3% 3/1/54 (f) | | 15,000,000 | 12,833,204 |
3% 4/1/54 (f) | | 14,300,000 | 12,247,727 |
3% 4/1/54 (f) | | 76,000,000 | 65,092,814 |
3% 4/1/54 (f) | | 47,000,000 | 40,254,767 |
3.5% 3/1/39 (f) | | 4,000 | 3,785 |
3.5% 3/1/39 (f) | | 397,000 | 375,677 |
3.5% 3/1/54 (f) | | 5,950,000 | 5,292,943 |
3.5% 3/1/54 (f) | | 105,000 | 93,405 |
3.5% 3/1/54 (f) | | 11,725,000 | 10,430,212 |
3.5% 3/1/54 (f) | | 800,000 | 711,656 |
3.5% 3/1/54 (f) | | 800,000 | 711,656 |
3.5% 3/1/54 (f) | | 128,000 | 113,865 |
3.5% 3/1/54 (f) | | 5,000,000 | 4,447,852 |
3.5% 3/1/54 (f) | | 500,000 | 444,785 |
3.5% 3/1/54 (f) | | 967,000 | 860,214 |
3.5% 3/1/54 (f) | | 2,600,000 | 2,312,883 |
3.5% 4/1/54 (f) | | 500,000 | 445,078 |
4% 3/1/39 (f) | | 3,000 | 2,891 |
4% 3/1/39 (f) | | 221,000 | 213,006 |
4% 3/1/54 (f) | | 105,000 | 96,629 |
4% 3/1/54 (f) | | 14,175,000 | 13,044,875 |
4% 3/1/54 (f) | | 16,700,000 | 15,368,566 |
4% 3/1/54 (f) | | 4,000,000 | 3,681,094 |
4% 3/1/54 (f) | | 2,325,000 | 2,139,636 |
4% 3/1/54 (f) | | 104,000 | 95,708 |
4% 4/1/54 (f) | | 4,000,000 | 3,682,656 |
4% 4/1/54 (f) | | 14,175,000 | 13,050,412 |
4% 4/1/54 (f) | | 2,500,000 | 2,301,660 |
4.5% 3/1/39 (f) | | 43,000 | 42,066 |
4.5% 3/1/39 (f) | | 551,000 | 539,033 |
4.5% 3/1/54 (f) | | 42,000 | 39,746 |
4.5% 3/1/54 (f) | | 54,000 | 51,102 |
4.5% 3/1/54 (f) | | 500,000 | 473,164 |
4.5% 3/1/54 (f) | | 2,500,000 | 2,365,820 |
4.5% 3/1/54 (f) | | 1,154,000 | 1,092,063 |
4.5% 3/1/54 (f) | | 4,910,000 | 4,646,471 |
4.5% 3/1/54 (f) | | 15,975,000 | 15,117,591 |
4.5% 3/1/54 (f) | | 100,000 | 94,633 |
4.5% 3/1/54 (f) | | 2,125,000 | 2,010,947 |
4.5% 3/1/54 (f) | | 3,200,000 | 3,028,250 |
4.5% 3/1/54 (f) | | 3,200,000 | 3,028,250 |
4.5% 3/1/54 (f) | | 4,083,200 | 3,864,047 |
4.5% 3/1/54 (f) | | 2,300,000 | 2,176,555 |
4.5% 3/1/54 (f) | | 2,900,000 | 2,744,351 |
4.5% 4/1/54 (f) | | 500,000 | 473,359 |
5% 3/1/54 (f) | | 97,000 | 94,075 |
5% 3/1/54 (f) | | 2,075,000 | 2,012,426 |
5% 3/1/54 (f) | | 7,000,000 | 6,788,907 |
5% 3/1/54 (f) | | 6,300,000 | 6,110,016 |
5% 3/1/54 (f) | | 2,100,000 | 2,036,672 |
5% 3/1/54 (f) | | 1,300,000 | 1,260,797 |
5% 3/1/54 (f) | | 4,400,000 | 4,267,313 |
5% 3/1/54 (f) | | 3,300,000 | 3,200,485 |
5% 3/1/54 (f) | | 11,250,000 | 10,910,743 |
5% 3/1/54 (f) | | 10,947,158 | 10,617,033 |
5% 3/1/54 (f) | | 4,817,000 | 4,671,738 |
5% 3/1/54 (f) | | 24,000 | 23,276 |
5% 3/1/54 (f) | | 9,000,000 | 8,728,594 |
5% 4/1/54 (f) | | 6,000,000 | 5,820,469 |
5.5% 3/1/54 (f) | | 7,852,000 | 7,767,959 |
5.5% 3/1/54 (f) | | 161,000 | 159,277 |
5.5% 3/1/54 (f) | | 7,838,000 | 7,754,109 |
5.5% 3/1/54 (f) | | 1,000,000 | 989,297 |
5.5% 3/1/54 (f) | | 3,000,000 | 2,967,891 |
5.5% 3/1/54 (f) | | 1,000,000 | 989,297 |
5.5% 3/1/54 (f) | | 3,300,000 | 3,264,680 |
5.5% 3/1/54 (f) | | 7,927,000 | 7,842,157 |
5.5% 3/1/54 (f) | | 3,700,000 | 3,660,399 |
5.5% 3/1/54 (f) | | 8,900,000 | 8,804,742 |
5.5% 3/1/54 (f) | | 10,225,000 | 10,115,561 |
5.5% 3/1/54 (f) | | 6,155,000 | 6,089,122 |
5.5% 3/1/54 (f) | | 6,100,000 | 6,034,711 |
5.5% 3/1/54 (f) | | 6,400,000 | 6,331,500 |
5.5% 3/1/54 (f) | | 6,438,000 | 6,369,093 |
5.5% 3/1/54 (f) | | 6,525,997 | 6,456,149 |
5.5% 3/1/54 (f) | | 2,200,000 | 2,176,453 |
5.5% 3/1/54 (f) | | 380,000 | 375,933 |
5.5% 3/1/54 (f) | | 660,000 | 652,936 |
5.5% 3/1/54 (f) | | 1,363,000 | 1,348,412 |
6% 3/1/54 (f) | | 2,175,000 | 2,184,516 |
6% 3/1/54 (f) | | 4,700,000 | 4,720,563 |
6% 3/1/54 (f) | | 350,000 | 351,531 |
6% 3/1/54 (f) | | 1,350,000 | 1,355,906 |
6% 3/1/54 (f) | | 1,400,000 | 1,406,125 |
6% 3/1/54 (f) | | 1,350,000 | 1,355,906 |
6% 3/1/54 (f) | | 7,650,000 | 7,683,469 |
6% 3/1/54 (f) | | 7,900,000 | 7,934,563 |
6% 3/1/54 (f) | | 7,750,000 | 7,783,906 |
6% 3/1/54 (f) | | 2,700,000 | 2,711,813 |
6% 3/1/54 (f) | | 8,700,000 | 8,738,063 |
6% 3/1/54 (f) | | 10,000,000 | 10,043,750 |
6% 3/1/54 (f) | | 12,700,000 | 12,755,563 |
6% 3/1/54 (f) | | 6,000,000 | 6,026,250 |
6% 3/1/54 (f) | | 4,550,000 | 4,569,906 |
6% 3/1/54 (f) | | 7,150,000 | 7,181,281 |
6% 3/1/54 (f) | | 1,875,000 | 1,883,203 |
6% 3/1/54 (f) | | 4,050,000 | 4,067,719 |
6% 3/1/54 (f) | | 209,000 | 209,914 |
6.5% 3/1/54 (f) | | 603,000 | 613,553 |
6.5% 3/1/54 (f) | | 3,900,000 | 3,968,250 |
6.5% 3/1/54 (f) | | 19,700,000 | 20,044,750 |
6.5% 3/1/54 (f) | | 1,100,000 | 1,119,250 |
6.5% 3/1/54 (f) | | 1,400,000 | 1,424,500 |
6.5% 3/1/54 (f) | | 2,300,000 | 2,340,250 |
6.5% 3/1/54 (f) | | 5,600,000 | 5,698,000 |
6.5% 3/1/54 (f) | | 1,300,000 | 1,322,750 |
6.5% 3/1/54 (f) | | 3,800,000 | 3,866,500 |
6.5% 3/1/54 (f) | | 450,000 | 457,875 |
6.5% 3/1/54 (f) | | 450,000 | 457,875 |
6.5% 3/1/54 (f) | | 5,350,000 | 5,443,625 |
6.5% 3/1/54 (f) | | 5,450,000 | 5,545,375 |
6.5% 3/1/54 (f) | | 406,100 | 413,207 |
6.5% 3/1/54 (f) | | 3,800,000 | 3,866,500 |
6.5% 3/1/54 (f) | | 13,575,000 | 13,812,563 |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | | | 1,689,549,499 |
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $5,739,815,560) | | | 5,488,043,841 |
| | | |
Asset-Backed Securities - 2.7% |
| | Principal Amount (a) | Value ($) |
522 Funding Clo 2019-5 Ltd. / 522 F Series 2022-5A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.644% 4/15/35 (b)(e)(h) | | 1,000,000 | 999,539 |
AASET Trust: | | | |
Series 2018-1A Class A, 3.844% 1/16/38 (b) | | 2,078,466 | 1,465,324 |
Series 2019-1 Class A, 3.844% 5/15/39 (b) | | 873,471 | 698,809 |
Series 2019-2: | | | |
Class A, 3.376% 10/16/39 (b) | | 4,953,315 | 4,470,594 |
Class B, 4.458% 10/16/39 (b) | | 1,333,003 | 619,944 |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | | 4,400,492 | 3,972,604 |
Acc Trust 2021-1 Series 2021-1 Class C, 2.08% 12/20/24 (b) | | 7,950 | 7,923 |
Acc Trust 2022-1 Series 2022-1 Class C, 3.24% 10/20/25 (b) | | 303,000 | 196,442 |
Accelerated 2021-1H LLC Series 2021-1H Class D, 3.58% 10/20/40 (b) | | 115,687 | 105,377 |
Accredited Mortgage Loan Trust Series 2006-1 Class M1, CME Term SOFR 1 Month Index + 0.440% 0.937% 4/25/36 (e)(h) | | 1,831,078 | 1,682,386 |
Ace Securities Corp. Mortgage L Series 2007-D1 Class A4, 6.93% 2/25/38 (b) | | 870,364 | 682,987 |
Achv Abs Trust Series 2023-3PL Class C, 7.35% 8/19/30 (b) | | 1,750,000 | 1,769,728 |
Affirm Asset Securitization Trust: | | | |
Series 2023-X1 Class A, 7.11% 11/15/28 (b) | | 473,981 | 475,666 |
Series 2024-A Class A, 5.61% 2/15/29 (b) | | 155,000 | 154,655 |
AGL CLO Ltd. Series 2021-14A Class B1, CME Term SOFR 3 Month Index + 1.910% 7.2294% 12/2/34 (e)(h) | | 250,000 | 250,054 |
AIG CLO LLC Series 2021-1A Class A1R, CME Term SOFR 3 Month Index + 1.380% 6.6994% 4/20/32 (b)(e)(h) | | 350,000 | 350,460 |
Aimco Series 2018-BA Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 1/15/32 (b)(e)(h) | | 1,584,000 | 1,586,123 |
AIMCO CLO Series 2021-AA Class AR2, CME Term SOFR 3 Month Index + 1.400% 6.7181% 10/17/34 (b)(e)(h) | | 4,150,000 | 4,154,930 |
AIMCO CLO Ltd. Series 2021-11A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7081% 10/17/34 (b)(e)(h) | | 3,880,000 | 3,884,803 |
Allegro CLO X, Ltd. / Allegro CLO X LLC Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7294% 7/20/32 (b)(e)(h) | | 16,000,000 | 16,013,504 |
Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME Term SOFR 3 Month Index + 1.500% 6.8178% 7/20/35 (b)(e)(h) | | 5,071,000 | 5,078,018 |
Allegro CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.400% 6.7194% 7/20/34 (b)(e)(h) | | 4,673,000 | 4,672,893 |
Alm 2020 Ltd. Series 2020-1A Class A2, CME Term SOFR 3 Month Index + 2.110% 7.4256% 10/15/29 (b)(e)(h) | | 350,000 | 350,056 |
American Credit Acceptance Rec Series 2023-2 Class D, 6.47% 8/13/29 (b) | | 1,000,000 | 997,458 |
American Credit Acceptance Receivables Series 2023-3 Class D, 6.82% 10/12/29 (b) | | 2,180,000 | 2,195,870 |
American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/28 | | 7,680,000 | 7,664,903 |
American Homes 4 Rent: | | | |
Series 2014-SFR3 Class E, 6.418% 12/17/36 (b) | | 519,000 | 519,265 |
Series 2015-SFR2 Class E, 6.07% 10/17/52 (b) | | 545,000 | 543,371 |
Ameriquest Mortgage Securities, Inc. Series 2004-R10 Class M3, CME Term SOFR 1 Month Index + 1.310% 6.6354% 11/25/34 (e)(h) | | 3,108,480 | 2,768,413 |
Ammc Clo 23 Ltd. Series 2021-23A Class A1R, CME Term SOFR 3 Month Index + 1.300% 6.6181% 10/17/31 (b)(e)(h) | | 500,000 | 500,420 |
Amsr 2020-Sfr1 Series 2020-SFR1: | | | |
Class E, 3.218% 4/17/37 (b) | | 877,659 | 842,281 |
Class H, 5.302% 4/17/37 (b) | | 175,531 | 169,462 |
Amsr 2020-Sfr2 Trust Series 2020-SFR2: | | | |
Class E1, 4.028% 7/17/37 (b) | | 1,000,000 | 965,408 |
Class E2, 4.277% 7/17/37 (b) | | 469,108 | 452,894 |
Class G, 4% 7/17/37 (b) | | 160,904 | 153,637 |
Class H, 5.25% 7/17/37 (b) | | 577,704 | 554,795 |
Amsr 2020-Sfr3 Trust Series 2020-SFR3 Class F, 3.553% 9/17/37 (b) | | 356,300 | 338,036 |
Amsr 2020-Sfr4 Trust Series 2020-SFR4: | | | |
Class E2, 2.456% 11/17/37 (b) | | 672,872 | 626,539 |
Class F, 2.856% 11/17/37 (b) | | 1,055,106 | 987,128 |
Amsr 2021-Sfr1 Trust Series 2021-SFR1 Class B, 2.153% 6/17/38 (b) | | 4,000,000 | 3,470,938 |
Amsr 2021-Sfr2 Trust Series 2021-SFR2: | | | |
Class D, 2.278% 8/17/38 (b) | | 1,150,000 | 1,044,433 |
Class F1, 3.275% 8/17/38 (b) | | 380,318 | 342,648 |
Amsr 2021-Sfr3 Trust Series 2021-SFR3 Class E2, 2.427% 10/17/38 (b) | | 1,178,896 | 1,053,137 |
Amsr 2022-Sfr1 Trust Series 2022-SFR1 Class F, 6.021% 3/17/39 (b) | | 373,005 | 342,888 |
Amsr 2022-Sfr3 Trust Series 2022-SFR3 Class D, 4% 10/17/39 (b) | | 2,115,000 | 1,963,697 |
Amsr 2023-Sfr1 Trust Series 2023-SFR1 Class F, 4% 4/17/40 (b) | | 2,894,946 | 2,456,723 |
Amsr 2023-Sfr2 Trust Series 2023-SFR2: | | | |
Class E1, 3.95% 6/17/40 (b) | | 2,650,000 | 2,336,070 |
Class E2, 3.95% 6/17/40 (b) | | 3,100,000 | 2,684,846 |
AMSR Trust Series 2019-SFR1: | | | |
Class F, 3.867% 1/19/39 (b) | | 576,000 | 530,076 |
Class G, 4.857% 1/19/39 (b) | | 230,000 | 214,139 |
Class H, 6.04% 1/19/39 (b) | | 330,000 | 314,833 |
Anchorage Capital CLO 17, Ltd. Series 2021-17A Class A1, CME Term SOFR 3 Month Index + 1.430% 6.7456% 7/15/34 (b)(e)(h) | | 10,500,000 | 10,496,315 |
Apidos Clo Xxiv Series 2021-24A Class A1AL, CME Term SOFR 3 Month Index + 1.210% 6.5294% 10/20/30 (b)(e)(h) | | 498,527 | 498,788 |
Apidos Clo Xxxiii Series 2021-33A Class BR, CME Term SOFR 3 Month Index + 1.860% 7.1802% 10/24/34 (b)(e)(h) | | 1,000,000 | 999,985 |
Apidos Clo Xxxvii Series 2021-37A: | | | |
Class A, CME Term SOFR 3 Month Index + 1.390% 6.7094% 10/22/34 (b)(e)(h) | | 1,650,000 | 1,650,835 |
Class D, CME Term SOFR 3 Month Index + 3.310% 8.6294% 10/22/34 (b)(e)(h) | | 250,000 | 249,983 |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | | | |
Class A, 3.351% 1/16/40 (b) | | 1,631,157 | 1,457,284 |
Class B, 4.335% 1/16/40 (b) | | 345,680 | 193,622 |
Aqua Finance Trust 2017-A Series 2017-A Class A, 3.72% 11/15/35 (b) | | 5,699 | 5,679 |
Aqua Finance Trust 2019-A Series 2019-A Class B, 3.47% 7/16/40 (b) | | 401,520 | 374,210 |
Aqua Finance Trust 2020-A Series 2020-AA: | | | |
Class B, 2.79% 7/17/46 (b) | | 1,690,000 | 1,529,238 |
Class C, 3.97% 7/17/46 (b) | | 124,000 | 110,802 |
Arbor Realty Commercial Real E Series 2021-FL1 Class A, CME Term SOFR 1 Month Index + 1.080% 6.4021% 12/15/35 (b)(e)(h) | | 1,043,934 | 1,040,300 |
Arclo 2022-Florida1 A Series 2022-FL1 Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.450% 6.7747% 1/15/37 (b)(e)(h) | | 1,000,000 | 994,708 |
Areit 2021-Cre5 Trust Series 2021-CRE5 Class D, CME Term SOFR 1 Month Index + 2.760% 8.0843% 11/17/38 (b)(e)(h) | | 263,000 | 247,810 |
Ares CLO Series 2019-54A Class A, CME Term SOFR 3 Month Index + 1.580% 6.8956% 10/15/32 (b)(e)(h) | | 7,102,000 | 7,112,120 |
Ares LV CLO Ltd. Series 2021-55A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.7056% 7/15/34 (b)(e)(h) | | 5,889,000 | 5,893,646 |
Ares LVIII CLO LLC Series 2022-58A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.644% 1/15/35 (b)(e)(h) | | 7,506,000 | 7,494,103 |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, CME Term SOFR 3 Month Index + 1.510% 6.8281% 4/17/33 (b)(e)(h) | | 15,169,000 | 15,177,828 |
Argent Securities, Inc. Series 2006-M1 Class A2C, CME Term SOFR 1 Month Index + 0.410% 5.7354% 7/25/36 (h) | | 151,460 | 38,232 |
Argent Securities, Inc. pass-thru certificates: | | | |
Series 2005-W1 Class A2, CME Term SOFR 1 Month Index + 0.590% 5.9154% 5/25/35 (h) | | 487,827 | 369,651 |
Series 2005-W5 Class A2D, CME Term SOFR 1 Month Index + 0.750% 6.0754% 1/25/36 (e)(h) | | 2,388,049 | 2,163,657 |
ArrowMark Colorado Holdings LLC Series 2021-3A Class A1R, CME Term SOFR 3 Month Index + 1.470% 6.7963% 1/25/35 (b)(e)(h) | | 9,500,000 | 9,499,953 |
Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE9 Class M1, CME Term SOFR 1 Month Index + 1.080% 6.4104% 12/25/34 (h) | | 1,038,554 | 937,752 |
Atlas Senior Loan Fund XVI, Ltd. / Atlas Senior Loan Fund XVI LLC Series 2021-16A Class A, CME Term SOFR 3 Month Index + 1.530% 6.8494% 1/20/34 (b)(e)(h) | | 2,000,000 | 2,000,242 |
Atrium Xiii Series 2017-13A Class A1, CME Term SOFR 3 Month Index + 1.440% 6.7574% 11/21/30 (b)(e)(h) | | 240,524 | 240,886 |
Babson CLO Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 10/15/36 (b)(e)(h) | | 3,908,000 | 3,907,984 |
Bain Capital Credit CLO, Ltd. Series 2021-2A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6781% 10/17/32 (b)(e)(h) | | 7,500,000 | 7,508,288 |
Bank of America Credit Card Master Trust: | | | |
Series 2023-A1 Class A1, 4.79% 5/15/28 | | 4,500,000 | 4,483,786 |
Series 2023-A2 Class A2, 4.98% 11/15/28 | | 366,000 | 366,854 |
Barings CLO Ltd. 2023-IV Series 2024-4A Class A, CME Term SOFR 3 Month Index + 1.750% 7.0612% 1/20/37 (b)(e)(h) | | 7,479,000 | 7,510,920 |
Bastion Funding I LLC Series 2023-1A Class A2, 7.119% 4/25/38 (b) | | 1,424,804 | 1,409,702 |
Battalion CLO Ltd.: | | | |
Series 2021-10A Class A1R2, CME Term SOFR 3 Month Index + 1.430% 6.7502% 1/25/35 (b)(e)(h) | | 12,000,000 | 11,999,568 |
Series 2021-11A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7302% 4/24/34 (b)(e)(h) | | 22,750,000 | 22,755,437 |
Bear Stearns Asset Backed Sec Trust Series 2003-SD2 Class 2A, 5.685% 6/25/43 (e) | | 2,850 | 2,559 |
Bear Stearns Asset Backed Securities I Trust Series 2005-2 Class M5, CME Term SOFR 1 Month Index + 5.360% 6.4439% 6/25/35 (h) | | 600,000 | 599,321 |
Bear Stearns Str Pr Trust 07 Emx1 Series 2007-EMX1 Class M1, CME Term SOFR 1 Month Index + 2.110% 7.4354% 3/25/37 (b)(h) | | 335,007 | 328,337 |
Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME Term SOFR 3 Month Index + 1.300% 6.6165% 1/17/35 (b)(e)(h) | | 7,708,000 | 7,701,764 |
Benefit Str Partners Clo Viii Series 2018-8A Class A1AR, CME Term SOFR 3 Month Index + 1.360% 6.6794% 1/20/31 (b)(e)(h) | | 490,954 | 491,195 |
Benefit Street Partners Clo Xx Series 2023-30A Class D, CME Term SOFR 3 Month Index + 5.600% 10.9247% 4/25/36 (b)(e)(h) | | 415,000 | 422,045 |
BETHP Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7056% 1/15/35 (b)(e)(h) | | 5,907,000 | 5,913,628 |
Betony Clo 2 Ltd. Series 2018-1A Class A1, CME Term SOFR 3 Month Index + 1.340% 6.659% 4/30/31 (b)(e)(h) | | 1,289,247 | 1,291,521 |
Blackbird Capital Aircraft: | | | |
Series 2016-1A Class A, 4.213% 12/16/41 (b) | | 4,748,846 | 4,641,997 |
Series 2021-1A Class A, 2.443% 7/15/46 (b) | | 7,240,449 | 6,371,813 |
BlackRock Rainier CLO VI, Ltd. / BlackRock Rainier CLO VI LLC Series 2021-6A Class A, CME Term SOFR 3 Month Index + 1.960% 7.2794% 4/20/33 (b)(e)(h) | | 8,500,000 | 8,488,670 |
Bluemountain Clo 2018-2 Ltd. Series 2018-2A Class B, CME Term SOFR 3 Month Index + 1.960% 7.2686% 8/15/31 (b)(e)(h) | | 500,000 | 500,127 |
BlueMountain CLO XXVIII, Ltd. / BlueMountain CLO XXVIII LLC Series 2021-28A Class A, CME Term SOFR 3 Month Index + 1.520% 6.8356% 4/15/34 (b)(e)(h) | | 3,000,000 | 3,002,244 |
Bridge 2022-Sfr1 Trust Series 2022-SFR1 Class A, 3.4% 11/17/37 (b) | | 5,475,000 | 5,250,179 |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.250% 6.5656% 4/15/29 (b)(e)(h) | | 5,587,058 | 5,588,337 |
Business Jet Securities 2020-1 Series 2020-1A Class B, 3.967% 11/15/35 (b) | | 125,249 | 121,120 |
Business Jet Securities 2021-1 LLC Series 2021-1A Class A, 2.162% 4/15/36 (b) | | 149,402 | 139,772 |
Business Jet Securities 2022-1 Series 2022-1A Class C, 6.413% 6/15/37 (b) | | 451,423 | 414,561 |
Bxg Receivables Nt Trust 2018-A Series 2018-A Class C, 4.44% 2/2/34 (b) | | 27,650 | 26,527 |
Bxg Receivables Nt Trust 2020-A Series 2020-A Class B, 2.49% 2/28/36 (b) | | 1,515,129 | 1,393,473 |
Bxg Receivables Nt Trust 2022-A Series 2022-A Class A, 4.12% 9/28/37 (b) | | 4,145,969 | 3,976,055 |
Bxg Receivables Nt Trust 2023-A Series 2023-A Class C, 7.38% 11/15/38 (b) | | 780,466 | 768,169 |
C-Bass 2006-MH1 Trust Series 2006-MH1 Class B2, 6.75% 10/25/36 (b) | | 1,068,895 | 794,311 |
Capital One Multi-Asset Execution Trust Series 2023-A1 Class A, 4.42% 5/15/28 | | 5,000,000 | 4,938,284 |
Carlyle C17 Clo Ltd. / Carlyle Series 2018-C17A Class A1AR, CME Term SOFR 3 Month Index + 1.290% 6.609% 4/30/31 (b)(e)(h) | | 227,125 | 227,158 |
Carlyle Global Market Strategi Series 2018-2RA Class A1, CME Term SOFR 3 Month Index + 1.310% 6.6186% 5/15/31 (b)(e)(h) | | 1,218,050 | 1,219,156 |
Carlyle U.S. Clo 2020-1 Series 2021-1A Class A2R, CME Term SOFR 3 Month Index + 1.910% 7.2294% 7/20/34 (b)(e)(h) | | 250,000 | 250,021 |
Carlyle U.S. CLO Ltd. Series 2021-3A Class A2R, CME Term SOFR 3 Month Index + 1.690% 7.0094% 7/20/29 (b)(e)(h) | | 250,000 | 249,592 |
CarMax Auto Owner Trust: | | | |
Series 2021-1 Class D, 1.28% 7/15/27 | | 200,000 | 189,985 |
Series 2023 2 Class A2A, 5.5% 6/15/26 | | 5,712,073 | 5,708,952 |
Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28 | | 3,006,000 | 3,060,205 |
Carnow Auto Receivables Trust Series 2022-1A Class E, 8.29% 8/15/28 (b) | | 351,000 | 339,230 |
Carrington Mortgage Loan Trust Series 2005-FRE1 Class M2, CME Term SOFR 1 Month Index + 0.840% 6.1704% 12/25/35 (h) | | 8,572,850 | 7,969,204 |
Cars Mti-1 L P / Cars Mti-2 L Series 2020-1A Class A3, 3.1% 12/15/50 (b) | | 166,993 | 144,746 |
Cars-Db4 LP Series 2020-1A: | | | |
Class A6, 3.81% 2/15/50 (b) | | 137,080 | 116,442 |
Class B2, 4.52% 2/15/50 (b) | | 262,127 | 237,524 |
Class B3, 4.95% 2/15/50 (b) | | 292,260 | 241,960 |
Carvana Auto Receivables Series 2023-P3 Class A4, 5.71% 7/10/29 (b) | | 1,418,000 | 1,428,103 |
Carvana Auto Receivables Trust Series 2022-P1 Class A4, 3.52% 2/10/28 | | 2,500,000 | 2,395,598 |
Cascade Mh Asset Trust 2019-Mh Series 2019-MH1 Class B, 5% 11/25/44 (b)(d) | | 497,340 | 461,259 |
Castlelake Aircraft Securitization Trust Series 2019-1A: | | | |
Class A, 3.967% 4/15/39 (b) | | 5,102,566 | 4,592,587 |
Class B, 5.095% 4/15/39 (b) | | 2,927,377 | 1,932,430 |
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (b) | | 2,185,270 | 1,992,247 |
Cedar Funding Ltd.: | | | |
Series 2018-7A Class A1, CME Term SOFR 3 Month Index + 1.260% 6.5794% 1/20/31 (b)(e)(h) | | 512,502 | 512,740 |
Series 2021-10A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6794% 10/20/32 (b)(e)(h) | | 4,327,000 | 4,329,129 |
Series 2021-12A Class A1R, CME Term SOFR 3 Month Index + 1.390% 6.7163% 10/25/34 (b)(e)(h) | | 3,624,000 | 3,627,251 |
Series 2021-8A Class BR, CME Term SOFR 3 Month Index + 1.910% 7.2281% 10/17/34 (b)(e)(h) | | 250,000 | 249,626 |
Series 2022-15A Class A, CME Term SOFR 3 Month Index + 1.320% 6.6378% 4/20/35 (b)(e)(h) | | 7,060,000 | 7,048,436 |
Cedar Funding Xvii Clo Ltd. Series 2023-17A Class A, CME Term SOFR 3 Month Index + 1.850% 7.1678% 7/20/36 (b)(e)(h) | | 4,739,000 | 4,765,306 |
Centex Home Equity Loan Trust Series 2021-B Class A6, 6.36% 7/25/32 | | 397 | 381 |
Cfin 2022-Rtl1 Issuer LLC Series 2022-RTL1 Class AA, 3.25% 2/16/26 (b) | | 302,831 | 290,717 |
CFMT LLC Series 2023 HB12 Class A, 4.25% 4/25/33 (b) | | 1,934,352 | 1,889,791 |
Chase Auto Credit Linked Notes Series 2021-3 Class E, 2.102% 2/26/29 (b) | | 165,261 | 160,500 |
Chase Issuance Trust: | | | |
Series 2023-A2 Class A, 5.08% 9/15/30 | | 1,700,000 | 1,719,497 |
Series 2024-A2 Class A, 4.63% 1/15/31 | | 1,200,000 | 1,193,355 |
Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/35 (b) | | 2,050,171 | 2,062,302 |
Cifc Funding 2018-Iv Ltd. / Cifc Fund Series 2018-4A Class A1, CME Term SOFR 3 Month Index + 1.410% 6.7281% 10/17/31 (b)(e)(h) | | 2,478,089 | 2,480,958 |
Cifc Funding 2019-Ii Ltd. Series 2021-2A Class DR, CME Term SOFR 3 Month Index + 3.260% 8.5781% 4/17/34 (b)(e)(h) | | 550,000 | 546,983 |
Cifc Funding 2021-1 Ltd. Series 2021-1A: | | | |
Class A1, CME Term SOFR 3 Month Index + 1.370% 6.6963% 4/25/33 (b)(e)(h) | | 500,000 | 500,596 |
Class B, CME Term SOFR 3 Month Index + 1.810% 7.1363% 4/25/33 (b)(e)(h) | | 960,000 | 957,602 |
CIFC Funding Ltd.: | | | |
Series 2018-1A Class BR2, CME Term SOFR 3 Month Index + 1.660% 6.9595% 1/18/31 (e)(h) | | 250,000 | 250,015 |
Series 2021-7A Class B, CME Term SOFR 3 Month Index + 1.860% 7.1774% 1/23/35 (b)(e)(h) | | 3,800,000 | 3,782,433 |
Citi Mortgage Loan Trust Series 2007-1: | | | |
Class 1M2, CME Term SOFR 1 Month Index + 1.860% 7.1854% 10/25/37 (b)(h) | | 700,000 | 639,236 |
Class 2M2, CME Term SOFR 1 Month Index + 1.860% 7.1854% 10/25/37 (b)(h) | | 1,824,000 | 1,568,085 |
Citibank Credit Card Issuance Trust Series 2018-A7 Class A7, 3.96% 10/13/30 | | 5,400,000 | 5,197,833 |
CNH Equipment Trust Series 2023 A Class A2, 5.34% 9/15/26 | | 2,063,905 | 2,060,708 |
College Ave Student Lns Series 2023-B Class A1A, 6.5% 6/25/54 (b) | | 351,464 | 362,133 |
College Ave Student Lns 2021-C Series 2021-C Class B, 7/26/55 (b) | | 449,000 | 393,296 |
Columbia Cent CLO 29 Ltd./Columbia Cent CLO 29 Corp. Series 2021-29A Class AR, CME Term SOFR 3 Month Index + 1.430% 6.7494% 10/20/34 (b)(e)(h) | | 5,895,000 | 5,888,586 |
Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.700% 7.0186% 7/24/34 (b)(e)(h) | | 7,340,000 | 7,342,356 |
Connecticut Avenue Securities Trust Series 2022-R01 Class 1M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.900% 7.2217% 12/25/41 (b)(e)(h) | | 1,500,000 | 1,510,383 |
Coof Securitization Trust 2014 Series 2014-1 Class A, 3.4517% 6/25/40 (b)(e)(o) | | 44,891 | 3,115 |
Corevest American Finance Series 2018-1 Class E, 5.9368% 6/15/51 (b)(e) | | 3,034,000 | 2,874,874 |
CoreVest American Finance Trust Series 2020-2: | | | |
Class A, 3.376% 5/15/52 (b) | | 54,640 | 53,056 |
Class B, 4.244% 5/15/52 (b) | | 3,444,135 | 3,308,726 |
Countrywide Asset Bd Ctf 06-11 Series 2006-11 Class 1AF4, 6.3% 12/25/35 (AMBAC Insured) (e) | | 1,459,737 | 1,357,365 |
Countrywide Home Loans, Inc.: | | | |
Series 2004-1 Class 3A, CME Term SOFR 1 Month Index + 0.670% 5.9954% 4/25/34 (e)(h) | | 8,675 | 8,558 |
Series 2004-6 Class M1, CME Term SOFR 1 Month Index + 1.010% 6.3354% 10/25/34 (e)(h) | | 4,168 | 4,067 |
Cps Auto Receivables Trust 202 Series 2023-D Class C, 7.17% 1/15/30 (b) | | 2,500,000 | 2,562,146 |
Credit Acceptance Auto Ln Trust 2023-3 Series 2023-3A Class C, 7.62% 12/15/33 (b) | | 4,000,000 | 4,088,581 |
Credit Acceptance Auto Loan Trust: | | | |
Series 2021-3A Class C, 1.63% 9/16/30 (b) | | 250,000 | 242,242 |
Series 2022-3A: | | | |
Class A, 6.57% 10/15/32 (b) | | 2,748,000 | 2,767,722 |
Class D, 9% 4/18/33 (b) | | 292,000 | 295,008 |
Series 2023-1A Class C, 7.71% 7/15/33 (b) | | 1,008,000 | 1,033,929 |
Series 2023-2A Class C, 7.15% 9/15/33 (b) | | 658,000 | 664,291 |
Series 2023-5A Class C, 7.3% 4/17/34 (b) | | 2,550,000 | 2,581,519 |
Crestline Denali CLO XVII, LLC Series 2018-1A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6356% 10/15/31 (b)(e)(h) | | 4,833,648 | 4,836,664 |
Crown Point CLO, Ltd. / Crown Point CLO LLC Series 2021-11A Class A, CME Term SOFR 3 Month Index + 1.380% 6.6981% 1/17/34 (b)(e)(h) | | 1,000,000 | 1,000,384 |
DataBank Issuer, LLC Series 2021-1A Class A2, 2.06% 2/27/51 (b) | | 564,627 | 512,139 |
DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | | 6,873,280 | 6,545,464 |
Discover Card Execution Note Trust Series 2023 A1 Class A, 4.31% 3/15/28 | | 3,700,000 | 3,650,717 |
Diversified Abs Phase Iii LLC Series 2022-1 Class A2, 4.875% 4/28/39 (b) | | 1,000,675 | 901,007 |
Dllaa 2023-1A Series 2023-1A: | | | |
Class A2, 5.93% 7/20/26 (b) | | 1,085,216 | 1,087,724 |
Class A3, 5.64% 2/22/28 (b) | | 2,091,000 | 2,112,687 |
Dominos Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/49 (b) | | 1,196,160 | 1,089,814 |
Dryden 104 Clo Ltd. / Dryden 10 Series 2022-104A Class B1, CME Term SOFR 3 Month Index + 3.100% 8.4191% 8/20/34 (b)(e)(h) | | 300,000 | 301,971 |
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME Term SOFR 3 Month Index + 1.300% 6.6178% 4/20/35 (b)(e)(h) | | 4,007,000 | 4,011,324 |
Dryden CLO, Ltd. Series 2021-76A Class A1R, CME Term SOFR 3 Month Index + 1.410% 6.7294% 10/20/34 (b)(e)(h) | | 3,910,000 | 3,910,313 |
Dryden Senior Loan Fund: | | | |
Series 2020-78A Class A, CME Term SOFR 3 Month Index + 1.440% 6.7581% 4/17/33 (b)(e)(h) | | 5,400,000 | 5,402,716 |
Series 2021-72A Class BR, CME Term SOFR 3 Month Index + 1.910% 7.2186% 5/15/32 (b)(e)(h) | | 6,000,000 | 5,971,452 |
Series 2021-85A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 10/15/35 (b)(e)(h) | | 5,160,000 | 5,167,766 |
Series 2021-90A Class A1A, CME Term SOFR 3 Month Index + 1.390% 6.7107% 2/20/35 (b)(e)(h) | | 3,054,000 | 3,054,003 |
DT Auto Owner Trust Series 2019-4A Class D, 2.85% 7/15/25 (b) | | 5,285 | 5,276 |
Dt Auto Owner Trust 2020-3 Series 2020-3A Class D, 1.84% 6/15/26 (b) | | 207,000 | 200,962 |
Dt Auto Owner Trust 2023-3 Series 2023-3A Class D, 7.12% 5/15/29 (b) | | 3,936,000 | 3,990,201 |
E3 2019-1 Series 2019-1 Class A, 3.1% 9/20/55 (b) | | 149,504 | 126,386 |
Eaton Vance CLO, Ltd.: | | | |
Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 4/15/31 (b)(e)(h) | | 2,460,000 | 2,460,967 |
Series 2021-2A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 1/15/35 (b)(e)(h) | | 6,200,000 | 6,207,744 |
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, CME Term SOFR 3 Month Index + 1.510% 6.8256% 1/15/34 (b)(e)(h) | | 7,240,000 | 7,251,070 |
ECMC Group Student Loan Trust Series 2021-1A Class A1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.680% 6.0061% 11/25/70 (b)(e)(h) | | 641,697 | 629,576 |
Elara Hgv Timeshare Issuer 201 Series 2019-A Class C, 3.45% 1/25/34 (b) | | 30,740 | 29,165 |
Elara HGV Timeshare Issuer LLC Series 2017-A Class A, 2.69% 3/25/30 (b) | | 82,733 | 80,159 |
Elevation CLO, Ltd. Series 2021-13A Class A1, CME Term SOFR 3 Month Index + 1.450% 6.7656% 7/15/34 (b)(e)(h) | | 8,500,000 | 8,488,474 |
Elfi Graduate Ln Program 2023- Series 2023-A Class A, 6.37% 2/4/48 (b) | | 641,449 | 655,538 |
Elmwood CLO Ltd.: | | | |
Series 2021-2A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7294% 4/20/34 (b)(e)(h) | | 30,000,000 | 30,059,760 |
Series 2021-3A Class ER, CME Term SOFR 3 Month Index + 6.760% 12.0794% 10/20/34 (b)(e)(h) | | 400,000 | 399,935 |
Enterprise Fleet Financing 2023-3 L Series 2023-3 Class A2, 6.4% 3/20/30 (b) | | 4,790,000 | 4,862,680 |
Equity One ABS, Inc. Series 2003-3 Class M2, 5.459% 12/25/33 (e) | | 837,043 | 650,595 |
Exeter Automobile Receivables: | | | |
Series 2020-2A Class D, 4.73% 4/15/26 (b) | | 34,491 | 34,400 |
Series 2020-3A Class D, 1.73% 7/15/26 | | 109,283 | 108,350 |
Series 2023-4A: | | | |
Class D, 6.95% 12/17/29 | | 1,205,000 | 1,229,979 |
Class E, 9.57% 2/18/31 (b) | | 1,015,000 | 1,070,641 |
Series 2023-5A Class D, 7.13% 2/15/30 | | 1,467,000 | 1,510,642 |
Fhf Issuer Trust 2023-2 Series 2023-2A Class C, 7.97% 12/17/29 (b) | | 3,000,000 | 3,088,007 |
First Franklin Mortgage Loan Trust Series 2006-FF13 Class A1, CME Term SOFR 1 Month Index + 0.350% 5.6754% 10/25/36 (h) | | 36,098 | 24,590 |
Firstkey Homes 2020-Sfr2 Series 2020-SFR2: | | | |
Class F1, 3.017% 10/19/37 (b) | | 638,000 | 598,733 |
Class F2, 3.117% 10/19/37 (b) | | 570,000 | 533,655 |
Firstkey Homes 2022-Sfr1 Trust Series 2022-SFR1 Class E1, 5% 5/19/39 (b) | | 1,826,000 | 1,754,488 |
Firstkey Homes 2022-Sfr2 Trust Series 2022-SFR2 Class E2, 4.5% 7/17/39 (b) | | 497,000 | 457,360 |
Firstkey Homes 2022-SFR3 Trust Series 2022-SFR3: | | | |
Class E1, 3.5% 7/17/38 (b) | | 3,500,000 | 3,233,157 |
Class E2, 3.5% 7/17/38 (b) | | 229,000 | 209,913 |
FirstKey Homes Trust: | | | |
Series 2020-SFR1 Class F1, 3.638% 8/17/37 (b) | | 111,000 | 105,521 |
Series 2021-SFR1: | | | |
Class C, 1.888% 8/17/38 (b) | | 1,100,000 | 996,388 |
Class E2, 2.489% 8/17/38 (b) | | 292,000 | 261,695 |
Class F1, 3.238% 8/17/38 (b) | | 300,000 | 269,398 |
Class F2, 3.452% 8/17/38 (b) | | 1,500,000 | 1,334,660 |
Series 2021-SFR2 Class E2, 2.358% 9/17/38 (b) | | 1,763,000 | 1,566,016 |
Flagship Credit Auto Trust 201 Series 2019-2 Class D, 3.53% 5/15/25 (b) | | 88,466 | 87,998 |
Flagship Credit Auto Trust 202 Series 2023-2 Class C, 5.81% 5/15/29 (b) | | 180,000 | 179,337 |
Flagship Credit Auto Trust 2023-3 Series 2023-3 Class D, 6.58% 8/15/29 (b) | | 1,091,000 | 1,084,865 |
Flatiron Clo 18 Ltd. Series 2018-1A Class A, CME Term SOFR 3 Month Index + 1.210% 6.5281% 4/17/31 (b)(e)(h) | | 268,404 | 268,387 |
Flatiron CLO Ltd. Series 2021-1A: | | | |
Class A1, CME Term SOFR 3 Month Index + 1.370% 6.6812% 7/19/34 (b)(e)(h) | | 4,210,000 | 4,214,332 |
Class AR, CME Term SOFR 3 Month Index + 1.340% 6.6673% 11/16/34 (b)(e)(h) | | 5,750,000 | 5,757,734 |
Class BR, CME Term SOFR 3 Month Index + 1.810% 7.1373% 11/16/34 (b)(e)(h) | | 600,000 | 599,979 |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, CME Term SOFR 3 Month Index + 1.560% 6.8807% 11/20/33 (b)(e)(h) | | 7,413,000 | 7,430,146 |
Fmc Gmsr Issuer Trust: | | | |
Series 2020-GT1 Class A, 4.45% 1/25/26 (b) | | 438,000 | 397,994 |
Series 2021-GT1 Class B, 4.36% 7/25/26 (b) | | 234,042 | 194,423 |
Series 2021-GT2: | | | |
Class A, 3.85% 10/25/26 (b) | | 4,000,000 | 3,478,622 |
Class B, 4.44% 10/25/26 (b) | | 661,257 | 548,027 |
Series 2022-GT1: | | | |
Class A, 6.19% 4/25/27 (b) | | 4,292,553 | 4,141,148 |
Class B, 7.17% 4/25/27 (b) | | 675,797 | 628,510 |
Series 2022-GT2: | | | |
Class A, 7.9% 7/25/27 (b) | | 373,005 | 375,122 |
Class B, 10.07% 7/25/27 (b) | | 672,872 | 670,920 |
Ford Credit Auto Owner Trust Series 2021-1 Class C, 1.91% 10/17/33 (b) | | 1,190,000 | 1,094,452 |
Ford Credit Floorplan Master Owner Trust: | | | |
Series 2019-4 Class B, 2.64% 9/15/26 | | 549,000 | 537,945 |
Series 2023-1 Class A1, 4.92% 5/15/28 (b) | | 5,800,000 | 5,774,112 |
Foundation Finance Trust 2020-1 Series 2020-1A Class C, 5.75% 7/16/40 (b) | | 136,000 | 126,309 |
Foundation Finance Trust 2023- Series 2023-2A: | | | |
Class A, 6.53% 6/15/49 (b) | | 326,975 | 331,264 |
Class B, 6.97% 6/15/49 (b) | | 2,000,000 | 2,046,319 |
Freed Abs Trust 2021-3Fp Series 2021-3FP Class D, 2.37% 11/20/28 (b) | | 2,279,478 | 2,226,311 |
FRTKL Series 2021-SFR1 Class F, 3.171% 9/17/38 (b) | | 128,000 | 113,503 |
Galaxy Xviii Clo Ltd. Series 2018-28A Class A1, CME Term SOFR 3 Month Index + 1.360% 6.6756% 7/15/31 (b)(e)(h) | | 621,047 | 621,498 |
Galaxy Xxvi Clo Ltd. / Galaxy X Series 2018-26A Class B, CME Term SOFR 3 Month Index + 1.960% 7.2874% 11/22/31 (b)(e)(h) | | 600,000 | 600,166 |
GE Capital Mortgage Services, Inc. Series 1999-HE1 Class A6, 6.7% 4/25/29 | | 3,632 | 3,586 |
Generate Clo 4 Ltd. Series 2020-4A Class A1R, CME Term SOFR 3 Month Index + 1.350% 6.6694% 4/20/32 (b)(e)(h) | | 464,840 | 465,267 |
Gilbert Pk Clo Ltd. / Gilbert P Series 2017-1A Class A, CME Term SOFR 3 Month Index + 1.450% 6.7656% 10/15/30 (b)(e)(h) | | 167,713 | 167,772 |
Gls Auto Receivables Issuer Trust: | | | |
Series 2022-1A Class D, 3.97% 1/18/28 (b) | | 4,619,000 | 4,457,063 |
Series 2023-2A Class C, 5.69% 3/15/29 (b) | | 341,000 | 339,613 |
Gls Auto Receivables Trust 202 Series 2023-3A: | | | |
Class D, 6.44% 5/15/29 (b) | | 1,407,000 | 1,422,808 |
Class E, 9.27% 8/15/30 (b) | | 1,000,000 | 1,033,304 |
Gls Auto Select Receivables Trust Series 2023-1A Class B, 6.09% 3/15/29 (b) | | 175,000 | 177,497 |
GM Financial Automobile Leasing Series 2023-2 Class A2A, 5.44% 10/20/25 | | 1,299,365 | 1,298,270 |
Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28 | | 2,830,000 | 2,846,931 |
GM Financial Consumer Automobile Receivables Series 2023 2 Class A3, 4.47% 2/16/28 | | 4,381,000 | 4,332,444 |
Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26 | | 1,377,000 | 1,379,721 |
GoldenTree Loan Management U.S. CLO, Ltd. Series 2022-12A Class B, CME Term SOFR 3 Month Index + 1.950% 7.2678% 4/20/34 (b)(e)(h) | | 250,000 | 250,225 |
Goodgreen 2017-2 Trust Series 2017-2A Class A, 3.26% 10/15/53 (b) | | 137,367 | 122,295 |
Goodgreen 2018-1 Series 2018-1A Class A, 3.93% 10/15/53 (b)(e) | | 119,321 | 108,351 |
Goodgreen 2023-1 Series 2023-1A Class A, 5.9% 1/17/61 (b) | | 665,249 | 623,805 |
Goodleap Sustainable Home Solu Series 2023-3C Class A, 6.5% 7/20/55 (b) | | 952,753 | 975,607 |
Goodleap Sustainable Home Solutions Series 2023-4C Class A, 6.48% 3/20/57 (b) | | 1,765,830 | 1,798,862 |
Gracie Point International Fun: | | | |
Series 2023-1A Class A, U.S. 90-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.950% 7.3078% 9/1/26 (b)(e)(h) | | 104,995 | 105,388 |
Series 2023-2A Class A, U.S. 90-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.250% 7.6078% 3/1/27 (b)(e)(h) | | 1,028,000 | 1,036,800 |
Gracie Point International Funding Series 2024-1A Class A, U.S. 90-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.700% 1.7% 3/1/28 (b)(e)(h) | | 318,000 | 318,064 |
Granite Park Equipment Leasing Series 2023-1A Class E, 7% 6/20/35 (b) | | 1,587,000 | 1,362,215 |
Green Tree Financial Corp. Series 1998-4 Class M1, 6.83% 4/1/30 | | 340,930 | 319,785 |
Greywolf CLO II, Ltd. Series 2021-1A Class A1SR, CME Term SOFR 3 Month Index + 1.400% 6.7165% 4/15/34 (b)(e)(h) | | 35,000,000 | 35,011,935 |
Gulf Stream Meridian 7 Ltd. / G Series 2022-7A Class A1, CME Term SOFR 3 Month Index + 1.360% 6.6765% 7/15/35 (b)(e)(h) | | 1,500,000 | 1,500,375 |
Harriman Park Clo Ltd. Series 2021-1A Class A1R, CME Term SOFR 3 Month Index + 1.380% 6.6994% 4/20/34 (b)(e)(h) | | 500,000 | 499,996 |
Harvest Sba Loan Trust 2021-1 Series 2021-1 Class A, CME Term SOFR 1 Month Index + 2.110% 7.4503% 4/25/48 (b)(e)(h) | | 30,789 | 30,571 |
Henley CLO IV DAC Series 2021-4A Class A, 3 month EURIBOR EURO INTER + 0.900% 4.848% 4/25/34 (b)(e)(h) | EUR | 2,000,000 | 2,137,494 |
Hero Funding 2017-2 Series 2017-2A Class A2, 4.07% 9/20/48 (b) | | 57,275 | 51,279 |
Hero Funding 2017-3 Series 2017-3A: | | | |
Class A1, 3.19% 9/20/48 (b) | | 60,395 | 52,080 |
Class A2, 3.95% 9/20/48 (b) | | 49,850 | 44,130 |
Hero Funding Ii 2016-4B Series 2016-4B Class B, 4.99% 9/20/47 (b) | | 17,937 | 17,730 |
Hero Funding Iii Series 2017-1A Class A, 3.5% 9/21/43 (b) | | 65,563 | 60,665 |
Hero Funding Trust 2015-3 Series 2015-3A Class A, 4.28% 9/20/41 (b) | | 35,317 | 33,211 |
Hero Funding Trust 2016-3 Series 2016-3A Class A1, 3.08% 9/20/42 (b) | | 15,611 | 13,982 |
Hero Funding Trust 2017-1A Series 2017-1A Class A2, 4.46% 9/20/47 (b) | | 54,024 | 49,114 |
Hertz Vehicle Financing LLC 20 Series 2023-3A Class A, 5.94% 2/25/28 (b) | | 1,197,000 | 1,208,801 |
Hgi Cre Clo 2021-Florida3 Ltd. Series 2022-FL3 Class D, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.750% 9.0747% 4/20/37 (b)(e)(h) | | 320,500 | 315,641 |
Hig Rcp 2023-Florida1 LLC Series 2023-FL1 Class A, CME Term SOFR 1 Month Index + 2.270% 7.6072% 9/19/38 (b)(e)(h) | | 1,210,000 | 1,212,612 |
Hilton Grand Vacations Trust Series 2020-AA Class C, 6.42% 2/25/39 (b) | | 81,904 | 81,291 |
Hilton Grand Vacations Trust 2 Series 2023-1A Class C, 6.94% 1/25/38 (b) | | 3,626,821 | 3,635,296 |
Home Partners of America Trust: | | | |
Series 2019-2 Class E, 3.32% 10/19/39 (b) | | 270,986 | 236,540 |
Series 2021-3 Class E2, 3.347% 1/17/41 (b) | | 395,534 | 336,806 |
Home Re, Ltd. Series 2021-2 Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.800% 8.1217% 1/25/34 (b)(e)(h) | | 990,000 | 1,000,359 |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | | 2,760,251 | 2,415,187 |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | | 6,844,420 | 6,122,850 |
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 1A1, CME Term SOFR 1 Month Index + 0.250% 5.5754% 1/25/37 (e)(h) | | 2,394,599 | 1,793,757 |
Hyundai Auto Receivables Trust Series 2023-B Class A3, 5.48% 4/17/28 | | 1,443,000 | 1,451,238 |
Invesco CLO Ltd. Series 2021-3A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7094% 10/22/34 (b)(e)(h) | | 4,148,000 | 4,148,577 |
Invesco Euro CLO I DAC Series 2021-1A Class A1R, 3 month EURIBOR EURO INTER + 0.650% 4.592% 7/15/31 (b)(e)(h) | EUR | 10,000,000 | 10,647,328 |
Jamestown CLO XIV Ltd. Series 2021-14A: | | | |
Class A1AR, CME Term SOFR 3 Month Index + 1.460% 6.7794% 10/20/34 (b)(e)(h) | | 13,000,000 | 12,999,116 |
Class A2R, CME Term SOFR 3 Month Index + 2.010% 7.3294% 10/20/34 (b)(e)(h) | | 10,600,000 | 10,600,392 |
Jonah Energy Abs I LLC Series 2022-1 Class A1, 7.2% 12/10/37 (b) | | 467,680 | 465,975 |
JPMorgan Chase Bank NA - CACLN Series 2021-2 Class E, 2.28% 12/26/28 (b) | | 135,112 | 132,857 |
Kgs-Alpha Sba Coof Trust 2013- Series 2013-2 Class A, 1.8898% 3/25/39 (b)(e)(o) | | 54,480 | 1,592 |
Kgs-Alpha Sba Coof Trust Ser 2012 Series 2012-2 Class A, 0.8062% 8/25/38 (b)(e)(o) | | 59,304 | 961 |
Kgs-Alpha Sba Coof Trust Serie Series 2012-4 Class A, 0.9315% 9/25/37 (b)(e)(o) | | 69,857 | 1,278 |
KKR CLO Ltd. Series 2022-41A Class A1, CME Term SOFR 3 Month Index + 1.330% 6.6465% 4/15/35 (b)(e)(h) | | 9,327,000 | 9,311,592 |
KKR Financial CLO Ltd. Series 2021-33A Class A, CME Term SOFR 3 Month Index + 1.430% 6.7494% 7/20/34 (b)(e)(h) | | 13,000,000 | 13,003,705 |
LCM XXIV Ltd. / LCM XXIV LLC Series 2021-24A Class AR, CME Term SOFR 3 Month Index + 1.240% 6.5594% 3/20/30 (b)(e)(h) | | 4,349,189 | 4,356,713 |
Lending Funding Trust 2020-2 Series 2020-2A: | | | |
Class A, 2.32% 4/21/31 (b) | | 3,750,000 | 3,474,511 |
Class D, 6.77% 4/21/31 (b) | | 3,455,000 | 3,167,664 |
Lendmark Funding Trust Series 2021-1A: | | | |
Class A, 1.9% 11/20/31 (b) | | 4,200,000 | 3,831,093 |
Class D, 5.05% 11/20/31 (b) | | 3,000,000 | 2,527,331 |
Lendmark Funding Trust 2021-2 Series 2021-2A Class D, 4.46% 4/20/32 (b) | | 3,000,000 | 2,428,730 |
Lendmark Funding Trust 2022-1 Series 2022-1A Class C, 6.6% 7/20/32 (b) | | 400,000 | 400,758 |
Lendmark Funding Trust 2023-1 Series 2023-1A Class D, 8.69% 5/20/33 (b) | | 1,939,000 | 2,002,651 |
Lendmark Funding Trust 2024-1 Series 2024-1A: | | | |
Class B, 5.88% 6/21/32 (b) | | 100,000 | 99,606 |
Class D, 7.21% 6/21/32 (b) | | 100,000 | 100,698 |
Lft Cre 2021-Florida1 Ltd. / Lft Cre Series 2021-FL1: | | | |
Class D, CME Term SOFR 1 Month Index + 2.560% 7.8821% 6/15/39 (b)(e)(h) | | 416,500 | 398,945 |
Class E, CME Term SOFR 1 Month Index + 3.060% 8.3821% 6/15/39 (b)(e)(h) | | 365,500 | 349,482 |
Louisiana Local Government Environment and Community Dev. Auth. Series 2022-2022A Class A2, 4.145% 2/1/33 | | 260,000 | 250,624 |
LP Lms 2021-1 Asset Securitiza 0% 10/15/28 (b) | | 57,125 | 56,942 |
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, CME Term SOFR 3 Month Index + 1.360% 6.6794% 1/22/35 (b)(e)(h) | | 6,180,000 | 6,175,229 |
Madison Park Funding Ltd. Series 2021-37A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.6456% 7/15/33 (b)(e)(h) | | 1,000,000 | 1,001,622 |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.6956% 7/15/34 (b)(e)(h) | | 4,233,000 | 4,233,254 |
Madison Park Funding Xxxi Ltd. Series 2018-31A: | | | |
Class B, CME Term SOFR 3 Month Index + 1.960% 7.2774% 1/23/31 (b)(e)(h) | | 1,000,000 | 1,001,119 |
Class C, CME Term SOFR 3 Month Index + 2.410% 7.7274% 1/23/31 (b)(e)(h) | | 1,000,000 | 1,000,300 |
Madison Park Funding XXXIV, Ltd. Series 2021-34A Class AR, CME Term SOFR 3 Month Index + 1.380% 6.7063% 4/25/32 (b)(e)(h) | | 10,000,000 | 9,991,550 |
Madison Park Funding XXXVIII, Ltd. Series 2021-38A Class A, CME Term SOFR 3 Month Index + 1.380% 6.6981% 7/17/34 (b)(e)(h) | | 12,500,000 | 12,518,825 |
Madison Pk Funding Xxx Ltd. / LLC Series 2018-30A Class A, CME Term SOFR 3 Month Index + 1.010% 6.3256% 4/15/29 (b)(e)(h) | | 516,477 | 515,942 |
Magnetite CLO LTD Series 2023-36A Class A, CME Term SOFR 3 Month Index + 1.800% 7.1178% 4/22/36 (b)(e)(h) | | 3,249,000 | 3,270,443 |
Magnetite CLO Ltd. Series 2021-27A Class AR, CME Term SOFR 3 Month Index + 1.400% 6.7194% 10/20/34 (b)(e)(h) | | 1,417,000 | 1,417,529 |
Magnetite XXIII, Ltd. Series 2021-23A Class AR, CME Term SOFR 3 Month Index + 1.390% 6.7163% 1/25/35 (b)(e)(h) | | 4,904,000 | 4,903,985 |
Mariner Finance Issuance Trust: | | | |
Series 2021-AA Class E, 5.4% 3/20/36 (b) | | 4,500,000 | 3,868,649 |
Series 2021-BA Class E, 4.68% 11/20/36 (b) | | 3,000,000 | 2,514,745 |
Series 2022-AA: | | | |
Class A, 6.45% 10/20/37 (b) | | 954,000 | 957,081 |
Class D, 9.1% 10/20/37 (b) | | 337,000 | 341,758 |
Class E, 10.98% 10/20/37 (b) | | 2,400,000 | 2,430,366 |
Series 2023-AA: | | | |
Class A, 6.7% 10/22/35 (b) | | 1,364,000 | 1,383,699 |
Class B, 7.11% 10/22/35 (b) | | 733,000 | 746,844 |
Marlette Funding Trust 2023-2 Series 2023-2A Class C, 6.96% 6/15/33 (b) | | 193,000 | 194,990 |
MASTR Asset Backed Securities Trust Series 2005-WF1 Class M7, CME Term SOFR 1 Month Index + 1.830% 7.1604% 6/25/35 (e)(h) | | 1,816,559 | 1,833,817 |
Mastr Asset Backed South Carolina 2007-Ncw Series 2007-NCW Class A1, CME Term SOFR 1 Month Index + 0.410% 5.7354% 5/25/37 (Assured Guaranty Municipal Corp. Insured) (b)(e)(h) | | 1,131,147 | 972,391 |
Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/36 (b) | | 5,600,000 | 5,640,809 |
Mercury Financial Credit Card Series 2023-1A Class A, 8.04% 9/20/27 (b) | | 4,463,000 | 4,507,638 |
Mid State Capital Corp. 05 1 Trust Series 2005-1 Class M1, 6.106% 1/15/40 | | 24,202 | 23,834 |
Mid-State Capital Corp. 2006-1 Trust Series 2006-1: | | | |
Class A, 5.787% 10/15/40 (b) | | 19,737 | 19,298 |
Class M1, 6.083% 10/15/40 (b) | | 23,947 | 23,417 |
Milos CLO, Ltd. Series 2020-1A Class AR, CME Term SOFR 3 Month Index + 1.330% 6.6494% 10/20/30 (b)(e)(h) | | 6,955,170 | 6,965,658 |
Morgan Stanley ABS Capital I Trust: | | | |
Series 2003-SD1 Class M1, CME Term SOFR 1 Month Index + 2.360% 7.6854% 3/25/33 (h) | | 3,362 | 3,269 |
Series 2006-HE4 Class A4, CME Term SOFR 1 Month Index + 0.590% 5.9154% 6/25/36 (h) | | 3,459,568 | 1,726,486 |
Series 2007-NC3 Class A2D, CME Term SOFR 1 Month Index + 0.370% 5.6954% 5/25/37 (e)(h) | | 1,943,159 | 1,428,919 |
Morgan Stanley Mortgage Series 2006-16AX Class 2A3, CME Term SOFR 1 Month Index + 0.610% 5.9503% 11/25/36 (h) | | 41,993 | 11,464 |
Morgan Stanley Mtg Ln Trust 7-3Xs Series 2017-3XS Class 2A4S, 6.4631% 1/25/47 | | 840,148 | 295,950 |
Mosaic Solar Loan Trust 23-4 Series 2023-4A Class A, 6.4% 5/20/53 (b) | | 241,549 | 249,822 |
Multi-Family 1 LLC Series 2024-FL14 Class A, CME Term SOFR 1 Month Index + 1.730% 7.0546% 3/19/39 (b)(e)(h) | | 100,000 | 99,844 |
Mvw 2019-1 LLC Series 2019-1A: | | | |
Class B, 3% 11/20/36 (b) | | 86,972 | 84,006 |
Class C, 3.33% 11/20/36 (b) | | 36,733 | 35,245 |
Mvw 2022-2 LLC Series 2022-2A Class D, 9% 10/21/41 (b) | | 378,680 | 377,367 |
Navient Student Loan Trst Series 2023-BA: | | | |
Class A1A, 6.48% 3/15/72 (b) | | 183,291 | 185,532 |
Class A1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.700% 7.0247% 3/15/72 (b)(e)(h) | | 254,974 | 257,213 |
Navient Student Loan Trust: | | | |
Series 2015-1 Class A2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.710% 6.0361% 4/25/40 (e)(h) | | 2,026,665 | 1,981,580 |
Series 2016-2A Class A3, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.610% 6.9361% 6/25/65 (b)(e)(h) | | 1,088,134 | 1,104,061 |
Series 2017-3A Class A3, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.160% 6.4861% 7/26/66 (b)(e)(h) | | 3,263,012 | 3,272,796 |
Nelnet Student Ln Trust 2021-A Series 2021-A Class B1, 2.85% 4/20/62 (b) | | 142,000 | 117,078 |
Nelnet Student Loan Trust Series 2013-1 Class A6, CME Term SOFR 3 Month Index + 0.710% 6.0335% 8/23/36 (b)(e)(h) | | 4,680,192 | 4,624,202 |
Nelnet Student Loan Trust 2023-Pl1 Series 2023-PL1A Class A1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.250% 7.5717% 11/25/53 (b)(e)(h) | | 182,873 | 183,330 |
Neuberger Berman Loan Advisers: | | | |
Series 2019-35A Class A1, CME Term SOFR 3 Month Index + 1.600% 6.9112% 1/19/33 (b)(e)(h) | | 2,000,000 | 2,002,688 |
Series 2020-39A Class B, CME Term SOFR 3 Month Index + 1.860% 7.1794% 1/20/32 (b)(e)(h) | | 600,000 | 600,112 |
Series 2021-45A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7056% 10/14/35 (b)(e)(h) | | 500,000 | 500,849 |
Series 2024-35A Class ANR, CME Term SOFR 3 Month Index + 1.300% 0% 1/19/33 (b)(e)(h) | | 2,000,000 | 2,001,058 |
Neuberger Berman Loan Advisers CLO, Ltd. Series 2021-26A Class AR, CME Term SOFR 3 Month Index + 1.180% 6.4795% 10/18/30 (b)(e)(h) | | 563,970 | 564,532 |
New Century Home Equity Loan Trust Series 2003-5 Class AI6, 4.8599% 11/25/33 | | 5,743 | 5,474 |
Newcastle Mortgage Securities Trust Series 2007-1 Class 2A3, CME Term SOFR 1 Month Index + 0.340% 5.6654% 4/25/37 (h) | | 2,001,308 | 1,950,009 |
Newrez LLC / Newres Gmsr Exces Series 2021-GNT1 Class A, 3.474% 11/25/26 (b) | | 2,043,714 | 1,867,856 |
Nissan Auto Lease Trust 2023-B Series 2023-B Class A4, 5.61% 11/15/27 | | 270,000 | 270,791 |
Northwoods Capital XV, Ltd. Series 2021-15A Class A1R, CME Term SOFR 3 Month Index + 1.470% 6.842% 6/20/34 (b)(e)(h) | | 23,750,000 | 23,749,074 |
Nrz Excess Spread-Collateraliz Series 2020-PLS1 Class A, 3.844% 12/25/25 (b) | | 154,465 | 147,833 |
Nrz Fht Excess LLC Series 2020-FHT1 Class A, 4.212% 11/25/25 (b) | | 751,382 | 721,325 |
Oak Hill Credit Partners X-R, Ltd. Series 2021-10RA, Class BR, CME Term SOFR 3 Month Index + 1.810% 7.1294% 4/20/34 (b)(e)(h) | | 2,000,000 | 2,000,230 |
OCP CLO Ltd. Series 2021-18A Class AR, CME Term SOFR 3 Month Index + 1.350% 6.6694% 7/20/32 (b)(e)(h) | | 18,000,000 | 18,007,794 |
Octagon Investment Partners 20-R, Ltd. Series 2021-4A Class BR, CME Term SOFR 3 Month Index + 1.960% 7.263% 5/12/31 (b)(e)(h) | | 2,500,000 | 2,493,770 |
Octagon Investment Partners 31, Ltd. / Octagon Investment Partners 31 LLC Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.310% 6.6294% 7/20/30 (b)(e)(h) | | 2,199,904 | 2,201,635 |
Octagon Investment Partners Xxi Ltd. Series 2021-1A Class AAR3, CME Term SOFR 3 Month Index + 1.260% 6.6393% 2/14/31 (b)(e)(h) | | 500,000 | 500,313 |
Octane Receivables Trust 2023 Series 2023-2A Class C, 6.24% 6/20/31 (b) | | 2,589,000 | 2,577,853 |
OHA Credit Funding Ltd. Series 2021-9A Class B, CME Term SOFR 3 Month Index + 1.960% 7.2712% 7/19/35 (b)(e)(h) | | 250,000 | 250,091 |
Onemain Financial Issuance Tru Series 2023-2A: | | | |
Class B, 6.17% 9/15/36 (b) | | 5,714,000 | 5,781,323 |
Class C, 6.74% 9/15/36 (b) | | 1,300,000 | 1,314,975 |
Class D, 7.52% 9/15/36 (b) | | 2,400,000 | 2,458,504 |
Onemain Financial Issuance Trust 2020- Series 2020-2A Class B, 2.21% 9/14/35 (b) | | 1,050,000 | 936,349 |
Oportun Funding XIV, LLC Series 2021-A Class A, 1.21% 3/8/28 (b) | | 340,153 | 326,152 |
Oportun Issuance Trust 2021-B Series 2021-B: | | | |
Class B, 1.96% 5/8/31 (b) | | 184,000 | 172,805 |
Class C, 3.65% 5/8/31 (b) | | 2,947,000 | 2,763,429 |
Oportun Issuance Trust 2021-C Series 2021-C Class A, 2.18% 10/8/31 (b) | | 5,000,000 | 4,698,704 |
Oportun Issuance Trust 2022-2 Series 2022-2 Class C, 9.36% 10/9/29 (b) | | 235,000 | 235,767 |
Oportun Issuance Trust 2022-3 Series 2022-3 Class C, 10.147% 1/8/30 (b) | | 228,000 | 231,002 |
Oportun Issuance Trust 2022-A Series 2022-A: | | | |
Class A, 5.05% 6/9/31 (b) | | 351,000 | 347,409 |
Class C, 7.4% 6/9/31 (b) | | 160,000 | 154,946 |
Palmer Square Clo 2015-2 Ltd. Series 2020-2A Class CR2, CME Term SOFR 3 Month Index + 3.010% 8.3294% 7/20/30 (b)(e)(h) | | 700,000 | 697,710 |
Palmer Square CLO, Ltd. Series 2021-1A Class A1, CME Term SOFR 3 Month Index + 1.450% 6.7694% 4/20/34 (b)(e)(h) | | 3,000,000 | 3,004,074 |
Palmer Square Loan Funding, Ltd. Series 2021-2A Class B, CME Term SOFR 3 Month Index + 1.660% 6.9807% 5/20/29 (b)(e)(h) | | 250,000 | 250,072 |
Park Avenue Institutional Advisers CLO Ltd. / Park Avenue Institutional Advisers CLO LLC Series 2021-1A Class A1AR, CME Term SOFR 3 Month Index + 1.260% 6.5794% 10/20/31 (b)(e)(h) | | 12,690,227 | 12,700,036 |
Park Avenue Institutional Advisers CLO, Ltd. Series 2021-1A Class A1R, CME Term SOFR 3 Month Index + 1.500% 6.8081% 2/14/34 (b)(e)(h) | | 2,000,000 | 2,000,174 |
Peace Park CLO, Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.390% 6.7094% 10/20/34 (b)(e)(h) | | 5,651,000 | 5,651,090 |
PFS Financing Corp. Series 2022-D Class B, 4.9% 8/15/27 (b) | | 1,047,000 | 1,026,105 |
Pikes Peak Clo 6 / Pikes Peak Series 2021-6A Class DR2, CME Term SOFR 3 Month Index + 3.360% 8.6807% 5/18/34 (b)(e)(h) | | 935,000 | 935,068 |
Planet Fitness Master Issuer LLC: | | | |
Series 2019-1A Class A2, 3.858% 12/5/49 (b) | | 5,966,400 | 5,397,897 |
Series 2022-1A: | | | |
Class A2I, 3.251% 12/5/51 (b) | | 4,603,995 | 4,286,980 |
Class A2II, 4.008% 12/5/51 (b) | | 4,114,710 | 3,612,132 |
Pret 2021-Npl6 LLC Series 2021-NPL6 Class A1, 2.4871% 7/25/51 (b)(e) | | 270,953 | 266,847 |
Pret 2023-Rn2 LLC Series 2023-RN2 Class A1, 8.1115% 11/25/53 (b) | | 297,324 | 298,524 |
Pretium Mtg Credit Partners I 2021: | | | |
Series 2021-NPL1: | | | |
Class A1, 2.2395% 9/27/60 (b) | | 434,360 | 426,603 |
Class A2, 4.2128% 9/27/60 (b) | | 453,457 | 411,093 |
Series 2021-NPL4 Class A1, 2.3633% 10/27/60 (b)(e) | | 237,773 | 231,616 |
Progress Residential: | | | |
Series 2020-SFR2: | | | |
Class B, 2.578% 6/17/37 (b) | | 353,000 | 338,331 |
Class C, 3.077% 6/17/37 (b) | | 266,000 | 255,753 |
Class D, 3.874% 6/17/37 (b) | | 282,000 | 272,999 |
Series 2021-SFR2 Class GREG, 0% 6/17/37 (b)(p) | | 568,000 | 511,064 |
Series 2022-SFR3: | | | |
Class D, 4.45% 4/17/39 (b) | | 4,705,000 | 4,456,786 |
Class E2, 5.6% 4/17/39 (b) | | 588,000 | 560,061 |
Class F, 6.6% 4/17/39 (b) | | 335,000 | 318,588 |
Series 2023-SFR1 Class E1, 6.15% 3/17/40 (b) | | 1,822,000 | 1,769,679 |
Progress Residential 2021-Sfr1 Series 2021-SFR1 Class F, 2.757% 4/17/38 (b) | | 351,000 | 316,548 |
Progress Residential 2022-Sfr1 Series 2022-SFR1 Class E1, 3.93% 2/17/41 (b) | | 479,000 | 424,244 |
Progress Residential 2023-Sfr2 Series 2023-SFR2: | | | |
Class D, 4.5% 10/17/28 (b) | | 2,550,000 | 2,374,709 |
Class E1, 4.75% 10/17/28 (b) | | 4,531,000 | 4,154,576 |
Progress Residential Trust: | | | |
Series 2020-SFR3: | | | |
Class F, 2.796% 10/17/27 (b) | | 292,000 | 273,323 |
Class G, 4.105% 10/17/27 (b) | | 204,000 | 193,230 |
Series 2021-SFR11 Class E1, 3.378% 1/17/39 (b) | | 4,000,000 | 3,438,501 |
Series 2021-SFR2 Class E2, 2.647% 4/19/38 (b) | | 443,000 | 404,724 |
Series 2021-SFR3: | | | |
Class E2, 2.688% 5/17/26 (b) | | 281,728 | 256,841 |
Class F, 3.436% 5/17/26 (b) | | 1,500,000 | 1,372,784 |
Series 2021-SFR8: | | | |
Class E1, 2.382% 10/17/38 (b) | | 722,000 | 646,281 |
Class F, 3.181% 10/17/38 (b) | | 4,000,000 | 3,562,346 |
Series 2022-SFR2 Class E2, 4.8% 4/17/27 (b) | | 643,616 | 598,604 |
Prpm 2023-Rcf2 LLC Series 2023-RCF2 Class A1, 4% 11/25/53 (b) | | 1,531,532 | 1,463,619 |
Rad CLO Ltd. Series 2024-7A: | | | |
Class B1R, CME Term SOFR 3 Month Index + 1.900% 0% 4/17/36 (b)(e)(h) | | 250,000 | 250,238 |
Class CR, CME Term SOFR 3 Month Index + 2.600% 0% 4/17/36 (b)(e)(h) | | 250,000 | 250,339 |
Ready Capital Mortgage Financi Series 2023-FL11 Class A, CME Term SOFR 1 Month Index + 2.370% 7.6949% 10/25/39 (b)(e)(h) | | 870,488 | 872,540 |
Recette CLO, Ltd. Series 2021-1A Class ARR, CME Term SOFR 3 Month Index + 1.340% 6.6594% 4/20/34 (b)(e)(h) | | 4,700,000 | 4,699,897 |
Redwood Funding Trust 2023-1 Series 2023-1 Class A, 7.5% 7/25/59 (b) | | 218,052 | 216,261 |
Regata Xii Funding Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.360% 6.6756% 10/15/32 (b)(e)(h) | | 1,000,000 | 1,001,090 |
Regatta XX Funding Ltd. Series 2021-2A Class A, CME Term SOFR 3 Month Index + 1.420% 6.7356% 10/15/34 (b)(e)(h) | | 908,889 | 907,562 |
Regional Management Issuance T Series 2021-1: | | | |
Class B, 2.42% 3/17/31 (b) | | 239,000 | 221,811 |
Class D, 5.07% 3/17/31 (b) | | 800,000 | 723,781 |
Regional Management Issuance Trust 2022: | | | |
Series 2022-1 Class A, 3.07% 3/15/32 (b) | | 193,000 | 184,479 |
Series 2022-2B Class A, 7.1% 11/17/32 (b) | | 253,000 | 255,505 |
Renew 2017-1 Series 2017-1A: | | | |
Class A, 3.67% 9/20/52 (b) | | 26,500 | 24,106 |
Class B, 5.75% 9/20/52 (b) | | 19,194 | 18,500 |
Renew 2017-2 Series 2017-2A Class A, 3.22% 9/22/53 (b) | | 288,146 | 255,246 |
Renew 2023-1 Series 2023-1A Class A, 5.9% 11/20/58 (b) | | 3,013,822 | 2,945,668 |
Rocket Mortgage Trust Series 2024-CES1 Class A1A, 6.025% 2/25/44 (b) | | 1,900,000 | 1,895,909 |
Rockland Park CLO Ltd. Series 2021-1A Class A, CME Term SOFR 3 Month Index + 1.380% 6.6994% 4/20/34 (b)(e)(h) | | 7,250,000 | 7,253,560 |
Romark CLO-IV Ltd. / Romark CLO-IV LLC Series 2021-4A Class A1, CME Term SOFR 3 Month Index + 1.430% 6.7574% 7/10/34 (b)(e)(h) | | 13,250,000 | 13,250,133 |
RR Ltd. Series 2022-7A Class A1AB, CME Term SOFR 3 Month Index + 1.340% 6.6565% 1/15/37 (b)(e)(h) | | 7,731,000 | 7,730,869 |
Rr15 Ltd. / Rr15 LLC Series 2021-15A Class A2, CME Term SOFR 3 Month Index + 1.710% 7.0256% 4/15/36 (b)(e)(h) | | 1,000,000 | 997,399 |
Santander Drive Auto Receivabl: | | | |
Series 2023-2 Class C, 5.47% 12/16/30 | | 740,000 | 736,700 |
Series 2023-6 Class C, 6.4% 3/17/31 | | 500,000 | 512,953 |
Santander Drive Auto Receivables Trust: | | | |
Series 2021-1 Class D, 1.13% 11/16/26 | | 2,018,844 | 1,971,314 |
Series 2022-6 Class D, 5.69% 2/18/31 | | 3,300,000 | 3,277,657 |
Santander Revolving Auto Loan Series 2019-A: | | | |
Class A, 2.51% 1/26/32 (b) | | 957,000 | 934,145 |
Class C, 3% 1/26/32 (b) | | 314,000 | 305,985 |
Class D, 3.45% 1/26/32 (b) | | 219,000 | 213,517 |
Sapphire Aviation Finance Series 2020-1A: | | | |
Class A, 3.228% 3/15/40 (b) | | 4,969,857 | 4,396,087 |
Class B, 4.335% 3/15/40 (b) | | 543,545 | 410,714 |
Saratoga Investment Corp. CLO, Ltd. / Saratoga Investment Corp. CLO, Inc. Series 2021-1A Class AR3, CME Term SOFR 3 Month Index + 1.580% 6.8994% 4/20/33 (b)(e)(h) | | 12,000,000 | 12,001,620 |
SBA Tower Trust: | | | |
Series 2019, 2.836% 1/15/50 (b) | | 8,004,000 | 7,823,549 |
1.884% 7/15/50 (b) | | 2,753,000 | 2,565,726 |
2.328% 7/15/52 (b) | | 2,105,000 | 1,843,989 |
Scf Equipment Leasing 2023-1 L Series 2023-1A Class B, 6.37% 5/20/32 (b) | | 2,500,000 | 2,560,783 |
Securitized Asset Backed Receivables LLC Trust Series 2006-CB5 Class A3, CME Term SOFR 1 Month Index + 0.390% 5.7154% 6/25/36 (e)(h) | | 2,149,120 | 1,396,393 |
Sesac Finance LLC 2022-1 Series 2024-1 Class A2, 6.421% 1/25/54 (b) | | 53,000 | 53,013 |
Sierra Timeshare 2022-1 Receiv Series 2022-1A Class D, 6% 10/20/38 (b) | | 204,485 | 194,487 |
Sierra Timeshare 2023-1 Receiv Series 2023-1A Class D, 9.8% 1/20/40 (b) | | 1,310,217 | 1,325,712 |
Sierra Timeshare 2023-2 Receiv Series 2023-2A Class D, 9.72% 4/20/40 (b) | | 891,081 | 907,040 |
Sierra Timeshare 2023-3 Receiv Series 2023-3A Class D, 9.44% 9/20/40 (b) | | 744,603 | 747,071 |
Signal Peak Clo 5 Ltd. Series 2018-5A Class B, CME Term SOFR 3 Month Index + 1.710% 7.0363% 4/25/31 (b)(e)(h) | | 1,000,000 | 998,326 |
Sixth Street Clo Xx Ltd. Series 2021-20A Class A1, CME Term SOFR 3 Month Index + 1.420% 6.7394% 10/20/34 (b)(e)(h) | | 1,000,000 | 1,001,094 |
Sound Point CLO VII-R, Ltd. Series 2021-3RA Class A1R, CME Term SOFR 3 Month Index + 1.330% 6.6474% 10/23/31 (b)(e)(h) | | 10,250,000 | 10,258,846 |
Soundview Home Equity Loan Trust: | | | |
Series 2005-OPT3 Class M4, CME Term SOFR 1 Month Index + 1.130% 6.4554% 11/25/35 (e)(h) | | 45,000 | 31,927 |
Series 2007-OPT1 Class 2A1, CME Term SOFR 1 Month Index + 0.190% 5.5154% 6/25/37 (e)(h) | | 21,370 | 13,852 |
Soundview Home Loan Trust Series 2007-NS1 Class M1, CME Term SOFR 1 Month Index + 0.460% 5.7854% 1/25/37 (h) | | 31,214 | 28,314 |
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (b) | | 1,480,000 | 1,245,193 |
SYMP Series 2022-32A Class A1, CME Term SOFR 3 Month Index + 1.320% 6.6358% 4/23/35 (b)(e)(h) | | 7,640,000 | 7,646,234 |
Symphony Clo 38 Ltd. Series 2023-38A Class C1, CME Term SOFR 3 Month Index + 2.900% 8.2186% 4/24/36 (b)(e)(h) | | 500,000 | 500,613 |
Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, CME Term SOFR 3 Month Index + 1.220% 6.5356% 4/16/31 (b)(e)(h) | | 2,510,244 | 2,510,211 |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, CME Term SOFR 3 Month Index + 1.320% 6.6356% 7/15/32 (b)(e)(h) | | 768,000 | 768,508 |
TCI-Symphony CLO Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.190% 6.5056% 7/15/30 (b)(e)(h) | | 509,435 | 509,943 |
TCW CLO, Ltd. / TCW CLO, LLC Series 2021-1A Class A1RR, CME Term SOFR 3 Month Index + 1.420% 6.7394% 4/20/34 (b)(e)(h) | | 5,500,000 | 5,499,610 |
Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 Month Index + 0.970% 6.2954% 9/25/34 (e)(h) | | 3,163 | 3,151 |
Tesla Auto Lease Trust 2023-B Series 2023-B Class A4, 6.22% 3/22/27 (b) | | 2,888,000 | 2,910,097 |
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b) | | 3,262,000 | 3,280,640 |
TH MSR Issuer Trust Series 2019-FT1 Class A, CME Term SOFR 1 Month Index + 2.910% 8.2354% 6/25/24 (b)(e)(h) | | 650,000 | 643,791 |
Theorem Funding Trust 2022-2 Series 2022-2A Class A, 6.06% 12/15/28 (b) | | 211,642 | 210,821 |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(e) | | 6,915,089 | 6,050,841 |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | | 7,548,802 | 6,435,731 |
Towd Point Mortgage Trust Series 2024-CES1 Class A1A, 5.848% 1/25/64 (b) | | 991,178 | 989,790 |
Toyota Lease Owner Trust: | | | |
Series 2023 A: | | | |
Class A2, 5.3% 8/20/25 (b) | | 2,416,547 | 2,413,482 |
Class A3, 4.93% 4/20/26 (b) | | 3,341,000 | 3,326,824 |
Series 2024-A Class A3, 5.25% 4/20/27 (b) | | 3,315,000 | 3,314,147 |
Tralee CLO VII Ltd. / Tralee CLO VII LLC Series 2021-7A Class A1, CME Term SOFR 3 Month Index + 1.580% 6.9063% 4/25/34 (b)(e)(h) | | 12,000,000 | 12,010,152 |
Trestles Clo V Ltd. / Trestles Series 2021-5A Class A1, CME Term SOFR 3 Month Index + 1.430% 6.7494% 10/20/34 (b)(e)(h) | | 3,500,000 | 3,500,175 |
Tricon American Homes: | | | |
Series 2019-SFR1 Class F, 3.745% 3/17/38 (b) | | 204,000 | 192,580 |
Series 2020-SFR1 Class E, 3.544% 7/17/38 (b) | | 800,000 | 750,475 |
Trimaran Cavu 2019-1 Ltd. / Tri Series 2019-1A Class A1, CME Term SOFR 3 Month Index + 1.720% 7.0394% 7/20/32 (b)(e)(h) | | 1,000,000 | 1,000,190 |
Upstart Securitization Trust Series 2022-1 Class A, 3.12% 3/20/32 (b) | | 969,375 | 961,024 |
Valley Stream Park Clo Ltd. Series 2023-1A Class ER, CME Term SOFR 3 Month Index + 6.850% 12.1678% 10/20/34 (b)(e)(h) | | 1,000,000 | 1,000,520 |
VCAT Asset Securitization, LLC Series 2021-NPL3 Class A1, 1.743% 5/25/51 (b)(e) | | 88,874 | 85,487 |
Venture 43 CLO, Ltd. Series 2021-43A Class A1, CME Term SOFR 3 Month Index + 1.500% 6.8156% 4/15/34 (b)(e)(h) | | 15,200,000 | 15,201,459 |
Verdant Receivables 2023-1 LLC Series 2023-1A Class A2, 6.24% 1/13/31 (b) | | 2,655,286 | 2,657,782 |
Vericrest Opportunity Loan Transferee Series 2021-NP11 Class A1, 1.8678% 8/25/51 (b) | | 4,198,575 | 4,034,846 |
Verizon Master Trust Series 2023 2 Class A, 4.89% 4/13/28 | | 2,100,000 | 2,088,827 |
Volt 2021-Npl5 Series 2021-NPL5 Class A1, 5.1157% 3/27/51 (b) | | 503,982 | 492,954 |
Volt C LLC Series 2021-NPL9 Class A1, 1.9918% 5/25/51 (b) | | 385,490 | 370,553 |
Volt Ci LLC Series 2021-NP10 Class A1, 1.9918% 5/25/51 (b) | | 1,313,878 | 1,259,223 |
Volt Xciii LLC Series 2021-NPL2 Class A1, 4.8925% 2/27/51 (b)(e) | | 1,432,005 | 1,388,910 |
VOLT XCIV LLC Series 2021-NPL3 Class A1, 5.2395% 2/27/51 (b)(e) | | 5,949,753 | 5,812,684 |
Volt Xcix LLC Series 2021-NPL8 Class A1, 2.1157% 4/25/51 (b) | | 266,495 | 258,711 |
Volt Xcv LLC Series 2021-NPL4 Class A1, 5.2396% 3/27/51 (b) | | 134,294 | 131,409 |
Volt Xcvii LLC Series 2021-NPL6 Class A1, 2.2395% 4/25/51 (b) | | 316,412 | 309,736 |
Voya Clo 2017-3A Ltd. Series 2021-3A Class DR, CME Term SOFR 3 Month Index + 7.210% 12.5294% 4/20/34 (b)(e)(h) | | 250,000 | 236,131 |
Voya Clo 2018-3 Ltd. Series 2018-3A Class A1A, CME Term SOFR 3 Month Index + 1.410% 6.7256% 10/15/31 (b)(e)(h) | | 458,292 | 458,565 |
Voya CLO Ltd. Series 2019-2A Class A, CME Term SOFR 3 Month Index + 1.530% 6.8494% 7/20/32 (b)(e)(h) | | 8,868,000 | 8,883,164 |
Voya CLO Ltd./Voya CLO LLC: | | | |
Series 2021-2A Class A1R, CME Term SOFR 3 Month Index + 1.420% 6.7312% 7/19/34 (b)(e)(h) | | 15,930,000 | 15,931,115 |
Series 2021-3A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7294% 10/20/34 (b)(e)(h) | | 7,430,000 | 7,436,813 |
Voya CLO, Ltd. Series 2021-1A Class AR, CME Term SOFR 3 Month Index + 1.410% 6.7256% 7/16/34 (b)(e)(h) | | 3,924,000 | 3,924,596 |
WaMu Asset-Backed Certificates Series 2007-HE2: | | | |
Class 2A2, CME Term SOFR 1 Month Index + 0.300% 5.6254% 4/25/37 (h) | | 2,444,498 | 912,456 |
Class 2A3, CME Term SOFR 1 Month Index + 0.250% 5.6854% 4/25/37 (e)(h) | | 2,770,776 | 1,000,886 |
Class 2A4, CME Term SOFR 1 Month Index + 0.360% 5.7954% 4/25/37 (e)(h) | | 1,267,824 | 457,963 |
Wamu Asset-Backed Ctfs 07-He1 Series 2007-HE1 Class 2A3, CME Term SOFR 1 Month Index + 0.260% 5.5854% 1/25/37 (e)(h) | | 1,646,098 | 759,328 |
WaMu Mortgage pass-thru certificates Series 2006-HE1 Class 2A4, CME Term SOFR 1 Month Index + 0.670% 5.9954% 4/25/36 (h) | | 251,664 | 250,406 |
Welk Resorts 2019-A LLC Series 2019-AA Class C, 3.34% 6/15/38 (b) | | 48,367 | 45,775 |
Wells Fargo Card Issuance Trust Series 2024-A1 Class A, 4.94% 2/15/29 | | 5,100,000 | 5,100,000 |
Westgate Resorts 2020-1 LLC Series 2020-1A Class C, 6.213% 3/20/34 (b) | | 59,348 | 58,935 |
Westlake Automobile Receivable: | | | |
Series 2023-3A: | | | |
Class C, 6.02% 9/15/28 (b) | | 1,900,000 | 1,909,088 |
Class D, 6.47% 3/15/29 (b) | | 2,169,000 | 2,191,695 |
Series 2023-4A Class D, 7.19% 7/16/29 (b) | | 2,100,000 | 2,150,539 |
Wheels Fleet Lease Funding 1 L Series 2023-2A Class A, 6.46% 8/18/38 (b) | | 12,000,000 | 12,107,008 |
Willis Engine Structured Trust Vi Series 2023-A Class A, 8% 10/15/48 (b) | | 1,168,446 | 1,214,799 |
World Omni Auto Receivables Trust: | | | |
Series 2023 B: | | | |
Class A2A, 5.25% 11/16/26 | | 1,395,138 | 1,393,235 |
Class A3, 4.66% 5/15/28 | | 3,538,000 | 3,503,908 |
Series 2023-C Class A3, 5.15% 11/15/28 | | 1,693,000 | 1,694,080 |
TOTAL ASSET-BACKED SECURITIES (Cost $1,275,636,797) | | | 1,266,425,255 |
| | | |
Collateralized Mortgage Obligations - 0.9% |
| | Principal Amount (a) | Value ($) |
Private Sponsor - 0.5% | | | |
Admt 2023-Nqm5 A1 Series 2023-NQM5 Class A1, 7.049% 11/25/68 (b) | | 381,665 | 386,854 |
Ajax Mortgage Loan Trust sequential payer: | | | |
Series 2021-B Class A, 2.239% 6/25/66 (b)(e) | | 413,364 | 402,739 |
Series 2021-E Class A1, 1.74% 12/25/60 (b) | | 1,480,012 | 1,256,266 |
Alternative Loan Trust: | | | |
floater Series 2007-OH3 Class A1B, CME Term SOFR 1 Month Index + 0.550% 5.8754% 9/25/47 (h) | | 1,753,704 | 1,569,701 |
Series 2006-28CB Class A14, 6.25% 10/25/36 | | 46,451 | 23,247 |
Alternative Loan Trust 2007-Oa floater Series 2007-OA10 Class 2A1, CME Term SOFR 1 Month Index + 0.610% 5.9354% 9/25/47 (e)(h) | | 5,169,159 | 801,381 |
American Hm Mtg Investment Trust 2007-1 floater Series 2007-1 Class GA1C, CME Term SOFR 1 Month Index + 0.300% 5.6254% 5/25/47 (h) | | 1,214,256 | 686,936 |
Anchor Mtg Trust 2021-Rtl1 sequential payer Series 2021-1 Class A2, 3.65% 10/25/26 (b) | | 376,000 | 371,792 |
Angel Oak Mortgage Trust Series 2021-6 Class A1, 1.458% 9/25/66 (b) | | 3,311,228 | 2,675,177 |
Angel Oak Mortgage Trust 2023- Series 2023-7 Class A1, 4.8% 11/25/67 (b) | | 495,956 | 481,104 |
Angel Oak Mortgage Trust 2024- Series 2024-1 Class A1, 5.21% 8/25/68 (b) | | 81,446 | 79,518 |
Banc America Funding 2007-3 Trust floater Series 2007-3 Class TA8, CME Term SOFR 1 Month Index + 0.290% 5.6154% 4/25/37 (e)(h) | | 1,373,765 | 1,121,578 |
Banc of America Alternative Loan Trust Series 2004-6 Class 4A1, 5% 5/25/48 | | 277 | 230 |
Banc of America Funding Corp.: | | | |
planned amortization class Series 2005-5 Class 3A5, 5.5% 8/25/35 | | 18,399 | 17,479 |
Series 2005-7 Class 30PO, 0% 11/25/35 (d)(p) | | 599 | 431 |
Banc of America Mortgage Securities, Inc.: | | | |
Series 2003-8 Class 1CB1, 5.5% 10/25/33 | | 187,822 | 179,117 |
Series 2004-F Class 1A1, 5.2643% 7/25/34 (e) | | 1,359 | 1,293 |
BCAP LLC Trust sequential payer Series 2010-RR4 Class 31A6, 5.8304% 1/26/37 (b)(e) | | 2,890,239 | 2,056,940 |
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-7 Class 3A, 5.6176% 10/25/33 (e) | | 288 | 283 |
Bear Stearns Asset Backed Securities I Trust floater: | | | |
Series 2006-AC2 Class 1A1, CME Term SOFR 1 Month Index + 0.460% 5.7854% 3/25/36 (e)(h) | | 133,276 | 36,163 |
Series 2006-IM1 Class A3, CME Term SOFR 1 Month Index + 0.670% 5.9954% 4/25/36 (h) | | 569,334 | 524,981 |
Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b) | | 4,086,579 | 3,691,982 |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(e) | | 974,451 | 949,058 |
BRAVO Residential Funding Trust sequential payer Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b) | | 7,023,622 | 6,237,162 |
Bravo Residential Funding Trust 2023- Series 2023-NQM6 Class A2, 6.956% 9/25/63 (b) | | 949,325 | 957,841 |
Cascade Funding Mortgage Trust: | | | |
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(e) | | 1,980,304 | 1,844,376 |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | | 1,345,971 | 1,328,174 |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | | 2,775,472 | 2,688,116 |
Cascade Mh Asset Trust 2022-Mh1 Series 2022-MH1 Class M, 4.25% 8/25/54 (b) | | 445,756 | 352,682 |
CFMT Series 2022-HB10 Class A, 3.25% 11/25/35 (b) | | 3,165,057 | 3,064,216 |
Cfmt 2022-Ebo2 sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b) | | 429,191 | 426,171 |
CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b) | | 4,227,814 | 4,157,210 |
Chase Mortgage Finance Trust: | | | |
Series 2007-A1 Class 3A1, 5.136% 2/25/37 (e) | | 348,380 | 326,465 |
Series 2007-A2 Class 2A1, 5.8169% 6/25/35 (e) | | 8,200 | 7,810 |
CHL Mortgage Pass Through Trust sequential payer Series 2007-9: | | | |
Class A1, 5.75% 7/25/37 | | 53,068 | 25,104 |
Class A11, 5.75% 7/25/37 | | 29,027 | 14,422 |
Chl Mtg Pass Through Trust 2007-4 planned amortization class Series 2007-4 Class 1A47, 6% 5/25/37 | | 744,458 | 326,504 |
Chl Mtg Pass-Through Trust 2007-3 Series 2007-3 Class A17, 6% 4/25/37 | | 959,738 | 459,341 |
Chl Mtg Pass-Through Trust 2007-8 sequential payer Series 2007-8: | | | |
Class 1A12, 5.875% 1/25/38 | | 848,463 | 389,418 |
Class 1A24, 6% 1/25/38 | | 262,472 | 122,689 |
CIM Trust: | | | |
sequential payer: | | | |
Series 2021-R1 Class A2, 2.4% 8/25/56 (b) | | 4,860,973 | 4,226,460 |
Series 2021-R4 Class A1A, 2% 5/1/61 (b) | | 6,528,605 | 5,678,476 |
Series 2021-R5 Class A1A, 2% 8/25/61 (b)(e) | | 6,183,782 | 5,117,123 |
Series 2022-NR1 Class A1, 5% 7/25/62 (b) | | 3,532,297 | 3,426,869 |
Citigroup Mortgage Loan Trust: | | | |
floater: | | | |
Series 2004-HYB4 Class AA, CME Term SOFR 1 Month Index + 0.440% 5.7654% 12/25/34 (e)(h) | | 537 | 499 |
Series 2007-6 Class 2A1, CME Term SOFR 1 Month Index + 0.610% 5.9354% 5/25/37 (e)(h) | | 80,495 | 72,379 |
Series 2004-UST1 Class A3, 6.0981% 8/25/34 (e) | | 796 | 752 |
Series 2005-9 Class 22A1, 6% 11/25/35 | | 1,036,022 | 962,572 |
Connecticut Ave Securities Trust 2019-R floater Series 2019-R07 Class 1B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.510% 8.8361% 10/25/39 (b)(e)(h) | | 3,464,298 | 3,576,265 |
Connecticut Ave Securities Trust 2023-R Series 2023-R06 Class 1M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.700% 8.0217% 7/25/43 (b)(e)(h) | | 2,500,000 | 2,579,358 |
Connecticut Avenue Securities floater: | | | |
Series 2022-R03 Class 1B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 6.250% 11.5717% 3/25/42 (b)(e)(h) | | 130,000 | 144,060 |
Series 2023-R01 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.400% 7.7213% 12/25/42 (b)(e)(h) | | 838,819 | 859,103 |
Connecticut Avenue Securities Trust floater: | | | |
Series 2020-R01 Class 1M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.160% 7.4861% 1/25/40 (b)(e)(h) | | 244,196 | 247,910 |
Series 2022-R08 Class 1B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 5.600% 10.9217% 7/25/42 (b)(e)(h) | | 1,500,000 | 1,642,261 |
Countrywide Home Loans, Inc.: | | | |
floater Series 2006-OA2 Class A5, CME Term SOFR 1 Month Index + 0.570% 5.8943% 5/20/46 (e)(h) | | 618,544 | 503,020 |
Series 2005-22 Class 2A1, 4.7002% 11/25/35 (e) | | 4,820 | 3,831 |
Countrywide Home Loans, Inc.: | | | |
floater: | | | |
Series 2005-R1 Class 1AF2, CME Term SOFR 1 Month Index + 0.470% 5.7954% 3/25/35 (b)(e)(h) | | 1,354,766 | 1,275,213 |
Series 2005-R2 Class 1AF1, CME Term SOFR 1 Month Index + 0.340% 5.7754% 6/25/35 (b)(e)(h) | | 51,741 | 48,324 |
sequential payer Series 2003-J3 Class 2A1, 6.25% 12/25/33 | | 273 | 270 |
Series 2004-3 Class A25, 5.75% 4/25/34 | | 1,867 | 1,759 |
Series 2004-5 Class 2A9, 5.25% 5/25/34 | | 2,049 | 1,964 |
Credit Suisse First Boston Mortgage Securities Corp.: | | | |
planned amortization class Series 2005-10 Class 10A4, 6% 11/25/35 | | 5,849 | 1,509 |
sequential payer Series 2005-10 Class 6A13, 5.5% 11/25/35 | | 5,616 | 2,188 |
Series 2005-12 Class 2A1, 6.5% 1/25/36 | | 2,019,903 | 1,123,384 |
Credit Suisse Mortgage Trust Series 2021-RP11 Class PT, 3.7575% 10/25/61 (b)(e) | | 7,650,910 | 6,063,931 |
Cross 2023-H2 Mortgage Trust Series 2023-H2 Class A1A, 7.135% 11/25/68 (b) | | 127,453 | 128,797 |
CSMC floater Series 2015-1R Class 6A1, CME Term SOFR 1 Month Index + 0.390% 4.1948% 5/27/37 (b)(e)(h) | | 100,364 | 97,603 |
Csmc 2021-Jr1 Trust sequential payer Series 2021-JR1 Class A1, 2.465% 9/27/66 (b)(e) | | 192,124 | 188,355 |
Csmc 2022-Jr1 Trust sequential payer Series 2022-JR1 Class A1, 4.267% 10/25/66 (b)(e) | | 467,703 | 457,284 |
Csmc 2022-Nqm3 Trust Series 2022-NQM3 Class A1B, 4.265% 3/25/67 (b) | | 146,000 | 137,229 |
CSMC 2022-NQM6 Trust Series 2022-NQM6 Class PT, 8.9293% 12/25/67 (b)(d)(e) | | 591,892 | 593,354 |
Csmc Mtg Backed Trust 2006-6 sequential payer Series 2006-6 Class 1A8, 6% 7/25/36 | | 1,958,796 | 932,137 |
CSMC Trust: | | | |
sequential payer: | | | |
Series 2020-RPL2 Class A12, 3.5313% 2/25/60 (b)(e) | | 426,766 | 447,808 |
Series 2020-RPL3 Class A1, 4.0748% 3/25/60 (b)(e) | | 1,139,220 | 1,133,519 |
Series 2022-RPL1 Class A1, 4.15% 4/25/61 (b)(e) | | 6,913,047 | 6,192,115 |
Series 2021-RP11 Class CERT, 3.7778% 10/27/61 (b) | | 323,629 | 239,425 |
Series 2022-RPL1 Class PT, 4.6303% 4/25/61 (b)(e) | | 8,559,384 | 7,318,478 |
Csmcm 2022-Rpl1 Trust Series 2022-RPL1 Class CERT, 4.231% 4/25/61 (b) | | 359,779 | 303,239 |
Cwalt Alternatve Ln Trust 06 Oc10 floater Series 2006-OC10 Class 2A3, CME Term SOFR 1 Month Index + 0.460% 5.8954% 11/25/36 (e)(h) | | 2,241,379 | 1,856,017 |
Cwalt Altrntv Ln Trust Sr 06 Oa17 floater Series 2006-OA17 Class 1A1D, CME Term SOFR 1 Month Index + 0.400% 5.7243% 12/20/46 (h) | | 982,079 | 860,152 |
CWALT, Inc.: | | | |
floater: | | | |
Series 2005-31 Class 1A1, CME Term SOFR 1 Month Index + 0.670% 5.9954% 8/25/35 (h) | | 1,246,811 | 1,115,442 |
Series 2005-42CB: | | | |
Class A1, CME Term SOFR 1 Month Index + 0.790% 5.5% 10/25/35 (e)(h) | | 1,197,180 | 684,345 |
Class A2, CME Term SOFR 1 Month Index + 0.760% 5.5% 10/25/35 (e)(h) | | 906,497 | 516,802 |
Series 2006-OC1 Class 1A1, CME Term SOFR 1 Month Index + 0.570% 5.8954% 3/25/36 (h) | | 48,950 | 45,023 |
planned amortization class: | | | |
Series 2005-54CB Class 1A11, 5.5% 11/25/35 | | 15,129 | 11,314 |
Series 2005-86CB Class A11, 5.5% 2/25/36 | | 8,676 | 5,253 |
sequential payer: | | | |
Series 2004-22CB Class 1A1, 6% 10/25/34 | | 6,750 | 6,711 |
Series 2005-23CB Class A2, 5.5% 7/25/35 | | 3,871 | 3,242 |
CWALT, Inc. Alternative Loan Trust 2006-0 floater Series 2006-OC7 Class 2A3, CME Term SOFR 1 Month Index + 0.610% 5.9354% 7/25/46 (h) | | 675,839 | 571,029 |
Cwhl Trust 2007-11 sequential payer Series 2007-11 Class A1, 6% 8/25/37 | | 1,446,148 | 618,156 |
Deephaven Residential Mortgage Series 2022-2 Class M1, 4.3406% 3/25/67 (b) | | 100,000 | 81,933 |
Eagle Re Ltd. floater Series 2021-1 Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.700% 8.0217% 10/25/33 (b)(e)(h) | | 800,672 | 802,906 |
Fannie Mae: | | | |
planned amortization class Series 2011-126 Class KB, 4% 12/25/41 | | 221,648 | 213,450 |
Series 2003-64 Class SX, 13.460% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.1296% 7/25/33 (e)(h)(q) | | 338 | 295 |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(e) | | 3,596,730 | 3,497,174 |
First Horizon Mortgage pass-thru Trust: | | | |
Series 2004-AA3 Class A1, 3.5338% 9/25/34 (e) | | 994 | 986 |
Series 2004-AR6 Class 2A1, 4.7337% 12/25/34 (e) | | 1,300 | 1,238 |
Freddie Mac Series 262 Class 35, 3.5% 7/15/42 | | 48,647 | 45,161 |
GCAT 2023-Nqm4 Trust sequential payer Series 2023-NQM4 Class A1, 4.25% 5/25/67 (b) | | 268,742 | 248,265 |
Ginnie Mae guaranteed REMIC pass-thru certificates: | | | |
Series 2007-9 Class CI, 6.080% - CME Term SOFR 1 Month Index 0.7657% 3/20/37 (e)(o)(q) | | 8,461 | 707 |
Series 2008-40 Class SA, 6.280% - CME Term SOFR 1 Month Index 0.9642% 5/16/38 (e)(o)(q) | | 9,463 | 524 |
GMAC Mortgage Loan Trust: | | | |
sequential payer Series 2003-J10 Class A1, 4.75% 1/25/19 (d) | | 319 | 319 |
Series 2005-AR6 Class 2A1, 3.6442% 11/19/35 (e) | | 1,667,551 | 1,274,049 |
Government National Mtg Association Gtd R Series 2021-140 Class JI, 3% 8/20/51 (o) | | 56,112 | 8,783 |
Gs Mortgage-Backed Securities Series 2022-NQM1 Class A4, 4% 5/25/62 (b)(e) | | 77,553 | 70,606 |
GSAMP Trust Series 2004-6F: | | | |
Class 2A4, 5.5% 5/25/34 | | 1,175 | 1,109 |
Class 3A4, 6.5% 5/25/34 | | 1,520 | 1,478 |
GSR Mortgage Loan Trust: | | | |
floater: | | | |
Series 2005-5F: | | | |
Class 8A1, CME Term SOFR 1 Month Index + 0.610% 5.5% 6/25/35 (e)(h) | | 266 | 254 |
Class 8A3, CME Term SOFR 1 Month Index + 0.610% 5.5% 6/25/35 (e)(h) | | 155 | 147 |
Series 2006-OA1 Class 1A1, CME Term SOFR 1 Month Index + 0.550% 5.8754% 8/25/46 (e)(h) | | 18,144,712 | 4,026,934 |
planned amortization class Series 2004-8F Class 2A3, 6% 9/25/34 | | 648 | 624 |
Series 2005-RP3 Class 2A1, 3.9863% 9/25/35 (b)(e) | | 439,855 | 376,778 |
Series 2006-2F Class 3A6, 6% 2/25/36 | | 1,566,644 | 699,471 |
Headlands Residential 2021-Rpl Series 2021-RPL1 Class NOTE, 2.487% 9/25/26 (b) | | 393,014 | 368,511 |
Homeward Opportunities Fund Trust Series 2020-2 Class B1, 5.45% 5/25/65 (b) | | 1,545,000 | 1,482,273 |
Homeward Opportunities Fund Trust 2 Series 2022-1 Class A1, 5.082% 7/25/67 (b)(e) | | 182,503 | 179,540 |
Impac CMB Trust floater Series 2004-10: | | | |
Class 3A1, CME Term SOFR 1 Month Index + 0.810% 6.1354% 3/25/35 (e)(h) | | 3,756 | 3,593 |
Class 3A2, CME Term SOFR 1 Month Index + 0.910% 6.2354% 3/25/35 (h) | | 2,454 | 2,354 |
Indymac Index Mortgage Loan Trust floater Series 2006-AR35 Class 2A1A, CME Term SOFR 1 Month Index + 0.450% 5.6054% 1/25/37 (e)(h) | | 24,276 | 21,030 |
J P Morgan Mtg Trust 2021-7 floater Series 2023-HE3 Class A1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.600% 6.9241% 5/25/54 (b)(e)(h) | | 424,845 | 426,423 |
J.P. Morgan Mortgage Trust Series 2021-13 Class A3, 2.5% 4/25/52 (b) | | 11,940,514 | 9,509,033 |
JPMorgan Mortgage Trust: | | | |
sequential payer Series 2004-S2: | | | |
Class 4A5, 6% 11/25/34 | | 6,079 | 5,462 |
Class 5A1, 5.5% 12/25/19 | | 569 | 535 |
Series 2004-S1 Class 3A1, 5.5% 9/25/34 (d) | | 523 | 497 |
Series 2006-A2: | | | |
Class 4A1, 5.5918% 8/25/34 (e) | | 1,886 | 1,863 |
Class 5A3, 6.0949% 11/25/33 (e) | | 765 | 728 |
Legacy Mortgage Asset Trust sequential payer Series 2021-SL1 Class A, 1.991% 9/25/60 (b) | | 369,698 | 368,091 |
LendingHome Mortgage Trust 2023-Rtl4 Series 2023-RTL4 Class A1, 7.628% 11/25/28 (b) | | 2,450,000 | 2,477,045 |
Lhome Mortgage Trust 2023-Rtl2 Series 2023-RTL2 Class A1, 8% 6/25/28 (b) | | 3,000,000 | 3,041,786 |
Lhome Mtg Trust 2023-Rtl1 Series 2023-RTL1 Class A1, 7.869% 1/25/28 (b)(e) | | 3,059,000 | 3,085,934 |
MASTR Adjustable Rate Mortgages Trust Series 2004-13 Class 2A1, 5.9522% 4/21/34 (e) | | 472 | 455 |
MASTR Alternative Loan Trust Series 2004-6: | | | |
Class 6A1, 6.5% 7/25/34 | | 6,984 | 6,875 |
Class 7A1, 6% 7/25/34 | | 5,303 | 5,120 |
Mastr Resecuritization Trust Series 2005-PO Class 3PO, 0% 5/28/35 (b)(p) | | 266 | 202 |
MASTR Specialized Loan Trust sequential payer Series 2005-1 Class 1A3, 7% 8/25/34 (b) | | 1,059,465 | 748,179 |
Merrill Lynch Mortgage Investors Trust: | | | |
floater: | | | |
Series 2004-C Class A2, CME Term SOFR 6 Month Index + 1.020% 6.242% 7/25/29 (e)(h) | | 946 | 908 |
Series 2006-A2 Class 1A, CME Term SOFR 1 Month Index + 0.470% 5.7954% 2/25/36 (h) | | 5,621,404 | 3,211,064 |
Series 2004-D Class A3, 7.4422% 9/25/29 (e) | | 1,108 | 1,041 |
MFA 2022-NQM1 Trust Series 2022-NQM1 Class M1, 4.2644% 12/25/66 (b)(e) | | 171,000 | 144,403 |
MFRA Trust sequential payer Series 2024-RTL1 Class A1, 7.093% 2/25/29 (b) | | 230,000 | 231,015 |
Mill City Securities 2021-Rs1 Series 2021-RS1 Class A2, 3.9512% 4/28/66 (b) | | 351,063 | 311,514 |
Morgan Stanley Capital I Trust Series 2004-3 Class 4A, 5.6446% 4/25/34 (e) | | 3,176 | 3,009 |
Morgan Stanley Mortgage Loan Trust Series 2004-7AR Class 2A6, 5.7959% 9/25/34 (e) | | 873 | 841 |
Morgan Stanley Resecuritizatio floater Series 2015-R2 Class 1B, 12 Month Treasury Average + 0.710% 4.3675% 12/27/46 (b)(e)(h) | | 1,008,043 | 858,458 |
Morgan Stanley Residential Mtg Series 2014-1A Class B3, 6.9464% 6/25/44 (b)(e) | | 585,474 | 589,583 |
Naac Reperforming Ln Remic Trust sequential payer Series 2004-R2 Class A1, 6.5% 10/25/34 (b)(e) | | 2,037 | 1,754 |
New Residential Mortgage Loan Trust Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | | 1,701,105 | 1,549,085 |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | | 3,874,207 | 3,603,007 |
NMLT Trust Series 2021-INV3 2.2769% 11/25/56 (b) | | 5,498,892 | 4,973,313 |
Nomura Ast Corp. Alt Mptc 06Af1 Series 2006-AF1 Class 1A3, 6.408% 5/25/36 | | 2,817,904 | 513,916 |
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b) | | 3,597,759 | 3,231,599 |
Obx 2023-Nqm8 Trust Series 2023-NQM8 Class A2, 7.248% 9/25/63 (b) | | 959,482 | 974,102 |
OBX Trust sequential payer Series 2021-NQM3 Class A1, 1.054% 7/25/61 (b) | | 12,530,997 | 9,701,954 |
Ocwen Ln Investment Trust 2023-Hb1 Series 2023-HB1 Class A, 3% 6/25/36 (b) | | 755,378 | 721,212 |
Ocwen Loan Invest Trust Series 2024-HB1 Class A, 3% 2/25/37 (b) | | 716,000 | 679,842 |
Onslow Bay Mortgage Loan Trust sequential payer Series 2021-NQM4 Class A2, 2.162% 10/25/61 (b)(e) | | 7,865,646 | 6,438,112 |
Phh Mortgage Trust Series 2008 Series 2008-CIM2 Class 5A1, 6% 7/25/38 | | 1,140 | 1,058 |
Pmc Pls Esr Issuer LLC Series 2022-PLS1 Class A, 5.114% 2/25/27 (b)(e) | | 287,360 | 279,461 |
PMT Credit Risk Transfer Trust floater Series 2024-1R Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.500% 8.81% 5/25/33 (b)(e)(h) | | 7,900,000 | 7,907,110 |
Pmt Credit Risk Transfer Trust Series 2019-2R Class A, CME Term SOFR 1 Month Index + 3.860% 9.193% 5/30/25 (b)(e)(h) | | 3,424,698 | 3,428,672 |
Preston Ridge Partners Mortgage Trust: | | | |
Series 2021-2 Class A1, 2.115% 3/25/26 (b) | | 8,208,032 | 8,034,918 |
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | | 1,571,312 | 1,402,589 |
Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(e) | | 2,124,145 | 1,897,957 |
PRET LLC sequential payer Series 2022-RN2 Class A1, 5% 6/25/52 (b) | | 8,547,252 | 8,311,928 |
Pretium Mortgage Credit Partner Series 2024-NPL1 Class A1, 7.1429% 1/25/54 (b) | | 552,826 | 547,673 |
Pretium Mortgage Credit Partners Series 2024-NPL2 Class A1, 7.021% 2/25/54 (b) | | 388,000 | 387,224 |
Prime Mtg Trust sequential payer Series 2004-CL1 Class 1A1, 6% 2/25/34 | | 1,076 | 1,032 |
Prkcm 2023-Afc3 Trust Series 2023-AFC3 Class A2, 6.987% 9/25/58 (b) | | 941,467 | 953,416 |
Prpm 2021-10 LLC Series 2021-10 Class A1, 2.487% 10/25/26 (b) | | 1,967,518 | 1,913,464 |
Prpm 2022-Investment1 Trust Series 2022-INV1 Class A2, 4.443% 4/25/67 (b)(e) | | 733,212 | 691,906 |
Radnor Re 2022-1 Ltd. floater Series 2022-1 Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 6.750% 12.0717% 9/25/32 (b)(e)(h) | | 368,616 | 397,090 |
RALI Trust: | | | |
floater Series 2006-QA10 Class A2, CME Term SOFR 1 Month Index + 0.470% 5.7954% 12/25/36 (h) | | 107,107 | 90,774 |
Series 2006-QS4 Class A4, 6% 4/25/36 | | 1,365,807 | 1,060,354 |
Series 2007-QS3 Class A5, 6.25% 2/25/37 | | 2,112,579 | 1,608,090 |
Series 2007-QS8 Class A5, 6% 6/25/37 | | 818,642 | 611,893 |
Rco Mortgage LLC Series 2024-1 Class A1, 7.0213% 1/25/29 (b) | | 333,200 | 331,637 |
Rco Vi Mortgage LLC 2022-1 Series 2022-1 Class A1, 3% 1/25/27 (b) | | 348,361 | 338,730 |
Residential Accredit Loans, Inc. sequential payer Series 2005-QS5 Class A4, 5.75% 4/25/35 | | 20,666 | 16,974 |
Residential Asset Securitizati: | | | |
floater Series 2007-A9 Class A1, CME Term SOFR 1 Month Index + 0.660% 5.9854% 9/25/37 (e)(h) | | 2,944,237 | 846,902 |
Series 2007-A9 Class A2, 6.330% - CME Term SOFR 1 Month Index 1.0146% 9/25/37 (e)(o)(q) | | 2,944,077 | 307,649 |
Residential Asset Securitization Trust sequential payer Series 2003-A8 Class A1, 3.75% 10/25/18 (d) | | 232 | 220 |
Residential Ast Trust 2006-A14Cb sequential payer Series 2006-A14C Class 1A2, 6.25% 12/25/36 | | 938,504 | 646,049 |
RMF Buyout Issuance Trust: | | | |
sequential payer Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | | 1,274,493 | 1,245,453 |
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b) | | 754,887 | 706,305 |
Saco I, Inc. sequential payer Series 1997-2 Class 1A5, 7% 8/25/36 (b)(d) | | 254 | 249 |
Saluda Grade Alternative Mortgage Trust Series 2024-RTL4 Class A1, 7.5% 2/25/30 (b)(e) | | 404,000 | 404,686 |
Sequoia Mortgage Trust floater: | | | |
Series 2004-6 Class A3B, CME Term SOFR 6 Month Index + 1.300% 6.5595% 7/20/34 (e)(h) | | 606 | 545 |
Series 2004-8 Class A2, CME Term SOFR 6 Month Index + 1.160% 6.4118% 9/20/34 (e)(h) | | 5,092 | 4,647 |
Sequoia Mtg Trust 2007-3 Series 2007-3 Class 2AA1, 3.9563% 7/20/37 (d)(e) | | 418,729 | 334,382 |
Structured Adjustable Rate Mor Series 2007-6 Class 3A1, 4.6308% 7/25/37 (e) | | 1,365,699 | 850,301 |
Structured Adjustable Rate Mortgage Loan Trust Series 2004-14 Class 1A, 6.0333% 10/25/34 (e) | | 751 | 728 |
Structured Asset Securities Corp.: | | | |
sequential payer: | | | |
Series 2003-26A Class 3A5, 6.5418% 9/25/33 (e) | | 8,390 | 7,980 |
Series 2003-37A Class 1A, 5.6232% 12/25/33 (e) | | 12,116 | 11,387 |
Series 2003-37A Class 2A, 5.7914% 12/25/33 (e) | | 1,409 | 1,349 |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, CME Term SOFR 1 Month Index + 0.750% 6.0754% 9/25/43 (e)(h) | | 1,044,217 | 988,919 |
Towd Point Mortgage Trust: | | | |
Series 2017-FRE2 Class M6, 4% 11/25/47 (b) | | 105,420 | 101,051 |
Series 2021-R1: | | | |
Class A1, 2.9181% 11/30/60 (b)(e) | | 1,074,500 | 922,551 |
Class A2C, 3.3072% 11/30/60 (b)(e) | | 877,659 | 722,274 |
Series 2021-SJ2 Class A2, 2.5% 12/25/61 (b) | | 1,500,000 | 1,258,434 |
Series 2024-CES2 Class A1A, 6.125% 2/25/64 (b) | | 800,000 | 796,520 |
Tvc Mortgage Trust 2023-Rtl1 sequential payer Series 2023-RTL1 Class A1, 8.25% 11/25/27 (b) | | 1,205,000 | 1,219,065 |
Verus Securitization Trust 2022-3 Series 2022-3 Class B1, 4.0804% 2/25/67 (b)(e) | | 158,000 | 123,365 |
Vm Master Issuer LLC Series 2022-1 Class B, 6.877% 5/24/25 (b) | | 706,000 | 634,059 |
Wachovia Mortgage Loan Trust S floater Series 2023-AMN1 Class A2, CME Term SOFR 1 Month Index + 0.410% 1.6456% 8/25/36 (h) | | 2,810,275 | 968,416 |
WaMu Mortgage Pass-Through 2007 0A5 Trust floater Series 2007-OA5 Class 1A, 12 Month Treasury Average + 0.750% 5.831% 6/25/47 (e)(h) | | 267,204 | 211,285 |
WaMu Mortgage Pass-Through Certificates 07 Hy4 Series 2007-HY4 Class 1A1, 3.3412% 4/25/37 (e) | | 1,121,293 | 973,358 |
WaMu Mortgage pass-thru certificates: | | | |
floater: | | | |
Series 2005-AR1 Class A1A, 5.9554% 12/25/35 (e) | | 479,070 | 400,593 |
Series 2005-AR2: | | | |
Class 2A1B, CME Term SOFR 1 Month Index + 0.850% 6.1754% 1/25/45 (h) | | 1,023,863 | 989,467 |
Class 2A21, CME Term SOFR 1 Month Index + 0.770% 6.0954% 1/25/45 (e)(h) | | 486 | 469 |
sequential payer Series 2004-RA1 Class 2A, 7% 3/25/34 | | 2,484 | 2,392 |
Series 2003-AR8 Class A, 5.5519% 8/25/33 (e) | | 1,668 | 1,573 |
Series 2003-AR9 Class 1A6, 5.6569% 9/25/33 (e) | | 1,263 | 1,184 |
Series 2004-AR11 Class A, 5.9645% 10/25/34 (e) | | 3,706 | 3,507 |
Series 2004-AR3: | | | |
Class A1, 4.5592% 6/25/34 (e) | | 478 | 446 |
Class A2, 4.5592% 6/25/34 (e) | | 4,416 | 4,039 |
Series 2004-S2 Class 2A4, 5.5% 6/25/34 | | 3,709 | 3,419 |
Series 2005-4 Class CB7, 5.5% 6/25/35 | | 7,319 | 6,314 |
Series 2006-2 Class 3CB, 6% 3/25/36 | | 1,138,548 | 822,067 |
Washington Mut Mtg Pass Through C: | | | |
floater Series 2006-7 Class A1B, CME Term SOFR 1 Month Index + 0.270% 3.9247% 9/25/36 (h) | | 2,019,158 | 571,410 |
Series 2006-7 Class A1A, 4.0555% 9/25/36 | | 651,376 | 183,222 |
Washington Mut Mtg Pass-Throug: | | | |
Series 2006-4 Class 3A1, 7% 5/25/36 | | 168,888 | 139,224 |
Series 2006-8 Class A4, 4.1462% 10/25/36 | | 248,367 | 88,231 |
Washington Mutual Mortgage Pas floater Series 2007-OA2 Class 2A, 12 Month Treasury Average + 0.700% 5.781% 1/25/47 (e)(h) | | 561,060 | 443,428 |
Washington Mutual Mortgage Pass-Through floater Series 2007-OA1 Class 2A, 12 Month Treasury Average + 0.720% 5.801% 12/25/46 (d)(e)(h) | | 13,795 | 11,358 |
Wells Fargo Mortgage Backed Securities Trust Series 2004-K Class 1A2, 5.615% 7/25/34 (e) | | 1,075 | 1,066 |
Wells Fargo Mtg Bank Sec 04 U Trust Series 2021-U Class A1, 5.923% 10/25/34 (e) | | 2,126 | 1,999 |
TOTAL PRIVATE SPONSOR | | | 231,070,199 |
U.S. Government Agency - 0.4% | | | |
Fannie Mae: | | | |
floater: | | | |
Series 2004-72 Class F, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.610% 5.9361% 9/25/34 (e)(h) | | 1,044 | 1,040 |
Series 2022-R04 Class 1B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 5.250% 10.5717% 3/25/42 (b)(e)(h) | | 240,000 | 259,145 |
planned amortization class: | | | |
Series 2002-56 Class PE, 6% 9/25/32 | | 8,971 | 9,119 |
Series 2002-86 Class PG, 6% 12/25/32 | | 5,818 | 5,890 |
Series 2003-25 Class KP, 5% 4/25/33 | | 17,797 | 17,533 |
Series 2003-47 Class PE, 5.75% 6/25/33 | | 5,960 | 6,022 |
Series 2005-19 Class PB, 5.5% 3/25/35 | | 33,736 | 33,762 |
Series 2005-84 Class XM, 5.75% 10/25/35 | | 1,119 | 1,134 |
Series 2006-77 Class PC, 6.5% 8/25/36 | | 2,196 | 2,255 |
Series 2010-10 Class NT, 5% 2/25/40 | | 14,451 | 14,231 |
Series 2012-149: | | | |
Class DA, 1.75% 1/25/43 | | 485,931 | 439,435 |
Class GA, 1.75% 6/25/42 | | 547,477 | 493,672 |
Series 2016-33 Class JA, 3% 7/25/45 | | 228,592 | 209,473 |
Series 2016-38 Class 0, 3% 1/25/46 | | 178,370 | 160,343 |
Series 2021-45 Class DA, 3% 7/25/51 | | 386,805 | 339,322 |
sequential payer: | | | |
Series 1997-11 Class E, 7% 3/18/27 | | 101 | 103 |
Series 1997-20 Class D, 7% 3/17/27 | | 361 | 363 |
Series 1997-63 Class ZA, 6.5% 9/18/27 (o) | | 237 | 238 |
Series 1999-47 Class JZ, 8% 9/18/29 | | 1,993 | 2,057 |
Series 2000-8 Class Z, 7.5% 2/20/30 | | 1,209 | 1,247 |
Series 2001-14 Class Z, 6% 5/25/31 | | 808 | 813 |
Series 2001-16 Class Z, 6% 5/25/31 | | 1,066 | 1,070 |
Series 2001-81 Class HE, 6.5% 1/25/32 | | 6,883 | 7,027 |
Series 2003-22 Class Z, 6% 4/25/33 | | 4,560 | 4,621 |
Series 2003-W3 Class 2A5, 5.356% 6/25/42 | | 191 | 189 |
Series 2003-W4 Class 2A, 5.1273% 10/25/42 (e) | | 1,557 | 1,586 |
Series 2003-W6 Class 1A41, 5.398% 10/25/42 | | 2,277 | 2,237 |
Series 2004-W9 Class 1A3, 6.05% 2/25/44 | | 5,181 | 5,255 |
Series 2006-9 Class KZ, 6% 3/25/36 | | 3,619 | 3,692 |
Series 2007-10 Class Z, 6% 2/25/37 | | 512 | 531 |
Series 2007-71 Class GZ, 6% 7/25/47 | | 2,661 | 2,748 |
Series 2020-101 Class BA, 1.5% 9/25/45 | | 1,727,797 | 1,462,286 |
Series 2020-43 Class MA, 2% 1/25/45 | | 1,533,958 | 1,368,817 |
Series 2020-49 Class JA, 2% 8/25/44 | | 182,105 | 163,648 |
Series 2020-80 Class BA, 1.5% 3/25/45 | | 2,328,191 | 1,984,914 |
Series 2021-68 Class A, 2% 7/25/49 | | 374,966 | 292,484 |
Series 2021-85 Class L, 2.5% 8/25/48 | | 205,691 | 177,652 |
Series 2021-95: | | | |
Class 0, 2.5% 9/25/48 | | 2,262,455 | 1,958,504 |
Class BA, 2.5% 6/25/49 | | 3,420,281 | 2,948,658 |
Series 2021-96 Class HA, 2.5% 2/25/50 | | 328,322 | 281,854 |
Series 2021-W3 Class A, 4.8495% 9/25/41 (e) | | 3,013 | 2,917 |
Series 2022-1 Class KA, 3% 5/25/48 | | 1,137,117 | 1,016,767 |
Series 2022-11 Class B, 3% 6/25/49 | | 930,008 | 842,103 |
Series 2022-13 Class HA, 3% 8/25/46 | | 752,617 | 689,264 |
Series 2022-3: | | | |
Class D, 2% 2/25/48 | | 3,315,119 | 2,864,167 |
Class N, 2% 10/25/47 | | 9,174,551 | 7,813,960 |
Series 2022-30 Class E, 4.5% 7/25/48 | | 3,286,558 | 3,176,200 |
Series 2022-4 Class B, 2.5% 5/25/49 | | 241,189 | 208,052 |
Series 2022-42 Class BA, 4% 6/25/50 | | 1,131,351 | 1,050,961 |
Series 2022-49 Class TC, 4% 12/25/48 | | 1,056,866 | 998,488 |
Series 2022-5: | | | |
Class 0, 2.5% 6/25/48 | | 791,253 | 687,504 |
Class DA, 2.25% 11/25/47 | | 3,356,276 | 2,907,125 |
Series 2022-7: | | | |
Class A, 3% 5/25/48 | | 1,620,925 | 1,449,424 |
Class E, 2.5% 11/25/47 | | 3,327,318 | 2,921,388 |
Series 2022-9 Class BA, 3% 5/25/48 | | 580,501 | 519,132 |
Series 1997-42 Class EG, 8% 7/18/27 | | 532 | 544 |
Series 2001-36 Class ST, 8.380% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 3.0639% 11/25/30 (e)(o)(q) | | 1,578 | 153 |
Series 2001-72 Class SB, 7.380% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.0639% 12/25/31 (e)(o)(q) | | 3,893 | 340 |
Series 2001-T12 Class IO, 0.49% 8/25/41 (e)(o) | | 197,101 | 1,780 |
Series 2002-19 Class SC, 13.970% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 4.6192% 3/17/32 (e)(h) | | 268 | 266 |
Series 2002-T16 Class A2, 7% 7/25/42 | | 9,227 | 9,479 |
Series 2002-T19 Class A1, 6.5% 7/25/42 | | 7,806 | 7,925 |
Series 2002-T4: | | | |
Class A2, 7% 12/25/41 | | 5,407 | 5,563 |
Class A4, 9.5% 12/25/41 | | 9,527 | 10,608 |
Class IO, 0.4004% 12/25/41 (e)(o) | | 465,095 | 3,801 |
Series 2002-W10 Class IO, 0.8907% 8/25/42 (e)(o) | | 40,266 | 555 |
Series 2002-W7 Class IO1, 0.8745% 6/25/29 (e)(o) | | 72,743 | 1,284 |
Series 2003-130 Class HZ, 6% 1/25/34 | | 155,550 | 158,237 |
Series 2004-T1 Class 1A1, 6% 1/25/44 | | 3,694 | 3,713 |
Series 2004-T2: | | | |
Class 1A3, 7% 11/25/43 | | 2,909 | 2,955 |
Class 1A4, 7.5% 11/25/43 | | 2,968 | 3,016 |
Series 2004-T3 Class 1IO4, 0.6096% 2/25/44 (e)(o) | | 69,433 | 618 |
Series 2004-W11 Class 1IO1, 0.3476% 5/25/44 (e)(o) | | 219,363 | 1,523 |
Series 2004-W2: | | | |
Class 1A, 6% 2/25/44 | | 2,606 | 2,607 |
Class 2A2, 7% 2/25/44 | | 685 | 702 |
Series 2004-W8 Class 3A, 7.5% 6/25/44 | | 1,512 | 1,552 |
Series 2005-51 Class MO, 0% 6/25/35 (p) | | 469 | 310 |
Series 2005-53 Class CS, 6.580% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2639% 6/25/35 (e)(o)(q) | | 5,157 | 355 |
Series 2005-72 Class WS, 6.630% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.3139% 8/25/35 (e)(o)(q) | | 1,975 | 114 |
Series 2005-79 Class ZC, 5.9% 9/25/35 | | 154,624 | 154,845 |
Series 2005-W4 Class 1A1, 6% 8/25/45 | | 2,881 | 2,875 |
Series 2006-20 Class IB, 6.470% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1539% 4/25/36 (e)(o)(q) | | 3,420 | 276 |
Series 2007-109 Class YI, 6.330% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.0139% 12/25/37 (e)(o)(q) | | 31,261 | 3,134 |
Series 2007-54 Class IB, 6.290% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.9739% 6/25/37 (e)(o)(q) | | 58,629 | 4,776 |
Series 2008-62 Class SM, 6.080% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.7639% 7/25/38 (e)(o)(q) | | 9,866 | 817 |
Series 2008-91 Class SI, 5.880% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.5639% 3/25/38 (e)(o)(q) | | 6,559 | 209 |
Series 2009-112: | | | |
Class ST, 6.130% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.8139% 1/25/40 (e)(o)(q) | | 6,113 | 477 |
Class SW, 6.130% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.8139% 1/25/40 (e)(o)(q) | | 4,019 | 350 |
Series 2009-52 Class PI, 5% 7/25/39 (o) | | 3,646 | 551 |
Series 2009-89 Class A1, 5.41% 5/25/35 | | 183 | 182 |
Series 2010-129 Class PZ, 4.5% 11/25/40 | | 33,948 | 31,750 |
Series 2010-135 Class ZA, 4.5% 12/25/40 | | 356,083 | 349,281 |
Series 2010-150 Class ZC, 4.75% 1/25/41 | | 547,007 | 534,132 |
Series 2010-35 Class SB, 6.300% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.9839% 4/25/40 (e)(o)(q) | | 6,447 | 479 |
Series 2010-70 Class SA, 91.220% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 6% 4/25/38 (e)(h)(o) | | 11,965 | 2,169 |
Series 2010-95 Class ZC, 5% 9/25/40 | | 1,152,322 | 1,140,197 |
Series 2011-19 Class ZY, 6.5% 7/25/36 | | 3,373 | 3,487 |
Series 2011-4 Class PZ, 5% 2/25/41 | | 186,999 | 177,842 |
Series 2012-100 Class WI, 3% 9/25/27 (o) | | 151,678 | 5,147 |
Series 2012-148 Class IE, 3% 1/25/33 (o) | | 67,655 | 5,494 |
Series 2012-46 Class KI, 3.5% 5/25/27 (o) | | 10,889 | 390 |
Series 2012-9 Class SH, 6.430% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.1139% 6/25/41 (e)(o)(q) | | 14,123 | 95 |
Series 2013-13 Class IK, 2.5% 3/25/28 (o) | | 51,133 | 1,567 |
Series 2013-133 Class IB, 3% 4/25/32 (o) | | 45,136 | 803 |
Series 2013-134 Class SA, 5.930% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.6139% 1/25/44 (e)(o)(q) | | 74,438 | 7,064 |
Series 2013-44 Class DJ, 1.85% 5/25/33 | | 4,903,221 | 4,385,923 |
Series 2013-51 Class GI, 3% 10/25/32 (o) | | 314,652 | 16,171 |
Series 2015-42 Class IL, 6% 6/25/45 (o) | | 445,584 | 72,865 |
Series 2015-70 Class JC, 3% 10/25/45 | | 371,431 | 345,262 |
Series 2017-30 Class AI, 5.5% 5/25/47 (o) | | 267,253 | 44,343 |
Series 2019-20 Class H, 3.5% 5/25/49 | | 185,821 | 166,286 |
Series 2020-45 Class JL, 3% 7/25/40 | | 63,149 | 56,431 |
Series 2021-59 Class H, 2% 6/25/48 | | 211,009 | 169,006 |
Series 2021-66: | | | |
Class DA, 2% 1/25/48 | | 228,855 | 184,116 |
Class DM, 2% 1/25/48 | | 243,207 | 195,435 |
target amortization class Series 2006-27 Class OB, 0% 4/25/36 (p) | | 15,282 | 12,030 |
Fannie Mae Stripped Mortgage-Backed Securities: | | | |
Series 2001-313 Class 1, 0% 6/25/31 (p) | | 6,957 | 5,936 |
Series 2007-380 Class S36, 7.780% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.4639% 7/25/37 (e)(o)(q) | | 2,065 | 294 |
Series 2007-383: | | | |
Class 68, 6.5% 9/25/37 (o) | | 1,257 | 279 |
Class 69, 6.5% 10/25/37 (e)(o) | | 1,779 | 394 |
Series 2023-437 Class C11, 3% 7/25/52 (o) | | 867,170 | 152,731 |
Freddie Mac: | | | |
floater Series 2005-2995 Class FT, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.360% 5.6892% 5/15/29 (e)(h) | | 1,074 | 1,064 |
planned amortization class: | | | |
Series 1998-2022 Class PE, 6.5% 1/15/28 | | 114 | 116 |
Series 1998-2091 Class PG, 6% 11/15/28 | | 2,604 | 2,621 |
Series 2001-2325 Class JO, 0% 6/15/31 (p) | | 762 | 641 |
Series 2001-2330 Class PE, 6.5% 6/15/31 | | 1,757 | 1,793 |
Series 2002-2410 Class QB, 6.25% 2/15/32 | | 4,414 | 4,457 |
Series 2002-2427 Class GE, 6% 3/15/32 | | 8,702 | 8,814 |
Series 2002-2430 Class WF, 6.5% 3/15/32 | | 5,749 | 5,905 |
Series 2002-2466 Class DH, 6.5% 6/15/32 | | 612 | 634 |
Series 2002-2543 Class YX, 6% 12/15/32 | | 3,732 | 3,791 |
Series 2003-2699 Class W, 5.5% 11/15/33 | | 3,067 | 3,081 |
Series 2004-2733 Class SB, 7.900% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 3.1147% 10/15/33 (e)(q) | | 4,037 | 3,876 |
Series 2004-2845 Class QH, 5% 8/15/34 | | 2,316 | 2,311 |
Series 2005-2912 Class EH, 5.5% 1/15/35 | | 12,668 | 12,786 |
Series 2006-3202 Class HI, 6.530% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.2108% 8/15/36 (e)(o)(q) | | 11,474 | 998 |
Series 2009-3605 Class NC, 5.5% 6/15/37 | | 8,551 | 8,655 |
Series 2009-3610 Class CA, 4.5% 12/15/39 | | 3,168 | 3,093 |
Series 2010-3653 Class HJ, 5% 4/15/40 | | 1,614 | 1,601 |
Series 2010-3677 Class PB, 4.5% 5/15/40 | | 21,029 | 20,715 |
Series 2010-3737 Class DG, 5% 10/15/30 | | 738 | 733 |
Series 2020-4960 Class PB, 1.5% 10/25/49 | | 2,003,278 | 1,613,692 |
Series 4135 Class AB, 1.75% 6/15/42 | | 418,839 | 377,115 |
sequential payer: | | | |
Series 1999-2116 Class ZA, 6% 1/15/29 | | 626 | 632 |
Series 1999-2148 Class ZA, 6% 4/15/29 | | 187 | 188 |
Series 1999-2201 Class C, 8% 11/15/29 | | 414 | 428 |
Series 2001-2293 Class ZA, 6% 3/15/31 | | 898 | 905 |
Series 2001-2310 Class Z, 6% 4/15/31 | | 136 | 137 |
Series 2003-2643 Class SA, 44.750% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 10.1453% 3/15/32 (e)(h) | | 154 | 197 |
Series 2005-2989 Class TG, 5% 6/15/25 | | 313 | 312 |
Series 2005-3005 Class ED, 5% 7/15/25 | | 690 | 686 |
Series 2006-3187 Class Z, 5% 7/15/36 | | 14,826 | 14,753 |
Series 2006-3201 Class IN, 6.130% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.8108% 8/15/36 (e)(o)(q) | | 2,785 | 159 |
Series 2007-3274 Class B, 6% 2/15/37 | | 1,539 | 1,616 |
Series 2008-3409 Class DB, 6% 1/15/38 | | 8,337 | 8,428 |
Series 2009-3592 Class BZ, 5% 10/15/39 | | 34,670 | 34,412 |
Series 2010-3648 Class CY, 4.5% 3/15/30 | | 4,983 | 4,861 |
Series 2012-4060 Class TB, 2.5% 6/15/27 | | 117,021 | 112,442 |
Series 2018-4796 Class CZ, 4% 5/15/48 | | 343,960 | 316,940 |
Series 2018-4830 Class WZ, 4% 9/15/48 | | 335,229 | 308,632 |
Series 2020-4993 Class LA, 2% 8/25/44 | | 1,463,265 | 1,315,854 |
Series 2020-5018: | | | |
Class LC, 3% 10/25/40 | | 425,076 | 380,313 |
Class LY, 3% 10/25/40 | | 322,985 | 288,899 |
Series 2021-5169 Class TP, 2.5% 6/25/49 | | 846,718 | 720,132 |
Series 2021-5175 Class CB, 2.5% 4/25/50 | | 1,181,590 | 1,014,637 |
Series 2021-5180 Class KA, 2.5% 10/25/47 | | 239,092 | 208,659 |
Series 2022-5189: | | | |
Class DA, 2.5% 5/25/49 | | 853,654 | 727,103 |
Class TP, 2.5% 5/25/49 | | 741,276 | 631,372 |
Series 2022-5190: | | | |
Class BA, 2.5% 11/25/47 | | 834,983 | 728,241 |
Class CA, 2.5% 5/25/49 | | 621,566 | 529,292 |
Series 2022-5191 Class CA, 2.5% 4/25/50 | | 281,903 | 240,337 |
Series 2022-5197: | | | |
Class A, 2.5% 6/25/49 | | 621,567 | 529,292 |
Class DA, 2.5% 11/25/47 | | 634,027 | 553,432 |
Series 2022-5198 Class BA, 2.5% 11/25/47 | | 3,160,437 | 2,801,852 |
Series 2022-5202: | | | |
Class AG, 3% 1/25/49 | | 434,221 | 391,143 |
Class LB, 2.5% 10/25/47 | | 676,865 | 591,668 |
Series 3871 Class KB, 5.5% 6/15/41 | | 334,892 | 341,891 |
Series 1997-186 Class PO, 0% 8/1/27 (p) | | 1,157 | 1,059 |
Series 2002-2530 Class SK, 7.980% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 2.6608% 6/15/29 (e)(o)(q) | | 3,190 | 237 |
Series 2002-2534 Class SI, 20.760% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 6.9181% 2/15/32 (e)(h) | | 505 | 544 |
Series 2003-2586 Class IO, 6.5% 3/15/33 (o) | | 3,604 | 678 |
Series 2003-2594 Class IV, 7% 3/15/32 (o) | | 966 | 175 |
Series 2003-2610 Class UI, 6.5% 5/15/33 (o) | | 2,989 | 563 |
Series 2003-2656 Class AC, 6% 8/15/33 | | 1,239 | 1,247 |
Series 2004-2764 Class S, 13.460% x U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.152% 7/15/33 (e)(h) | | 423 | 372 |
Series 2005-2980 Class QB, 6.5% 5/15/35 | | 443 | 457 |
Series 2006-3184 Class YO, 0% 3/15/36 (p) | | 7,004 | 5,570 |
Series 2007-3305 Class IW, 6.330% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 1.0108% 4/15/37 (e)(o)(q) | | 4,316 | 380 |
Series 2007-76 Class 2A, 2.3126% 10/25/37 (e) | | 5,526 | 4,757 |
Series 2009-3546 Class A, 5.3102% 2/15/39 (e) | | 978 | 1,034 |
Series 2009-3609 Class SA, 6.220% - U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index 0.9008% 12/15/39 (e)(o)(q) | | 7,144 | 369 |
Series 2011-3855 Class AM, 6.5% 11/15/36 | | 2,129 | 2,157 |
Series 2012-279 Class 35, 3.5% 9/15/42 | | 12,264 | 11,135 |
Series 2012-4030 Class IL, 3.5% 4/15/27 (o) | | 4,959 | 124 |
Series 2012-4146 Class KI, 3% 12/15/32 (o) | | 67,401 | 5,953 |
Series 2014-323 Class 300, 3% 1/15/44 | | 47,444 | 41,635 |
Series 2014-334 Class 300, 3% 8/15/44 | | 46,066 | 40,737 |
Series 2017-4683 Class LM, 3% 5/15/47 | | 543,639 | 507,760 |
Series 2020-5041 Class LB, 3% 11/25/40 | | 723,828 | 648,067 |
Series 2021-5083 Class VA, 1% 8/15/38 | | 3,616,544 | 3,370,191 |
Series 2021-5176 Class AG, 2% 1/25/47 | | 888,855 | 758,120 |
Series 2021-5182 Class A, 2.5% 10/25/48 | | 1,551,485 | 1,350,411 |
Series 2933 Class ZM, 5.75% 2/15/35 | | 323,301 | 328,841 |
Series 2996 Class ZD, 5.5% 6/15/35 | | 199,651 | 200,957 |
Series 3237 Class C, 5.5% 11/15/36 | | 258,005 | 257,843 |
Series 3980 Class EP, 5% 1/15/42 | | 1,459,540 | 1,446,432 |
Series 4055 Class BI, 3.5% 5/15/31 (o) | | 27,201 | 264 |
Series 4149 Class IO, 3% 1/15/33 (o) | | 168,833 | 12,451 |
Series 4314 Class AI, 5% 3/15/34 (o) | | 7,654 | 145 |
Series 4427 Class LI, 3.5% 2/15/34 (o) | | 185,478 | 9,310 |
Series 4471 Class PA 4% 12/15/40 | | 138,254 | 134,234 |
target amortization class Series 2003-2557 Class HL, 5.3% 1/15/33 | | 2,047 | 2,045 |
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 1998-2036 Class PG, 6.5% 1/15/28 | | 825 | 838 |
Freddie Mac Multi-family Structured pass-thru certificates: | | | |
sequential payer: | | | |
Series 2021-5159: | | | |
Class EA, 2.5% 8/25/48 | | 832,871 | 711,434 |
Class GC, 2% 11/25/47 | | 191,277 | 160,935 |
Series 2021-5164 Class M, 2.5% 7/25/48 | | 849,776 | 726,016 |
Series 4386 Class AZ, 4.5% 11/15/40 | | 435,661 | 417,880 |
Freddie Mac Seasoned Credit Risk Transfer Trust: | | | |
sequential payer: | | | |
Series 2017-4 Class MT, 3.5% 6/25/57 | | 259,611 | 228,093 |
Series 2019-4 Class MB, 3% 2/25/59 | | 1,256,223 | 940,659 |
Series 2018-4 Class HT, 3% 3/25/58 | | 2,104,989 | 1,777,998 |
Series 2019-3 Class M55D, 4% 10/25/58 | | 331,019 | 299,342 |
Series 2021-1 Class BXS, 14.3513% 9/25/60 (b)(e) | | 306,142 | 241,092 |
Series 2021-2 Class BXS, 16.2903% 11/25/60 (b)(e) | | 145,953 | 117,269 |
Series 2022-1 Class MTU, 3.25% 11/25/61 | | 858,827 | 736,859 |
Series 2023-1 Class MT, 3% 10/25/62 | | 5,480,579 | 4,613,320 |
Freddie Mac STACR REMIC Trust floater: | | | |
Series 2019-DNA4 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.810% 8.1361% 10/25/49 (b)(e)(h) | | 9,614,953 | 9,875,014 |
Series 2020-DNA2 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.610% 7.9361% 2/25/50 (b)(e)(h) | | 1,000,000 | 1,045,180 |
Series 2020-DNA6 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.000% 8.3217% 12/25/50 (b)(e)(h) | | 3,910,000 | 4,159,413 |
Series 2021-DNA2 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.400% 8.7217% 8/25/33 (b)(e)(h) | | 4,380,000 | 4,750,256 |
Series 2021-DNA6 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.500% 6.8217% 10/25/41 (b)(e)(h) | | 1,799,396 | 1,794,898 |
Series 2021-HQA1: | | | |
Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.000% 8.3217% 8/25/33 (b)(e)(h) | | 2,700,000 | 2,861,859 |
Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.250% 7.5717% 8/25/33 (b)(e)(h) | | 3,383,796 | 3,446,111 |
Series 2022-DNA1 Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.850% 7.1717% 1/25/42 (b)(e)(h) | | 11,800,000 | 11,830,427 |
Series 2022-DNA2 Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.400% 7.7217% 2/25/42 (b)(e)(h) | | 2,240,000 | 2,282,443 |
Series 2022-DNA3 Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.900% 8.2217% 4/25/42 (b)(e)(h) | | 12,945,000 | 13,390,383 |
Freddie Mac. STACR REMIC Trust floater Series 2020-DNA1 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.410% 7.7361% 1/25/50 (b)(e)(h) | | 6,600,000 | 6,808,518 |
Ginnie Mae planned amortization class Series 2021-97 Class LI, 3% 8/20/50 (o) | | 2,144,992 | 336,701 |
Ginnie Mae guaranteed Multi-family REMIC pass-thru securities: | | | |
floater Series 2024-30 Class CF, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.250% 6.5% 2/20/54 (e)(h) | | 4,330,000 | 4,327,294 |
Series 2017-16 Class KU, 6.530% - CME Term SOFR 1 Month Index 1.2157% 4/20/37 (e)(o)(q) | | 8,893 | 724 |
Ginnie Mae guaranteed REMIC pass-thru certificates: | | | |
floater: | | | |
Series 2010-H27 Class FA, CME Term SOFR 1 Month Index + 0.380% 5.8429% 12/20/60 (e)(h)(n) | | 454,972 | 452,746 |
Series 2011-H20 Class FA, CME Term SOFR 1 Month Index + 0.660% 6.0129% 9/20/61 (e)(h)(n) | | 1,486,470 | 1,482,457 |
Series 2012-H11 Class FA, CME Term SOFR 1 Month Index + 0.810% 6.1629% 2/20/62 (e)(h) | | 37,642 | 37,592 |
Series 2012-H18 Class NA, CME Term SOFR 1 Month Index + 0.630% 5.9829% 8/20/62 (e)(h)(n) | | 206,960 | 206,101 |
Series 2012-H21 Class DF, CME Term SOFR 1 Month Index + 0.760% 6.1129% 5/20/61 (e)(h)(n) | | 3,629 | 3,597 |
Series 2013-H19 Class FC, CME Term SOFR 1 Month Index + 0.600% 6.0629% 8/20/63 (e)(h)(n) | | 263,722 | 263,198 |
Series 2013-H20 Class FB, CME Term SOFR 1 Month Index + 1.110% 6.4629% 8/20/63 (e)(h) | | 11,547 | 11,583 |
Series 2013-H23 Class FA, CME Term SOFR 1 Month Index + 1.410% 6.7629% 9/20/63 (e)(h) | | 17,629 | 17,711 |
Series 2015-H04 Class FL, CME Term SOFR 1 Month Index + 0.580% 5.9304% 2/20/65 (e)(h) | | 105,324 | 104,748 |
Series 2015-H23 Class FB, CME Term SOFR 1 Month Index + 0.630% 5.9829% 9/20/65 (e)(h) | | 109,728 | 109,324 |
Series 2016-H16 Class FD, CME TERM SOFR 12 MONTH INDEX + 1.090% 6.1054% 6/20/66 (e)(h) | | 159,230 | 160,152 |
Series 2016-H17 Class FC, CME Term SOFR 1 Month Index + 0.940% 6.2929% 8/20/66 (e)(h) | | 102,831 | 102,704 |
Series 2017-H23 Class FA, CME Term SOFR 1 Month Index + 0.590% 5.9429% 10/20/67 (e)(h) | | 475,159 | 472,886 |
Series 2019-128 Class FH, CME Term SOFR 1 Month Index + 0.610% 5.9343% 10/20/49 (e)(h) | | 221,744 | 215,397 |
Series 2019-23 Class NF, CME Term SOFR 1 Month Index + 0.560% 5.8843% 2/20/49 (e)(h) | | 1,028,652 | 1,005,058 |
Series 2019-H09 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.9629% 5/20/69 (e)(h) | | 312,645 | 311,035 |
Series 2021-H10 Class AF, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.500% 6.8244% 6/20/71 (e)(h) | | 687,055 | 697,361 |
planned amortization class: | | | |
Series 2003-18 Class PG, 5.5% 3/20/33 | | 7,192 | 7,227 |
Series 2004-19 Class KE, 5% 3/16/34 | | 29,325 | 29,286 |
Series 2006-26 Class S, 6.380% - CME Term SOFR 1 Month Index 1.0657% 6/20/36 (e)(o)(q) | | 9,117 | 761 |
Series 2006-33 Class PK, 6% 7/20/36 | | 2,931 | 2,956 |
Series 2007-22 Class PK, 5.5% 4/20/37 | | 14,237 | 14,398 |
Series 2007-24 Class SA, 6.390% - CME Term SOFR 1 Month Index 1.0757% 5/20/37 (e)(o)(q) | | 13,277 | 1,185 |
Series 2008-49 Class PH, 5.25% 6/20/38 | | 14,552 | 14,526 |
Series 2008-55 Class PL, 5.5% 6/20/38 | | 13,350 | 13,521 |
Series 2009-72 Class SM, 6.130% - CME Term SOFR 1 Month Index 0.8142% 8/16/39 (e)(o)(q) | | 4,851 | 361 |
Series 2015-157 Class GA, 3% 1/20/45 | | 8,378 | 7,905 |
Series 2016-69 Class WA, 3% 2/20/46 | | 264,476 | 238,481 |
Series 2017-134 Class BA, 2.5% 11/20/46 | | 621,464 | 554,842 |
Series 2021-58 Class IY, 3% 2/20/51 | | 1,791,639 | 280,619 |
Series 2021-78 Class IP, 3% 5/20/51 (o) | | 624,142 | 97,856 |
sequential payer: | | | |
Series 2009-81 Class A, 5.75% 9/20/36 | | 1,603 | 1,611 |
Series 2010-160 Class DY, 4% 12/20/40 | | 893,238 | 855,200 |
Series 2010-170 Class B, 4% 12/20/40 | | 197,628 | 188,958 |
Series 2017-139 Class BA, 3% 9/20/47 | | 2,639,631 | 2,335,761 |
Series 2022-22 Class UH, 3% 12/20/50 | | 698,992 | 618,527 |
Series 2003-52 Class SB, 11.340% x CME Term SOFR 1 Month Index 2.0373% 6/16/33 (e)(h) | | 879 | 828 |
Series 2007-7 Class EI, 6.080% - CME Term SOFR 1 Month Index 0.7657% 2/20/37 (e)(o)(q) | | 13,364 | 1,083 |
Series 2008-50 Class SA, 6.110% - CME Term SOFR 1 Month Index 0.7957% 6/20/38 (e)(o)(q) | | 19,929 | 1,780 |
Series 2009-106 Class XL, 6.630% - CME Term SOFR 1 Month Index 1.3157% 6/20/37 (e)(o)(q) | | 4,386 | 341 |
Series 2009-16 Class SJ, 6.680% - CME Term SOFR 1 Month Index 1.3657% 5/20/37 (e)(o)(q) | | 13,519 | 1,474 |
Series 2010-116 Class QB, 4% 9/16/40 | | 1,457,743 | 1,395,119 |
Series 2011-94 Class SA, 5.980% - CME Term SOFR 1 Month Index 0.6657% 7/20/41 (e)(o)(q) | | 65,552 | 5,572 |
Series 2013-149 Class MA, 2.5% 5/20/40 | | 556,940 | 535,291 |
Series 2013-H04 Class BA, 1.65% 2/20/63 (n) | | 163 | 147 |
Series 2014-105 Class SN, 5.980% - CME Term SOFR 1 Month Index 0.6657% 12/20/34 (e)(o)(q) | | 12,820 | 983 |
Series 2014-60 Class W, 4.1474% 2/20/29 (e) | | 6,042 | 5,926 |
Series 2015-H02 Class HA, 2.5% 1/20/65 | | 31,738 | 30,964 |
Series 2015-H13 Class HA, 2.5% 8/20/64 (n) | | 3,426 | 3,262 |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 5.16% 8/20/66 (e)(h)(n) | | 695,525 | 692,538 |
Series 2017-H08 Class XI, 0.0752% 3/20/67 (e)(o) | | 344,164 | 13,455 |
Series 2017-H11 Class XI, 0.3425% 5/20/67 (e)(o) | | 907,903 | 36,010 |
Series 2017-H14: | | | |
Class AI, 0.8357% 6/20/67 (e)(o) | | 432,925 | 24,659 |
Class XI, 0.4381% 6/20/67 (e)(o) | | 356,006 | 11,716 |
Series 2021-125 Class HA, 1.5% 4/20/51 | | 797,385 | 671,728 |
Series 2021-155 Class PD, 1.25% 9/20/51 | | 820,523 | 697,066 |
Series 2021-175 Class PB, 1% 3/20/50 | | 341,605 | 263,079 |
Series 2021-215 Class LG, 1.75% 12/20/51 | | 1,199,571 | 978,291 |
Series 2022-85 Class IK, 3% 5/20/51 (o) | | 328,830 | 51,495 |
target amortization class Series 2004-90 Class SI, 5.980% - CME Term SOFR 1 Month Index 0.6657% 10/20/34 (e)(o)(q) | | 5,414 | 353 |
United States Department of Veterans Affairs guaranteed REMIC pass thru certificates: | | | |
sequential payer Series 1998-1 Class 2E, 7% 3/15/28 | | 6,949 | 6,949 |
Series 1996-2 Class 1Z, 6.75% 6/15/26 | | 1,686 | 1,706 |
Series 1999-1 Class 2Z, 6.5% 1/15/29 | | 1,090 | 1,097 |
TOTAL U.S. GOVERNMENT AGENCY | | | 166,522,403 |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $416,038,848) | | | 397,592,602 |
| | | |
Commercial Mortgage Securities - 2.5% |
| | Principal Amount (a) | Value ($) |
20 Times Square Trust 2018-20Ts Series 2018-20TS Class F, 3.0999% 5/15/35 (b)(e) | | 3,016,196 | 2,250,281 |
3650R Commercial Mortgage Trust sequential payer Series 2021-PF1: | | | |
Class A4, 2.253% 11/15/54 | | 4,200,000 | 3,450,090 |
Class A5, 2.522% 11/15/54 | | 1,000,000 | 820,138 |
Acre Commercial Mtg 2021-Florida4 Ltd. / A floater Series 2021-FL4 Class C, CME Term SOFR 1 Month Index + 1.860% 7.1843% 12/18/37 (b)(e)(h) | | 263,000 | 254,256 |
Americold Realty Trust floater Series 2020-ICE5 Class F, CME Term SOFR 1 Month Index + 3.600% 8.929% 11/15/37 (b)(e)(h) | | 688,093 | 685,287 |
Arbor Multifamily Mortgage Securities Trust sequential payer: | | | |
Series 2021-MF2 Class A4, 2.2515% 6/15/54 (b) | | 9,500,000 | 7,951,535 |
Series 2021-MF3 Class A5, 2.5747% 10/15/54 (b) | | 1,000,000 | 841,418 |
Areit 2021-Cre5 Trust floater sequential payer Series 2021-CRE5 Class C, CME Term SOFR 1 Month Index + 2.360% 7.6843% 11/17/38 (b)(e)(h) | | 146,000 | 139,899 |
Ashford Hospitality Trust floater Series 2018-ASHF Class A, CME Term SOFR 1 Month Index + 1.070% 6.39% 4/15/35 (b)(e)(h) | | 2,892,924 | 2,865,803 |
BAMLL Commercial Mortgage Securities Trust: | | | |
floater Series 2022-DKLX: | | | |
Class A, CME Term SOFR 1 Month Index + 1.150% 6.468% 1/15/39 (b)(e)(h) | | 4,172,000 | 4,117,243 |
Class B, CME Term SOFR 1 Month Index + 1.550% 6.868% 1/15/39 (b)(e)(h) | | 789,000 | 773,713 |
Class C, CME Term SOFR 1 Month Index + 2.150% 7.468% 1/15/39 (b)(e)(h) | | 562,000 | 549,882 |
sequential payer Series 2019-BPR: | | | |
Class AMP, 3.287% 11/5/32 (b) | | 6,500,000 | 6,210,316 |
Class ANM, 3.112% 11/5/32 (b) | | 4,963,000 | 4,585,321 |
Series 2019-BPR: | | | |
Class BNM, 3.465% 11/5/32 (b) | | 1,113,000 | 933,508 |
Class CNM, 3.7186% 11/5/32 (b)(e) | | 461,000 | 347,365 |
Bamll Re-Remic Trust 2014-Frr8 Series 2014-FRR8: | | | |
Class A, 1.9023% 11/26/47 (b)(e) | | 351,063 | 337,340 |
Class C, 0% 11/26/47 (b)(e) | | 2,500,000 | 2,352,244 |
BANK: | | | |
sequential payer: | | | |
Series 2018-BN14 Class A4, 4.231% 9/15/60 | | 7,200,000 | 6,899,017 |
Series 2019-BN19 Class A3, 3.183% 8/15/61 | | 292,553 | 255,949 |
Series 2019-BN21: | | | |
Class A4, 2.6% 10/17/52 | | 4,335,496 | 3,865,173 |
Class A5, 2.851% 10/17/52 | | 838,000 | 741,828 |
Series 2019-BN23 Class ASB, 2.846% 12/15/52 | | 400,000 | 374,852 |
Series 2020-BN28 Class A3, 1.584% 3/15/63 | | 8,946,591 | 7,386,633 |
Series 2021-BN31 Class A3, 1.771% 2/15/54 | | 2,000,000 | 1,628,842 |
Series 2021-BN32 Class A4, 2.349% 4/15/54 | | 20,000,000 | 16,885,064 |
Series 2021-BN33 Class A4, 2.27% 5/15/64 | | 9,000,000 | 7,525,211 |
Series 2021-BN35 Class ASB, 2.067% 6/15/64 | | 1,300,000 | 1,143,681 |
Series 2020-BN25 Class XB, 0.4392% 1/15/63 (e)(o) | | 5,200,000 | 113,215 |
Series 2021-BN31 Class XB, 0.8667% 2/15/54 (e)(o) | | 7,000,000 | 306,242 |
Series 2021-BN33 Class XA, 1.0526% 5/15/64 (e)(o) | | 13,411,285 | 679,184 |
Series 2021-BN34 Class XB, 0.5171% 6/15/63 (e)(o) | | 171,794,000 | 5,221,593 |
Bank5 2023-5Yr2 sequential payer Series 2023-5YR2 Class A3, 6.656% 7/15/56 | | 15,000,000 | 15,775,442 |
Bank5 2023-5Yr4 sequential payer Series 2023-5YR4 Class A3, 6.5% 12/15/56 | | 2,700,000 | 2,832,558 |
Bayview Commercial Asset Trust floater: | | | |
Series 2005-3A Class A2, CME Term SOFR 1 Month Index + 0.710% 6.0354% 11/25/35 (b)(e)(h) | | 12,924 | 12,115 |
Series 2005-4A: | | | |
Class A2, CME Term SOFR 1 Month Index + 0.690% 6.0204% 1/25/36 (b)(e)(h) | | 31,465 | 29,280 |
Class M1, CME Term SOFR 1 Month Index + 0.780% 6.1104% 1/25/36 (b)(e)(h) | | 10,156 | 9,453 |
Series 2006-4A Class A2, CME Term SOFR 1 Month Index + 0.510% 5.8404% 12/25/36 (b)(e)(h) | | 68,658 | 63,640 |
Series 2007-1 Class A2, CME Term SOFR 1 Month Index + 0.510% 5.8404% 3/25/37 (b)(e)(h) | | 16,453 | 15,223 |
Series 2007-2A: | | | |
Class A1, CME Term SOFR 1 Month Index + 0.380% 5.8404% 7/25/37 (b)(e)(h) | | 55,544 | 50,444 |
Class A2, CME Term SOFR 1 Month Index + 0.430% 5.9154% 7/25/37 (b)(e)(h) | | 52,003 | 46,384 |
Class M1, CME Term SOFR 1 Month Index + 0.480% 5.9904% 7/25/37 (b)(e)(h) | | 17,701 | 15,845 |
Series 2007-3: | | | |
Class A2, CME Term SOFR 1 Month Index + 0.540% 5.8704% 7/25/37 (b)(e)(h) | | 19,062 | 17,177 |
Class M1, CME Term SOFR 1 Month Index + 0.570% 5.9004% 7/25/37 (b)(e)(h) | | 10,102 | 9,009 |
Class M2, CME Term SOFR 1 Month Index + 0.620% 5.9454% 7/25/37 (b)(e)(h) | | 10,805 | 9,501 |
Class M3, CME Term SOFR 1 Month Index + 0.660% 5.9904% 7/25/37 (b)(e)(h) | | 17,305 | 14,779 |
Class M4, CME Term SOFR 1 Month Index + 0.860% 6.1854% 7/25/37 (b)(e)(h) | | 27,319 | 24,390 |
Class M5, CME Term SOFR 1 Month Index + 1.010% 6.3354% 7/25/37 (b)(e)(h) | | 15,042 | 17,209 |
BB-UBS Trust: | | | |
sequential payer Series 2012-SHOW Class A, 3.4302% 11/5/36 (b) | | 407,000 | 392,212 |
Series 2012-SHOW Class E, 4.026% 11/5/36 (b)(e) | | 437,000 | 384,851 |
Bbccre Trust 2015-Gtp sequential payer Series 2015-GTP Class A, 3.966% 8/10/33 (b) | | 274,000 | 257,140 |
Bbcms 2018-Tall Mtg Trust floater Series 2018-TALL Class A, CME Term SOFR 1 Month Index + 0.870% 6.237% 3/15/37 (b)(e)(h) | | 387,000 | 368,270 |
BBCMS Mortgage Trust: | | | |
sequential payer: | | | |
Series 2019-C4 Class A4, 2.661% 8/15/52 | | 4,000,000 | 3,614,848 |
Series 2021-C9 Class A4, 2.021% 2/15/54 | | 10,000,000 | 8,357,931 |
Series 2023-C21 Class A3, 6.2963% 9/15/56 (e) | | 1,600,000 | 1,674,580 |
Series 2016-ETC Class E, 3.6089% 8/14/36 (b)(e) | | 4,500,000 | 3,445,122 |
Benchmark 2024-V5 Mortgage Trust sequential payer Series 2024-V5 Class A3, 5.8053% 1/10/57 | | 1,700,000 | 1,745,055 |
Benchmark Commercial Mortgage Trust Series 2018-B3 Class A3, 3.746% 4/10/51 | | 1,700,000 | 1,648,476 |
Benchmark Mortgage Trust: | | | |
sequential payer: | | | |
Series 2018 B2 Class A4, 3.6147% 2/15/51 | | 3,500,000 | 3,282,817 |
Series 2018-B4 Class A5, 4.121% 7/15/51 | | 949,000 | 904,089 |
Series 2019-B10 Class A4, 3.717% 3/15/62 | | 1,673,000 | 1,554,686 |
Series 2019-B13 Class A4, 2.952% 8/15/57 | | 7,629,000 | 6,792,512 |
Series 2020-B16 Class A4, 2.483% 2/15/53 | | 3,200,000 | 2,782,028 |
Series 2020-B18 Class A4, 1.672% 7/15/53 | | 10,000,000 | 8,125,348 |
Series 2020-B19: | | | |
Class A3, 1.787% 9/15/53 | | 5,800,000 | 5,216,355 |
Class A4, 1.546% 9/15/53 | | 12,500,000 | 10,271,666 |
Series 2020-B22 Class A4, 1.685% 1/15/54 | | 3,175,000 | 2,576,148 |
Series 2021-B23 Class A4A1, 1.823% 2/15/54 | | 2,000,000 | 1,588,840 |
Series 2021-B24 Class A4, 2.2638% 3/15/54 | | 17,600,000 | 14,518,032 |
Series 2021-B26 Class A4, 2.295% 6/15/54 | | 8,800,000 | 7,187,829 |
Series 2023-C5 Class A2, 6.5176% 6/15/56 | | 8,500,000 | 8,801,096 |
Series 2023-V2 Class A3, 5.8118% 5/15/55 | | 13,000,000 | 13,248,304 |
Series 2023-V4 Class A3, 6.8409% 11/15/56 | | 1,867,000 | 1,983,736 |
Series 2019-B12 Class XA, 1.0242% 8/15/52 (e)(o) | | 38,319,954 | 1,274,644 |
Series 2019-B14 Class XA, 0.7701% 12/15/62 (e)(o) | | 22,558,560 | 571,458 |
BHMS floater Series 2018-ATLS Class A, CME Term SOFR 1 Month Index + 1.290% 6.8646% 7/15/35 (b)(e)(h) | | 6,491,821 | 6,471,154 |
BHP Trust floater Series 2019-BXHP Class C, CME Term SOFR 1 Month Index + 1.560% 6.8873% 8/15/36 (b)(e)(h) | | 60,200 | 59,711 |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, CME Term SOFR 1 Month Index + 0.860% 6.1825% 9/15/26 (b)(e)(h) | | 8,921,000 | 8,611,142 |
BLP Commercial Mortgage Trust: | | | |
floater sequential payer Series 2023-IND Class A, CME Term SOFR 1 Month Index + 1.690% 7.0096% 3/15/40 (b)(e)(h) | | 500,000 | 500,625 |
sequential payer Series 2024-IND2 Class A, CME Term SOFR 1 Month Index + 1.340% 6.6422% 3/15/41 (b)(e)(h) | | 2,900,000 | 2,897,697 |
Bmd2 Re-Remic Trust 2019-Frr1: | | | |
floater Series 2019-FRR1: | | | |
Class 1A1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.610% 7.9591% 5/25/52 (b)(e)(h) | | 92,646 | 92,556 |
Class 1A5, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 4.310% 9.6591% 5/25/52 (b)(e)(h) | | 51,175 | 50,593 |
Series 2019-FRR1 Class 5B13, 2.1972% 5/25/52 (b)(e) | | 4,000,000 | 2,938,039 |
BMO Mortgage Trust sequential payer: | | | |
Series 2022-C1 Class A4, 3.119% 2/17/55 | | 6,200,000 | 5,398,636 |
Series 2023-5C1 Class A3, 6.534% 8/15/56 | | 13,800,000 | 14,436,402 |
BPR Trust floater Series 2022-OANA: | | | |
Class A, CME Term SOFR 1 Month Index + 1.890% 7.2156% 4/15/37 (b)(e)(h) | | 15,784,000 | 15,832,788 |
Class B, CME Term SOFR 1 Month Index + 2.440% 7.7646% 4/15/37 (b)(e)(h) | | 4,626,000 | 4,618,772 |
Bsst 2021-Sscp Mtg Trust floater Series 2021-SSCP: | | | |
Class A, CME Term SOFR 1 Month Index + 0.860% 6.1825% 4/15/36 (b)(e)(h) | | 1,404,000 | 1,389,521 |
Class E, CME Term SOFR 1 Month Index + 2.210% 7.5325% 4/15/36 (b)(e)(h) | | 87,000 | 83,264 |
Bway 2013-1515 Mtg Trust Series 2013-1515 Class F, 3.927% 3/10/33 (b)(e) | | 146,276 | 122,434 |
BX Commercial Mortgage Trust: | | | |
floater: | | | |
Series 2019-IMC: | | | |
Class B, CME Term SOFR 1 Month Index + 1.340% 6.6643% 4/15/34 (b)(e)(h) | | 4,464,000 | 4,447,824 |
Class C, CME Term SOFR 1 Month Index + 1.640% 6.9643% 4/15/34 (b)(e)(h) | | 2,952,000 | 2,938,473 |
Class D, CME Term SOFR 1 Month Index + 1.940% 7.2643% 4/15/34 (b)(e)(h) | | 3,099,000 | 3,081,743 |
Series 2019-XL: | | | |
Class C, CME Term SOFR 1 Month Index + 1.360% 6.6821% 10/15/36 (b)(e)(h) | | 3,155,598 | 3,149,681 |
Class D, CME Term SOFR 1 Month Index + 1.560% 6.8821% 10/15/36 (b)(e)(h) | | 7,863,350 | 7,843,692 |
Class E, CME Term SOFR 1 Month Index + 1.910% 7.2321% 10/15/36 (b)(e)(h) | | 8,530,600 | 8,503,942 |
Class G, CME Term SOFR 1 Month Index + 2.410% 7.7321% 10/15/36 (b)(e)(h) | | 15,725,000 | 15,636,544 |
Class J, CME Term SOFR 1 Month Index + 2.760% 8.0821% 10/15/36 (b)(e)(h) | | 6,162,500 | 6,012,290 |
Series 2021-BXMF Class A, CME Term SOFR 1 Month Index + 0.750% 6.0684% 10/15/26 (b)(e)(h) | | 2,064,623 | 2,040,106 |
Series 2021-CIP Class E, CME Term SOFR 1 Month Index + 2.930% 8.2525% 12/15/38 (b)(e)(h) | | 10,350,000 | 10,181,813 |
Series 2021-LBA Class AJV, CME Term SOFR 1 Month Index + 0.910% 6.2325% 2/15/36 (b)(e)(h) | | 659,000 | 654,469 |
Series 2021-PAC: | | | |
Class A, CME Term SOFR 1 Month Index + 0.800% 6.1216% 10/15/36 (b)(e)(h) | | 8,126,000 | 8,042,201 |
Class B, CME Term SOFR 1 Month Index + 1.010% 6.3313% 10/15/36 (b)(e)(h) | | 1,201,000 | 1,180,733 |
Class C, CME Term SOFR 1 Month Index + 1.210% 6.5311% 10/15/36 (b)(e)(h) | | 1,607,000 | 1,570,843 |
Class D, CME Term SOFR 1 Month Index + 1.410% 6.7308% 10/15/36 (b)(e)(h) | | 1,560,000 | 1,515,150 |
Class E, CME Term SOFR 1 Month Index + 2.060% 7.38% 10/15/36 (b)(e)(h) | | 5,425,000 | 5,316,500 |
Series 2021-SOAR Class F, CME Term SOFR 1 Month Index + 2.460% 7.7825% 6/15/38 (b)(e)(h) | | 3,530,976 | 3,469,184 |
Series 2021-VINO Class A, CME Term SOFR 1 Month Index + 0.760% 6.0848% 5/1/38 (b)(e)(h) | | 3,930,308 | 3,891,158 |
Series 2022-CSMO Class B, CME Term SOFR 1 Month Index + 3.140% 8.4583% 6/15/27 (b)(e)(h) | | 5,158,800 | 5,173,309 |
Series 2022-IND Class A, CME Term SOFR 1 Month Index + 1.490% 6.8086% 4/15/37 (b)(e)(h) | | 5,980,106 | 5,980,106 |
Series 2023-XL3: | | | |
Class A, CME Term SOFR 1 Month Index + 1.760% 7.0791% 12/9/40 (b)(e)(h) | | 5,127,000 | 5,162,248 |
Class B, CME Term SOFR 1 Month Index + 2.190% 7.5085% 12/9/40 (b)(e)(h) | | 996,000 | 1,003,781 |
Class C, CME Term SOFR 1 Month Index + 2.640% 7.9578% 12/9/40 (b)(e)(h) | | 540,000 | 544,219 |
Class D, CME Term SOFR 1 Month Index + 3.580% 8.9064% 12/9/40 (b)(e)(h) | | 300,000 | 302,250 |
Series 2024-MF: | | | |
Class A, CME Term SOFR 1 Month Index + 1.440% 6.7416% 2/15/39 (b)(e)(h) | | 130,000 | 129,756 |
Class E, CME Term SOFR 1 Month Index + 3.730% 9.0383% 2/15/39 (b)(e)(h) | | 174,000 | 174,322 |
floater sequential payer: | | | |
Series 2019-CALM Class A, CME Term SOFR 1 Month Index + 0.990% 6.3085% 11/15/32 (b)(e)(h) | | 2,389,891 | 2,386,157 |
Series 2019-IMC Class A, CME Term SOFR 1 Month Index + 1.040% 6.3643% 4/15/34 (b)(e)(h) | | 7,500,000 | 7,479,994 |
Series 2020-VKNG Class A, CME Term SOFR 1 Month Index + 1.040% 6.3625% 10/15/37 (b)(e)(h) | | 964,700 | 961,986 |
BX Commercial Mortgage Trust 2024-Xl4: | | | |
floater Series 2024-XL4: | | | |
Class B, CME Term SOFR 1 Month Index + 1.790% 7.1092% 2/15/39 (b)(e)(h) | | 857,000 | 855,929 |
Class D, CME Term SOFR 1 Month Index + 3.130% 8.4573% 2/15/39 (b)(e)(h) | | 390,000 | 390,000 |
Class E, CME Term SOFR 1 Month Index + 4.180% 9.5057% 2/15/39 (b)(e)(h) | | 210,000 | 209,895 |
floater sequential payer Series 2024-XL4 Class A, CME Term SOFR 1 Month Index + 1.440% 6.7597% 2/15/39 (b)(e)(h) | | 7,025,000 | 7,025,000 |
Bx Commercial Mtg Trust 2023-Vlt3 sequential payer Series 2023-VLT3 Class A, CME Term SOFR 1 Month Index + 1.940% 7.2576% 11/15/28 (b)(e)(h) | | 550,000 | 550,000 |
BX Trust: | | | |
floater: | | | |
Series 2021-ARIA Class A, CME Term SOFR 1 Month Index + 1.010% 6.3316% 10/15/36 (b)(e)(h) | | 697,000 | 687,852 |
Series 2021-MFM1: | | | |
Class E, CME Term SOFR 1 Month Index + 2.360% 7.6825% 1/15/34 (b)(e)(h) | | 72,855 | 71,672 |
Class F, CME Term SOFR 1 Month Index + 3.110% 8.4325% 1/15/34 (b)(e)(h) | | 44,834 | 43,977 |
Series 2021-VIEW Class F, CME Term SOFR 1 Month Index + 4.040% 9.3625% 6/15/36 (b)(e)(h) | | 61,000 | 53,985 |
Series 2022-GPA: | | | |
Class A, CME Term SOFR 1 Month Index + 2.160% 7.4826% 8/15/39 (b)(e)(h) | | 4,200,445 | 4,210,978 |
Class B, CME Term SOFR 1 Month Index + 2.660% 7.9816% 8/15/41 (b)(e)(h) | | 496,155 | 497,395 |
Series 2022-IND: | | | |
Class B, CME Term SOFR 1 Month Index + 1.940% 7.2576% 4/15/37 (b)(e)(h) | | 3,048,997 | 3,048,038 |
Class C, CME Term SOFR 1 Month Index + 2.290% 7.6076% 4/15/37 (b)(e)(h) | | 688,187 | 687,327 |
Class D, CME Term SOFR 1 Month Index + 2.830% 8.1566% 4/15/37 (b)(e)(h) | | 575,658 | 574,579 |
Series 2024-PAT: | | | |
Class A, CME Term SOFR 1 Month Index + 2.090% 7.34% 3/15/26 (e)(h) | | 150,000 | 149,621 |
Class C, CME Term SOFR 1 Month Index + 4.430% 0% 3/15/26 (e)(h) | | 321,000 | 323,005 |
Class D, CME Term SOFR 1 Month Index + 5.380% 10.639% 3/15/26 (e)(h) | | 155,000 | 155,527 |
floater sequential payer Series 2021-MFM1 Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 1/15/34 (b)(e)(h) | | 2,729,425 | 2,708,954 |
Bx Trust 2023-Delc floater sequential payer Series 2023-DELC Class A, CME Term SOFR 1 Month Index + 2.690% 8.0076% 5/15/38 (b)(e)(h) | | 1,150,000 | 1,160,067 |
BXMT, Ltd. floater Series 2020-FL3 Class A, CME Term SOFR 1 Month Index + 1.510% 6.8358% 11/15/37 (b)(h) | | 3,093,898 | 3,006,030 |
BXSC Commercial Mortgage Trust floater Series 2022-WSS Class D, CME Term SOFR 1 Month Index + 3.180% 8.506% 3/15/35 (b)(e)(h) | | 8,167,000 | 8,092,987 |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, CME Term SOFR 1 Month Index + 1.360% 6.685% 12/15/37 (b)(e)(h) | | 3,800,000 | 3,798,813 |
Camb Commercial Mortgage Trust sequential payer Series 2021-CX2 Class A, 2.7% 11/10/46 (b) | | 4,000,000 | 3,261,528 |
CD Commercial Mortgage Trust Series 2017-CD6 Class A3, 3.104% 11/13/50 | | 2,500,000 | 2,355,931 |
CD Mortgage Trust sequential payer Series 2017-CD5: | | | |
Class A3, 3.171% 8/15/50 | | 2,700,000 | 2,504,574 |
Class A4, 3.431% 8/15/50 | | 1,000,000 | 928,863 |
Cent Trust 2023-City floater sequential payer Series 2023-CITY Class A, CME Term SOFR 1 Month Index + 2.620% 7.9376% 9/15/38 (b)(e)(h) | | 733,100 | 736,764 |
CF Hippolyta Issuer LLC sequential payer: | | | |
Series 2020-1: | | | |
Class A1, 1.69% 7/15/60 (b) | | 16,578,699 | 15,415,277 |
Class A2, 1.99% 7/15/60 (b) | | 6,503,611 | 5,551,506 |
Series 2021-1A Class A1, 1.53% 3/15/61 (b) | | 8,434,906 | 7,568,148 |
CF Mortgage Trust sequential payer Series 2019-CF2 Class A4, 2.6236% 11/15/52 | | 850,000 | 738,612 |
CFCRE Commercial Mortgage Trust Series 2011-C2 Class D, 5.0798% 12/15/47 (b)(e) | | 81,243 | 75,556 |
CFCRE Mortgage Trust sequential payer Series 2016-C6 Class A2, 2.95% 11/10/49 | | 923,168 | 874,599 |
Cfmt 2021-Frr1 Trust: | | | |
sequential payer Series 2021-FRR1 Class AK99, 0% 9/29/29 (b) | | 5,353,696 | 3,601,404 |
Series 2021-FRR1: | | | |
Class BK54, 0% 2/28/26 (b) | | 659,122 | 564,371 |
Class BK58, 2.4476% 9/29/29 (b)(e) | | 327,366 | 276,419 |
Class BK98, 0% 8/29/29 (b) | | 368,616 | 235,720 |
Class BK99, 0% 9/29/29 (b) | | 447,606 | 259,656 |
Class CK45, 1.3395% 2/28/25 (b)(e) | | 384,122 | 353,481 |
Class CK54, 0% 2/28/26 (b) | | 204,787 | 170,932 |
Class CKW1, 0% 1/29/26 (b) | | 263,297 | 226,217 |
Class DK45, 0% 2/28/25 (b) | | 321,808 | 287,634 |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | | | |
Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 11/15/36 (b)(e)(h) | | 3,687,000 | 3,645,426 |
Class B, CME Term SOFR 1 Month Index + 1.360% 6.6825% 11/15/36 (b)(e)(h) | | 1,400,000 | 1,349,807 |
Cgms Commercial Mortgage Trust sequential payer Series 2017-B1 Class A3, 3.197% 8/15/50 | | 870,882 | 811,582 |
Citigroup Commercial Mortgage Trust: | | | |
sequential payer: | | | |
Series 2015-GC33 Class A3, 3.515% 9/10/58 | | 1,551,420 | 1,507,137 |
Series 2016-GC37 Class A3, 3.05% 4/10/49 | | 2,190,826 | 2,105,533 |
Series 2014-GC25 Class A/S, 4.017% 10/10/47 | | 1,183,000 | 1,158,596 |
Series 2015-GC27 Class A5, 3.137% 2/10/48 | | 500,000 | 490,532 |
Series 2015-GC29 Class XA, 1.0112% 4/10/48 (e)(o) | | 28,169,185 | 217,415 |
Series 2015-GC33: | | | |
Class AAB, 3.522% 9/10/58 | | 321,984 | 316,502 |
Class XA, 0.8676% 9/10/58 (e)(o) | | 16,790,074 | 172,614 |
Series 2016-C2 Class A3, 2.575% 8/10/49 | | 2,705,173 | 2,550,555 |
Series 2016-GC36 Class A4, 3.349% 2/10/49 | | 2,500,000 | 2,378,717 |
Series 2016-P6 Class XA, 0.555% 12/10/49 (e)(o) | | 12,341,683 | 150,334 |
COMM Mortgage Trust: | | | |
sequential payer: | | | |
Series 2014-CR18 Class A5, 3.828% 7/15/47 | | 1,605,629 | 1,595,103 |
Series 2015 LC19 Class A3, 2.922% 2/10/48 | | 5,576,268 | 5,480,424 |
Series 2015-CR22 Class A4, 3.048% 3/10/48 | | 5,265,000 | 5,154,400 |
Series 2015-CR24 Class A5, 3.696% 8/10/48 | | 234,981 | 228,025 |
Series 2015-CR25 Class A4, 3.759% 8/10/48 | | 200,574 | 194,694 |
Series 2016-COR1 Class A3, 2.826% 10/10/49 | | 7,520,414 | 7,073,836 |
Series 2014-CR17 Class XA, 0.8146% 5/10/47 (e)(o) | | 10,009,646 | 414 |
Series 2014-CR20 Class XA, 0.9224% 11/10/47 (e)(o) | | 15,210,424 | 26,294 |
Series 2014-LC17 Class XA, 0.645% 10/10/47 (e)(o) | | 29,528,398 | 37,359 |
Series 2014-UBS6: | | | |
Class A5, 3.644% 12/10/47 | | 3,900,000 | 3,820,516 |
Class XA, 0.8226% 12/10/47 (e)(o) | | 8,567,433 | 22,204 |
Series 2015-CR24 Class A4, 3.432% 8/10/48 | | 924,844 | 900,974 |
Series 2015-PC1 Class A4, 3.62% 7/10/50 | | 489,065 | 480,432 |
Series 2020-CMB Class D, 3.6327% 2/10/37 (b)(e) | | 255,983 | 242,005 |
COMM Trust sequential payer Series 2017-COR2: | | | |
Class A3, 3.51% 9/10/50 | | 11,380,000 | 10,564,953 |
Class ASB, 3.317% 9/10/50 | | 855,440 | 825,678 |
Communication 2018-Home Mortgage Trust sequential payer Series 2018-HOME Class A, 3.8151% 4/10/33 (b)(e) | | 699,201 | 638,759 |
Credit Suisse Mortgage Trust: | | | |
floater: | | | |
Series 2019-ICE4: | | | |
Class A, CME Term SOFR 1 Month Index + 1.020% 6.345% 5/15/36 (b)(e)(h) | | 7,973,164 | 7,973,229 |
Class B, CME Term SOFR 1 Month Index + 1.270% 6.595% 5/15/36 (b)(e)(h) | | 561,603 | 561,513 |
Class C, CME Term SOFR 1 Month Index + 1.470% 6.795% 5/15/36 (b)(e)(h) | | 1,517,225 | 1,517,173 |
Series 2022-NWPT Class A, CME Term SOFR 1 Month Index + 3.140% 8.4606% 9/9/24 (b)(e)(h) | | 282,000 | 282,793 |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | | 2,158,714 | 1,999,098 |
Series 2020-NET Class B, 2.8159% 8/15/37 (b) | | 500,000 | 462,621 |
CSAIL Commercial Mortgage Trust: | | | |
sequential payer: | | | |
Series 2015-C3 Class A4, 3.7182% 8/15/48 | | 359,957 | 348,707 |
Series 2021-C20 Class A2, 2.4862% 3/15/54 | | 15,169,440 | 12,776,772 |
Series 2016-C7 Class A4, 3.21% 11/15/49 | | 3,186,022 | 3,045,971 |
Csmc 2021-Bhar floater Series 2021-BHAR Class A, CME Term SOFR 1 Month Index + 1.260% 6.5825% 11/15/38 (b)(e)(h) | | 1,000,000 | 994,375 |
CSMC Commercial Mortgage Trust sequential payer Series 2016-NXSR Class A4, 3.7948% 12/15/49 | | 2,000,000 | 1,888,859 |
CSMC Trust: | | | |
sequential payer Series 2014-U.S.A. Class A2, 3.953% 9/15/37 (b) | | 5,001,000 | 4,400,882 |
Series 2014-U.S.A. Class D, 4.3733% 9/15/37 (b) | | 444,000 | 284,998 |
DBJPM Mortgage Trust sequential payer Series 2017-C6 Class A3, 3.269% 6/10/50 | | 1,070,384 | 1,056,607 |
DOLP Trust sequential payer Series 2021-NYC Class A, 2.956% 5/10/41 (b) | | 8,810,000 | 7,330,399 |
DTP Commercial Mortgage Trust 2023-Ste2 sequential payer Series 2023-STE2 Class A, 6.038% 1/15/41 (b)(e) | | 1,352,000 | 1,331,721 |
ELP Commercial Mortgage Trust floater Series 2021-ELP: | | | |
Class A, CME Term SOFR 1 Month Index + 0.810% 6.1335% 11/15/38 (b)(e)(h) | | 10,967,234 | 10,857,562 |
Class B, CME Term SOFR 1 Month Index + 1.230% 6.5527% 11/15/38 (b)(e)(h) | | 973,866 | 963,215 |
Class F, CME Term SOFR 1 Month Index + 2.780% 8.0995% 11/15/38 (b)(e)(h) | | 998,837 | 985,103 |
Extended Stay America Trust floater Series 2021-ESH: | | | |
Class A, CME Term SOFR 1 Month Index + 1.190% 6.5125% 7/15/38 (b)(e)(h) | | 4,912,591 | 4,906,459 |
Class B, CME Term SOFR 1 Month Index + 1.490% 6.8125% 7/15/38 (b)(e)(h) | | 1,926,776 | 1,923,765 |
Class C, CME Term SOFR 1 Month Index + 1.810% 7.1325% 7/15/38 (b)(e)(h) | | 1,420,596 | 1,418,377 |
Class D, CME Term SOFR 1 Month Index + 2.360% 7.6825% 7/15/38 (b)(e)(h) | | 2,870,484 | 2,865,973 |
Class F, CME Term SOFR 1 Month Index + 3.810% 9.1325% 7/15/38 (b)(e)(h) | | 1,102,061 | 1,099,995 |
Fannie Mae: | | | |
sequential payer: | | | |
Series 2014-M13 Class A2, 3.021% 8/25/24 | | 110,341 | 108,987 |
Series 2015-M1 Class A2, 2.532% 9/25/24 | | 237,660 | 233,484 |
Series 2015-M10 Class A2, 3.092% 4/25/27 | | 164,145 | 156,927 |
Series 2015-M13 Class A2, 2.6991% 6/25/25 (e) | | 35,297 | 34,180 |
Series 2015-M7 Class A2, 2.59% 12/25/24 | | 210,302 | 205,565 |
Series 2016-M6 Class A2, 2.488% 5/25/26 | | 212,467 | 201,752 |
Series 2016-M7 Class A2, 2.4994% 9/25/26 | | 161,887 | 153,304 |
Series 2017-M3 Class A2, 2.4654% 12/25/26 (e) | | 368,048 | 345,833 |
Series 2017-M5 Class A2, 3.0693% 4/25/29 (e) | | 618,708 | 575,593 |
Series 2017-M8 Class A2, 3.061% 5/25/27 | | 232,006 | 220,907 |
Series 2018-M10 Class A2, 3.3572% 7/25/28 (e) | | 609,916 | 579,204 |
Series 2018-M2 Class A2, 2.9053% 1/25/28 (e) | | 786,244 | 739,352 |
Series 2018-M4 Class A2, 3.0642% 3/25/28 (e) | | 250,025 | 235,758 |
Series 2018-M7 Class A2, 3.0321% 3/25/28 (e) | | 802,672 | 755,064 |
Series 2019-M1 Class A2, 3.5468% 9/25/28 (e) | | 1,458,155 | 1,392,164 |
Series 2019-M12 Class A2, 2.885% 6/25/29 (e) | | 798,672 | 734,610 |
Series 2019-M7 Class A2, 3.143% 4/25/29 | | 495,818 | 460,573 |
Series 2020-M38 Class 2A1, 1.594% 11/25/28 | | 163,033 | 144,493 |
Series 2020-M50 Class A2, 1.2% 10/25/30 | | 156,916 | 141,081 |
Series 2022-M2S Class A2, 3.7508% 8/25/32 (e) | | 412,499 | 383,586 |
Series 2015-M5 Class A1, 2.8638% 3/25/25 (e) | | 378,877 | 369,437 |
Series 2017-M1 Class A2, 2.4168% 10/25/26 (e) | | 227,925 | 214,886 |
Series 2017-T1 Class A, 2.898% 6/25/27 | | 2,887,861 | 2,711,460 |
Series 2018-M14 Class A2, 3.5813% 8/25/28 (e) | | 1,008,722 | 964,702 |
Series 2018-M3 Class A2, 3.0688% 2/25/30 (e) | | 1,006,226 | 926,144 |
Series 2020-M38 Class X2, 1.9789% 11/25/28 (e)(o) | | 1,053,990 | 63,047 |
Series 2020-M50 Class X1, 1.8208% 10/25/30 (e)(o) | | 2,365,679 | 158,519 |
Series 2022-M10 Class A2, 1.9379% 1/25/32 (e) | | 9,000,000 | 7,323,235 |
Freddie Mac: | | | |
sequential payer: | | | |
Series 2015-K049 Class A2, 3.01% 7/25/25 | | 601,000 | 584,421 |
Series 2016-K054 Class A2, 2.745% 1/25/26 | | 4,968,992 | 4,777,335 |
Series 2016-K058 Class AM, 2.724% 8/25/26 | | 585,106 | 555,770 |
Series 2016-K152 Class A2, 3.08% 1/25/31 | | 258,704 | 232,469 |
Series 2016-KS06 Class A2, 2.72% 7/25/26 | | 294,893 | 280,573 |
Series 2016-KS07 Class A2, 2.735% 9/25/25 | | 631,914 | 606,862 |
Series 2017-K061 Class AM, 3.439% 11/25/26 | | 292,904 | 282,273 |
Series 2017-K063 Class AM, 3.513% 1/25/27 | | 749,228 | 722,611 |
Series 2017-K070 Class A2, 3.303% 11/25/27 | | 176,848 | 168,462 |
Series 2017-KJ17 Class A2, 2.982% 11/25/25 | | 189,971 | 185,656 |
Series 2018-KC02 Class A2, 3.37% 7/25/25 | | 770,467 | 751,774 |
Series 2018-W5FX Class AFX, 3.3361% 4/25/28 (e) | | 289,920 | 271,492 |
Series 2019-KJ26 Class A2, 2.606% 7/25/27 | | 431,823 | 410,148 |
Series 2019-KS11 Class AFX2, 2.654% 6/25/29 | | 1,462,765 | 1,323,007 |
Series 2020-1515 Class A2, 1.94% 2/25/35 | | 1,053,190 | 800,191 |
Series 2021-K126 Class A2, 2.074% 1/25/31 | | 800,000 | 676,742 |
Series 2021-K127 Class A2, 2.108% 1/25/31 | | 6,800,000 | 5,757,975 |
Series 2022-5250 Class NH, 3% 8/25/52 | | 12,570,000 | 10,259,928 |
Series 2022-K141 Class A2, 2.25% 2/25/32 | | 2,772,000 | 2,315,722 |
Series 2022-K142 Class AM, 2.4% 3/25/32 | | 643,616 | 541,886 |
Series 2022-K145 Class A2, 2.58% 5/25/32 | | 546,050 | 465,429 |
Series 2022-K146: | | | |
Class A2, 2.92% 6/25/32 | | 4,673,946 | 4,084,314 |
Class AM, 2.92% 6/25/54 | | 380,318 | 330,892 |
Series 2022-K147 Class A2, 3% 6/25/32 | | 5,354,000 | 4,705,129 |
Series 2022-K750 Class A2, 3% 9/25/29 | | 6,600,000 | 6,074,373 |
Series 2023-K-153 Class A2, 3.82% 12/25/32 | | 731,382 | 681,346 |
Series 2023-K751 Class A2, 4.412% 3/25/30 | | 3,057,000 | 2,999,853 |
Series 2023-K752 Class A2, 4.284% 7/25/30 | | 3,200,000 | 3,113,931 |
Series 2023-K754 Class A2, 4.94% 11/25/30 | | 4,700,000 | 4,736,522 |
Series 2023-KJ48 Class A2, 5.028% 10/25/31 | | 96,000 | 95,890 |
Series 2024-K516 Class A2, 5.476% 1/25/29 | | 12,500,000 | 12,917,500 |
Series K065 Class A2, 3.243% 4/25/27 | | 1,494,050 | 1,431,579 |
Series 2019-K095 Class X1, 0.9499% 6/25/29 (e)(o) | | 13,833,981 | 556,047 |
Series 2019-KC03 Class X1, 0.4782% 11/25/24 (e) | | 52,509,675 | 153,901 |
Series 2019-KL05 Class X1P, 0.8924% 6/25/29 (e)(o) | | 5,143,082 | 209,372 |
Series 2020-K106 Class X1, 1.3177% 1/25/30 (e)(o) | | 57,438,767 | 3,613,140 |
Series 2020-KX04 Class XFX, 1.6774% 1/25/34 (e)(o) | | 4,967,392 | 275,286 |
Series 2020-Q014 Class X, 2.7853% 10/25/55 (e)(o) | | 645,356 | 100,309 |
Series 2021-1520 Class X3, 3.0927% 4/25/39 (e)(o) | | 130,186 | 30,410 |
Series 2021-K128 Class X3, 2.7814% 4/25/31 (e)(o) | | 375,930 | 55,773 |
Series 2021-K741 Class X1, 0.5665% 12/25/27 (e)(o) | | 139,963,103 | 2,529,749 |
Series 2022 K748 Class A2, 2.26% 1/25/29 | | 13,221,000 | 11,803,990 |
Series K047 Class A2, 3.329% 5/25/25 | | 8,088,501 | 7,914,075 |
Series K076 Class A2, 3.9% 4/25/28 | | 3,853,000 | 3,730,098 |
Freddie Mac Mscr Trust Mn7 floater Series 2023-MN7 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 5.700% 11.0213% 9/25/43 (b)(e)(h) | | 1,030,000 | 1,040,306 |
Freddie Mac Multifamily Struct floater Series 2021-MN1 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.750% 9.0717% 1/25/51 (b)(e)(h) | | 893,281 | 877,167 |
Fremf 17-K68 Mortgage Trust Series 2017-K68 Class B, 3.8416% 10/25/49 (b)(e) | | 275,672 | 260,093 |
Fremf 2014-K38 Mtg Trust Series 2014-K38 Class C, 4.4794% 6/25/47 (b)(e) | | 138,962 | 138,149 |
Fremf 2014-K40 Mtg Trust Series 2014-K40 Class C, 4.0522% 11/25/47 (b)(e) | | 249,898 | 246,117 |
Fremf 2015-K45 Mtg Trust Series 2015-K45 Class B, 3.6005% 4/25/48 (b)(e) | | 260,957 | 254,874 |
Fremf 2015-K46 Mtg Trust Series 2015-K46 Class C, 3.6975% 4/25/48 (b)(e) | | 103,710 | 101,027 |
Fremf 2015-K48 Mtg Trust Series 2015-K48: | | | |
Class B, 3.6461% 8/25/48 (b)(e) | | 470,571 | 457,320 |
Class C, 3.6461% 8/25/48 (b)(e) | | 515,000 | 498,242 |
Fremf 2015-K51 Mtg Trust Series 2015-K51 Class B, 3.9507% 10/25/48 (b)(e) | | 80,452 | 78,153 |
Fremf 2016-K55 Mortgage Trust Series 2016-K55 Class B, 4.1671% 4/25/49 (b)(e) | | 292,553 | 283,321 |
Fremf 2016-K56 Mortgage Trust Series 2016-K56 Class B, 3.9511% 6/25/49 (b)(e) | | 103,827 | 100,032 |
Fremf 2016-K58 Mortgage Trust Series 2016-K58 Class C, 3.7376% 9/25/49 (b)(e) | | 1,090,000 | 1,030,871 |
Fremf 2016-K59 Mtg Trust Series 2016-K59 Class B, 3.58% 11/25/49 (b)(e) | | 137,909 | 131,059 |
Fremf 2017-K61 Mortgage Trust Series 2017-K61 Class C, 3.6951% 12/25/49 (b)(e) | | 156,369 | 147,554 |
Fremf 2017-K63 Mortgage Trust Series 2017-K63: | | | |
Class B, 3.8784% 2/25/50 (b)(e) | | 347,991 | 331,498 |
Class C, 3.8784% 2/25/50 (b)(e) | | 146,276 | 137,862 |
Fremf 2017-K727 Mortgage Trust Series 2017-K727 Class C, 3.7884% 7/25/24 (b)(e) | | 93,616 | 92,357 |
Fremf 2017-Kl1P Mortgage Trust Series 2017-KL1P Class BP, 3.3682% 10/25/25 (b)(e) | | 388,576 | 360,815 |
Fremf 2018-K733 Mtg Trust Series 2018-K733 Class B, 4.0842% 9/25/25 (b)(e) | | 384,000 | 373,232 |
Fremf 2018-K74 Mortgage Trust Series 2018-K74 Class B, 4.0941% 2/25/51 (b)(e) | | 292,553 | 276,549 |
Fremf 2018-K85 Mortgage Trust Series 2018-K85 Class C, 4.3202% 12/25/50 (b)(e) | | 1,000,000 | 931,416 |
Fremf 2018-Kbx1 Mtg Trust Series 2018-KBX1 Class C, 3.6066% 1/25/26 (b)(e) | | 219,414 | 188,898 |
Fremf 2018-Khg1 Mortgage Trust Series 2018-KHG1 Class C, 3.8231% 12/25/27 (b)(e) | | 971,831 | 866,488 |
Fremf 2018-Kl02 Mtg Trust Series 2018-KL2B Class CB, 3.8328% 1/25/25 (b)(e) | | 255,463 | 237,199 |
Fremf 2018-Kl03 Mortgage Trust Series 2018-KL3W Class CW, 4.2349% 8/25/25 (b)(e) | | 585,106 | 548,635 |
Fremf 2018-Ksl1 Mtg Trust Series 2018-KSL1 Class C, 3.9841% 11/25/25 (b)(e) | | 498,334 | 456,804 |
Fremf 2018-Kw06 Mtg Trust Series 2018-KW06: | | | |
Class C, 0% 6/25/28 (b) | | 365,011 | 266,769 |
Class X2A, 0.1% 6/25/28 (b)(o) | | 3,812,968 | 10,332 |
Class X2B, 0.1% 6/25/28 (b)(o) | | 486,684 | 1,674 |
Fremf 2018-Kw07 Mtg Trust Series 2018-KW07: | | | |
Class C, 10/25/31 (b)(p) | | 380,318 | 233,419 |
Class X2A, 0.1% 10/25/31 (b)(o) | | 4,354,877 | 11,549 |
Class X2B, 0.1% 10/25/31 (b)(o) | | 495,949 | 1,833 |
Fremf 2019-K736 Mtg Trust Series 2019-K736 Class B, 3.7597% 7/25/26 (b)(e) | | 905,000 | 863,649 |
Fremf 2019-K98 Mtg Trust Series 2019-K98 Class B, 3.7378% 10/25/52 (b)(e) | | 321,808 | 293,131 |
Fremf 2019-Kbf3 Mortgage Trust floater Series 2019-KBF3 Class C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 4.750% 10.1958% 1/25/29 (b)(e)(h) | | 693,933 | 646,970 |
Fremf 2019-Kl05 Mtg Trust Series 2019-KL05: | | | |
Class BHG, 4.3706% 2/25/29 (b)(e) | | 105,465 | 92,317 |
Class CHG, 4.37% 2/25/29 (b) | | 339,771 | 293,766 |
Fremf 2019-Kw10 Mortgage Trust Series 2019-KW10 Class B, 3.6307% 10/25/32 (b)(e) | | 268,271 | 237,189 |
FREMF Mortgage Trust floater Series 2018-KSW4 Class B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.450% 7.8958% 10/25/28 (e)(h) | | 3,949,698 | 3,722,132 |
Fremf Mortgage Trust 2014 K39 Series 2014-K39 Class C, 4.0825% 8/25/47 (b)(e) | | 204,787 | 202,261 |
Frr Re-Remic Trust 2018-C1: | | | |
sequential payer Series 2018-C1 Class AK43, 2.8218% 2/27/48 (b)(e) | | 146,276 | 139,679 |
Series 2018-C1: | | | |
Class B725, 0.5434% 2/27/50 (b)(e) | | 195,425 | 193,192 |
Class BK43, 2.7137% 2/27/48 (b)(e) | | 234,042 | 222,020 |
Gam Re-Remic Trust 2021-Frr1 Series 2021-FRR1 Class 1B, 0% 11/29/50 (b) | | 5,000,000 | 3,809,333 |
Gam Re-Remic Trust 2022-Frr3 Series 2022-FRR3 Class BK89, 1/27/52 (b)(p) | | 6,000,000 | 3,993,005 |
Ginnie Mae guaranteed Multi-family REMIC pass-thru securities: | | | |
Series 2020-193 Class AC, 1.25% 9/16/62 | | 1,437,706 | 1,057,296 |
Series 2021-14 Class AB, 1.34% 6/16/63 | | 1,719,545 | 1,278,082 |
Series 2021-2 Class AH, 1.5% 6/16/63 | | 4,046,103 | 3,032,835 |
Series 2021-21 Class AH, 1.4% 6/16/63 | | 2,760,324 | 2,057,370 |
Series 2021-31 Class B, 1.25% 1/16/61 | | 2,999,446 | 2,198,371 |
Series 2021-36 Class IO, 1.2886% 3/16/63 (e) | | 14,039,947 | 1,146,562 |
Ginnie Mae guaranteed REMIC pass-thru certificates: | | | |
sequential payer Series 2023-119 Class AD, 2.25% 4/16/65 | | 99,581 | 79,831 |
Series 2023-118 Class BA, 3.749% 5/16/65 (e) | | 1,396,771 | 1,297,284 |
Great Wolf Trust floater Series 2024-WOLF Class A, CME Term SOFR 1 Month Index + 1.540% 6.842% 3/15/39 (b)(e)(h) | | 100,000 | 99,938 |
Greystone Commercial Capital Trust floater Series 2021-3 Class A, CME Term SOFR 1 Month Index + 2.340% 7.6643% 8/1/24 (b)(e)(h) | | 7,000,000 | 6,948,121 |
GS Mortgage Securities Trust: | | | |
floater: | | | |
Series 2018-3PCK Class A, CME Term SOFR 1 Month Index + 2.060% 7.3825% 9/15/31 (b)(e)(h) | | 6,645,225 | 6,614,505 |
Series 2018-HART Class A, CME Term SOFR 1 Month Index + 1.140% 6.463% 10/15/31 (b)(e)(h) | | 397,561 | 387,622 |
Series 2021-IP: | | | |
Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 10/15/36 (b)(e)(h) | | 7,945,000 | 7,830,974 |
Class B, CME Term SOFR 1 Month Index + 1.260% 6.5825% 10/15/36 (b)(e)(h) | | 730,000 | 709,013 |
Class C, CME Term SOFR 1 Month Index + 1.660% 6.9825% 10/15/36 (b)(e)(h) | | 601,000 | 576,968 |
sequential payer: | | | |
Series 2015-GS1 Class A3, 3.734% 11/10/48 | | 11,384,000 | 10,947,506 |
Series 2017-GS6 Class A2, 3.164% 5/10/50 | | 476,294 | 446,299 |
Series 2019-GC38 Class A4, 3.968% 2/10/52 | | 909,839 | 849,695 |
Series 2020-GC45 Class AAB, 2.8428% 2/13/53 | | 900,000 | 839,200 |
Series 2020-GSA2 Class A4, 1.721% 12/12/53 | | 4,940,000 | 3,919,476 |
Series 2023-SHIP Class A, 4.3223% 9/10/38 (b)(e) | | 4,140,000 | 4,006,856 |
Series 2011-GC5 Class A/S, 5.1526% 8/10/44 (b)(e) | | 7,951,089 | 7,706,253 |
Series 2015-GC30 Class A3, 3.119% 5/10/50 | | 1,883,924 | 1,832,817 |
Series 2015-GC34 Class XA, 1.1931% 10/10/48 (e)(o) | | 5,074,971 | 73,548 |
Series 2019-GC40 Class A3, 2.904% 7/10/52 | | 2,000,000 | 1,785,317 |
Gs Mtg Securities Corp. Trust 2023-Fun floater sequential payer Series 2023-FUN Class B, CME Term SOFR 1 Month Index + 2.790% 8.1079% 3/15/28 (b)(e)(h) | | 1,400,000 | 1,401,315 |
HONO 2021-Lulu Mortgage Trust floater Series 2021-LULU Class A, CME Term SOFR 1 Month Index + 1.260% 6.5825% 10/15/36 (b)(e)(h) | | 355,000 | 342,614 |
Independence Plaza Trust sequential payer Series 2018-INDP Class A, 3.763% 7/10/35 (b) | | 475,983 | 454,638 |
Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 7.8066% 8/15/39 (b)(e)(h) | | 8,682,000 | 8,728,123 |
J P Morgan Chase Commercial Mtg Securities floater Series 2022-CGSS: | | | |
Class A, CME Term SOFR 1 Month Index + 2.870% 8.1896% 12/15/36 (b)(e)(h) | | 713,132 | 714,246 |
Class B, CME Term SOFR 1 Month Index + 3.370% 8.6896% 12/15/36 (b)(e)(h) | | 484,930 | 485,687 |
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME Term SOFR 1 Month Index + 0.590% 5.9141% 4/15/37 (b)(e)(h) | | 4,686,142 | 4,428,404 |
Jp Morgan Chase Commercial Mor Series 2016-NINE Class B, 2.8541% 9/6/38 (b)(e) | | 300,000 | 271,044 |
JPMBB Commercial Mortgage Securities Trust: | | | |
sequential payer: | | | |
Series 2014-C21 Class A4, 3.4927% 8/15/47 | | 600,047 | 598,605 |
Series 2015-C14 Class A5, 3.8218% 7/15/48 | | 3,600,000 | 3,444,139 |
Series 2015-C29 Class A3A2, 3.3423% 5/15/48 (b) | | 741,667 | 722,447 |
Series 2014-C19 Class XA, 5.9231% 4/15/47 (e)(o) | | 806,901 | 201 |
Series 2015-C30 Class A4, 3.5508% 7/15/48 | | 1,209,268 | 1,167,313 |
Jpmcc Commercial Mortgage Security sequential payer Series 2017-JP6 Class A5, 3.4898% 7/15/50 | | 5,000,000 | 4,599,188 |
Jpmcc Re-Remic Trust 2015-Frr2 Series 2015-FRR2: | | | |
Class AK39, 2.4234% 8/27/47 (b)(e) | | 310,106 | 299,839 |
Class BK39, 8/27/47 (b)(p) | | 118,331 | 113,643 |
JPMDB Commercial Mortgage Securities Trust sequential payer Series 2017 C5 Class A4, 3.414% 3/15/50 | | 3,511,782 | 3,301,202 |
JPMorgan Chase Commercial Mortgage Securities Trust: | | | |
floater Series 2019-BKWD Class A, CME Term SOFR 1 Month Index + 1.610% 6.9325% 9/15/29 (b)(e)(h) | | 4,281,254 | 4,024,965 |
Series 2018-WPT: | | | |
Class AFX, 4.2475% 7/5/33 (b) | | 2,700,000 | 2,440,125 |
Class CFX, 4.9498% 7/5/33 (b) | | 919,000 | 728,461 |
Class DFX, 5.3503% 7/5/33 (b) | | 1,414,000 | 1,048,778 |
Class EFX, 5.3635% 7/5/33 (b)(e) | | 1,934,000 | 1,319,427 |
Class XAFX, 1.116% 7/5/33 (b)(e)(o) | | 10,000,000 | 247,202 |
Series 2019-COR4 Class A3, 3.7629% 3/10/52 | | 5,400,000 | 5,083,181 |
Series 2021-MHC Class XCP, 0% 4/15/38 (b)(d)(e)(o) | | 164,060,500 | 164 |
Ksl Commercial Mtg Trust 2023-Ht floater Series 2023-HT: | | | |
Class A, CME Term SOFR 1 Month Index + 2.290% 7.6078% 12/15/36 (b)(e)(h) | | 200,000 | 200,750 |
Class D, CME Term SOFR 1 Month Index + 4.280% 9.6049% 12/15/36 (b)(e)(h) | | 857,000 | 861,287 |
Life Financial Services Trust floater Series 2022-BMR2: | | | |
Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6129% 5/15/39 (b)(e)(h) | | 12,656,000 | 12,545,260 |
Class B, CME Term SOFR 1 Month Index + 1.790% 7.1116% 5/15/39 (b)(e)(h) | | 6,596,000 | 6,521,795 |
Class C, CME Term SOFR 1 Month Index + 2.090% 7.4108% 5/15/39 (b)(e)(h) | | 3,893,000 | 3,844,338 |
Class D, CME Term SOFR 1 Month Index + 2.540% 7.8596% 5/15/39 (b)(e)(h) | | 3,460,000 | 3,302,138 |
LIFE Mortgage Trust floater Series 2021-BMR: | | | |
Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 3/15/38 (b)(e)(h) | | 4,672,057 | 4,620,956 |
Class B, CME Term SOFR 1 Month Index + 0.990% 6.3125% 3/15/38 (b)(e)(h) | | 1,643,526 | 1,618,873 |
Class C, CME Term SOFR 1 Month Index + 1.210% 6.5325% 3/15/38 (b)(e)(h) | | 1,034,085 | 1,015,988 |
MCR 2024-HTL Mortgage Trust floater Series 2024-HTL Class E, CME Term SOFR 1 Month Index + 4.650% 9.9543% 2/15/37 (b)(e)(h) | | 122,000 | 121,788 |
MED Trust floater Series 2021-MDLN: | | | |
Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 11/15/38 (b)(e)(h) | | 1,353,504 | 1,343,353 |
Class E, CME Term SOFR 1 Month Index + 3.260% 8.5825% 11/15/38 (b)(e)(h) | | 1,229,101 | 1,216,814 |
Class F, CME Term SOFR 1 Month Index + 4.110% 9.4325% 11/15/38 (b)(e)(h) | | 1,408,242 | 1,395,923 |
Merit floater Series 2021-STOR Class A, CME Term SOFR 1 Month Index + 0.810% 6.1325% 7/15/38 (b)(e)(h) | | 200,000 | 198,250 |
MHC Commercial Mortgage Trust floater Series 2021-MHC: | | | |
Class E, CME Term SOFR 1 Month Index + 2.210% 7.5334% 4/15/38 (b)(e)(h) | | 4,550,906 | 4,511,085 |
Class F, CME Term SOFR 1 Month Index + 2.710% 8.0334% 4/15/38 (b)(e)(h) | | 598,814 | 591,329 |
Morgan Stanley BAML Trust: | | | |
sequential payer: | | | |
Series 2015-C21 Class A3, 3.077% 3/15/48 | | 3,030,143 | 2,962,661 |
Series 2016-C28 Class A3, 3.272% 1/15/49 | | 3,302,603 | 3,177,227 |
Series 2015-C25: | | | |
Class A4, 3.372% 10/15/48 | | 2,800,000 | 2,717,711 |
Class XA, 1.0274% 10/15/48 (e)(o) | | 8,973,632 | 87,971 |
Series 2015-C26 Class A4, 3.252% 10/15/48 | | 3,200,000 | 3,111,026 |
Series 2016-C32 Class A3, 3.459% 12/15/49 | | 8,677,804 | 8,267,296 |
Morgan Stanley Capital sequential payer Series 2016-UB11 Class A4, 2.782% 8/15/49 | | 13,840,000 | 12,871,330 |
Morgan Stanley Capital I Trust: | | | |
floater Series 2018-BOP Class A, CME Term SOFR 1 Month Index + 0.890% 6.215% 8/15/33 (b)(e)(h) | | 4,512,912 | 3,723,297 |
floater sequential payer Series 2019-NUGS Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 12/15/36 (b)(e)(h) | | 5,200,000 | 4,142,595 |
sequential payer: | | | |
Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | | 13,482,000 | 12,659,489 |
Series 2021-L6 Class A3, 2.196% 6/15/54 | | 7,000,000 | 5,732,712 |
Series 2015-UBS8 Class A3, 3.54% 12/15/48 | | 2,387,939 | 2,316,618 |
Series 2016-UB12 Class A3, 3.337% 12/15/49 | | 1,966,999 | 1,861,658 |
Series 2018-H4 Class A4, 4.31% 12/15/51 | | 3,837,000 | 3,667,931 |
Series 2019-MEAD: | | | |
Class B, 3.1771% 11/10/36 (b)(e) | | 1,558,000 | 1,422,630 |
Class C, 3.1771% 11/10/36 (b)(e) | | 1,495,000 | 1,332,653 |
Class D, 3.1771% 11/10/36 (b)(e) | | 2,340,000 | 2,038,195 |
Series 2021-L6 Class XA, 1.2063% 6/15/54 (e)(o) | | 12,362,291 | 661,191 |
Morgan Stanley Capital I Trust 2017-A floater Series 2017-ASHF: | | | |
Class B, CME Term SOFR 1 Month Index + 1.250% 6.865% 11/15/34 (b)(e)(h) | | 890,000 | 881,378 |
Class G, CME Term SOFR 1 Month Index + 7.190% 12.515% 11/15/34 (b)(h) | | 14,000 | 12,786 |
MRCD Mortgage Trust Series 2019-PARK: | | | |
Class E, 2.7175% 12/15/36 (b)(d) | | 600,000 | 336,000 |
Class F, 2.7175% 12/15/36 (b)(d) | | 1,228,000 | 638,560 |
Mscr 2021-Minnesota3 M1 floater Series 2021-MN3: | | | |
Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 2.300% 7.6217% 11/25/51 (b)(e)(h) | | 111,274 | 108,655 |
Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 4.000% 9.3217% 11/25/51 (b)(e)(h) | | 1,605,728 | 1,545,570 |
Mscr 2022-Minnesota4 M2 floater Series 2022-MN4 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 6.500% 11.8217% 5/25/52 (b)(e)(h) | | 182,845 | 193,641 |
MSWF Commercial Mortgage Trust: | | | |
sequential payer Series 2023-2 Class A5, 6.014% 12/15/56 | | 30,514 | 32,485 |
Series 2023-2 Class XA, 1.1412% 12/15/56 (e)(o) | | 2,224,733 | 144,025 |
MTN Commercial Mortgage Trust: | | | |
floater Series 2022-LPFL Class F, CME Term SOFR 1 Month Index + 4.280% 9.6091% 3/15/39 (b)(e)(h) | | 7,000,000 | 6,584,542 |
floater sequential payer Series 2022-LPFL Class A, CME Term SOFR 1 Month Index + 1.390% 6.7169% 3/15/39 (b)(e)(h) | | 100,000 | 98,063 |
Multi-family1 2021-W10X floater Series 2021-W10: | | | |
Class A, CME Term SOFR 1 Month Index + 1.070% 6.3883% 12/15/34 (b)(e)(h) | | 480,000 | 476,404 |
Class B, CME Term SOFR 1 Month Index + 1.370% 6.6883% 12/15/34 (b)(e)(h) | | 400,000 | 384,930 |
Multifamily Conn Ave Securities Trust 2: | | | |
floater: | | | |
Series 2020-01 Class M10, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.860% 9.1861% 3/25/50 (b)(e)(h) | | 3,860,839 | 3,812,798 |
Series 2023-01 Class M10, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 6.500% 11.8217% 11/25/53 (b)(e)(h) | | 3,525,000 | 3,644,114 |
Series 2019-01 Class M10, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 3.360% 8.6861% 10/25/49 (b)(e)(h) | | 4,433,871 | 4,362,087 |
NJ Trust 2023-GSP sequential payer Series 2023-GSP Class A, 6.4808% 1/6/29 (b)(e) | | 2,643,000 | 2,726,114 |
Nw Re-Remic Trust 2021-Frr1 Series 2021-FRR1 Class BK88, 2.6561% 12/18/51 (b)(e) | | 267,686 | 209,095 |
One Bryant Pk Trust 2019-OBP sequential payer Series 2019-OBP Class A, 2.5164% 9/15/54 (b) | | 4,690,000 | 3,998,868 |
ONE Mortgage Trust floater Series 2021-PARK: | | | |
Class D, CME Term SOFR 1 Month Index + 1.610% 6.9325% 3/15/36 (b)(e)(h) | | 4,133,000 | 3,843,905 |
Class E, CME Term SOFR 1 Month Index + 1.860% 7.1825% 3/15/36 (b)(e)(h) | | 2,326,000 | 2,142,828 |
One New York Plaza Trust 2020-: | | | |
floater Series 2020-1NYP: | | | |
Class AJ, CME Term SOFR 1 Month Index + 1.360% 6.6825% 1/15/36 (b)(e)(h) | | 117,000 | 111,463 |
Class B, CME Term SOFR 1 Month Index + 1.610% 6.9325% 1/15/36 (b)(e)(h) | | 100,000 | 93,506 |
floater sequential payer Series 2020-1NYP Class A, CME Term SOFR 1 Month Index + 1.060% 6.3825% 1/15/36 (b)(e)(h) | | 73,000 | 70,994 |
Open Trust 2023-Air sequential payer Series 2023-AIR: | | | |
Class A, CME Term SOFR 1 Month Index + 3.080% 8.4067% 10/15/28 (b)(e)(h) | | 4,138,429 | 4,153,948 |
Class B, CME Term SOFR 1 Month Index + 3.830% 9.1556% 10/15/28 (b)(e)(h) | | 2,320,391 | 2,330,466 |
Pfp 2021-7 Ltd. floater Series 2021-7: | | | |
Class C, CME Term SOFR 1 Month Index + 1.760% 7.0858% 4/14/38 (b)(e)(h) | | 26,925 | 26,553 |
Class D, CME Term SOFR 1 Month Index + 2.510% 7.8358% 4/14/38 (b)(e)(h) | | 424,979 | 411,402 |
Prima Capital Ltd. floater Series 2021-9A Class B, CME Term SOFR 1 Month Index + 1.910% 7.2343% 12/15/37 (b)(e)(h) | | 194,343 | 190,269 |
Rfm Reremic Trust 2022-Frr1 Series 2022-FRR1 Class BK64, 1.71% 3/1/50 (b)(e) | | 4,000,000 | 3,267,264 |
RLGH Trust floater Series 2021-TROT Class A, CME Term SOFR 1 Month Index + 0.910% 6.2325% 4/15/36 (b)(e)(h) | | 1,900,000 | 1,877,588 |
Sbalr Commercial Mortgage 2020: | | | |
sequential payer Series 2020-RR1 Class A3, 2.825% 2/13/53 (b) | | 1,092,646 | 891,527 |
Series 2020-RR1 Class XA, 1.2272% 2/13/53 (b)(e)(o) | | 1,811,502 | 98,031 |
Series Rr 2015-1 Trust Series 2015-1 Class B, 4/26/48 (b)(p) | | 555,850 | 510,334 |
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE: | | | |
Class A1, 3.872% 1/5/43 (b)(e) | | 740,000 | 567,953 |
Class A2A, 3.659% 1/5/43 (b)(e) | | 9,930,000 | 7,746,100 |
SMRT Commercial Mortgage Trust floater Series 2022 MINI Class D, CME Term SOFR 1 Month Index + 1.950% 7.268% 1/15/39 (b)(e)(h) | | 1,820,000 | 1,774,500 |
SPGN Mortgage Trust floater Series 2022-TFLM: | | | |
Class B, CME Term SOFR 1 Month Index + 2.000% 7.3176% 2/15/39 (b)(e)(h) | | 1,890,000 | 1,819,135 |
Class C, CME Term SOFR 1 Month Index + 2.650% 7.9676% 2/15/39 (b)(e)(h) | | 983,000 | 933,856 |
SREIT Trust floater: | | | |
Series 2021-FLWR Class A, CME Term SOFR 1 Month Index + 0.690% 6.009% 7/15/36 (b)(e)(h) | | 3,980,000 | 3,932,738 |
Series 2021-MFP: | | | |
Class A, CME Term SOFR 1 Month Index + 0.840% 6.1629% 11/15/38 (b)(e)(h) | | 10,584,817 | 10,536,908 |
Class B, CME Term SOFR 1 Month Index + 1.190% 6.5119% 11/15/38 (b)(e)(h) | | 4,052,314 | 4,011,803 |
Class C, CME Term SOFR 1 Month Index + 1.440% 6.7611% 11/15/38 (b)(e)(h) | | 2,516,549 | 2,488,238 |
Class D, CME Term SOFR 1 Month Index + 1.690% 7.0103% 11/15/38 (b)(e)(h) | | 1,653,459 | 1,631,757 |
Series 2021-MFP2 Class C, CME Term SOFR 1 Month Index + 1.480% 6.8032% 11/15/36 (b)(e)(h) | | 235,000 | 232,356 |
Taubman Centers Commercial Mor floater Series 2022-DPM Class A, CME Term SOFR 1 Month Index + 2.180% 7.5036% 5/15/37 (b)(e)(h) | | 1,400,000 | 1,403,500 |
Thpt 2023-Thl Mortgage Trust sequential payer Series 2023-THL Class A, 6.994% 12/10/34 (b)(e) | | 100,000 | 102,125 |
Tysn 2023-Crnr sequential payer Series 2023-CRNR Class A, 6.5797% 12/10/33 (b)(e) | | 100,000 | 103,682 |
UBS Commercial Mortgage Trust: | | | |
sequential payer: | | | |
Series 2018-C12: | | | |
Class A2, 4.1519% 8/15/51 | | 628,776 | 615,429 |
Class A5, 4.2962% 8/15/51 | | 3,000,000 | 2,866,204 |
Series 2019-C17 Class A3, 2.6686% 10/15/52 | | 1,065,000 | 934,827 |
Series 2017-C1 Class A3, 3.283% 11/15/50 | | 5,500,000 | 5,107,989 |
Ubs Commercial Mortgage Trust Series 2017-C4 Class A/S, 3.836% 10/15/50 | | 1,690,000 | 1,549,871 |
UBS Commercial Mortgage Trust: | | | |
Series 2017-C7 Class XA, 0.9871% 12/15/50 (e)(o) | | 14,071,760 | 421,133 |
Series 2018-C13 Class A3, 4.0694% 10/15/51 | | 5,663,722 | 5,464,884 |
Velocity Commercial Capital Ln Trust 2020-1 sequential payer Series 2020-1 Class AFX, 2.61% 2/25/50 (b) | | 167,801 | 149,682 |
Velocity Commercial Capital Lo Series 2023-1 Class A, 6.55% 1/25/54 (b) | | 402,254 | 404,899 |
VLS Commercial Mortgage Trust: | | | |
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | | 3,760,000 | 3,027,998 |
Series 2020-LAB: | | | |
Class B, 2.453% 10/10/42 (b) | | 300,000 | 240,475 |
Class X, 0.4294% 10/10/42 (b)(e)(o) | | 8,700,000 | 201,132 |
Wells Fargo Commercial Mortgag floater Series 2020-SDAL Class D, CME Term SOFR 1 Month Index + 2.200% 7.538% 2/15/37 (b)(e)(h) | | 600,000 | 592,519 |
Wells Fargo Commercial Mortgage Trust: | | | |
floater Series 2021-FCMT Class A, CME Term SOFR 1 Month Index + 1.310% 6.6325% 5/15/31 (b)(e)(h) | | 4,470,000 | 4,380,656 |
sequential payer: | | | |
Series 2015-C30 Class A4, 3.664% 9/15/58 | | 222,281 | 214,716 |
Series 2016-C34 Class A4, 3.096% 6/15/49 | | 6,124,000 | 5,754,809 |
Series 2019-C54 Class ASB, 3.063% 12/15/52 | | 2,700,000 | 2,544,559 |
Series 2021-C59 Class A4, 2.343% 4/15/54 | | 5,000,000 | 4,195,343 |
Series 2021-C61: | | | |
Class A3, 2.406% 11/15/54 | | 7,300,000 | 6,101,523 |
Class ASB, 2.525% 11/15/54 | | 300,000 | 268,556 |
Series 2015-C31 Class XA, 0.9486% 11/15/48 (e)(o) | | 6,177,388 | 71,145 |
Series 2017-C38 Class A/S, 3.665% 7/15/50 | | 1,110,000 | 1,023,981 |
Series 2017-C42 Class XA, 0.8595% 12/15/50 (e)(o) | | 34,134,625 | 899,796 |
Series 2018-C46 Class XA, 0.9198% 8/15/51 (e)(o) | | 11,620,078 | 257,173 |
Series 2018-C48 Class A5, 4.302% 1/15/52 | | 3,181,000 | 3,052,207 |
Series 2019-C50 Class XA, 1.5765% 5/15/52 (e)(o) | | 9,158,710 | 465,299 |
WF-RBS Commercial Mortgage Trust: | | | |
Series 2013-C11 Class D, 4.06% 3/15/45 (b)(e) | | 194,255 | 155,471 |
Series 2014-C24 Class XA, 0.8328% 11/15/47 (e)(o) | | 5,796,101 | 10,962 |
Worldwide Plaza Trust sequential payer Series 2017-WWP Class A, 3.5263% 11/10/36 (b) | | 609,592 | 461,631 |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $1,196,119,149) | | | 1,135,595,094 |
| | | |
Municipal Securities - 0.1% |
| | Principal Amount (a) | Value ($) |
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50 | | 90,000 | 120,011 |
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev.: | | | |
Series 2009 F2, 6.263% 4/1/49 | | 3,265,000 | 3,724,013 |
Series 2010 S1, 7.043% 4/1/50 | | 280,000 | 341,576 |
California Gen. Oblig.: | | | |
Series 2009: | | | |
7.5% 4/1/34 | | 205,000 | 241,136 |
7.55% 4/1/39 | | 290,000 | 352,929 |
Series 2018, 4.6% 4/1/38 | | 530,000 | 492,686 |
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2010 B, 5.844% 11/1/50 | | 45,000 | 49,139 |
Dallas Fort Worth Int'l. Arpt. Rev. Series 2022 A, 4.087% 11/1/51 | | 1,010,000 | 858,438 |
District of Columbia Income Tax Rev. Series 2010 F, 5.582% 12/1/35 | | 75,000 | 77,825 |
Illinois Gen. Oblig. Series 2003, 5.1% 6/1/33 | | 1,660,000 | 1,634,716 |
Jobsohio Beverage Sys. Statewide Series 2020 A, 2.833% 1/1/38 | | 325,000 | 262,341 |
Los Angeles Dept. Arpt. Rev. Series C: | | | |
2.063% 5/15/34 | | 500,000 | 383,991 |
2.163% 5/15/35 | | 500,000 | 377,595 |
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2010 A, 5.716% 7/1/39 | | 190,000 | 198,477 |
Los Angeles Unified School District: | | | |
Series 2010 RY, 6.758% 7/1/34 | | 250,000 | 274,786 |
Series KRY, 5.75% 7/1/34 | | 180,000 | 185,839 |
Louisiana Gas & Fuel Tax Rev. Series 2022 A, 2.952% 5/1/41 | | 5,270,000 | 4,059,649 |
Massachusetts Commonwealth Trans. Fund Rev. (Accelerated Bridge Prog.) Series 2010 A, 5.731% 6/1/40 | | 150,000 | 156,819 |
Michigan Fin. Auth. Rev. Series 2019 T, 3.384% 12/1/40 | | 545,000 | 441,597 |
Michigan State Univ. Revs. Series 2022 A, 4.165% 8/15/22 | | 2,810,000 | 2,219,646 |
New Jersey Tpk. Auth. Tpk. Rev.: | | | |
Series 2009 E, 7.414% 1/1/40 | | 2,070,000 | 2,493,246 |
Series 2010 A, 7.102% 1/1/41 | | 855,000 | 998,218 |
Series 2021 B: | | | |
1.963% 1/1/32 | | 1,000,000 | 816,007 |
2.113% 1/1/33 | | 1,050,000 | 845,326 |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: | | | |
Series 2010 EE, 6.011% 6/15/42 | | 70,000 | 74,971 |
Series 2011 CC, 5.882% 6/15/44 | | 100,000 | 105,195 |
New York City Transitional Fin. Auth. Rev.: | | | |
Series 2010 C2, 5.767% 8/1/36 | | 815,000 | 841,437 |
Series 2021 E3, 1.97% 2/1/33 | | 2,015,000 | 1,594,456 |
Series 2023 F3: | | | |
5.13% 2/1/35 | | 750,000 | 757,624 |
5.15% 2/1/36 | | 750,000 | 755,909 |
Series A5, 2.69% 5/1/33 | | 2,015,000 | 1,689,811 |
New York Metropolitan Trans. Auth. Rev.: | | | |
Series 2009 A1, 5.871% 11/15/39 | | 20,000 | 20,370 |
Series 2010 A, 6.668% 11/15/39 | | 380,000 | 415,975 |
Series 2010 E, 6.814% 11/15/40 | | 30,000 | 33,118 |
New York State Dorm. Auth. Series 2009 F, 5.628% 3/15/39 | | 990,000 | 1,023,977 |
Ohio State Univ. Gen. Receipts: | | | |
Series 2010 C, 4.91% 6/1/40 | | 140,000 | 136,753 |
Series 2011 A, 4.8% 6/1/11 | | 1,503,000 | 1,370,032 |
Port Auth. of New York & New Jersey: | | | |
174th Series, 4.458% 10/1/62 | | 515,000 | 458,701 |
Series 165, 5.647% 11/1/40 | | 240,000 | 250,598 |
Series 180, 4.96% 8/1/46 | | 80,000 | 74,325 |
Series 68, 4.926% 10/1/51 | | 70,000 | 67,886 |
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2010 A, 4.839% 1/1/41 | | 750,000 | 720,797 |
San Antonio Elec. & Gas Sys. Rev. Series 2010 A, 5.808% 2/1/41 | | 230,000 | 240,602 |
Texas Gen. Oblig. Series 2009 A, 5.517% 4/1/39 | | 340,000 | 355,850 |
Texas Private Activity Bond Surface Trans. Corp. (NTE Mobility Partners LLC North Tarrant Express Managed Lanes Proj.) Series 2019 B, 3.922% 12/31/49 | | 555,000 | 453,260 |
Univ. of California Revs.: | | | |
Series 2012 AD, 4.858% 5/15/12 | | 130,000 | 119,012 |
Series 2015 J, 4.131% 5/15/45 | | 1,750,000 | 1,589,042 |
Univ. of Michigan Rev.: | | | |
Series 2020 B, 2.437% 4/1/40 | | 1,050,000 | 770,161 |
Series 2022 A, 4.454% 4/1/22 | | 4,790,000 | 4,075,102 |
Series 2022 B, 3.504% 4/1/52 | | 1,080,000 | 837,426 |
Univ. of Minnesota Gen. Oblig. Series 2022, 4.048% 4/1/52 | | 1,060,000 | 922,574 |
Univ. of Virginia Gen. Rev. Series 2021 B, 2.584% 11/1/51 | | 1,520,000 | 990,279 |
TOTAL MUNICIPAL SECURITIES (Cost $50,004,553) | | | 42,351,249 |
| | | |
Foreign Government and Government Agency Obligations - 0.2% |
| | Principal Amount (a) | Value ($) |
Angola Republic: | | | |
8.25% 5/9/28 (b) | | 200,000 | 184,194 |
9.5% 11/12/25(Reg. S) | | 200,000 | 199,808 |
Bahrain Kingdom 5.45% 9/16/32 (b) | | 200,000 | 180,688 |
Belgian Kingdom 3.3% 6/22/54 (Reg. S) (b) | EUR | 2,394,940 | 2,528,492 |
Brazil Minas SPE 5.333% 2/15/28 (Reg. S) | | 1,592,000 | 1,566,974 |
Brazilian Federative Republic: | | | |
4.75% 1/14/50 | | 400,000 | 295,772 |
6% 10/20/33 | | 500,000 | 495,665 |
6.125% 3/15/34 | | 1,990,000 | 1,967,115 |
7.125% 5/13/54 | | 488,000 | 487,878 |
Colombian Republic: | | | |
3.125% 4/15/31 | | 209,000 | 165,413 |
8% 4/20/33 | | 200,000 | 209,355 |
8.75% 11/14/53 | | 588,000 | 629,613 |
10.375% 1/28/33 | | 1,360,000 | 1,605,521 |
Costa Rican Republic: | | | |
6.55% 4/3/34 (b) | | 200,000 | 206,368 |
6.55% 4/3/34(Reg. S) | | 200,000 | 206,368 |
7.3% 11/13/54 (b) | | 485,000 | 511,544 |
Dominican Republic: | | | |
4.5% 1/30/30 (b) | | 600,000 | 544,926 |
5.5% 2/22/29 (b) | | 2,505,000 | 2,423,011 |
5.5% 2/22/29(Reg. S) | | 161,000 | 155,730 |
5.95% 1/25/27 (b) | | 1,100,000 | 1,097,679 |
6% 7/19/28 (b) | | 1,250,000 | 1,246,563 |
6% 2/22/33 (Reg. S) | | 157,000 | 151,741 |
6.4% 6/5/49(Reg. S) | | 450,000 | 420,328 |
7.05% 2/3/31(Reg. S) | | 500,000 | 514,500 |
7.45% 4/30/44 | | 100,000 | 104,500 |
Ecopetrol SA 8.375% 1/19/36 | | 140,000 | 140,280 |
Export Credit Bank of Turkey 9.375% 1/31/26 (b) | | 200,000 | 209,430 |
Finance Department Government of Sharjah: | | | |
6.125% 3/6/36 (b) | | 390,000 | 386,155 |
6.5% 11/23/32 (b) | | 202,000 | 207,769 |
French Government 3% 5/25/54(Reg. S) (b) | EUR | 2,422,940 | 2,452,488 |
German Federal Republic: | | | |
1% 5/15/38(Reg. S) (l) | EUR | 6,125,000 | 5,409,531 |
3.25% 7/4/42 | EUR | 2,900,000 | 3,433,867 |
Guatemalan Republic: | | | |
3.7% 10/7/33 (Reg. S) | | 747,000 | 611,980 |
4.9% 6/1/30(Reg. S) | | 200,000 | 189,980 |
6.6% 6/13/36 (b) | | 200,000 | 202,150 |
Hungarian Republic: | | | |
1.75% 6/5/35 (Reg. S) | EUR | 1,370,000 | 1,101,268 |
2.125% 9/22/31 (b) | | 580,000 | 453,357 |
7.625% 3/29/41 | | 2,300,000 | 2,630,096 |
Indonesian Republic: | | | |
1.1% 3/12/33 | EUR | 3,500,000 | 2,992,157 |
2.8% 6/23/30(Reg. S) | | 200,000 | 176,400 |
3.05% 3/12/51 | | 670,000 | 469,134 |
3.4% 9/18/29 | | 420,000 | 387,748 |
3.5% 1/11/28 | | 6,300,000 | 5,979,267 |
3.75% 6/14/28 (Reg. S) | EUR | 2,000,000 | 2,163,675 |
4.65% 9/20/32 | | 1,975,000 | 1,908,857 |
Istanbul Metropolitan Municipality 10.5% 12/6/28 (b) | | 200,000 | 214,500 |
Italian Republic 2.375% 10/17/24 | | 3,800,000 | 3,722,085 |
Ivory Coast 6.125% 6/15/33(Reg. S) | | 600,000 | 526,320 |
Japan Government 0.005% 2/1/25 | JPY | 736,650,000 | 4,912,294 |
Jordanian Kingdom 7.375% 10/10/47(Reg. S) | | 200,000 | 172,250 |
Kingdom of Saudi Arabia 5.75% 1/16/54 (b) | | 500,000 | 483,075 |
Mongolia Government 8.65% 1/19/28(Reg. S) | | 200,000 | 207,350 |
Moroccan Kingdom 6.5% 9/8/33(Reg. S) | | 200,000 | 205,214 |
Panamanian Republic: | | | |
2.252% 9/29/32 | | 480,000 | 336,750 |
3.16% 1/23/30 | | 1,020,000 | 838,501 |
3.298% 1/19/33 | | 8,600,000 | 6,503,750 |
3.875% 3/17/28 | | 720,000 | 652,950 |
4.3% 4/29/53 | | 615,000 | 386,489 |
4.5% 4/16/50 | | 400,000 | 260,250 |
4.5% 4/1/56 | | 480,000 | 303,720 |
7.875% 3/1/57 | | 200,000 | 196,813 |
Peruvian Republic: | | | |
2.783% 1/23/31 | | 772,000 | 656,879 |
2.844% 6/20/30 | | 800,000 | 698,440 |
3.55% 3/10/51 | | 480,000 | 344,602 |
4.125% 8/25/27 | | 200,000 | 193,660 |
Philippine Republic: | | | |
3% 2/1/28 | | 1,130,000 | 1,048,674 |
3.2% 7/6/46 | | 390,000 | 278,996 |
Polish Government 4.875% 10/4/33 | | 200,000 | 196,190 |
Republic of Benin 7.96% 2/13/38 (b) | | 200,000 | 193,688 |
Republic of Nigeria: | | | |
6.5% 11/28/27(Reg. S) | | 500,000 | 454,615 |
7.143% 2/23/30(Reg. S) | | 200,000 | 176,625 |
7.375% 9/28/33 (b) | | 500,000 | 418,875 |
7.625% 11/21/25(Reg. S) | | 200,000 | 196,813 |
Republic of Paraguay: | | | |
4.95% 4/28/31 (Reg. S) | | 650,000 | 623,662 |
5.4% 3/30/50(Reg. S) | | 819,000 | 704,274 |
5.6% 3/13/48(Reg. S) | | 400,000 | 354,492 |
6% 2/9/36 (b) | | 510,000 | 511,765 |
Republic of Senegal 6.75% 3/13/48(Reg. S) | | 200,000 | 144,750 |
Republic of Serbia: | | | |
1.5% 6/26/29 (Reg. S) | EUR | 2,722,000 | 2,473,993 |
1.65% 3/3/33 (b) | EUR | 569,000 | 450,371 |
3.125% 5/15/27 (Reg. S) | EUR | 5,088,000 | 5,275,847 |
6.25% 5/26/28 (b) | | 995,000 | 1,010,552 |
Romanian Republic: | | | |
3% 2/14/31 (b) | | 60,000 | 49,966 |
3% 2/14/31 (Reg. S) | | 814,000 | 677,875 |
3.875% 10/29/35 (b) | EUR | 289,000 | 264,743 |
5% 9/27/26 (b) | EUR | 2,800,000 | 3,091,002 |
6.375% 1/30/34 (b) | | 228,000 | 226,899 |
7.125% 1/17/33(Reg. S) | | 100,000 | 105,364 |
7.625% 1/17/53 (b) | | 100,000 | 109,037 |
South African Republic: | | | |
4.85% 9/30/29 | | 211,000 | 189,570 |
5.875% 4/20/32 | | 700,000 | 631,531 |
7.3% 4/20/52 | | 500,000 | 434,375 |
Sultanate of Oman: | | | |
5.625% 1/17/28 (Reg. S) | | 575,000 | 575,000 |
7% 1/25/51 (b) | | 800,000 | 829,824 |
7% 1/25/51(Reg. S) | | 200,000 | 207,456 |
Turkish Republic: | | | |
7.625% 5/15/34 | | 693,000 | 690,401 |
9.875% 1/15/28 | | 200,000 | 219,376 |
Ukraine Government: | | | |
4.375% 1/27/32 (b) | EUR | 1,365,000 | 353,524 |
6.75% 6/20/28 (Reg. S) | EUR | 1,450,000 | 431,580 |
7.75% 9/1/24 (b) | | 2,800,000 | 865,200 |
8.994% 2/1/26 (Reg. S) | | 1,800,000 | 575,658 |
United Mexican States: | | | |
2.659% 5/24/31 | | 4,695,000 | 3,893,235 |
3.5% 2/12/34 | | 1,420,000 | 1,174,738 |
4.15% 3/28/27 | | 275,000 | 268,785 |
4.28% 8/14/41 | | 400,000 | 317,768 |
4.5% 4/22/29 | | 2,920,000 | 2,807,288 |
4.5% 1/31/50 | | 650,000 | 506,337 |
4.75% 3/8/44 | | 206,000 | 169,826 |
6.05% 1/11/40 | | 1,600,000 | 1,569,360 |
6.338% 5/4/53 | | 200,000 | 195,075 |
6.35% 2/9/35 | | 1,550,000 | 1,586,317 |
6.4% 5/7/54 | | 2,230,000 | 2,198,641 |
8.5% 3/1/29 | MXN | 17,000,000 | 967,325 |
8.5% 5/31/29 | MXN | 34,000,000 | 1,938,180 |
Uruguay Republic: | | | |
4.375% 10/27/27 | | 150,000 | 147,788 |
5.1% 6/18/50 | | 280,000 | 268,730 |
5.75% 10/28/34 | | 230,000 | 241,431 |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $124,118,218) | | | 114,714,614 |
| | | |
Supranational Obligations - 0.0% |
| | Principal Amount (a) | Value ($) |
European Investment Bank: | | | |
0% 1/14/31 (Reg. S) | EUR | 380,000 | 339,169 |
0.625% 1/22/29 (Reg. S) | EUR | 3,600,000 | 3,503,244 |
3% 11/15/28 (Reg. S) | EUR | 3,950,000 | 4,297,362 |
European Union: | | | |
0% 10/4/28 (Reg. S) | EUR | 825,000 | 783,596 |
0% 10/4/30 (Reg. S) | EUR | 1,000,000 | 901,472 |
2.5% 10/4/52 (Reg. S) | EUR | 505,000 | 461,843 |
3% 3/4/53 (Reg. S) | EUR | 1,660,000 | 1,676,071 |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $11,826,032) | | | 11,962,757 |
| | | |
Common Stocks - 0.0% |
| | Shares | Value ($) |
COMMUNICATION SERVICES - 0.0% | | | |
Wireless Telecommunication Services - 0.0% | | | |
Digicel Group Ltd. (d) | | 104,255 | 93,481 |
Intelsat Emergence SA (d) | | 75,805 | 2,751,722 |
TOTAL COMMON STOCKS (Cost $3,052,973) | | | 2,845,203 |
| | | |
Nonconvertible Preferred Stocks - 0.0% |
| | Shares | Value ($) |
COMMUNICATION SERVICES - 0.0% | | | |
Wireless Telecommunication Services - 0.0% | | | |
Digicel Group Ltd. (d) (Cost $549,382) | | 33,329 | 259,882 |
| | | |
Bank Loan Obligations - 0.1% |
| | Principal Amount (a) | Value ($) |
COMMUNICATION SERVICES - 0.0% | | | |
Diversified Telecommunication Services - 0.0% | | | |
Frontier Communications Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1907% 10/8/27 (e)(h)(r) | | 235,304 | 233,791 |
Zayo Group Holdings, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.320% 9.6513% 3/9/27 (e)(h)(r) | | 1,025,697 | 923,445 |
| | | 1,157,236 |
Media - 0.0% | | | |
CSC Holdings LLC: | | | |
Tranche B 5LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9321% 4/15/27 (e)(h)(r) | | 1,076,025 | 1,004,911 |
Tranche B6 LN, term loan CME Term SOFR 1 Month Index + 4.500% 9.8176% 1/18/28 (e)(h)(r) | | 99,000 | 96,133 |
Diamond Sports Group LLC 2LN, term loan CME Term SOFR 1 Month Index + 3.250% 10.6625% (c)(e)(h)(r) | | 3,283,417 | 182,656 |
Virgin Media Bristol LLC Tranche N, term loan CME Term SOFR 1 Month Index + 2.500% 7.9321% 1/31/28 (e)(h)(r) | | 500,000 | 494,885 |
| | | 1,778,585 |
Wireless Telecommunication Services - 0.0% | | | |
CCI Buyer, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 4.75% 12/17/27 (e)(h)(r) | | 131,242 | 130,200 |
Digicel International Finance Ltd. Tranche B, term loan CME Term SOFR 1 Month Index + 0.000% 12.0627% 5/29/27 (e)(h)(r) | | 852,022 | 807,291 |
| | | 937,491 |
TOTAL COMMUNICATION SERVICES | | | 3,873,312 |
CONSUMER DISCRETIONARY - 0.1% | | | |
Automobile Components - 0.0% | | | |
First Brands Group LLC Tranche B 1LN, term loan CME Term SOFR 6 Month Index + 5.000% 3/24/27 (h)(r)(s) | | 86,680 | 86,788 |
Tenneco, Inc. Tranche A 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 11/17/28 (h)(r)(s) | | 1,112,191 | 1,038,509 |
| | | 1,125,297 |
Broadline Retail - 0.0% | | | |
Buzz Merger Sub Ltd. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 2.9586% 1/29/27 (e)(h)(r) | | 117,792 | 117,792 |
Great Outdoors Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1907% 3/5/28 (e)(h)(r) | | 1,166,053 | 1,165,843 |
| | | 1,283,635 |
Diversified Consumer Services - 0.1% | | | |
Adtalem Global Education, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.8263% 8/14/28 (e)(h)(r) | | 473,142 | 474,031 |
AI Aqua Merger Sub, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.750% 9.08% 7/30/28 (e)(h)(r) | | 381,699 | 380,466 |
Pre-Paid Legal Services, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 12/15/28 (h)(r)(s) | | 136,192 | 135,823 |
Spin Holdco, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.6246% 3/4/28 (e)(h)(r) | | 963,141 | 873,020 |
William Morris Endeavor Entertainment, LLC. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 5/29/25 (h)(r)(s) | | 290,657 | 290,189 |
| | | 2,153,529 |
Hotels, Restaurants & Leisure - 0.0% | | | |
1011778 BC ULC Tranche B5 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.5763% 9/21/30 (e)(h)(r) | | 210,273 | 209,184 |
KFC Holding Co. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1843% 3/15/28 (e)(h)(r) | | 409,653 | 408,981 |
Penn Entertainment, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1763% 5/3/29 (e)(h)(r) | | 210,160 | 209,033 |
| | | 827,198 |
Specialty Retail - 0.0% | | | |
Michaels Companies, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.8598% 4/15/28 (e)(h)(r) | | 1,208,801 | 988,074 |
TOTAL CONSUMER DISCRETIONARY | | | 6,377,733 |
CONSUMER STAPLES - 0.0% | | | |
Beverages - 0.0% | | | |
City Brewing Co. LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 4.25% 4/5/28 (e)(h)(r) | | 299,133 | 225,247 |
Naked Juice LLC: | | | |
1LN, term loan CME Term SOFR 3 Month Index + 3.250% 8.6981% 1/24/29 (e)(h)(r) | | 1,552,741 | 1,460,353 |
2LN, term loan CME Term SOFR 3 Month Index + 6.000% 11.4481% 1/24/30 (e)(h)(r) | | 274,373 | 220,442 |
| | | 1,906,042 |
Consumer Staples Distribution & Retail - 0.0% | | | |
Froneri U.S., Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.250% 7.6763% 2/1/27 (e)(h)(r) | | 143,365 | 143,242 |
H-Food Holdings LLC 1LN, term loan 1 month U.S. LIBOR + 3.000% 5/25/25 (h)(r)(s) | | 124,101 | 91,192 |
| | | 234,434 |
Personal Care Products - 0.0% | | | |
Prestige Brands, Inc. Tranche B5 1LN, term loan CME Term SOFR 1 Month Index + 2.000% 2.5% 7/1/28 (e)(h)(r) | | 170,455 | 171,094 |
TOTAL CONSUMER STAPLES | | | 2,311,570 |
FINANCIALS - 0.0% | | | |
Capital Markets - 0.0% | | | |
Deerfield Dakota Holding LLC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 9.0981% 4/9/27 (e)(h)(r) | | 556,304 | 549,195 |
Hudson River Trading LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 3/18/28 (h)(r)(s) | | 347,321 | 344,772 |
Jane Street Group LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.9407% 1/26/28 (e)(h)(r) | | 275,169 | 274,431 |
| | | 1,168,398 |
Financial Services - 0.0% | | | |
Avolon TLB Borrower 1 (U.S.) LLC Tranche B6 1LN, term loan CME Term SOFR 1 Month Index + 2.500% 7.3198% 6/22/28 (e)(h)(r) | | 265,208 | 265,081 |
GTCR W-2 Merger Sub LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.3263% 1/31/31 (e)(h)(r) | | 315,202 | 316,122 |
Setanta Aircraft Leasing DAC Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 11/5/28 (h)(r)(s) | | 485,000 | 485,272 |
| | | 1,066,475 |
Insurance - 0.0% | | | |
Acrisure LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9407% 2/15/27 (e)(h)(r) | | 627,655 | 625,892 |
Asurion LLC Tranche B8 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6907% 12/23/26 (e)(h)(r) | | 588,399 | 584,557 |
| | | 1,210,449 |
Mortgage Real Estate Investment Trusts - 0.0% | | | |
Blackstone Mortgage Trust, Inc. Tranche B, term loan CME Term SOFR 1 Month Index + 2.250% 2.6536% 4/23/26 (e)(h)(r) | | 486,041 | 482,395 |
TOTAL FINANCIALS | | | 3,927,717 |
HEALTH CARE - 0.0% | | | |
Health Care Equipment & Supplies - 0.0% | | | |
Bausch + Lomb Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 5/10/27 (h)(r)(s) | | 549,912 | 544,154 |
Health Care Providers & Services - 0.0% | | | |
Cano Health, Inc.: | | | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4626% (c)(e)(h)(r) | | 202,929 | 59,610 |
Tranche DD, term loan CME Term SOFR 1 Month Index + 11.000% 16.3225% 10/2/24 (e)(r) | | 21,052 | 20,947 |
Gainwell Acquisition Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.4481% 10/1/27 (e)(h)(r) | | 734,848 | 698,106 |
Icon Luxembourg Sarl Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 7.8598% 7/3/28 (e)(h)(r) | | 223,255 | 223,521 |
Phoenix Newco, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6907% 11/15/28 (e)(h)(r) | | 486,288 | 485,680 |
Star Parent, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9/28/30 (h)(r)(s) | | 162,645 | 160,511 |
| | | 1,648,375 |
Health Care Technology - 0.0% | | | |
Athenahealth Group, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.5763% 2/15/29 (e)(h)(r) | | 188,234 | 186,440 |
Life Sciences Tools & Services - 0.0% | | | |
PRA Health Sciences, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.250% 7.8598% 7/3/28 (e)(h)(r) | | 55,624 | 55,690 |
Pharmaceuticals - 0.0% | | | |
Grifols, S.A. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 2.000% 7.4263% 11/15/27 (e)(h)(r) | | 1,332,613 | 1,305,628 |
Jazz Financing Lux SARL Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.000% 8.4407% 5/5/28 (e)(h)(r) | | 744,385 | 745,315 |
Sunshine Luxembourg VII SARL Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.750% 10/2/26 (h)(r)(s) | | 446,753 | 447,186 |
| | | 2,498,129 |
TOTAL HEALTH CARE | | | 4,932,788 |
INDUSTRIALS - 0.0% | | | |
Aerospace & Defense - 0.0% | | | |
TransDigm, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.5981% 8/24/28 (e)(h)(r) | | 796,792 | 798,067 |
Commercial Services & Supplies - 0.0% | | | |
Amentum Government Services Holdings LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 9.4407% 1/23/27 (e)(h)(r) | | 272,778 | 272,551 |
Artera Services LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.500% 2/7/31 (h)(r)(s) | | 162,826 | 163,233 |
Filtration Group Corp. 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.6907% 10/19/28 (e)(h)(r) | | 214,970 | 215,011 |
Trugreen LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.000% 10/30/27 (h)(r)(s) | | 224,130 | 216,366 |
| | | 867,161 |
Ground Transportation - 0.0% | | | |
Genesee & Wyoming, Inc. 1LN, term loan CME Term SOFR 3 Month Index + 2.000% 7.4481% 12/30/26 (e)(h)(r) | | 1,286,128 | 1,285,974 |
Passenger Airlines - 0.0% | | | |
AAdvantage Loyalty IP Ltd. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.750% 10.3294% 4/20/28 (e)(h)(r) | | 172,682 | 175,920 |
Professional Services - 0.0% | | | |
DTI Holdco, Inc. 1LN, term loan CME Term SOFR 1 Month Index + 4.750% 4/26/29 (h)(r)(s) | | 94,408 | 94,133 |
Element Materials Technology Group: | | | |
Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.5919% 6/24/29 (e)(h)(r) | | 192,018 | 189,378 |
Tranche DD 1LN, term loan CME Term SOFR 3 Month Index + 4.250% 9.5919% 6/24/29 (e)(h)(r) | | 88,624 | 87,405 |
| | | 370,916 |
TOTAL INDUSTRIALS | | | 3,498,038 |
INFORMATION TECHNOLOGY - 0.0% | | | |
Communications Equipment - 0.0% | | | |
CommScope, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6907% 4/4/26 (e)(h)(r) | | 907,230 | 816,761 |
Electronic Equipment, Instruments & Components - 0.0% | | | |
Coherent Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1907% 7/1/29 (e)(h)(r) | | 383,256 | 382,681 |
IT Services - 0.0% | | | |
Arches Buyer, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6763% 12/4/27 (e)(h)(r) | | 261,622 | 250,176 |
Peraton Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1763% 2/1/28 (e)(h)(r) | | 306,115 | 306,115 |
| | | 556,291 |
Semiconductors & Semiconductor Equipment - 0.0% | | | |
Entegris, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 7.8481% 7/6/29 (e)(h)(r) | | 27,316 | 27,347 |
Software - 0.0% | | | |
Applied Systems, Inc. Tranche 2LN, term loan CME Term SOFR 1 Month Index + 5.250% 2/9/32 (h)(r)(s) | | 5,000 | 5,113 |
Central Parent, Inc. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 4.000% 9.3481% 7/6/29 (e)(h)(r) | | 170,526 | 170,853 |
EagleView Technology Corp. Tranche B 1LN, term loan CME Term SOFR 3 Month Index + 3.500% 5.1133% 8/14/25 (e)(h)(r) | | 333,596 | 324,562 |
Gen Digital, Inc. Tranche A2 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 9/12/27 (h)(r)(s) | | 342,776 | 340,634 |
McAfee Corp. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.750% 9.1783% 3/1/29 (e)(h)(r) | | 2,807,250 | 2,789,705 |
MH Sub I LLC Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 4.250% 9.5763% 5/3/28 (e)(h)(r) | | 84,683 | 83,223 |
Open Text Corp.: | | | |
Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.1763% 1/31/30 (e)(h)(r) | | 164,358 | 164,461 |
Tranche B, term loan CME Term SOFR 1 Month Index + 1.750% 1.855% 5/30/25 (e)(h)(r) | | 253,401 | 253,401 |
Proofpoint, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.250% 8.6907% 8/31/28 (e)(h)(r) | | 105,852 | 105,617 |
Sophia LP Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 3.500% 8.9326% 10/7/27 (e)(h)(r) | | 261,618 | 261,291 |
| | | 4,498,860 |
TOTAL INFORMATION TECHNOLOGY | | | 6,281,940 |
MATERIALS - 0.0% | | | |
Containers & Packaging - 0.0% | | | |
Berry Global, Inc. Tranche AA 1LN, term loan CME Term SOFR 1 Month Index + 1.750% 7.1825% 7/1/29 (e)(h)(r) | | 1,028,072 | 1,025,501 |
UTILITIES - 0.0% | | | |
Electric Utilities - 0.0% | | | |
Brookfield WEC Holdings, Inc. Tranche B 1LN, term loan CME Term SOFR 1 Month Index + 2.750% 8.0763% 1/20/31 (e)(h)(r) | | 98,750 | 98,364 |
TOTAL BANK LOAN OBLIGATIONS (Cost $33,430,416) | | | 32,326,963 |
| | | |
Bank Notes - 0.0% |
| | Principal Amount (a) | Value ($) |
Discover Bank: | | | |
3.45% 7/27/26 | | 435,000 | 412,546 |
4.65% 9/13/28 | | 500,000 | 477,445 |
5.974% 8/9/28 (e) | | 3,503,000 | 3,448,078 |
Regions Bank 6.45% 6/26/37 | | 2,533,000 | 2,570,589 |
TOTAL BANK NOTES (Cost $6,798,195) | | | 6,908,658 |
| | | |
Fixed-Income Funds - 65.8% |
| | Shares | Value ($) |
High Yield Fixed-Income Funds - 1.0% | | | |
T. Rowe Price Emerging Markets Bond Fund Class I | | 20,282,189 | 182,742,523 |
TCW Emerging Markets Income Fund Class N | | 34,982,411 | 287,905,241 |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | | | 470,647,764 |
Intermediate Government Funds - 4.6% | | | |
Fidelity SAI U.S. Treasury Bond Index Fund (t) | | 248,546,554 | 2,152,413,156 |
Intermediate-Term Bond Funds - 52.9% | | | |
American Funds The Bond Fund of America Class F2 | | 107,049,661 | 1,201,097,191 |
Baird Aggregate Bond Fund Class Institutional | | 111,255,248 | 1,075,838,246 |
Baird Core Plus Bond Fund - Institutional Class | | 90,835,664 | 907,448,281 |
Columbia Mortgage Opportunities Fund Class A | | 35,658,428 | 283,484,502 |
DoubleLine Total Return Bond Fund Class N | | 204,396,223 | 1,772,115,255 |
Fidelity SAI Total Bond Fund (t) | | 500,077,949 | 4,455,694,529 |
Fidelity U.S. Bond Index Fund (t) | | 4,155,652 | 42,429,211 |
iShares Core U.S. Aggregate Bond ETF (m) | | 209,457 | 20,390,639 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | | 116,105 | 12,499,864 |
John Hancock Bond Fund Class R6 | | 46,672,404 | 623,543,316 |
JPMorgan Core Bond Fund Class R6 | | 50,731,043 | 513,905,468 |
PIMCO Income Fund Institutional Class | | 90,667,139 | 953,818,304 |
PIMCO Mortgage Opportunities Fund Institutional Class | | 183,439,259 | 1,711,488,288 |
PIMCO Total Return Fund Institutional Class | | 599,770,726 | 5,098,051,114 |
Voya Intermediate Bond Fund Class I | | 167,007,543 | 1,441,275,098 |
Western Asset Core Bond Fund Class I | | 325,676,853 | 3,426,120,493 |
Western Asset Core Plus Bond Fund Class I | | 102,457,490 | 951,830,086 |
TOTAL INTERMEDIATE-TERM BOND FUNDS | | | 24,491,029,885 |
Long Government Bond Funds - 6.8% | | | |
Fidelity SAI Long-Term Treasury Bond Index Fund (t) | | 60,307,886 | 433,010,620 |
iShares 20+ Year Treasury Bond ETF | | 2,153,674 | 202,833,017 |
iShares 7-10 Year Treasury Bond ETF (m) | | 19,751,972 | 1,861,030,802 |
SPDR Portfolio Long Term Treasury ETF (m) | | 23,955,757 | 664,532,699 |
TOTAL LONG GOVERNMENT BOND FUNDS | | | 3,161,407,138 |
Short-Term Bond - 0.5% | | | |
iShares 1-5 Year Investment Grade Corporate Bond ETF (m) | | 4,164,328 | 212,672,231 |
TOTAL FIXED-INCOME FUNDS (Cost $34,526,118,088) | | | 30,488,170,174 |
| | | |
Preferred Securities - 0.2% |
| | Principal Amount (a) | Value ($) |
CONSUMER DISCRETIONARY - 0.0% | | | |
Automobiles - 0.0% | | | |
Volkswagen International Finance NV: | | | |
3.748% (Reg. S) (e)(i) | | 300,000 | 303,755 |
3.875% (Reg. S) (e)(i) | | 1,300,000 | 1,308,334 |
3.875% (Reg. S) (e)(i) | | 200,000 | 209,720 |
| | | 1,821,809 |
CONSUMER STAPLES - 0.0% | | | |
Tobacco - 0.0% | | | |
British American Tobacco PLC 3% (Reg. S) (e)(i) | | 1,600,000 | 1,604,499 |
ENERGY - 0.1% | | | |
Oil, Gas & Consumable Fuels - 0.1% | | | |
BP Capital Markets PLC: | | | |
4.375% (e)(i) | | 7,022,000 | 7,055,134 |
4.875% (e)(i) | | 405,000 | 385,994 |
6.45% (e)(i) | | 710,000 | 711,593 |
Energy Transfer LP: | | | |
3 month U.S. LIBOR + 4.020% 9.5966% (e)(h)(i) | | 355,000 | 352,129 |
6.5% (e)(i) | | 3,770,000 | 3,726,103 |
6.625% (e)(i) | | 730,000 | 678,277 |
7.125% (e)(i) | | 2,520,000 | 2,481,733 |
| | | 15,390,963 |
FINANCIALS - 0.1% | | | |
Banks - 0.1% | | | |
AIB Group PLC 6.25% (Reg. S) (e)(i) | | 690,000 | 746,723 |
Banco Bilbao Vizcaya Argentaria SA 9.375% (e)(i) | | 1,170,000 | 1,256,629 |
Banco Santander SA 9.625% (e)(i) | | 1,200,000 | 1,271,186 |
Bank of Ireland Group PLC 7.5% (Reg. S) (e)(i) | | 700,000 | 779,192 |
Bank of Nova Scotia CME Term SOFR 3 Month Index + 2.900% 8.2361% (e)(h)(i) | | 12,927,000 | 12,447,182 |
Barclays PLC: | | | |
5.875% (Reg. S) (e)(i) | | 650,000 | 817,308 |
8.875% (e)(i) | | 300,000 | 384,833 |
9.625% (e)(i) | | 620,000 | 657,473 |
BNP Paribas SA 6.625% (Reg. S) (e)(i) | | 830,000 | 853,868 |
CaixaBank SA 5.875% (Reg. S) (e)(i) | | 600,000 | 636,267 |
Citigroup, Inc.: | | | |
3.875% (e)(i) | | 4,320,000 | 4,062,769 |
4% (e)(i) | | 1,035,000 | 988,788 |
Intesa Sanpaolo SpA 7.75% (Reg. S) (e)(i) | | 200,000 | 224,123 |
JPMorgan Chase & Co. 4.6% (e)(i) | | 7,120,000 | 6,957,354 |
Sumitomo Mitsui Financial Group, Inc. 7.25% (Reg. S) (e)(i) | | 431,000 | 429,128 |
U.S. Bancorp 3.7% (e)(i) | | 4,850,000 | 4,160,868 |
Wells Fargo & Co. 7.625% (e)(i) | | 160,000 | 171,881 |
| | | 36,845,572 |
Capital Markets - 0.0% | | | |
Charles Schwab Corp.: | | | |
4% (e)(i) | | 220,000 | 183,387 |
5.375% (e)(i) | | 110,000 | 109,956 |
Credit Suisse Group AG Claim (c) | | 2,750,000 | 323,125 |
Goldman Sachs Group, Inc.: | | | |
3.65% (e)(i) | | 1,750,000 | 1,586,950 |
4.125% (e)(i) | | 2,505,000 | 2,319,518 |
State Street Corp. 6.7% (e)(i) | | 1,329,000 | 1,332,769 |
UBS Group AG: | | | |
9.25% (b)(e)(i) | | 200,000 | 226,513 |
9.25% (b)(e)(i) | | 200,000 | 219,060 |
| | | 6,301,278 |
Consumer Finance - 0.0% | | | |
Ally Financial, Inc.: | | | |
4.7% (e)(i) | | 45,000 | 35,413 |
4.7% (e)(i) | | 530,000 | 455,538 |
American Express Co. 3.55% (e)(i) | | 770,000 | 700,558 |
| | | 1,191,509 |
Financial Services - 0.0% | | | |
Fannie Mae Series 2015-M8 Class A2, 2.9% 1/25/25 | | 273,643 | 268,520 |
Insurance - 0.0% | | | |
QBE Insurance Group Ltd. 5.25% (Reg. S) (e)(i) | | 1,850,000 | 1,828,515 |
TOTAL FINANCIALS | | | 46,435,394 |
INDUSTRIALS - 0.0% | | | |
Ground Transportation - 0.0% | | | |
Mobico Group PLC 4.25% (Reg. S) (e)(i) | | 320,000 | 366,558 |
REAL ESTATE - 0.0% | | | |
Real Estate Management & Development - 0.0% | | | |
Aroundtown SA 3.375% (Reg. S) (e)(i) | | 2,200,000 | 1,180,273 |
AT Securities BV USD SWAP SEMI 30/360 5Y INDX + 3.540% 7.747% (Reg. S) (e)(h)(i) | | 2,750,000 | 1,587,375 |
Citycon Oyj 4.496% (Reg. S) (e)(i) | | 450,000 | 419,963 |
CPI Property Group SA 3.75% (Reg. S) (e)(i) | | 1,325,000 | 554,776 |
Grand City Properties SA 1.5% (Reg. S) (e)(i) | | 2,400,000 | 1,455,011 |
Heimstaden Bostad AB: | | | |
3.248% (Reg. S) (e)(i) | | 2,085,000 | 1,534,358 |
3.625% (Reg. S) (e)(i) | | 185,000 | 119,982 |
Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (e)(i) | | 770,000 | 172,146 |
| | | 7,023,884 |
UTILITIES - 0.0% | | | |
Electric Utilities - 0.0% | | | |
Enel SpA 1.375% (Reg. S) (e)(i) | | 1,700,000 | 1,622,099 |
SSE PLC 3.74% (Reg. S) (e)(i) | | 635,000 | 785,925 |
| | | 2,408,024 |
Independent Power and Renewable Electricity Producers - 0.0% | | | |
Vistra Corp. 7% (b)(e)(i) | | 2,575,000 | 2,529,241 |
Multi-Utilities - 0.0% | | | |
ELM BV for Firmenich International SA 3.75% (Reg. S) (e)(i) | | 290,000 | 313,287 |
TOTAL UTILITIES | | | 5,250,552 |
TOTAL PREFERRED SECURITIES (Cost $91,139,261) | | | 77,893,659 |
| | | |
Money Market Funds - 3.4% |
| | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (u) | | 673,106,340 | 673,240,962 |
Fidelity Investments Money Market Government Portfolio Institutional Class 5.24% (t)(v) | | 114,422,036 | 114,422,036 |
Fidelity Securities Lending Cash Central Fund 5.39% (u)(w) | | 605,722,243 | 605,782,815 |
State Street Institutional U.S. Government Money Market Fund Premier Class 5.28% (v) | | 185,419,813 | 185,419,813 |
TOTAL MONEY MARKET FUNDS (Cost $1,578,861,980) | | | 1,578,865,626 |
| | | |
Purchased Swaptions - 0.0% |
| Expiration Date | Notional Amount (a) | Value ($) |
Put Options - 0.0% | | | | |
Option on an interest rate swap with Bank of America N.A. to pay annually a fixed rate of 3.7375% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/26/25 | | 6,600,000 | 231,091 |
Option on an interest rate swap with Citibank N.A. to pay annually a fixed rate of 3.778% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/24/25 | | 18,300,000 | 612,822 |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.3525% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/03/25 | | 8,700,000 | 443,368 |
| | | | |
TOTAL PUT OPTIONS | | | | 1,287,281 |
Call Options - 0.0% | | | | |
Option on an interest rate swap with Bank of America N.A. to receive annually a fixed rate of 3.7375% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/26/25 | | 6,600,000 | 240,398 |
Option on an interest rate swap with Citibank N.A. to receive annually a fixed rate of 3.778% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/24/25 | | 18,300,000 | 696,712 |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive annually a fixed rate of 3.3525% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring February 2035. | 2/03/25 | | 8,700,000 | 186,324 |
| | | | |
TOTAL CALL OPTIONS | | | | 1,123,434 |
TOTAL PURCHASED SWAPTIONS (Cost $2,437,590) | | | | 2,410,715 |
TOTAL INVESTMENT IN SECURITIES - 106.3% (Cost $54,285,402,340) | 49,243,517,333 |
NET OTHER ASSETS (LIABILITIES) - (6.3)% | (2,907,962,858) |
NET ASSETS - 100.0% | 46,335,554,475 |
| |
TBA Sale Commitments |
| Principal Amount (a) | Value ($) |
Ginnie Mae | | |
2% 3/1/54 | (10,650,000) | (8,667,029) |
2% 3/1/54 | (33,700,000) | (27,425,262) |
2% 3/1/54 | (8,250,000) | (6,713,900) |
2% 3/1/54 | (26,150,000) | (21,281,027) |
2% 3/1/54 | (775,000) | (630,700) |
2% 3/1/54 | (2,625,000) | (2,136,241) |
2% 3/1/54 | (350,000) | (284,832) |
2% 3/1/54 | (4,025,000) | (3,275,569) |
2% 3/1/54 | (1,350,000) | (1,098,638) |
2% 3/1/54 | (13,425,000) | (10,925,346) |
2% 3/1/54 | (4,900,000) | (3,987,649) |
2% 3/1/54 | (12,675,000) | (10,314,991) |
2% 3/1/54 | (9,775,000) | (7,954,954) |
2% 3/1/54 | (375,000) | (305,177) |
2% 3/1/54 | (25,375,000) | (20,650,327) |
2% 3/1/54 | (950,000) | (773,116) |
2.5% 3/1/54 | (350,000) | (296,157) |
2.5% 3/1/54 | (925,000) | (782,700) |
2.5% 3/1/54 | (1,900,000) | (1,607,708) |
2.5% 3/1/54 | (6,000,000) | (5,076,971) |
3% 3/1/54 | (1,525,000) | (1,337,348) |
3% 3/1/54 | (5,825,000) | (5,108,231) |
3% 3/1/54 | (6,250,000) | (5,480,935) |
3% 3/1/54 | (23,900,000) | (20,959,095) |
4.5% 3/1/54 | (500,000) | (477,628) |
4.5% 3/1/54 | (300,000) | (286,577) |
4.5% 3/1/54 | (281,000) | (268,427) |
4.5% 3/1/54 | (100,000) | (95,526) |
4.5% 4/1/54 | (500,000) | (477,843) |
5.5% 3/1/54 | (1,585,000) | (1,574,857) |
6.5% 3/1/54 | (2,600,000) | (2,635,547) |
6.5% 3/1/54 | (3,050,000) | (3,091,699) |
6.5% 3/1/54 | (1,950,000) | (1,976,660) |
6.5% 3/1/54 | (4,200,000) | (4,257,422) |
| | |
TOTAL GINNIE MAE | | (182,216,089) |
| | |
Uniform Mortgage Backed Securities | | |
1.5% 3/1/39 | (52,000) | (44,823) |
2% 3/1/39 | (90,000) | (79,368) |
2% 3/1/54 | (20,850,000) | (16,389,159) |
2% 3/1/54 | (35,700,000) | (28,062,014) |
2% 3/1/54 | (9,300,000) | (7,310,272) |
2% 3/1/54 | (7,925,000) | (6,229,453) |
2% 3/1/54 | (2,075,000) | (1,631,055) |
2% 3/1/54 | (69,000,000) | (54,237,505) |
2% 3/1/54 | (19,850,000) | (15,603,108) |
2% 3/1/54 | (4,400,000) | (3,458,624) |
2% 3/1/54 | (44,250,000) | (34,782,748) |
2% 3/1/54 | (1,200,000) | (943,261) |
2% 3/1/54 | (3,800,000) | (2,986,993) |
2% 3/1/54 | (4,125,000) | (3,242,460) |
2% 3/1/54 | (13,850,000) | (10,886,804) |
2% 3/1/54 | (8,775,000) | (6,897,596) |
2% 3/1/54 | (17,400,000) | (13,677,284) |
2% 3/1/54 | (5,200,000) | (4,087,464) |
2% 3/1/54 | (8,650,000) | (6,799,339) |
2% 3/1/54 | (2,600,000) | (2,043,732) |
2% 3/1/54 | (11,050,000) | (8,685,861) |
2% 3/1/54 | (5,500,000) | (4,323,279) |
2% 3/1/54 | (363,000) | (285,336) |
2% 3/1/54 | (2,850,000) | (2,240,245) |
2% 3/1/54 | (2,000,000) | (1,572,102) |
2% 3/1/54 | (4,450,000) | (3,497,926) |
2% 3/1/54 | (3,150,000) | (2,476,060) |
2% 3/1/54 | (400,000) | (314,420) |
2% 3/1/54 | (900,000) | (707,446) |
2.5% 3/1/39 | (46,000) | (41,704) |
2.5% 3/1/54 | (11,850,000) | (9,735,516) |
2.5% 3/1/54 | (73,150,000) | (60,097,297) |
2.5% 3/1/54 | (10,350,000) | (8,503,172) |
2.5% 3/1/54 | (400,000) | (328,625) |
2.5% 3/1/54 | (1,300,000) | (1,068,031) |
3% 3/1/39 | (24,000) | (22,230) |
3% 3/1/54 | (47,000,000) | (40,210,704) |
3% 3/1/54 | (76,000,000) | (65,021,564) |
3% 3/1/54 | (14,300,000) | (12,234,321) |
3% 3/1/54 | (1,200,000) | (1,026,656) |
3% 3/1/54 | (3,800,000) | (3,251,078) |
3.5% 3/1/39 | (13,000) | (12,302) |
3.5% 3/1/54 | (5,050,000) | (4,492,330) |
4% 3/1/39 | (5,000) | (4,819) |
4% 3/1/54 | (2,300,000) | (2,116,629) |
4% 3/1/54 | (1,263,600) | (1,162,857) |
4% 3/1/54 | (40,000) | (36,811) |
4% 3/1/54 | (81,000) | (74,542) |
4.5% 3/1/39 | (12,000) | (11,739) |
4.5% 3/1/54 | (10,600,000) | (10,031,078) |
4.5% 3/1/54 | (3,225,000) | (3,051,908) |
4.5% 3/1/54 | (4,597,000) | (4,350,270) |
5% 3/1/54 | (4,100,000) | (3,976,360) |
5% 3/1/54 | (22,900,000) | (22,209,423) |
5% 3/1/54 | (5,233,000) | (5,075,193) |
5% 3/1/54 | (2,075,000) | (2,012,426) |
5.5% 3/1/54 | (50,000) | (49,465) |
5.5% 3/1/54 | (925,000) | (915,100) |
5.5% 3/1/54 | (5,801,000) | (5,738,911) |
5.5% 3/1/54 | (50,000) | (49,465) |
5.5% 3/1/54 | (1,025,000) | (1,014,029) |
5.5% 3/1/54 | (10,000,000) | (9,892,969) |
5.5% 3/1/54 | (700,000) | (692,508) |
5.5% 3/1/54 | (800,000) | (791,438) |
5.5% 3/1/54 | (3,500,000) | (3,462,539) |
6% 3/1/54 | (2,700,000) | (2,711,813) |
6% 3/1/54 | (1,600,000) | (1,607,000) |
6% 3/1/54 | (900,000) | (903,938) |
6% 3/1/54 | (500,000) | (502,188) |
6% 3/1/54 | (2,100,000) | (2,109,188) |
6% 3/1/54 | (6,700,000) | (6,729,313) |
6% 3/1/54 | (6,000,000) | (6,026,250) |
6% 3/1/54 | (350,000) | (351,531) |
6% 3/1/54 | (1,700,000) | (1,707,438) |
6% 3/1/54 | (58,000) | (58,254) |
6% 3/1/54 | (3,500,000) | (3,515,313) |
6% 3/1/54 | (450,000) | (451,969) |
6% 3/1/54 | (50,000) | (50,219) |
6% 3/1/54 | (500,000) | (502,188) |
6% 3/1/54 | (225,000) | (225,984) |
6% 3/1/54 | (2,225,000) | (2,234,734) |
6% 3/1/54 | (1,000,000) | (1,004,375) |
6% 3/1/54 | (4,500,000) | (4,519,688) |
6.5% 3/1/54 | (1,450,000) | (1,475,375) |
6.5% 3/1/54 | (4,500,000) | (4,578,750) |
6.5% 3/1/54 | (2,350,000) | (2,391,125) |
6.5% 3/1/54 | (3,900,000) | (3,968,250) |
6.5% 3/1/54 | (1,050,000) | (1,068,375) |
6.5% 3/1/54 | (50,000) | (50,875) |
6.5% 3/1/54 | (750,000) | (763,125) |
7% 3/1/54 | (1,612,400) | (1,654,557) |
| | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | | (577,423,561) |
| | |
TOTAL TBA SALE COMMITMENTS (Proceeds $762,010,993) | | (759,639,650) |
Written Swaptions |
| Expiration Date | Notional Amount (a) | Value ($) |
Put Swaptions | | | | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index and receive annually a fixed rate of 3.7675%, expiring September 2033. | 9/20/28 | | 10,800,000 | (419,795) |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive annually a fixed rate of 3.502% and pay annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring January 2034. | 1/04/29 | | 14,200,000 | (628,626) |
| | | | |
TOTAL PUT SWAPTIONS | | | | (1,048,421) |
Call Swaptions | | | | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay annually a fixed rate of 3.7675 and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring September 2033. | 9/20/28 | | 10,800,000 | (451,859) |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay annually a fixed rate of 3.502% and receive annually a floating rate based on the U.S. Secured Overnight Fin. Rate (SOFR) Index, expiring January 2034. | 1/04/29 | | 14,200,000 | (521,823) |
| | | | |
TOTAL CALL SWAPTIONS | | | | (973,682) |
TOTAL WRITTEN SWAPTIONS | | | | (2,022,103) |
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) | 15 | Mar 2024 | 1,121,408 | 14,798 | 14,798 |
TME 10 Year Canadian Note Contracts (Canada) | 57 | Jun 2024 | 5,034,514 | 13,415 | 13,415 |
| | | | | |
TOTAL BOND INDEX CONTRACTS | | | | | 28,213 |
| | | | | |
Treasury Contracts | | | | | |
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 1,201 | Jun 2024 | 132,635,438 | 67,712 | 67,712 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1,798 | Jun 2024 | 368,140,500 | 189,129 | 189,129 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 952 | Jun 2024 | 101,774,750 | 88,175 | 88,175 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 318 | Jun 2024 | 37,921,500 | 381,803 | 381,803 |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 1,067 | Jun 2024 | 121,821,391 | 588,378 | 588,378 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 840 | Jun 2024 | 107,415,000 | 1,622,672 | 1,622,672 |
| | | | | |
TOTAL TREASURY CONTRACTS | | | | | 2,937,869 |
| | | | | |
TOTAL PURCHASED | | | | | 2,966,082 |
| | | | | |
Sold | | | | | |
| | | | | |
Bond Index Contracts | | | | | |
Eurex Euro-Bobl Contracts (Germany) | 16 | Mar 2024 | 2,009,769 | 33,332 | 33,332 |
Eurex Euro-Bund Contracts (Germany) | 34 | Mar 2024 | 4,874,516 | 92,656 | 92,656 |
ICE Long Gilt Contracts (United Kingdom) | 19 | Jun 2024 | 2,352,561 | (17,977) | (17,977) |
| | | | | |
TOTAL BOND INDEX CONTRACTS | | | | | 108,011 |
| | | | | |
Treasury Contracts | | | | | |
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 831 | Jun 2024 | 91,773,563 | (269,747) | (269,747) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 102 | Jun 2024 | 10,904,438 | (20,923) | (20,923) |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 539 | Jun 2024 | 61,538,641 | (125,511) | (125,511) |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 11 | Jun 2024 | 1,406,625 | (16,668) | (16,668) |
| | | | | |
TOTAL TREASURY CONTRACTS | | | | | (432,849) |
| | | | | |
TOTAL SOLD | | | | | (324,838) |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | 2,641,244 |
The notional amount of futures purchased as a percentage of Net Assets is 1.9% |
The notional amount of futures sold as a percentage of Net Assets is 0.3% |
Forward Foreign Currency Contracts |
Currency Purchased
| Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) |
| | | | | | |
EUR | 16,000 | USD | 17,326 | Jpmorgan Chase Bank Na Ldn | 3/01/24 | (33) |
EUR | 824,000 | USD | 892,969 | Morgan Stanley Cap. Group, Inc | 3/01/24 | (2,390) |
EUR | 197,000 | USD | 213,154 | Citibank, N. A. | 3/04/24 | (236) |
EUR | 59,187,406 | USD | 64,119,197 | Deutsche Bank AG | 3/04/24 | (149,448) |
GBP | 10,085,675 | USD | 12,787,061 | Barclays Bank PLC | 3/04/24 | (55,914) |
USD | 64,234,885 | EUR | 59,187,406 | Deutsche Bank AG | 3/04/24 | 265,136 |
USD | 12,811,157 | GBP | 10,085,675 | Deutsche Bank AG | 3/04/24 | 80,010 |
EUR | 3,641,916 | USD | 3,941,907 | Citibank, N. A. | 3/05/24 | (5,559) |
GBP | 602,000 | USD | 761,256 | JPMorgan Chase Bank, N.A. | 3/05/24 | (1,347) |
USD | 3,951,070 | EUR | 3,641,916 | BNP Paribas S.A. | 3/05/24 | 14,722 |
USD | 2,187,880 | EUR | 1,994,000 | Deutsche Bank AG | 3/20/24 | 31,315 |
USD | 747,587 | EUR | 681,000 | Deutsche Bank AG | 3/20/24 | 11,067 |
USD | 164,865 | EUR | 151,000 | Deutsche Bank AG | 3/20/24 | 1,554 |
USD | 1,208,639 | EUR | 1,109,000 | Deutsche Bank AG | 3/20/24 | 9,225 |
USD | 93,611 | EUR | 86,000 | Deutsche Bank AG | 3/20/24 | 599 |
USD | 2,104,091 | EUR | 1,953,000 | Deutsche Bank AG | 3/20/24 | (8,132) |
USD | 1,421,151 | EUR | 1,292,000 | Morgan Stanley Cap. Group, Inc | 3/20/24 | 23,818 |
USD | 564,875 | EUR | 514,000 | Morgan Stanley Cap. Group, Inc | 3/20/24 | 8,970 |
USD | 767,976 | EUR | 699,000 | Morgan Stanley Cap. Group, Inc | 3/20/24 | 11,988 |
USD | 179,011 | EUR | 163,000 | Morgan Stanley Cap. Group, Inc | 3/20/24 | 2,723 |
USD | 232,710 | EUR | 212,000 | Morgan Stanley Cap. Group, Inc | 3/20/24 | 3,426 |
USD | 354,102 | EUR | 325,000 | Morgan Stanley Cap. Group, Inc | 3/20/24 | 2,606 |
USD | 543,803 | EUR | 499,000 | Morgan Stanley Cap. Group, Inc | 3/20/24 | 4,121 |
USD | 362,131 | EUR | 332,000 | Morgan Stanley Cap. Group, Inc | 3/20/24 | 3,064 |
USD | 39,197 | EUR | 36,000 | Morgan Stanley Cap. Group, Inc | 3/20/24 | 262 |
USD | 216,643 | EUR | 199,000 | Morgan Stanley Cap. Group, Inc | 3/20/24 | 1,419 |
USD | 85,514 | EUR | 79,000 | Morgan Stanley Cap. Group, Inc | 3/20/24 | 73 |
USD | 1,960,044 | EUR | 1,817,000 | Morgan Stanley Cap. Group, Inc | 3/20/24 | (5,092) |
USD | 893,635 | EUR | 824,000 | Morgan Stanley Cap. Group, Inc | 3/20/24 | 2,457 |
USD | 2,943,324 | MXN | 50,500,000 | Morgan Stanley Cap. Group, Inc | 3/20/24 | (11,761) |
USD | 3,072,360 | EUR | 2,827,607 | Bank of America, N.A. | 4/02/24 | 12,554 |
USD | 3,946,419 | EUR | 3,641,916 | Citibank, N. A. | 4/02/24 | 5,434 |
USD | 64,197,028 | EUR | 59,187,406 | Deutsche Bank AG | 4/02/24 | 149,239 |
USD | 12,789,454 | GBP | 10,085,675 | Barclays Bank PLC | 4/02/24 | 55,996 |
CAD | 193,000 | USD | 144,582 | JPMorgan Chase Bank, N.A. | 4/12/24 | (2,288) |
EUR | 5,526,000 | USD | 5,987,056 | Bank of America, N.A. | 4/12/24 | (4,672) |
EUR | 814,000 | USD | 886,730 | Canadian Imperial Bk. of Comm. | 4/12/24 | (5,503) |
EUR | 411,000 | USD | 443,748 | Canadian Imperial Bk. of Comm. | 4/12/24 | 1,196 |
EUR | 570,000 | USD | 619,653 | Canadian Imperial Bk. of Comm. | 4/12/24 | (2,577) |
EUR | 716,000 | USD | 776,001 | Citibank, N. A. | 4/12/24 | (868) |
EUR | 1,070,000 | USD | 1,170,031 | JPMorgan Chase Bank, N.A. | 4/12/24 | (11,662) |
EUR | 100,000 | USD | 107,427 | JPMorgan Chase Bank, N.A. | 4/12/24 | 831 |
GBP | 506,000 | USD | 641,618 | Bank of America, N.A. | 4/12/24 | (2,739) |
GBP | 321,000 | USD | 406,971 | Bank of America, N.A. | 4/12/24 | (1,674) |
GBP | 606,000 | USD | 772,815 | Brown Brothers Harriman & Co | 4/12/24 | (7,675) |
GBP | 163,000 | USD | 207,589 | Brown Brothers Harriman & Co | 4/12/24 | (1,784) |
GBP | 617,000 | USD | 783,000 | Brown Brothers Harriman & Co | 4/12/24 | (3,971) |
GBP | 215,000 | USD | 271,689 | Canadian Imperial Bk. of Comm. | 4/12/24 | (228) |
GBP | 197,000 | USD | 250,002 | JPMorgan Chase Bank, N.A. | 4/12/24 | (1,269) |
GBP | 241,000 | USD | 306,183 | JPMorgan Chase Bank, N.A. | 4/12/24 | (1,895) |
GBP | 573,000 | USD | 726,918 | JPMorgan Chase Bank, N.A. | 4/12/24 | (3,444) |
JPY | 461,600,000 | USD | 3,213,843 | JPMorgan Chase Bank, N.A. | 4/12/24 | (115,118) |
USD | 130,166 | AUD | 194,000 | Brown Brothers Harriman & Co | 4/12/24 | 3,906 |
USD | 75,802 | CAD | 102,000 | Brown Brothers Harriman & Co | 4/12/24 | 600 |
USD | 64,688 | CAD | 87,000 | Canadian Imperial Bk. of Comm. | 4/12/24 | 546 |
USD | 200,310 | CAD | 268,000 | JPMorgan Chase Bank, N.A. | 4/12/24 | 2,720 |
USD | 360,358 | EUR | 327,000 | BNP Paribas S.A. | 4/12/24 | 6,351 |
USD | 231,490 | EUR | 213,000 | BNP Paribas S.A. | 4/12/24 | 898 |
USD | 509,853 | EUR | 468,000 | BNP Paribas S.A. | 4/12/24 | 3,202 |
USD | 1,398,453 | EUR | 1,273,000 | Brown Brothers Harriman & Co | 4/12/24 | 20,318 |
USD | 614,662 | EUR | 564,000 | Brown Brothers Harriman & Co | 4/12/24 | 4,083 |
USD | 60,889 | EUR | 56,000 | Canadian Imperial Bk. of Comm. | 4/12/24 | 264 |
USD | 79,415,111 | EUR | 72,332,000 | Citibank, N. A. | 4/12/24 | 1,109,330 |
USD | 205,903 | EUR | 190,000 | Goldman Sachs Bank USA | 4/12/24 | 211 |
USD | 3,951,659 | EUR | 3,592,000 | JPMorgan Chase Bank, N.A. | 4/12/24 | 63,001 |
USD | 109,046 | EUR | 100,000 | JPMorgan Chase Bank, N.A. | 4/12/24 | 787 |
USD | 53,939 | EUR | 50,000 | JPMorgan Chase Bank, N.A. | 4/12/24 | (191) |
USD | 34,765,136 | GBP | 27,327,000 | Bank of America, N.A. | 4/12/24 | 261,869 |
USD | 121,641 | GBP | 96,000 | Brown Brothers Harriman & Co | 4/12/24 | 431 |
USD | 119,733 | GBP | 94,000 | Goldman Sachs Bank USA | 4/12/24 | 1,047 |
USD | 579,295 | GBP | 458,000 | JPMorgan Chase Bank, N.A. | 4/12/24 | 1,021 |
USD | 3,261,145 | JPY | 462,150,000 | Royal Bank of Canada | 4/12/24 | 158,727 |
USD | 4,943,259 | JPY | 736,450,000 | Royal Bank of Canada | 4/12/24 | (536) |
| | | | | | |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | | 1,935,111 |
Unrealized Appreciation | | | 2,343,117 |
Unrealized Depreciation | | | (408,006) |
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 CDX N.A. HY Series 41 | | Dec 2028 | ICE | (5%) | Quarterly | | 45,229,140 | 555,889 | 0 | 555,889 |
American Electric Power, Inc. | | Dec 2028 | Bank of America, N.A. | (1%) | Quarterly | | 322,656 | (9,942) | 7,211 | (2,731) |
American Electric Power, Inc. | | Dec 2028 | Deutsche Bank AG | (1%) | Quarterly | | 404,344 | (12,458) | 8,045 | (4,413) |
American Electric Power, Inc. | | Dec 2028 | Goldman Sachs Intl. | (1%) | Quarterly | | 540,000 | (16,638) | 13,755 | (2,883) |
American Express Co. | | Dec 2028 | Morgan Stanley & Co. International PLC | (1%) | Quarterly | | 540,000 | (17,199) | 10,853 | (6,346) |
CMBX N.A. AAA Index Series 13 | | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | | 720,000 | 5,759 | (6,488) | (729) |
CMBX N.A. AAA Index Series 13 | | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | | 2,140,000 | 17,117 | (23,100) | (5,983) |
CMBX N.A. AAA Index Series 13 | | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | | 9,000,000 | 71,986 | (144,691) | (72,705) |
CMBX N.A. AAA Index Series 13 | | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | | 6,000,000 | 47,990 | (40,209) | 7,781 |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 470,000 | 74,927 | (124,456) | (49,529) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 710,000 | 113,187 | (215,384) | (102,197) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 510,000 | 81,304 | (141,124) | (59,820) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Citigroup Global Markets Ltd. | (3%) | Monthly | | 140,000 | 22,319 | (31,452) | (9,133) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 410,000 | 65,362 | (100,994) | (35,632) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 780,000 | 124,347 | (206,436) | (82,089) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 400,000 | 63,768 | (78,131) | (14,363) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 320,000 | 51,014 | (77,309) | (26,295) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 550,000 | 87,680 | (159,883) | (72,203) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 580,000 | 92,463 | (149,477) | (57,014) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 600,000 | 95,651 | (99,518) | (3,867) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 330,000 | 52,608 | (81,277) | (28,669) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | | 110,000 | 17,536 | (31,654) | (14,118) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | | 1,770,000 | 282,171 | (539,294) | (257,123) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | JPMorgan Securities LLC | (3%) | Monthly | | 120,000 | 19,130 | (31,916) | (12,786) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 880,000 | 140,289 | (224,039) | (83,750) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 70,000 | 11,159 | (17,420) | (6,261) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 670,000 | 106,811 | (167,553) | (60,742) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 300,000 | 47,826 | (50,878) | (3,052) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 220,000 | 35,072 | (52,372) | (17,300) |
CMBX N.A. BBB- Index Series 16 | | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 560,000 | 89,275 | (129,731) | (40,456) |
CMBX N.A. BBB- Index Series 17 | | Dec 2056 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 400,000 | 54,762 | (57,985) | (3,223) |
CMBX N.A. BBB- Index Series 17 | | Dec 2056 | Goldman Sachs & Co. LLC | (3%) | Monthly | | 400,000 | 54,762 | (56,938) | (2,176) |
CMBX N.A. BBB- Index Series 17 | | Dec 2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 200,000 | 27,381 | (28,993) | (1,612) |
CMBX N.A. BBB- Index Series 17 | | Dec 2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly | | 200,000 | 27,381 | (28,287) | (906) |
Dominion Energy, Inc. | | Dec 2028 | Bank of America, N.A. | (1%) | Quarterly | | 322,946 | (7,479) | 5,135 | (2,344) |
Dominion Energy, Inc. | | Dec 2028 | Bank of America, N.A. | (1%) | Quarterly | | 411,054 | (9,519) | 6,676 | (2,843) |
Intesa Sanpaolo SpA | | Jun 2028 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | EUR | 1,430,000 | (26,239) | 1,781 | (24,458) |
| | | | | | | | | | |
TOTAL BUY PROTECTION | | | | | | | | 2,437,452 | (3,043,533) | (606,081) |
Sell Protection | | | | | | | | | | |
CMBX N.A. AAA Index Series 12 | NR | Aug 2061 | JPMorgan Securities LLC | 0.5% | Monthly | | 1,000,000 | (5,355) | 4,383 | (972) |
CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | | 13,540,000 | (108,298) | 308,434 | 200,136 |
CMBX N.A. AAA Index Series 13 | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | | 10,830,000 | (86,623) | 253,710 | 167,087 |
CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Goldman Sachs & Co. LLC | 0.5% | Monthly | | 2,960,000 | (44,392) | 79,546 | 35,154 |
CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Goldman Sachs & Co. LLC | 0.5% | Monthly | | 6,600,000 | (98,983) | 170,781 | 71,798 |
CMBX N.A. AAA Index Series 15 | NR | Nov 2064 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | | 6,040,000 | (90,584) | 101,840 | 11,256 |
CMBX N.A. AAA Index Series 16 | NR | Apr 2065 | Citigroup Global Markets Ltd. | 0.5% | Monthly | | 1,420,000 | (26,151) | 42,508 | 16,357 |
CMBX N.A. AAA Index Series 16 | NR | Apr 2065 | Citigroup Global Markets Ltd. | 0.5% | Monthly | | 3,610,000 | (66,483) | 154,864 | 88,381 |
| | | | | | | | | | |
TOTAL SELL PROTECTION | | | | | | | | (526,869) | 1,116,066 | 589,197 |
TOTAL CREDIT DEFAULT SWAPS | | | | | | | | 1,910,583 | (1,927,467) | (16,884) |
(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 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 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) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4% | Annual | LCH | Mar 2026 | | 125,003,000 | 722,349 | 0 | 722,349 |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4.5% | Annual | LCH | Mar 2027 | | 17,376,000 | 95,162 | 0 | 95,162 |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4.25% | Annual | LCH | Mar 2029 | | 13,820,000 | 92,675 | 0 | 92,675 |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4.25% | Annual | LCH | Mar 2031 | | 51,495,000 | 393,660 | 0 | 393,660 |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 4% | Annual | LCH | Mar 2044 | | 8,893,000 | 46,208 | 0 | 46,208 |
U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | 3.52% | Annual | CME | Dec 2053 | | 15,755,000 | 369,366 | 0 | 369,366 |
2.49% | Semi - annual | 6 month EURIBOR(4) | Semi - annual | LCH | Feb 2054 | EUR | 1,666,170 | (19,832) | 0 | (19,832) |
2.51% | Annual | 6 month EURIBOR(4) | Semi - annual | LCH | Feb 2054 | EUR | 1,666,170 | (25,879) | 0 | (25,879) |
2.51% | Annual | 6 month EURIBOR(4) | Semi - annual | LCH | Feb 2054 | EUR | 1,633,000 | (28,103) | 0 | (28,103) |
4% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Mar 2054 | | 1,414,000 | (9,635) | 0 | (9,635) |
2.51% | Annual | 6 month EURIBOR(4) | Semi - annual | LCH | Mar 2054 | EUR | 835,000 | (13,981) | 0 | (13,981) |
TOTAL INTEREST RATE SWAPS | | | | | | | | 1,621,990 | 0 | 1,621,990 |
(1)Swaps with CME Group (CME) and LCH Clearnet Group (LCH) are centrally cleared swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
(3)Any premiums for centrally cleared 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 |
JPY | - | Japanese yen |
MXN | - | Mexican peso |
USD | - | U.S. dollar |
Security Type Abbreviations
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 $2,971,675,171 or 6.4% of net assets. |
(c) | Non-income producing - Security is in default. |
(e) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(f) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(g) | 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. |
(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 is perpetual in nature with no stated maturity date. |
(j) | 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 $19,763,395. |
(k) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $9,156,265. |
(l) | 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 $14,263,967. |
(m) | Security or a portion of the security is on loan at period end. |
(n) | 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. |
(o) | 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. |
(p) | Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(q) | 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. |
(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) | The coupon rate will be determined upon settlement of the loan after period end. |
(u) | 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. |
(v) | The rate quoted is the annualized seven-day yield of the fund at period end. |
(w) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.39% | 425,431,980 | 2,304,920,757 | 2,057,111,776 | 17,106,614 | - | 1 | 673,240,962 | 1.3% |
Fidelity Securities Lending Cash Central Fund 5.39% | 55,923,273 | 4,616,713,115 | 4,066,853,573 | 587,851 | - | - | 605,782,815 | 1.9% |
Total | 481,355,253 | 6,921,633,872 | 6,123,965,349 | 17,694,465 | - | 1 | 1,279,023,777 | |
| | | | | | | | |
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 ($) |
Fidelity Investments Money Market Government Portfolio Institutional Class 5.24% | 126,976,060 | 2,270,196,185 | 2,282,750,218 | 7,382,181 | 9 | - | 114,422,036 |
Fidelity SAI Long-Term Treasury Bond Index Fund | 460,248,664 | 30,213,305 | 25,000,000 | 15,213,304 | (12,317,407) | (20,133,942) | 433,010,620 |
Fidelity SAI Total Bond Fund | 5,340,793,933 | 221,123,593 | 1,114,423,846 | 221,118,367 | (118,770,350) | 126,971,199 | 4,455,694,529 |
Fidelity SAI U.S. Treasury Bond Index Fund | 1,805,048,282 | 563,786,431 | 208,003,062 | 49,772,455 | (21,378,698) | 12,960,203 | 2,152,413,156 |
Fidelity Short-Term Treasury Bond Index Fund | 713,436 | 4,242 | 722,733 | 11,823 | 10,351 | (5,296) | - |
Fidelity U.S. Bond Index Fund | 701,219,597 | 24,905,848 | 679,259,249 | 14,900,553 | (37,941,719) | 33,504,734 | 42,429,211 |
| 8,434,999,972 | 3,110,229,604 | 4,310,159,108 | 308,398,683 | (190,397,814) | 153,296,898 | 7,197,969,552 |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of February 29, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: |
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
Equities: | | | | |
Communication Services | 3,105,085 | - | - | 3,105,085 |
|
Corporate Bonds | 4,210,465,720 | - | 4,203,781,348 | 6,684,372 |
|
U.S. Government and Government Agency Obligations | 4,386,685,321 | - | 4,386,685,321 | - |
|
U.S. Government Agency - Mortgage Securities | 5,488,043,841 | - | 5,488,043,841 | - |
|
Asset-Backed Securities | 1,266,425,255 | - | 1,265,963,996 | 461,259 |
|
Collateralized Mortgage Obligations | 397,592,602 | - | 396,651,792 | 940,810 |
|
Commercial Mortgage Securities | 1,135,595,094 | - | 1,134,620,370 | 974,724 |
|
Municipal Securities | 42,351,249 | - | 42,351,249 | - |
|
Foreign Government and Government Agency Obligations | 114,714,614 | - | 114,714,614 | - |
|
Supranational Obligations | 11,962,757 | - | 11,962,757 | - |
|
Bank Loan Obligations | 32,326,963 | - | 32,326,963 | - |
|
Bank Notes | 6,908,658 | - | 6,908,658 | - |
|
Fixed-Income Funds | 30,488,170,174 | 30,488,170,174 | - | - |
|
Preferred Securities | 77,893,659 | - | 77,893,659 | - |
|
Money Market Funds | 1,578,865,626 | 1,578,865,626 | - | - |
|
Purchased Swaptions | 2,410,715 | - | 2,410,715 | - |
Total Investments in Securities: | 49,243,517,333 | 32,067,035,800 | 17,164,315,283 | 12,166,250 |
Derivative Instruments: Assets | | | | |
Futures Contracts | 3,092,070 | 3,092,070 | - | - |
Forward Foreign Currency Contracts | 2,343,117 | - | 2,343,117 | - |
Swaps | 4,256,346 | - | 4,256,346 | - |
Total Assets | 9,691,533 | 3,092,070 | 6,599,463 | - |
Liabilities | | | | |
Futures Contracts | (450,826) | (450,826) | - | - |
Forward Foreign Currency Contracts | (408,006) | - | (408,006) | - |
Swaps | (723,773) | - | (723,773) | - |
Written Swaptions | (2,022,103) | - | (2,022,103) | - |
Total Liabilities | (3,604,708) | (450,826) | (3,153,882) | - |
Total Derivative Instruments: | 6,086,825 | 2,641,244 | 3,445,581 | - |
Other Financial Instruments: | | | | |
TBA Sale Commitments | (759,639,650) | - | (759,639,650) | - |
Total Other Financial Instruments: | (759,639,650) | - | (759,639,650) | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
Credit Risk | | |
Swaps (a)(b) | 2,536,926 | (626,343) |
Total Credit Risk | 2,536,926 | (626,343) |
Foreign Exchange Risk | | |
Forward Foreign Currency Contracts (c) | 2,343,117 | (408,006) |
Total Foreign Exchange Risk | 2,343,117 | (408,006) |
Interest Rate Risk | | |
Futures Contracts (d) | 3,092,070 | (450,826) |
Purchased Swaptions (e) | 2,410,715 | 0 |
Swaps (a) | 1,719,420 | (97,430) |
Written Swaptions (f) | 0 | (2,022,103) |
Total Interest Rate Risk | 7,222,205 | (2,570,359) |
Total Value of Derivatives | 12,102,248 | (3,604,708) |
(a)For centrally cleared 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 swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).
(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)Gross value is presented in the Statement of Assets and Liabilities in the Investments in Securities at value line-item.
(f)Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
Statement of Assets and Liabilities |
| | | | February 29, 2024 |
| | | | |
Assets | | | | |
Investment in securities, at value (including securities loaned of $593,392,263) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $44,960,653,267) | $ | 40,766,524,004 | | |
Fidelity Central Funds (cost $1,279,020,131) | | 1,279,023,777 | | |
Other affiliated issuers (cost $8,045,728,942) | | 7,197,969,552 | | |
| | | | |
| | | | |
Total Investment in Securities (cost $54,285,402,340) | | | $ | 49,243,517,333 |
Segregated cash with brokers for derivative instruments | | | | 7,744,336 |
Segregated cash with brokers for mortgage/asset-backed securities | | | | 450,000 |
Cash | | | | 345,837 |
Foreign currency held at value (cost $4,557,481) | | | | 4,544,522 |
Receivable for investments sold | | | | |
Regular delivery | | | | 205,125,705 |
Delayed delivery | | | | 52,453,754 |
Receivable for premium on written options | | | | 2,082,900 |
Receivable for TBA sale commitments | | | | 762,010,993 |
Unrealized appreciation on forward foreign currency contracts | | | | 2,343,117 |
Receivable for fund shares sold | | | | 27,719,128 |
Dividends receivable | | | | 15,997,890 |
Interest receivable | | | | 108,118,935 |
Distributions receivable from Fidelity Central Funds | | | | 2,914,593 |
Receivable for daily variation margin on futures contracts | | | | 737,845 |
Bi-lateral OTC swaps, at value | | | | 1,981,037 |
Other receivables | | | | 397,144 |
Total assets | | | | 50,438,485,069 |
Liabilities | | | | |
Payable for investments purchased | | | | |
Regular delivery | $ | 245,177,260 | | |
Delayed delivery | | 2,407,634,164 | | |
TBA sale commitments, at value | | 759,639,650 | | |
Unrealized depreciation on forward foreign currency contracts | | 408,006 | | |
Payable for swaps | | 56,938 | | |
Payable for fund shares redeemed | | 57,993,734 | | |
Distributions payable | | 21,047,645 | | |
Bi-lateral OTC swaps, at value | | 626,343 | | |
Accrued management fee | | 1,138,592 | | |
Payable for daily variation margin on centrally cleared swaps | | 131,698 | | |
Written options, at value (premium receivable $2,082,900) | | 2,022,103 | | |
Other payables and accrued expenses | | 1,271,646 | | |
Collateral on securities loaned | | 605,782,815 | | |
Total Liabilities | | | | 4,102,930,594 |
Commitments and contingent liabilities (see Commitments note) | | | | |
Net Assets | | | $ | 46,335,554,475 |
Net Assets consist of: | | | | |
Paid in capital | | | $ | 54,314,478,136 |
Total accumulated earnings (loss) | | | | (7,978,923,661) |
Net Assets | | | $ | 46,335,554,475 |
Net Asset Value, offering price and redemption price per share ($46,335,554,475 ÷ 5,144,008,045 shares) | | | $ | 9.01 |
Statement of Operations |
| | | | Year ended February 29, 2024 |
Investment Income | | | | |
Dividends: | | | | |
Unaffiliated issuers | | | $ | 1,055,705,769 |
Affiliated issuers | | | | 308,398,683 |
Interest | | | | 657,661,544 |
Income from Fidelity Central Funds (including $587,851 from security lending) | | | | 17,694,465 |
Total Income | | | | 2,039,460,461 |
Expenses | | | | |
Management fee | $ | 134,972,217 | | |
Custodian fees and expenses | | 307,680 | | |
Independent trustees' fees and expenses | | 291,933 | | |
Registration fees | | 979,540 | | |
Audit | | 80,283 | | |
Legal | | 39,938 | | |
Miscellaneous | | 486,264 | | |
Total expenses before reductions | | 137,157,855 | | |
Expense reductions | | (121,441,732) | | |
Total expenses after reductions | | | | 15,716,123 |
Net Investment income (loss) | | | | 2,023,744,338 |
Realized and Unrealized Gain (Loss) | | | | |
Net realized gain (loss) on: | | | | |
Investment Securities: | | | | |
Unaffiliated issuers | | (1,650,521,789) | | |
Affiliated issuers | | (190,397,814) | | |
Forward foreign currency contracts | | (31,336) | | |
Foreign currency transactions | | 146,372 | | |
Futures contracts | | (18,442,972) | | |
Swaps | | (11,069,661) | | |
Written options | | 24,693 | | |
Total net realized gain (loss) | | | | (1,870,292,507) |
Change in net unrealized appreciation (depreciation) on: | | | | |
Investment Securities: | | | | |
Unaffiliated issuers | | 1,488,369,865 | | |
Fidelity Central Funds | | 1 | | |
Other affiliated issuers | | 153,296,898 | | |
Forward foreign currency contracts | | (2,969,056) | | |
Assets and liabilities in foreign currencies | | (9,338) | | |
Futures contracts | | 5,136,870 | | |
Swaps | | 13,304,359 | | |
Written options | | 60,797 | | |
TBA Sale commitments | | (1,816,772) | | |
Total change in net unrealized appreciation (depreciation) | | | | 1,655,373,624 |
Net gain (loss) | | | | (214,918,883) |
Net increase (decrease) in net assets resulting from operations | | | $ | 1,808,825,455 |
Statement of Changes in Net Assets |
|
| | Year ended February 29, 2024 | | Year ended February 28, 2023 |
Increase (Decrease) in Net Assets | | | | |
Operations | | | | |
Net investment income (loss) | $ | 2,023,744,338 | $ | 1,648,309,634 |
Net realized gain (loss) | | (1,870,292,507) | | (984,805,656) |
Change in net unrealized appreciation (depreciation) | | 1,655,373,624 | | (5,651,598,336) |
Net increase (decrease) in net assets resulting from operations | | 1,808,825,455 | | (4,988,094,358) |
Distributions to shareholders | | (1,968,339,756) | | (1,652,396,379) |
| | | | |
Share transactions | | | | |
Proceeds from sales of shares | | 7,841,758,790 | | 16,370,236,785 |
Reinvestment of distributions | | 1,780,344,557 | | 1,544,313,693 |
Cost of shares redeemed | | (12,557,686,674) | | (7,925,964,137) |
| | | | |
Net increase (decrease) in net assets resulting from share transactions | | (2,935,583,327) | | 9,988,586,341 |
Total increase (decrease) in net assets | | (3,095,097,628) | | 3,348,095,604 |
| | | | |
Net Assets | | | | |
Beginning of period | | 49,430,652,103 | | 46,082,556,499 |
End of period | $ | 46,335,554,475 | $ | 49,430,652,103 |
| | | | |
Other Information | | | | |
Shares | | | | |
Sold | | 873,450,654 | | 1,722,462,706 |
Issued in reinvestment of distributions | | 198,094,447 | | 166,781,936 |
Redeemed | | (1,398,370,378) | | (842,985,612) |
Net increase (decrease) | | (326,825,277) | | 1,046,259,030 |
| | | | |
Financial Highlights
Strategic Advisers® Core Income Fund |
|
Years ended February 28, | | 2024 A | | 2023 | | 2022 | | 2021 | | 2020 A |
Selected Per-Share Data | | | | | | | | | | |
Net asset value, beginning of period | $ | 9.04 | $ | 10.42 | $ | 10.98 | $ | 11.13 | $ | 10.38 |
Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) B,C | | .375 | | .331 | | .250 | | .286 | | .354 |
Net realized and unrealized gain (loss) | | (.041) | | (1.382) | | (.468) | | .116 | | .796 |
Total from investment operations | | .334 | | (1.051) | | (.218) | | .402 | | 1.150 |
Distributions from net investment income | | (.364) | | (.329) | | (.252) | | (.292) | | (.350) |
Distributions from net realized gain | | - | | - | | (.090) | | (.260) | | (.050) |
Total distributions | | (.364) | | (.329) | | (.342) | | (.552) | | (.400) |
Net asset value, end of period | $ | 9.01 | $ | 9.04 | $ | 10.42 | $ | 10.98 | $ | 11.13 |
Total Return D | | 3.78% | | (10.12)% | | (2.06)% | | 3.59% | | 11.25% |
Ratios to Average Net Assets C,E,F | | | | | | | | | | |
Expenses before reductions | | .28% | | .28% | | .28% | | .28% | | .28% |
Expenses net of fee waivers, if any | | .03% | | .03% | | .03% | | .03% | | .03% |
Expenses net of all reductions | | .03% | | .03% | | .03% | | .03% | | .03% |
Net investment income (loss) | | 4.17% | | 3.53% | | 2.31% | | 2.54% | | 3.28% |
Supplemental Data | | | | | | | | | | |
Net assets, end of period (000 omitted) | $ | 46,335,554 | $ | 49,430,652 | $ | 46,082,556 | $ | 41,506,260 | $ | 46,341,080 |
Portfolio turnover rate G | | 112% | | 116% | | 110% | | 109% | | 65% |
AFor the year ended February 29.
BCalculated based on average shares outstanding during the period.
CNet 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.
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
EFees 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.
FExpense 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.
GAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended February 29, 2024
1. Organization.
Strategic Advisers 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, supranational obligations 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.
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.
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.
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. 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 February 29, 2024 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 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. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. 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. 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 interest. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in interest 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 Core Income Fund | $369,726 |
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 February 29, 2024, 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, swaps, foreign currency transactions, market discount, partnerships, capital loss carryforwards, certain losses related to deflation adjustments on U.S. Treasury inflation-indexed securities and losses deferred due to wash sales and futures 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 | $123,517,775 |
Gross unrealized depreciation | (5,280,223,018) |
Net unrealized appreciation (depreciation) | $(5,156,705,243) |
Tax Cost | $54,400,701,794 |
The tax-based components of distributable earnings as of period end were as follows:
Capital loss carryforward | $(2,789,559,180) |
Net unrealized appreciation (depreciation) on securities and other investments | $(5,167,444,250) |
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 | $(741,645,475) |
Long-term | (2,047,913,705) |
Total capital loss carryforward | $(2,789,559,180) |
The tax character of distributions paid was as follows:
| February 29, 2024 | February 28, 2023 |
Ordinary Income | $1,968,339,756 | $1,652,396,379 |
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.
Commitments. A commitment is an agreement to acquire an investment at a future date (subject to conditions) in connection with a potential public or non-public offering. Commitments outstanding at period end are presented in the table below. Unrealized appreciation (depreciation) on any commitments outstanding at period end is separately presented in the Statement of Assets and Liabilities as Unrealized appreciation (depreciation) on unfunded commitments, and any change in unrealized appreciation (depreciation) on unfunded commitments during the period is separately presented in the Statement of Operations, as applicable based on contractual conditions of each commitment.
| Investment to be Acquired | Commitment Amount | Unrealized Appreciation (Depreciation) |
Strategic Advisers Core Income Fund | Level 3 Financing, Inc. 1LN note 11% 11/15/29 | $44,006 | $- |
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. For OTC written options with upfront premiums received, a fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. 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 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 Core Income Fund | | |
Credit Risk | | |
Purchased Options | (405,465) | 252,047 |
Swaps | 701,853 | (165,039) |
Total Credit Risk | 296,388 | 87,008 |
Foreign Exchange Risk | | |
Purchased Options | (106,625) | - |
Written Options | 24,693 | - |
Forward Foreign Currency Contracts | (31,336) | (2,969,056) |
Total Foreign Exchange Risk | (113,268) | (2,969,056) |
Interest Rate Risk | | |
Futures Contracts | (18,442,972) | 5,136,870 |
Purchased Options | 53,456 | (26,875) |
Written Options | - | 60,797 |
Swaps | (11,771,514) | 13,469,398 |
Total Interest Rate Risk | (30,161,030) | 18,640,190 |
Totals | (29,977,910) | 15,758,142 |
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 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 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 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 swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared 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 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 ($) |
Strategic Advisers Core Income Fund | 35,256,804,098 | 38,900,065,408 |
Unaffiliated Exchanges In-Kind. During the prior period, the Fund redeemed shares of JPMorgan Core Plus Bond Fund Class A in exchange for investments and cash, if any, as noted in the following table. The Fund had a net realized loss on the Fund's redemptions of JPMorgan Core Plus Bond Fund Class A, which is included in "Net Realized gain (loss): Unaffiliated Issuers" in the accompanying Statement of Operations. The Fund recognized a net loss on the exchanges for federal income tax purposes.
Fund Name | Value of Investments ($) | Net realized gain (loss) ($) | Shares redeemed |
JPMorgan Core Plus Bond Fund Class A | 511,583,135 | (87,099,159) | 71,750,790 |
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 .60% of the Fund's average net assets. For the reporting period, the total annual management fee rate was .28% 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. BlackRock Investment Management, LLC, FIAM LLC (an affiliate of the investment adviser), J.P. Morgan Investment Management, Inc., PGIM, Inc. and TCW Investment 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.
In December 2023, the Board approved the appointment of Pacific Investment Management Company LLC as an additional sub-adviser for the Fund. Subsequent to period end, Pacific Investment Management Company LLC was allocated a portion of the Fund's assets.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
| Amount |
Strategic Advisers Core Income Fund | $1,174 |
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
Other. During the period, the investment adviser reimbursed the Fund for certain losses as follows:
| Amount ($) |
Strategic Advisers Core Income Fund | 30,807 |
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 RatioA |
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 Core Income Fund | $85,707 |
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 Core Income Fund | $63,971 | $- | $- |
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, 2026. During the period, this waiver reduced the Fund's management fee by $121,261,020.
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 $180,712.
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 Core Income Fund |
Fidelity SAI Long-Term Treasury Bond Index Fund | 13% |
Fidelity SAI Total Bond Fund | 22% |
Fidelity SAI U.S. Treasury Bond Index 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 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 Core Income Fund (one of the funds constituting Fidelity Rutland Square Trust II, referred to hereafter as the "Fund") as of February 29, 2024, the related statement of operations for the year ended February 29, 2024, the statement of changes in net assets for each of the two years in the period ended February 29, 2024, including the related notes, and the financial highlights for each of the five years in the period ended February 29, 2024 (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 February 29, 2024, 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 February 29, 2024 and the financial highlights for each of the five years in the period ended February 29, 2024 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 February 29, 2024 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
April 16, 2024
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
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. Nancy D. Prior 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.
Nancy D. Prior (1967)
Year of Election or Appointment: 2023
Trustee
Chair of the Board of Trustees
Ms. Prior also serves as Trustee of other funds. Ms. Prior serves as a Senior Adviser at Fidelity Investments (investment adviser firm, 2021-present), member of the Board of Directors of Fidelity Investments Life Insurance Company (2018-present) and member of the Board of Directors of Empire Fidelity Investments Life Insurance Company (2018-present). Prior to her retirement, Ms. Prior held a variety of positions at Fidelity Investments (2002-2020), including President of Fixed Income (2014-2020),), President of Multi-Asset Class Strategies (2017-2018), President of Money Markets and Short Duration Bonds (2013-2014), and President of Money Markets (2011-2013). Ms. Prior also served as President (2016-2019) and Director (2014-2019) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), Vice Chairman of FIAM LLC (investment adviser firm, 2014-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), Vice President of Global Asset Allocation Funds (2017-2019), Vice President of Fidelity's Bond Funds (2014-2020), and Vice President of Fidelity's Money Market Funds (2012-2020).
* 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+
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 Emerita (2024-present) and past Chair (2014-2023) and Chief Executive Officer (2013-2023) 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), and Member of the Ron Burton Training Village Executive Board of Advisors (2017-present). Previously, Ms. Kaplan served as an Advisory Board Member of Fidelity Rutland Square Trust (2006-2010), Overseer of the Boston Symphony Orchestra (2014-2023), Member of the Board of Directors (2016-2023), Member of the Executive Committee (2019-2023) and Secretary (2022-2023) of The Advertising Council, Inc., Member of the Board of Directors of The Ad Club of Boston (2020-2023), 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).
Harold Singleton III (1962)
Year of Election or Appointment: 2023
Trustee
Mr. Singleton also serves as Trustee of other funds. Mr. Singleton is a member of the Board of Directors of Hershey Trust Company (2023-present). Previously, Mr. Singleton served as a member of the Board of Directors and Chair of the Audit Committee of WisdomTree, Inc. (global investment manager, 2022-2023). He also served as Vice President, Managing Director/Head of Manager Selection and Portfolio Construction (2016-2022) and Vice President/Head of Client Portfolio Management (2014-2016) of Lincoln Financial Group (insurance and retirement services). Mr. Singleton also served as a member of the Board of Directors and Investment Committee of The Vantagepoint Funds (2013-2014). Mr. Singleton served in various capacities at PineBridge Investments (global investment manager), including Managing Director, Head of Asset Management Companies and Global Head of Retail and Intermediary Sales (2010-2012), Managing Director, Global Head of Equity and Fixed Income Product Specialists (2009-2010) and Managing Director, Equity Product Specialist (Client Portfolio Manager) (2007-2010). He also served as Chairman of the Board of Directors of PineBridge East Africa (2011-2012) and PineBridge Taiwan (2011-2012). Mr. Singleton formerly served in various equity portfolio management and analyst positions, including at UBS Global Asset Management (2003-2006), Metropolitan West Capital Management (2000-2003) and Brinson Partners (investment manager, 1996-2000). Mr. Singleton is a Life Trustee, member of the Executive Committee and Chair of the Investment Committee of the Board of Trustees of the Illinois Institute of Technology (2012-present) and Chair of the Investment Committee (2010-present) of the Executive Leadership Council (nonprofit).
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.
Name, Year of Birth; Principal Occupations+
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).
Heather Bonner (1977)
Year of Election or Appointment: 2023
President and Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner is a Senior Vice President (2022-present) and is an employee of Fidelity Investments (2022-present). Ms. Bonner serves as Senior Vice President, Vice President, Treasurer, or Director of certain Fidelity entities. Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown is a Vice President (2015-present) and is an employee of Fidelity Investments. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-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 is Head of Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments. Mr. Burke serves as President, Executive Vice President, or Director of certain Fidelity entities. 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 Fidelity entities. Ms. Carey is a Senior Vice President, Deputy General Counsel (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 is a Vice President (2006-present) and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer or Director 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 is a Senior Vice President (2017-present) and is an employee of Fidelity Investments. Ms. Del Prato serves as Vice President or Assistant Treasurer of certain Fidelity entities. Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020).
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 is a Senior Vice President of Asset Management Compliance (2009-present) and is an employee of Fidelity Investments. Mr. Gryglewicz serves as Compliance Officer of Strategic Advisers LLC (investment adviser firm, 2015-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 is a Vice President (2016-present) and is an employee of Fidelity Investments. Mr. Hogan serves as Assistant Treasurer of certain Fidelity entities. 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 is a Vice President, Associate General Counsel (2014-present) and is an employee of Fidelity Investments. 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 is a Vice President (2008-present) and is an employee of Fidelity Investments. Mr. Maher serves as Assistant Treasurer of certain Fidelity entities. Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as AML Officer of other funds. Mr. Segaloff is a Vice President (2022-present) and is an employee of Fidelity Investments. Mr. Segaloff serves as Anti Money Laundering Compliance Officer or Anti Money Laundering/Bank Secrecy Act Compliance Officer of certain Fidelity entities.
Stacie M. Smith (1974)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith is a Senior Vice President (2016-present) and is an employee of Fidelity Investments. Ms. Smith serves as Assistant Treasurer of certain Fidelity entities and has served in other fund officer roles.
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann is a Vice President (2016-present) and is an employee of Fidelity Investments. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
+ The information includes principal occupation during the last five years.
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 (September 1, 2023 to February 29, 2024). |
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 September 1, 2023 | | Ending Account Value February 29, 2024 | | Expenses Paid During Period- C September 1, 2023 to February 29, 2024 |
| | | | | | | | | | |
Strategic Advisers® Core Income Fund | | | | .03% | | | | | | |
Actual | | | | | | $ 1,000 | | $ 1,028.20 | | $ .15 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.71 | | $ .15 |
|
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/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
A total of 21.83% 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 $960,599,898 of distributions paid during the fiscal year ended 2024 as qualifying to be taxed as section 163(j) interest dividends.
The fund will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Strategic Advisers Core Income Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Strategic Advisers LLC (Strategic Advisers), the sub-advisory agreements with BlackRock Investment Management, LLC, FIAM LLC (FIAM), PGIM, Inc., and TCW Investment Management Company LLC (TCW) (each a Sub-Adviser and collectively, the Sub-Advisers) (collectively, the Sub-Advisory Agreements), and the sub-sub-advisory agreements with BlackRock International Limited, BlackRock (Singapore) Limited, FMR Investment Management (UK) Limited, Fidelity Management & Research (Japan) Limited, Fidelity Management & Research (Hong Kong) Limited, and PGIM Limited (collectively, the Sub-Sub-Advisory Agreements and, together with the management contract and the Sub-Advisory Agreements, the Advisory Contracts) for the fund. Strategic Advisers and the Sub-Advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets at least four times per year and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The full Board or the Independent Trustees, as appropriate, act on all major matters; however, a portion of the activities of the Board (including certain of those described herein) may be conducted through standing committees that have been established by the Board. The Board, acting directly and through its committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts.
At its September 2023 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In addition, the Board approved an amendment to the Sub-Advisory Agreement with FIAM to add a new mandate (Amendment). The Board noted that the addition of the new mandate would not impact the fund's management fee rate or net expenses as the new mandate would not initially be funded. The Board also noted that no other contract terms are impacted by the Amendment. In reaching its determination to renew the fund's Advisory Contracts and approve the Amendment, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and total expenses; (iii) the total costs of the services provided by and the profits, if any, realized by Strategic Advisers from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts and approve the Amendment was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board throughout the year.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the approval of the Amendment is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage. Also, the Board found that the advisory fees charged under the Advisory Contracts bear a reasonable relationship to the services rendered.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the Investment Advisers, including the backgrounds of the fund's investment personnel and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Strategic Advisers' investment operations and investment groups. The Board considered the structure of each Investment Adviser's investment personnel compensation program and whether such structures provide appropriate incentives to act in the best interests of the fund. In approving the Amendment, the Board also took into consideration additional information about the new investment mandate provided by Strategic Advisers and FIAM.
The Trustees also discussed with representatives of Strategic Advisers, at meetings throughout the year, Strategic Advisers' role in, among other things, (i) setting, implementing and monitoring the investment strategies for the funds; (ii) identifying and recommending sub-advisers for the funds; (iii) overseeing compliance with federal securities laws by each sub-adviser with respect to the portion of fund assets allocated to the sub-adviser; (iv) monitoring and overseeing the performance and investment capabilities of each sub-adviser; and (v) recommending the replacement of a sub-adviser as appropriate. The Trustees considered that the Board had received from Strategic Advisers substantial information and periodic reports about Strategic Advisers' sub-adviser oversight and due diligence processes, as well as periodic reports regarding the performance of each sub-adviser.
The Board also considered the nature, extent and quality of services provided by each Sub-Adviser. The Trustees noted that under the Sub-Advisory Agreements subject to oversight by Strategic Advisers, each Sub-Adviser is responsible for, among other things, identifying investments for the portion of fund assets allocated to the Sub-Adviser, if any, and executing portfolio transactions to implement its investment strategy. In addition, the Trustees noted that each Sub-Adviser is responsible for providing such reporting as may be requested from Strategic Advisers to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Investment Advisers' investment staffs, their use of technology, and the Investment Advisers' approach to managing and compensating investment personnel. The Board noted that the Investment Advisers' analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and/or fundamental analysis. Additionally, in its deliberations, the Board considered the Investment Advisers' trading capabilities and resources and global compliance infrastructure, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative and shareholder services performed by Strategic Advisers and its affiliates under the management contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of Strategic Advisers' supervision of third party service providers, including sub-advisers, custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. In connection with the renewal of the Advisory Contracts, the Board considered annualized return information for the fund over different time periods, measured against an appropriate securities market index (benchmark index) and a peer group of mutual funds with similar objectives (peer group).
The Board considered discussions that occur at Board meetings throughout the year with representatives of Strategic Advisers about fund investment performance and the performance of each Sub-Adviser as part of regularly scheduled fund reviews and other reports to the Board on fund performance, taking into account various factors including general market conditions. The Board also considered information about performance attribution. In its discussions with representatives of Strategic Advisers regarding fund performance, the Board gave particular attention to information indicating underperformance of certain funds over different time periods and discussed with Strategic Advisers the reasons for any such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with the fund's performance notwithstanding that it lags its benchmark index peer group for certain periods.
In connection with the approval of the Amendment, the Board considered the historical investment performance of FIAM 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 provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the amount and nature of fees paid to the Investment Advisers. The Board also considered information comparing the management fees and total expenses of the fund to those of other registered investment companies with investment objectives similar to those of the fund, as discussed below. The Board also noted Strategic Advisers' proposal to extend the management fee waiver and considered the fund's contractual maximum aggregate annual management fee rate. In considering the fund's management fee and management fee waiver and comparisons to other registered investment companies with investment objectives similar to those of the fund, the Board noted that shares of the fund are offered only to clients that participate in the Fidelity Portfolio Advisory Service managed account program. In its review of the fund's total expenses, the Board considered the fund's management fee rate as well as other fund expenses, as applicable, such as expenses from holding Fidelity and non-Fidelity mutual funds and ETFs, pricing and bookkeeping fees, and custodial, legal, and audit fees.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Strategic Advisers funds in the mapped group that are similar in size and management fee structure to the fund (referred to as the "asset size peer group"); and (iii) total expense comparisons of the fund relative to funds and classes in the mapped group that have a similar sales load structure to the fund (referred to as the "similar sales load structure group").
The information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for the 12-month period ended December 31, 2022 and below the competitive median of the asset size peer group for the 12-month period ended December 31, 2022. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar sales load structure group for the 12-month period ended December 31, 2022.
Fees Charged to Other Clients. The Board also considered fee structures paid by the Investment Advisers' other clients, such as other funds advised or subadvised by the Investment Advisers, pension plan clients, and other institutional clients with similar investment mandates.
Based on its review, the Board concluded that the fund's management fee bears a reasonable relationship to the services rendered. Further, based on its review of the total expense ratios and fees charged to other clients of Strategic Advisers or its affiliates and each Sub-Adviser, the Board concluded that the total expenses of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered information regarding the revenues earned and the expenses incurred by Strategic Advisers and its affiliates in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
On an annual basis, Strategic Advisers presents to the Board information about the profitability of its relationships with the fund. Strategic Advisers calculates profitability information for the fund using a series of detailed revenue and cost allocation methodologies. The Board reviews any significant changes from the prior year's methodologies. Strategic Advisers noted that, to the extent possible, it employs the same corporate reporting of revenues and expenses as those used by other Fidelity funds.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized, if any, by Strategic Advisers and its affiliates in connection with the operation of the fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of the Sub-Advisers' respective relationships with the fund and the potential fall-out benefits, if any, that may accrue to the Sub-Advisers as a result of their respective relationships with the fund. The Board noted the difficulty in evaluating a Sub-Adviser's costs and the profitability of a Sub-Advisory Agreement to a Sub-Adviser because of, among other things, differences in the type and content of information provided by each Sub-Adviser due to differences in business models, cost accounting methods, and profitability calculation methodologies among the Sub-Advisers. Accordingly, the Board considered profitability information provided by the Sub-Advisers in light of the nature of the relationships between Strategic Advisers and the Sub-Advisers with respect to the negotiation of sub-advisory fees.
Possible Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Strategic Advisers funds, whether the Strategic Advisers funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board considered that the fund's Sub-Advisory Agreements provide for breakpoints as the fund's assets grow and noted that any potential decline in sub-advisory fees under such contracts would accrue directly to the fund. The Board also took Strategic Advisers' management fee waiver into consideration.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements bear a reasonable relationship to the services rendered and that the fund's Advisory Contracts should be renewed and the Amendment should be approved because each agreement is in the best interests of the fund and its shareholders. In addition, the Board concluded that the renewal of each Sub-Advisory Agreement and the approval of the Amendment do not involve a conflict of interest from which Strategic Advisers or its affiliates derive an inappropriate advantage.
Board Approval of New and Amended Sub-Advisory Agreements
Strategic Advisers Core Income Fund
In December 2023, 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), Pacific Investment Management Company LLC (New Sub-Adviser), and Fidelity Rutland Square Trust II (Trust) on behalf of the fund (New Sub-Advisory Agreement) and (ii) amendments to the fee schedules for two investment mandates in the existing sub-advisory agreement among Strategic Advisers, FIAM LLC (FIAM), and the Trust on behalf of the fund (Amended Sub-Advisory Agreement and, together with the New Sub-Advisory Agreement, the Agreements). The Board noted that each updated fee schedule in the Amended Sub-Advisory Agreement became effective as of October 1, 2023, 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 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 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 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 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. 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 Agreement, the Board also considered that it reviewed this information regarding FIAM in connection with the annual renewal of the fund's management contract, sub-advisory agreement and sub-subadvisory agreements at its September 2023 meeting. The Board noted its familiarity with the nature, extent and quality of services provided by the New Sub-Adviser to another Strategic Advisers fund with a different investment mandate, and that many of the same support staff, including compliance personnel, that currently provide services to the other Strategic Advisers fund 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 New Sub-Adviser.
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 its investment in business continuity planning.
With respect to the Amended Sub-Advisory Agreement, the Board noted that it had approved the existing sub-advisory agreement with FIAM at its September 2023 meeting and that 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.
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 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 New Sub-Advisory Agreement should benefit the fund's shareholders, and with respect to 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 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 Agreement 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.
With respect to the New Sub-Advisory Agreement, the Board considered that after allocating assets to the New Sub-Adviser, the fund's projected management fee is expected to increase and the fund's projected total net expenses are expected to decrease, and each is expected to continue to rank below the competitive peer group median reported in the June 2023 management contract renewal materials for the fund. Additionally, 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, with respect to each mandate individually and also on a combined basis.
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 each 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 each 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 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 with respect to each mandate the 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 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 each Agreement's fee structure bears a reasonable relationship to the services to be rendered and that each 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 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, 2022 through November 30, 2023. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.
1.912891.113
SSC-ANN-0424
Item 2.
Code of Ethics
As of the end of the period, February 29, 2024, Fidelity Rutland Square Trust II (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Heidi L. Steiger is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Steiger is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Strategic Advisers Core Income Fund, Strategic Advisers Emerging Markets Fund, Strategic Advisers Fidelity International Fund, Strategic Advisers Income Opportunities Fund, Strategic Advisers International Fund, and Strategic Advisers Small-Mid Cap Fund (the “Funds”):
Services Billed by PwC
February 29, 2024 FeesA
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
|
|
|
|
|
Strategic Advisers Core Income Fund | $45,200 | $4,000 | $9,700 | $8,400 |
Strategic Advisers Emerging Markets Fund | $29,600 | $2,700 | $66,700 | $5,600 |
Strategic Advisers Fidelity International Fund | $41,600 | $3,800 | $19,600 | $7,900 |
Strategic Advisers Income Opportunities Fund | $26,000 | $2,500 | $6,700 | $5,200 |
Strategic Advisers International Fund | $42,100 | $3,800 | $60,200 | $8,000 |
Strategic Advisers Small-Mid Cap Fund | $41,500 | $3,800 | $9,700 | $7,900 |
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
|
|
|
|
|
Strategic Advisers Core Income Fund | $44,700 | $3,400 | $9,700 | $8,600 |
Strategic Advisers Emerging Markets Fund | $29,500 | $2,200 | $6,700 | $5,800 |
Strategic Advisers Fidelity International Fund | $43,700 | $3,200 | $23,800 | $8,100 |
Strategic Advisers Income Opportunities Fund | $26,700 | $2,100 | $6,700 | $5,300 |
Strategic Advisers International Fund | $41,800 | $3,200 | $82,200 | $8,200 |
Strategic Advisers Small-Mid Cap Fund | $41,500 | $3,200 | $10,500 | $8,100 |
A Amounts may reflect rounding
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
| | |
| February 29, 2024A | February 28, 2023A |
Audit-Related Fees | $9,422,800 | $8,469,200 |
Tax Fees | $61,000 | $1,000 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
“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 | February 29, 2024A | February 28, 2023A |
PwC | $15,264,700 | $14,365,000 |
A Amounts may reflect rounding.
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).
The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the “PCAOB”) has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.
The Registrant is not a “foreign issuer,” as defined in 17 CFR 240.3b-4.
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 18.
Recovery of Erroneously Awarded Compensation
(a)
Not applicable.
(b)
Not applicable.
Item 19.
Exhibits
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/Heather Bonner |
| Heather Bonner |
| President and Treasurer (Principal Executive Officer) |
|
|
Date: | April 22, 2024 |
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/Heather Bonner |
| Heather Bonner |
| President and Treasurer (Principal Executive Officer) |
|
|
Date: | April 22, 2024 |
| |
By: | /s/John J. Burke III |
| John J. Burke III |
| Chief Financial Officer (Principal Financial Officer) |
|
|
Date: | April 22, 2024 |